N-CSRS 1 tm247931d5_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, 2023—February 29, 2024

 

 

 

 

 

 

Item 1: Reports to Shareholders

 

 

Semiannual Report   |   February 29, 2024
Vanguard Explorer Value Fund
See the inside front cover for important information about your fund’s annual and semiannual shareholder reports.

 

Important information about shareholder reports
Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
Contents
About Your Fund’s Expenses

1
Financial Statements

4
Trustees Approve Advisory Arrangements

16

 

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 29, 2024      
Explorer Value Fund Beginning
Account Value
8/31/2023
Ending
Account Value
2/29/2024
Expenses
Paid During
Period
Based on Actual Fund Return $1,000.00 $1,088.70 $2.54
Based on Hypothetical 5% Yearly Return 1,000.00 1,022.43 2.46
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 0.49%. 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 (182/366).
2

 

Explorer Value Fund
Fund Allocation
As of February 29, 2024
Communication Services 5.2%
Consumer Discretionary 13.0
Consumer Staples 2.4
Energy 6.1
Financials 15.6
Health Care 7.1
Industrials 21.7
Information Technology 10.1
Materials 8.8
Real Estate 9.0
Utilities 1.0
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 29, 2024
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 (95.1%)
Communication Services (4.9%)
  Nexstar Media Group Inc.   105,114    17,467
* Ziff Davis Inc.   169,799    11,675
  Interpublic Group of Cos. Inc.   160,292     5,033
* Madison Square Garden Entertainment Corp.   104,754     4,032
* Sphere Entertainment Co.    92,795     4,018
* Madison Square Garden Sports Corp.    16,358     3,078
*,1 Manchester United plc Class A   143,874     2,187
  Paramount Global Class B   187,272     2,068
         49,558
Consumer Discretionary (12.3%)
  Lithia Motors Inc.    44,825    13,405
* Royal Caribbean Cruises Ltd.    74,906     9,240
* OneSpaWorld Holdings Ltd.   659,627     8,601
* Adtalem Global Education Inc.   173,128     8,570
* Victoria's Secret & Co.   288,205     8,231
* Modine Manufacturing Co.    89,105     7,994
  Kontoor Brands Inc.   125,849     7,439
  LCI Industries    48,495     6,109
* Mattel Inc.   304,223     5,993
  Cheesecake Factory Inc.   162,816     5,760
* Asbury Automotive Group Inc.    23,636     4,936
* Leslie's Inc.   610,952     4,826
  Boyd Gaming Corp.    70,401     4,656
  Gentex Corp.   126,453     4,619
* Helen of Troy Ltd.    31,925     3,991
  ADT Inc.   549,536     3,990
* Mohawk Industries Inc.    30,661     3,637
  Perdoceo Education Corp.   197,627     3,520
* LGI Homes Inc.    28,597     3,263
* Under Armour Inc. Class A   304,177     2,725
* Stoneridge Inc.   137,730     2,420
        123,925
Consumer Staples (2.3%)
  Spectrum Brands Holdings Inc.   156,333    12,572
* US Foods Holding Corp.   184,129     9,352
  J M Smucker Co.     7,928       953
         22,877
    Shares Market
Value

($000)
Energy (5.8%)
  DTE Midstream LLC   253,689    14,620
  TechnipFMC plc   517,398    11,222
  SM Energy Co.   185,214     8,107
  Matador Resources Co.   103,390     6,529
* Weatherford International plc    50,691     5,201
* Tidewater Inc.    68,094     4,769
  Viper Energy Inc.   122,206     4,417
  Core Laboratories Inc.   229,320     3,433
         58,298
Financials (14.9%)
  Starwood Property Trust Inc.   603,073    12,297
  BGC Group Inc. Class A 1,574,302    10,941
* Bancorp Inc.   190,612     8,509
  Popular Inc.    89,812     7,515
  First BanCorp (XNYS)   429,862     7,299
  Wintrust Financial Corp.    75,683     7,292
  First Merchants Corp.   214,292     7,114
* Euronet Worldwide Inc.    59,660     6,529
  Pacific Premier Bancorp Inc.   284,626     6,507
  Carlyle Group Inc.   128,531     5,893
  Columbia Banking System Inc.   324,428     5,872
* NMI Holdings Inc. Class A   188,882     5,682
  Affiliated Managers Group Inc.    32,313     5,051
  Evercore Inc. Class A    26,161     4,894
  Northern Trust Corp.    55,890     4,590
  Pinnacle Financial Partners Inc.    55,036     4,553
  WaFd Inc.   156,461     4,262
  Renasant Corp.   125,800     3,976
  WSFS Financial Corp.    87,979     3,729
  Lazard Inc.    96,057     3,702
* Enstar Group Ltd.    11,920     3,671
  PJT Partners Inc. Class A    34,360     3,622
  Webster Financial Corp.    75,936     3,618
  First American Financial Corp.    61,239     3,577
  BOK Financial Corp.    41,768     3,551
  Hope Bancorp Inc.   189,620     2,080
  BankUnited Inc.    72,482     1,944
  Flushing Financial Corp.    78,025     1,002
        149,272
4

 

Explorer Value Fund
    Shares Market
Value

($000)
Health Care (6.7%)
* Enovis Corp.   135,950     8,131
* Envista Holdings Corp.   326,772     6,748
* Elanco Animal Health Inc. (XNYS)   359,943     5,719
* LivaNova plc   104,218     5,712
* Pacira BioSciences Inc.   178,832     5,315
* Globus Medical Inc. Class A    98,090     5,296
* Charles River Laboratories International Inc.    18,574     4,721
* Ligand Pharmaceuticals Inc.    59,129     4,692
* Varex Imaging Corp.   252,030     4,335
* Prestige Consumer Healthcare Inc.    59,828     4,163
  Laboratory Corp. of America Holdings    17,507     3,779
* Merit Medical Systems Inc.    41,955     3,197
* QuidelOrtho Corp.    46,920     2,140
* Acadia Healthcare Co. Inc.    25,460     2,125
* Bio-Rad Laboratories Inc. Class A     3,966     1,292
         67,365
Industrials (20.7%)
  BWX Technologies Inc.   187,979    18,954
* XPO Inc.   125,750    15,130
  Esab Corp.   123,767    12,268
* GXO Logistics Inc.   226,750    11,737
* OPENLANE Inc.   710,966    10,856
  FTAI Aviation Ltd.   177,007     9,964
* Verra Mobility Corp.   394,091     8,520
* Beacon Roofing Supply Inc.    96,589     8,296
  MDU Resources Group Inc.   373,051     8,088
* MRC Global Inc.   634,895     7,320
  Timken Co.    75,439     6,336
  KBR Inc.   104,628     6,281
  Interface Inc.   398,266     6,261
* Stericycle Inc.   114,643     6,235
  Applied Industrial Technologies Inc.    29,805     5,660
  Kaman Corp.   118,878     5,446
* Resideo Technologies Inc.   237,322     5,299
  Masco Corp.    65,991     5,065
  RB Global Inc. (XTSE)    61,689     4,683
* Generac Holdings Inc.    41,231     4,639
  Kennametal Inc.   179,694     4,536
* Middleby Corp.    28,251     4,299
  Brink's Co.    51,264     4,246
* Array Technologies Inc.   300,723     4,102
  EnerSys    42,939     3,945
* Builders FirstSource Inc.    18,609     3,632
  nVent Electric plc    53,929     3,631
  Granite Construction Inc.    63,077     3,250
  WESCO International Inc.    17,716     2,648
  Greenbrier Cos. Inc.    44,573     2,307
  Simpson Manufacturing Co. Inc.     9,409     1,963
  Snap-on Inc.     6,977     1,923
        207,520
Information Technology (9.6%)
  MKS Instruments Inc.    72,555     8,907
* Ultra Clean Holdings Inc.   182,662     7,891
* ACI Worldwide Inc.   232,046     7,637
* Insight Enterprises Inc.    36,596     6,880
  Belden Inc.    78,639     6,698
* Kyndryl Holdings Inc.   289,265     6,355
    Shares Market
Value

($000)
* Verint Systems Inc.   193,979     6,132
* Sanmina Corp.    94,960     6,001
* Diodes Inc.    82,931     5,638
  Jabil Inc.    38,686     5,574
* Zebra Technologies Corp. Class A    19,860     5,551
  TD SYNNEX Corp.    52,686     5,474
* Teledyne Technologies Inc.    12,214     5,219
* Keysight Technologies Inc.    22,671     3,498
* Teradata Corp.    89,938     3,383
* MACOM Technology Solutions Holdings Inc.    24,908     2,200
* Fabrinet     8,582     1,850
* Consensus Cloud Solutions Inc.    88,295     1,406
         96,294
Materials (8.4%)
  Silgan Holdings Inc.   528,995    23,228
* Axalta Coating Systems Ltd.   505,162    16,534
  Eagle Materials Inc.    46,192    11,712
* ATI Inc.   131,927     6,488
  Pactiv Evergreen Inc.   428,759     6,324
  Ashland Inc.    46,353     4,341
* Knife River Corp.    57,078     4,229
  Graphic Packaging Holding Co.   159,175     4,131
  Carpenter Technology Corp.    61,489     3,975
  FMC Corp.    56,028     3,159
         84,121
Real Estate (8.6%)
  Gaming and Leisure Properties Inc.   331,223    15,064
  SITE Centers Corp.   505,597     6,866
  Agree Realty Corp.   120,054     6,597
  Independence Realty Trust Inc.   435,816     6,380
* Equity Commonwealth   332,300     6,257
  First Industrial Realty Trust Inc.   115,419     6,117
  Newmark Group Inc. Class A   521,192     5,624
  COPT Defense Properties   230,029     5,574
  DigitalBridge Group Inc.   296,738     5,451
  STAG Industrial Inc.   142,244     5,283
  LXP Industrial Trust   603,535     5,227
* Jones Lang LaSalle Inc.    20,994     3,994
* CBRE Group Inc. Class A    41,453     3,809
  NETSTREIT Corp.   219,845     3,695
         85,938
Utilities (0.9%)
  ALLETE Inc.    70,814     4,011
  Portland General Electric Co.    73,128     2,938
  Unitil Corp.    47,490     2,420
          9,369
Total Common Stocks
(Cost $745,018)
954,537
 
5

 

Explorer Value Fund
    Shares Market
Value

($000)
Temporary Cash Investments (5.1%)
Money Market Fund (5.1%)
2,3 Vanguard Market Liquidity Fund, 5.400% (Cost$51,164)   511,755          51,170
Total Investments (100.2%) (Cost $796,182) 1,005,707
Other Assets and Liabilities—Net (-0.2%) (1,690)
Net Assets (100%) 1,004,017
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 $1,916,000.
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 $2,050,000 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 Russell 2000 Index March 2024 279 28,699 784
  
See accompanying Notes, which are an integral part of the Financial Statements.
6

 

Explorer Value Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $745,018) 954,537
Affiliated Issuers (Cost $51,164) 51,170
Total Investments in Securities 1,005,707
Investment in Vanguard 31
Cash 359
Cash Collateral Pledged—Futures Contracts 1,820
Receivables for Investment Securities Sold 2,676
Receivables for Accrued Income 977
Receivables for Capital Shares Issued 283
Variation Margin Receivable—Futures Contracts 194
Total Assets 1,012,047
Liabilities  
Payables for Investment Securities Purchased 4,800
Collateral for Securities on Loan 2,050
Payables to Investment Advisor 655
Payables for Capital Shares Redeemed 441
Payables to Vanguard 84
Total Liabilities 8,030
Net Assets 1,004,017
1 Includes $1,916,000 of securities on loan.  
At February 29, 2024, net assets consisted of:  
   
Paid-in Capital 793,345
Total Distributable Earnings (Loss) 210,672
Net Assets 1,004,017
 
Net Assets  
Applicable to 22,872,920 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
1,004,017
Net Asset Value Per Share $43.90
  
See accompanying Notes, which are an integral part of the Financial Statements.
7

 

Explorer Value Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends1 5,580
Interest2 1,234
Securities Lending—Net 36
Total Income 6,850
Expenses  
Investment Advisory Fees—Note B  
Basic Fee 1,455
Performance Adjustment (214)
The Vanguard Group—Note C  
Management and Administrative 959
Marketing and Distribution 29
Custodian Fees 5
Shareholders’ Reports 22
Trustees’ Fees and Expenses
Other Expenses 8
Total Expenses 2,264
Net Investment Income 4,586
Realized Net Gain (Loss)  
Investment Securities Sold2 8,192
Futures Contracts 1,110
Realized Net Gain (Loss) 9,302
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 66,290
Futures Contracts 879
Change in Unrealized Appreciation (Depreciation) 67,169
Net Increase (Decrease) in Net Assets Resulting from Operations 81,057
1 Dividends are net of foreign withholding taxes of $28,000.
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 $1,199,000, $3,000, less than $1,000, 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 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 4,586   14,989
Realized Net Gain (Loss) 9,302   11,817
Change in Unrealized Appreciation (Depreciation) 67,169   39,647
Net Increase (Decrease) in Net Assets Resulting from Operations 81,057   66,453
Distributions      
Total Distributions (24,191)   (39,564)
Capital Share Transactions      
Issued 52,072   101,865
Issued in Lieu of Cash Distributions 22,597   37,424
Redeemed (86,916)   (289,315)
Net Increase (Decrease) from Capital Share Transactions (12,247)   (150,026)
Total Increase (Decrease) 44,619   (123,137)
Net Assets      
Beginning of Period 959,398   1,082,535
End of Period 1,004,017   959,398
  
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 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $41.35 $39.93 $46.26 $30.32 $33.49 $40.53
Investment Operations            
Net Investment Income1 .200 .586 .461 .351 .400 .494
Net Realized and Unrealized Gain (Loss) on Investments 3.422 2.308 (4.910) 15.911 (3.032) (4.921)
Total from Investment Operations 3.622 2.894 (4.449) 16.262 (2.632) (4.427)
Distributions            
Dividends from Net Investment Income (.743) (.495) (.352) (.322) (.538) (.366)
Distributions from Realized Capital Gains (.329) (.979) (1.529) (2.247)
Total Distributions (1.072) (1.474) (1.881) (.322) (.538) (2.613)
Net Asset Value, End of Period $43.90 $41.35 $39.93 $46.26 $30.32 $33.49
Total Return2 8.87% 7.43% -10.05% 53.90% -8.12% -10.10%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,004 $959 $1,083 $1,164 $563 $655
Ratio of Total Expenses to Average Net Assets3 0.49% 0.49%4 0.53%4 0.52% 0.64% 0.55%
Ratio of Net Investment Income to Average Net Assets 1.11% 1.48% 1.05% 0.85% 1.28% 1.45%
Portfolio Turnover Rate 11% 23% 31% 41% 42% 27%
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 (0.05%), (0.04%), 0.02%, 0.01%, 0.09%, and 0.01%.
4 The ratio of expenses to average net assets for the period net of reduction from broker commission abatement arrangements was 0.49% and 0.53%, respectively.
  
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.
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 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 valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 
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 29, 2024, the fund’s average investments in long and short futures contracts represented 2% 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 virtually 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.
11

 

Explorer Value Fund
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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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. 
12

 

Explorer Value Fund
For the six months ended February 29, 2024, 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 Frontier Capital Management Co., LLC, Cardinal Capital Management, L.L.C., and 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 periods prior to June 23, 2022, and to the new Russell 2500 Value Index, beginning June 23, 2022, for the preceding three years. The benchmark change will be fully phased in by August 2025. The basic fee of Ariel Investments, LLC, is 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 29, 2024, the aggregate investment advisory fee paid to all advisors represented an effective annual basic basic rate of 0.31% of the fund’s average net assets, before a net decrease of $214,000 (0.05%) 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 29, 2024, 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.
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.
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.
13

 

Explorer Value Fund
At February 29, 2024, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
E. As of February 29, 2024, 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 803,961
Gross Unrealized Appreciation 253,948
Gross Unrealized Depreciation (51,418)
Net Unrealized Appreciation (Depreciation) 202,530
F. During the six months ended February 29, 2024, the fund purchased $101,985,000 of investment securities and sold $134,936,000 of investment securities, other than temporary cash investments.
G. Capital shares issued and redeemed were:
    
  Six Months
Ended
February 29,
2024
  Year Ended
August 31,
2023
  Shares
(000)
  Shares
(000)
Issued 1,260   2,542
Issued in Lieu of Cash Distributions 536   950
Redeemed (2,123)   (7,404)
Net Increase (Decrease) in Shares Outstanding (327)   (3,912)
H. Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
At February 29, 2024, one shareholder was a record or beneficial owner of 30% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result
14

 

Explorer Value Fund
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.
I. Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
15

 

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), Frontier Capital Management Co., LLC (Frontier), and Ariel Investments, LLC (Ariel). The board determined that renewing the fund’s advisory arrangements was 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 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 fund’s investment management services over the short term, long term, and since inception; it also 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. For decades, Ariel’s domestic value team has maintained the same distinctive approach, focusing on companies with high-quality brands and franchises that may be temporarily out of favor. Ariel will buy firms trading at a discount, with sustainable competitive advantages that can lead the company to recover and add value over time. The team’s performance demonstrates the interrelated tenets of Active Patience®, Independent Thinking, Focused Expertise, and Bold Teamwork that are hallmarks for the firm. Ariel has advised a portion of the fund since 2022.
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 their capital allocation decisions. Cardinal seeks to purchase companies that can generate superior
16

 

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 in 2010.
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 in 2010.
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-term, long-term, and since-inception performance of Ariel’s, 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.
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 Ariel’s, Cardinal’s, and Frontier’s advisory fee rates were also below the 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.
17

 

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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.
© 2024 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q16902 042024

Semiannual Report   |   February 29, 2024
Vanguard Russell 1000 Index Funds
Vanguard Russell 1000 Index Fund
Vanguard Russell 1000 Value Index Fund
Vanguard Russell 1000 Growth Index Fund
See the inside front cover for important information about your fund’s annual and semiannual shareholder reports.

 

Important information about shareholder reports
Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
Contents
About Your Fund’s Expenses

1
Russell 1000 Index Fund

3
Russell 1000 Value Index Fund

24
Russell 1000 Growth Index Fund

45

 

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 29, 2024      
  Beginning
Account Value
8/31/2023
Ending
Account Value
2/29/2024
Expenses
Paid During
Period
Based on Actual Fund Return      
Russell 1000 Index Fund      
ETF Shares $1,000.00 $1,140.20 $0.43
Institutional Shares 1,000.00 1,140.30 0.37
Russell 1000 Value Index Fund      
ETF Shares $1,000.00 $1,092.30 $0.42
Institutional Shares 1,000.00 1,092.40 0.36
Russell 1000 Growth Index Fund      
ETF Shares $1,000.00 $1,182.10 $0.43
Institutional Shares 1,000.00 1,182.10 0.38
Based on Hypothetical 5% Yearly Return      
Russell 1000 Index Fund      
ETF Shares $1,000.00 $1,024.47 $0.40
Institutional Shares 1,000.00 1,024.52 0.35
Russell 1000 Value Index Fund      
ETF Shares $1,000.00 $1,024.47 $0.40
Institutional Shares 1,000.00 1,024.52 0.35
Russell 1000 Growth Index Fund      
ETF Shares $1,000.00 $1,024.47 $0.40
Institutional Shares 1,000.00 1,024.52 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 (182/366).
2

 

Russell 1000 Index Fund
Fund Allocation
As of February 29, 2024
Basic Materials 1.8%
Consumer Discretionary 14.5
Consumer Staples 4.6
Energy 3.8
Financials 10.6
Health Care 11.8
Industrials 12.8
Real Estate 2.6
Technology 33.1
Telecommunications 2.0
Utilities 2.4
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 29, 2024
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 (99.5%)
Basic Materials (1.8%)
  Linde plc    70,714    31,738
  Ecolab Inc.    36,178     8,134
  Freeport-McMoRan Inc.   208,437     7,881
  Air Products and Chemicals Inc.    32,349     7,571
  Nucor Corp.    36,258     6,972
  Fastenal Co.    83,094     6,067
  Dow Inc.   103,019     5,757
  Newmont Corp. (XNYS)   168,266     5,258
  LyondellBasell Industries NV Class A    37,660     3,776
  Steel Dynamics Inc.    22,757     3,045
  International Flavors & Fragrances Inc.    37,120     2,803
  Reliance Steel & Aluminum Co.     8,390     2,695
  Avery Dennison Corp.    11,790     2,553
  Albemarle Corp.    17,010     2,345
  CF Industries Holdings Inc.    28,036     2,263
  Celanese Corp.    14,402     2,189
  International Paper Co.    50,523     1,786
  United States Steel Corp.    32,064     1,518
* Cleveland-Cliffs Inc.    72,650     1,511
  Eastman Chemical Co.    17,179     1,507
  Mosaic Co.    48,287     1,505
* RBC Bearings Inc.     4,105     1,120
  FMC Corp.    18,354     1,035
  Southern Copper Corp.    12,533     1,013
  Royal Gold Inc.     9,608       986
  Olin Corp.    17,841       960
  Hexcel Corp.    12,341       919
* Valvoline Inc.    20,148       859
  Element Solutions Inc.    32,331       760
  Timken Co.     8,892       747
  Alcoa Corp.    25,495       694
  Ashland Inc.     7,009       656
  Westlake Corp.     4,700       652
  Huntsman Corp.    24,988       640
  NewMarket Corp.       883       567
  Chemours Co.    21,801       429
  Scotts Miracle-Gro Co.     5,864       385
* MP Materials Corp.    14,848       226
  SSR Mining Inc. (XTSE)    28,819       124
  SSR Mining Inc.        52        —
        121,646
    Shares Market
Value

($000)
Consumer Discretionary (14.5%)
* Amazon.com Inc. 1,313,981   232,259
* Tesla Inc.   402,407    81,238
  Home Depot Inc.   145,880    55,523
  Costco Wholesale Corp.    64,619    48,069
* Netflix Inc.    62,968    37,965
  Walmart Inc.   624,510    36,603
  McDonald's Corp.   106,354    31,085
  Walt Disney Co.   266,690    29,757
* Uber Technologies Inc.   286,966    22,814
  Lowe's Cos. Inc.    84,241    20,274
* Booking Holdings Inc.     5,203    18,048
  NIKE Inc. Class B   173,422    18,024
  TJX Cos. Inc.   167,976    16,653
  Starbucks Corp.   164,541    15,615
* Chipotle Mexican Grill Inc.     3,998    10,750
  Target Corp.    67,127    10,265
* O'Reilly Automotive Inc.     8,613     9,366
* Airbnb Inc. Class A    59,173     9,318
  Marriott International Inc. Class A    35,525     8,877
  General Motors Co.   200,154     8,202
* AutoZone Inc.     2,562     7,701
* Lululemon Athletica Inc.    16,238     7,585
  Hilton Worldwide Holdings Inc.    36,321     7,421
  Ross Stores Inc.    48,961     7,293
  Ford Motor Co.   571,337     7,107
  DR Horton Inc.    45,371     6,780
* Copart Inc.   125,220     6,655
  Lennar Corp. Class A    36,832     5,838
  Yum! Brands Inc.    40,929     5,665
  Electronic Arts Inc.    39,464     5,504
* Trade Desk Inc. Class A    64,367     5,499
* Spotify Technology SA    20,455     5,245
  Estee Lauder Cos. Inc. Class A    33,579     4,989
  Dollar General Corp.    31,867     4,631
* Dollar Tree Inc.    30,444     4,466
* Royal Caribbean Cruises Ltd.    34,162     4,214
  Tractor Supply Co.    16,000     4,069
  Delta Air Lines Inc.    93,455     3,950
* Ulta Beauty Inc.     7,165     3,930
  eBay Inc.    78,127     3,694
* Take-Two Interactive Software Inc.    24,073     3,537
* Deckers Outdoor Corp.     3,811     3,413
  PulteGroup Inc.    31,214     3,383
4

 

Russell 1000 Index Fund
    Shares Market
Value

($000)
* NVR Inc.       424     3,233
* Aptiv plc    39,402     3,132
  Garmin Ltd.    22,436     3,082
  Genuine Parts Co.    20,485     3,058
  Darden Restaurants Inc.    17,552     2,996
  Southwest Airlines Co.    86,447     2,963
* Coupang Inc.   159,137     2,947
  Las Vegas Sands Corp.    53,582     2,921
* Warner Bros Discovery Inc.   320,373     2,816
* Expedia Group Inc.    20,040     2,742
* Roblox Corp. Class A    67,644     2,699
* DraftKings Inc. Class A    60,894     2,638
  Omnicom Group Inc.    28,659     2,533
* Carnival Corp.   145,319     2,305
  Best Buy Co. Inc.    28,474     2,303
  Domino's Pizza Inc.     5,086     2,280
* Live Nation Entertainment Inc.    22,881     2,219
  Pool Corp.     5,512     2,194
  Williams-Sonoma Inc.     9,236     2,175
* United Airlines Holdings Inc.    47,389     2,156
* Liberty Media Corp.-Liberty Formula One Class C    29,185     2,124
  LKQ Corp.    38,911     2,035
  RB Global Inc. (XTSE)    26,524     2,013
* Burlington Stores Inc.     9,367     1,921
* CarMax Inc.    23,114     1,826
* Floor & Decor Holdings Inc. Class A    15,076     1,826
  Toll Brothers Inc.    15,601     1,789
* MGM Resorts International    41,085     1,778
  Interpublic Group of Cos. Inc.    55,820     1,753
  Rollins Inc.    37,150     1,637
  Wynn Resorts Ltd.    15,221     1,601
* Five Below Inc.     7,943     1,594
  Tapestry Inc.    33,309     1,583
  Dick's Sporting Goods Inc.     8,791     1,564
  Service Corp. International    21,354     1,563
  Bath & Body Works Inc.    33,606     1,536
  News Corp. Class A    56,863     1,529
  Wingstop Inc.     4,329     1,520
* American Airlines Group Inc.    95,100     1,491
  Texas Roadhouse Inc.     9,787     1,462
* BJ's Wholesale Club Holdings Inc.    19,486     1,423
  Tempur Sealy International Inc.    24,439     1,331
* Caesars Entertainment Inc.    29,725     1,292
* Etsy Inc.    17,751     1,273
  Vail Resorts Inc.     5,523     1,272
  Churchill Downs Inc.    10,405     1,268
  Gentex Corp.    34,359     1,255
* Skechers USA Inc. Class A    19,536     1,208
* Norwegian Cruise Line Holdings Ltd.    62,023     1,203
  PVH Corp.     8,741     1,195
  Lithia Motors Inc.     3,952     1,182
  Murphy USA Inc.     2,813     1,173
  Lear Corp.     8,436     1,159
* Rivian Automotive Inc. Class A    96,795     1,096
* Crocs Inc.     8,941     1,093
* SiteOne Landscape Supply Inc.     6,490     1,093
  Ralph Lauren Corp.     5,822     1,082
    Shares Market
Value

($000)
  Fox Corp. Class A    35,795     1,066
  BorgWarner Inc. (XNYS)    34,152     1,063
  H&R Block Inc.    21,172     1,036
  Aramark    34,110     1,035
  New York Times Co. Class A    23,334     1,033
* Mattel Inc.    50,652       998
  Hyatt Hotels Corp. Class A     6,479       995
* Bright Horizons Family Solutions Inc.     8,459       972
  Hasbro Inc.    19,189       965
  Thor Industries Inc.     7,496       961
  Paramount Global Class B    84,615       934
  U-Haul Holding Co.    14,511       923
  Wyndham Hotels & Resorts Inc.    11,807       904
  Whirlpool Corp.     7,852       843
  VF Corp.    51,313       839
  Nexstar Media Group Inc.     4,890       813
* Lyft Inc. Class A    49,972       794
* Planet Fitness Inc. Class A    12,506       776
* Capri Holdings Ltd.    16,393       756
  TKO Group Holdings Inc.     8,825       739
  Polaris Inc.     7,942       736
* Ollie's Bargain Outlet Holdings Inc.     9,092       729
* Wayfair Inc. Class A    12,065       719
  Macy's Inc.    39,875       695
  Boyd Gaming Corp.    10,478       693
* Coty Inc. Class A    54,773       688
  Harley-Davidson Inc.    18,974       688
* Liberty Media Corp.-Liberty SiriusXM Class C    23,692       687
* Alaska Air Group Inc.    18,316       685
* RH     2,263       621
* AutoNation Inc.     4,134       619
* Grand Canyon Education Inc.     4,334       584
  Advance Auto Parts Inc.     8,463       572
* GameStop Corp. Class A    39,293       561
  Fox Corp. Class B    19,597       537
  Gap Inc.    28,209       534
* YETI Holdings Inc.    12,431       510
* Madison Square Garden Sports Corp.     2,674       503
  Marriott Vacations Worldwide Corp.     5,252       489
  Choice Hotels International Inc.     4,339       486
  Wendy's Co.    25,179       456
  Travel & Leisure Co.    10,049       449
  Kohl's Corp.    15,818       441
  Penske Automotive Group Inc.     2,861       439
  Carter's Inc.     5,218       422
  News Corp. Class B    15,076       422
  Columbia Sportswear Co.     5,045       417
* TripAdvisor Inc.    15,473       415
  Newell Brands Inc.    54,343       408
* Penn Entertainment Inc.    21,544       394
* Liberty Media Corp.-Liberty SiriusXM Class A    13,429       391
  Leggett & Platt Inc.    18,885       386
*,1 Lucid Group Inc.   106,943       353
  Nordstrom Inc.    16,506       346
* Victoria's Secret & Co.    11,317       323
  Avis Budget Group Inc.     2,894       313
* QuantumScape Corp.    49,264       309
 
5

 

Russell 1000 Index Fund
    Shares Market
Value

($000)
* Under Armour Inc. Class A    33,984       305
1 Sirius XM Holdings Inc.    64,556       285
* Liberty Media Corp.-Liberty Live Class C     6,999       279
  Phinia Inc.     6,852       235
* Peloton Interactive Inc. Class A    48,961       221
*,1 Birkenstock Holding plc     4,301       215
* Under Armour Inc. Class C    21,710       185
* Hertz Global Holdings Inc.    19,207       151
* Liberty Media Corp.-Liberty Formula One Class A     2,216       145
* AMC Entertainment Holdings Inc. Class A    28,757       124
* Cava Group Inc.     2,051       120
* Driven Brands Holdings Inc.     8,516       117
* Liberty Media Corp.-Liberty Live Class A     2,697       104
  Lennar Corp. Class B       695       102
* Mister Car Wash Inc.    12,022       100
* U-Haul Holding Co. (XNYS)     1,129        73
1 Paramount Global Class A     2,317        49
* Petco Health & Wellness Co. Inc.    11,746        31
* Playtika Holding Corp.     3,378        25
        991,740
Consumer Staples (4.5%)
  Procter & Gamble Co.   343,377    54,576
  Coca-Cola Co.   568,147    34,100
  PepsiCo Inc.   200,957    33,226
  Philip Morris International Inc.   226,345    20,362
  Mondelez International Inc. Class A   198,377    14,495
  CVS Health Corp.   186,744    13,888
  Altria Group Inc.   260,412    10,653
  Colgate-Palmolive Co.   119,718    10,358
  McKesson Corp.    19,776    10,311
* Monster Beverage Corp.   108,599     6,418
  Sysco Corp.    73,863     5,981
  Kimberly-Clark Corp.    49,122     5,952
  Constellation Brands Inc. Class A    23,455     5,829
  Corteva Inc.   103,805     5,556
  Cencora Inc.    23,530     5,544
  General Mills Inc.    84,797     5,442
  Kenvue Inc.   252,655     4,800
  Kroger Co.    94,961     4,711
  Keurig Dr Pepper Inc.   138,729     4,149
  Archer-Daniels-Midland Co.    77,738     4,129
  Kraft Heinz Co.   116,854     4,123
  Hershey Co.    21,865     4,109
  Church & Dwight Co. Inc.    35,608     3,565
  Clorox Co.    18,044     2,766
  McCormick & Co. Inc.    36,772     2,532
  Walgreens Boots Alliance Inc.   104,423     2,220
  Tyson Foods Inc. Class A    40,606     2,203
  Lamb Weston Holdings Inc.    21,269     2,174
  Kellanova    37,712     2,080
  Bunge Global SA    21,085     1,990
  Conagra Brands Inc.    68,961     1,936
  J M Smucker Co.    14,930     1,794
* Performance Food Group Co.    22,451     1,724
* Celsius Holdings Inc.    21,009     1,715
    Shares Market
Value

($000)
* US Foods Holding Corp.    32,835     1,668
  Casey's General Stores Inc.     5,448     1,659
  Molson Coors Beverage Co. Class B    25,523     1,593
  Brown-Forman Corp. Class B    25,685     1,547
  Hormel Foods Corp.    42,238     1,492
  Albertsons Cos. Inc. Class A    60,652     1,230
  Campbell Soup Co.    27,690     1,181
  Ingredion Inc.     9,655     1,136
* Darling Ingredients Inc.    23,268       985
* Post Holdings Inc.     7,487       780
* Freshpet Inc.     6,311       713
  Flowers Foods Inc.    27,713       621
  Brown-Forman Corp. Class A     7,667       460
* Boston Beer Co. Inc. Class A     1,392       429
  Spectrum Brands Holdings Inc.     5,090       409
* Grocery Outlet Holding Corp.    13,919       359
  Reynolds Consumer Products Inc.     7,776       229
* Pilgrim's Pride Corp.     5,687       181
  WK Kellogg Co.     9,428       138
  Seaboard Corp.        30        99
* Olaplex Holdings Inc.    18,089        34
        312,354
Energy (3.7%)
  Exxon Mobil Corp.   590,394    61,708
  Chevron Corp.   250,993    38,153
  ConocoPhillips   174,739    19,665
  Schlumberger NV   207,751    10,041
  EOG Resources Inc.    85,702     9,809
  Marathon Petroleum Corp.    55,357     9,368
  Phillips 66    64,911     9,250
  Pioneer Natural Resources Co.    33,933     7,981
  Valero Energy Corp.    49,492     7,001
  Williams Cos. Inc.   177,690     6,386
  ONEOK Inc.    84,680     6,361
  Occidental Petroleum Corp.   100,160     6,071
  Hess Corp.    40,503     5,903
  Cheniere Energy Inc.    34,929     5,421
  Kinder Morgan Inc.   286,271     4,978
  Diamondback Energy Inc.    25,979     4,742
  Halliburton Co.   130,895     4,591
  Baker Hughes Co.   147,620     4,368
  Devon Energy Corp.    93,247     4,108
  Targa Resources Corp.    32,203     3,164
  Coterra Energy Inc.   109,027     2,811
* Enphase Energy Inc.    19,314     2,453
* First Solar Inc.    15,440     2,376
  Marathon Oil Corp.    87,997     2,134
  EQT Corp.    52,718     1,959
  Ovintiv Inc. (XNYS)    37,373     1,847
  Chesapeake Energy Corp.    18,316     1,516
  Texas Pacific Land Corp.       885     1,394
  TechnipFMC plc    62,954     1,365
  APA Corp.    44,822     1,335
  HF Sinclair Corp.    21,126     1,173
* Southwestern Energy Co.   158,136     1,102
  Range Resources Corp.    34,301     1,085
* Antero Resources Corp.    41,477     1,066
 
6

 

Russell 1000 Index Fund
    Shares Market
Value

($000)
  NOV Inc.    57,522       972
  DTE Midstream LLC    13,957       804
  Antero Midstream Corp.    49,784       667
  New Fortress Energy Inc.     9,237       325
* Plug Power Inc.    76,639       271
* ChargePoint Holdings Inc.    41,717        86
        255,810
Financials (10.6%)
* Berkshire Hathaway Inc. Class B   267,052   109,331
  JPMorgan Chase & Co.   421,000    78,331
  Bank of America Corp. 1,005,079    34,695
  Wells Fargo & Co.   535,255    29,755
  S&P Global Inc.    46,794    20,046
  Goldman Sachs Group Inc.    46,505    18,093
  BlackRock Inc.    21,674    17,585
  Progressive Corp.    85,216    16,154
  Citigroup Inc.   278,948    15,479
  Morgan Stanley   175,335    15,086
  Chubb Ltd.    59,209    14,901
  Marsh & McLennan Cos. Inc.    72,176    14,599
  Charles Schwab Corp.   216,149    14,434
  Blackstone Inc.   103,913    13,282
  CME Group Inc.    52,355    11,536
  Intercontinental Exchange Inc.    82,552    11,427
  US Bancorp   227,133     9,531
  KKR & Co. Inc.    96,692     9,501
  Aon plc Class A (XNYS)    28,907     9,134
  Moody's Corp.    23,149     8,783
  PNC Financial Services Group Inc.    58,099     8,552
  Apollo Global Management Inc.    76,112     8,509
  American International Group Inc.   103,781     7,565
  Arthur J Gallagher & Co.    30,882     7,533
  Travelers Cos. Inc.    33,226     7,342
  Aflac Inc.    86,009     6,944
  Truist Financial Corp.   193,570     6,771
  MetLife Inc.    92,342     6,440
  Bank of New York Mellon Corp.   112,250     6,296
  MSCI Inc.    11,197     6,281
  Allstate Corp.    38,272     6,105
  Ameriprise Financial Inc.    14,964     6,096
  Prudential Financial Inc.    52,920     5,768
* Coinbase Global Inc. Class A    24,689     5,026
* Arch Capital Group Ltd.    52,022     4,557
  Discover Financial Services    36,365     4,389
  Hartford Financial Services Group Inc.    43,009     4,122
  Willis Towers Watson plc    15,076     4,110
* NU Holdings Ltd. Class A   340,618     3,774
  T Rowe Price Group Inc.    32,055     3,633
  Broadridge Financial Solutions Inc.    17,117     3,485
  Fifth Third Bancorp    99,075     3,402
  M&T Bank Corp.    24,139     3,373
  Raymond James Financial Inc.    27,516     3,311
  State Street Corp.    44,909     3,311
  Ares Management Corp. Class A    23,780     3,154
  Cboe Global Markets Inc.    15,333     2,944
    Shares Market
Value

($000)
  LPL Financial Holdings Inc.    10,981     2,942
  Brown & Brown Inc.    34,642     2,917
* Markel Group Inc.     1,925     2,873
  Principal Financial Group Inc.    35,095     2,838
  Nasdaq Inc.    49,880     2,803
  Huntington Bancshares Inc.   209,807     2,736
  FactSet Research Systems Inc.     5,577     2,580
  Cincinnati Financial Corp.    22,436     2,558
  Regions Financial Corp.   135,661     2,527
  First Citizens BancShares Inc. Class A     1,574     2,477
  Northern Trust Corp.    29,897     2,455
  W R Berkley Corp.    29,126     2,435
  Everest Group Ltd.     6,241     2,302
  Citizens Financial Group Inc.    67,740     2,126
  Loews Corp.    26,735     2,009
  KeyCorp   135,683     1,936
  Fidelity National Financial Inc.    37,596     1,902
  Tradeweb Markets Inc. Class A    16,820     1,780
  Reinsurance Group of America Inc.     9,729     1,721
  Equitable Holdings Inc.    50,269     1,721
  RenaissanceRe Holdings Ltd.     7,334     1,649
  Interactive Brokers Group Inc. Class A    15,082     1,640
  Kinsale Capital Group Inc.     3,155     1,629
  Globe Life Inc.    12,754     1,619
* Robinhood Markets Inc. Class A    97,375     1,588
  East West Bancorp Inc.    20,565     1,498
  Ally Financial Inc.    39,682     1,468
  Unum Group    28,698     1,419
  Carlyle Group Inc.    30,905     1,417
  Assurant Inc.     7,662     1,390
  Annaly Capital Management Inc.    72,285     1,380
  American Financial Group Inc.    10,650     1,360
  Primerica Inc.     5,151     1,263
* SoFi Technologies Inc.   134,615     1,209
  Blue Owl Capital Inc.    66,291     1,191
  Webster Financial Corp.    24,865     1,185
  MarketAxess Holdings Inc.     5,377     1,148
  Franklin Resources Inc.    41,677     1,144
  First Horizon Corp.    80,397     1,134
  Morningstar Inc.     3,754     1,121
  XP Inc. Class A    47,024     1,112
  Jefferies Financial Group Inc.    26,323     1,101
  Old Republic International Corp.    37,822     1,095
  Stifel Financial Corp.    14,422     1,094
  SEI Investments Co.    14,620       983
  Voya Financial Inc.    14,371       982
  Evercore Inc. Class A     5,159       965
  Comerica Inc.    19,286       952
  Houlihan Lokey Inc.     7,353       946
  Cullen/Frost Bankers Inc.     8,672       941
  Western Alliance Bancorp    15,846       915
  Commerce Bancshares Inc.    17,334       902
 
7

 

Russell 1000 Index Fund
    Shares Market
Value

($000)
  Pinnacle Financial Partners Inc.    10,896       901
  AGNC Investment Corp.    94,184       900
  Starwood Property Trust Inc.    42,368       864
  RLI Corp.     5,882       861
  Wintrust Financial Corp.     8,907       858
  Popular Inc.    10,240       857
  First American Financial Corp.    14,430       843
  Zions Bancorp NA    21,126       833
  Corebridge Financial Inc.    32,873       816
  Invesco Ltd.    52,482       809
  MGIC Investment Corp.    40,511       806
  Affiliated Managers Group Inc.     5,064       792
  Synovus Financial Corp.    20,865       792
  Prosperity Bancshares Inc.    12,567       784
  OneMain Holdings Inc.    16,186       764
  Rithm Capital Corp.    69,282       751
  Assured Guaranty Ltd.     8,103       742
  Axis Capital Holdings Ltd.    11,408       714
* Ryan Specialty Holdings Inc.    13,620       713
  FNB Corp.    52,056       694
  SLM Corp.    33,281       693
  Lincoln National Corp.    24,975       688
  Hanover Insurance Group Inc.     5,175       680
  Bank OZK    15,394       674
  White Mountains Insurance Group Ltd.       355       627
  Lazard Inc.    16,211       625
  Janus Henderson Group plc    19,815       617
  Columbia Banking System Inc.    30,483       552
  Kemper Corp.     8,887       509
  New York Community Bancorp Inc.   104,395       500
* Credit Acceptance Corp.       889       492
  TPG Inc.    10,333       458
* Brighthouse Financial Inc.     9,592       447
  First Hawaiian Inc.    18,127       380
  BOK Financial Corp.     4,162       354
  Virtu Financial Inc. Class A    13,061       236
* Rocket Cos. Inc. Class A    17,131       215
  CNA Financial Corp.     3,872       170
1 UWM Holdings Corp.    14,976        96
  TFS Financial Corp.     7,077        90
        726,751
Health Care (11.8%)
  Eli Lilly & Co.   123,425    93,023
  UnitedHealth Group Inc.   135,568    66,916
  Johnson & Johnson   351,469    56,720
  Merck & Co. Inc.   370,433    47,101
  AbbVie Inc.   257,370    45,310
  Thermo Fisher Scientific Inc.    56,270    32,084
  Abbott Laboratories   252,491    29,956
  Danaher Corp.    95,983    24,297
  Pfizer Inc.   824,027    21,886
  Amgen Inc.    77,908    21,334
* Intuitive Surgical Inc.    50,935    19,641
  Stryker Corp.    51,812    18,086
  Elevance Health Inc.    34,567    17,327
  Medtronic plc   193,721    16,149
    Shares Market
Value

($000)
* Vertex Pharmaceuticals Inc.    37,577    15,810
  Bristol-Myers Squibb Co.   296,959    15,071
* Regeneron Pharmaceuticals Inc.    14,956    14,449
  Cigna Group    42,576    14,311
* Boston Scientific Corp.   213,309    14,123
  Zoetis Inc.    67,490    13,385
  Gilead Sciences Inc.   182,306    13,144
  Becton Dickinson & Co.    42,235     9,948
  HCA Healthcare Inc.    29,009     9,042
* Edwards Lifesciences Corp.    87,684     7,442
* IDEXX Laboratories Inc.    12,017     6,913
* IQVIA Holdings Inc.    26,524     6,556
* DexCom Inc.    56,442     6,495
  Humana Inc.    18,208     6,379
* Centene Corp.    77,822     6,104
  Agilent Technologies Inc.    42,599     5,851
  GE Healthcare Inc.    58,737     5,361
* Veeva Systems Inc. Class A    21,158     4,771
* Biogen Inc.    20,959     4,548
* Moderna Inc.    48,366     4,461
  Cardinal Health Inc.    35,963     4,027
  West Pharmaceutical Services Inc.    10,761     3,856
* ICON plc    11,873     3,807
  Zimmer Biomet Holdings Inc.    30,594     3,805
  ResMed Inc.    21,140     3,672
* Align Technology Inc.    11,163     3,376
  STERIS plc    14,459     3,368
* Molina Healthcare Inc.     8,424     3,318
* Illumina Inc.    22,991     3,215
  Baxter International Inc.    73,959     3,026
* Alnylam Pharmaceuticals Inc.    18,043     2,726
  Laboratory Corp. of America Holdings    12,359     2,667
  Cooper Cos. Inc.    28,224     2,642
* Hologic Inc.    35,299     2,605
* Avantor Inc.    98,633     2,430
* BioMarin Pharmaceutical Inc.    27,323     2,357
  Viatris Inc.   174,515     2,159
  Quest Diagnostics Inc.    16,368     2,044
  Revvity Inc.    18,063     1,979
* Charles River Laboratories International Inc.     7,337     1,865
* Neurocrine Biosciences Inc.    13,991     1,824
* Sarepta Therapeutics Inc.    13,117     1,678
  Bio-Techne Corp.    22,761     1,675
* Insulet Corp.    10,064     1,650
  Royalty Pharma plc Class A    54,189     1,644
* Karuna Therapeutics Inc.     5,200     1,633
* Incyte Corp.    26,969     1,574
* Repligen Corp.     8,029     1,558
  Teleflex Inc.     6,812     1,518
* Catalent Inc.    26,380     1,513
* United Therapeutics Corp.     6,607     1,491
* Exact Sciences Corp.    25,886     1,489
  Universal Health Services Inc. Class B     8,714     1,456
* Henry Schein Inc.    19,030     1,455
* Qiagen NV    32,562     1,393
* Shockwave Medical Inc.     5,296     1,382
* Tenet Healthcare Corp.    14,793     1,376
 
8

 

Russell 1000 Index Fund
    Shares Market
Value

($000)
* Medpace Holdings Inc.     3,412     1,356
* Natera Inc.    15,640     1,353
  Chemed Corp.     2,157     1,351
  Bruker Corp.    15,576     1,348
* Penumbra Inc.     5,298     1,245
* Elanco Animal Health Inc. (XNYS)    71,906     1,143
* Acadia Healthcare Co. Inc.    13,144     1,097
  Encompass Health Corp.    14,455     1,075
* Jazz Pharmaceuticals plc     8,967     1,066
  DENTSPLY SIRONA Inc.    31,035     1,014
* Exelixis Inc.    45,782     1,003
* DaVita Inc.     7,792       989
* Bio-Rad Laboratories Inc. Class A     3,003       979
* Ionis Pharmaceuticals Inc.    20,928       946
* Globus Medical Inc. Class A    17,248       931
* Apellis Pharmaceuticals Inc.    14,627       906
* Masimo Corp.     6,190       796
* Inspire Medical Systems Inc.     4,240       759
  Organon & Co.    37,477       652
* 10X Genomics Inc. Class A    13,456       628
* Ultragenyx Pharmaceutical Inc.    11,442       592
* Roivant Sciences Ltd.    51,188       586
* Azenta Inc.     8,637       563
  Perrigo Co. plc    19,798       520
* Envista Holdings Corp.    23,990       495
* Fortrea Holdings Inc.    12,987       488
* Doximity Inc. Class A    17,226       486
* Enovis Corp.     7,530       450
* Amedisys Inc.     4,568       425
* Teladoc Health Inc.    24,345       367
* Integra LifeSciences Holdings Corp.     9,787       361
* Ginkgo Bioworks Holdings Inc.   233,309       355
  Premier Inc. Class A    16,767       350
* QuidelOrtho Corp.     7,645       349
* ICU Medical Inc.     2,860       312
* R1 RCM Inc.    21,814       306
* Certara Inc.    17,256       291
* agilon health Inc.    42,625       261
* Tandem Diabetes Care Inc.     9,771       260
* Novocure Ltd.    15,398       236
* Sotera Health Co.    14,352       215
* Maravai LifeSciences Holdings Inc. Class A    15,071       116
        808,268
Industrials (12.7%)
  Visa Inc. Class A   232,652    65,757
  Mastercard Inc. Class A   121,106    57,496
  Accenture plc Class A    92,157    34,539
  Caterpillar Inc.    74,418    24,853
  General Electric Co.   158,110    24,806
  Union Pacific Corp.    88,897    22,552
  Honeywell International Inc.    97,118    19,300
  RTX Corp.   209,743    18,808
  American Express Co.    84,620    18,567
  Eaton Corp. plc    58,070    16,782
* Boeing Co.    81,323    16,567
  United Parcel Service Inc. Class B (XNYS)   105,617    15,659
    Shares Market
Value

($000)
  Automatic Data Processing Inc.    60,312    15,146
  Deere & Co.    38,657    14,112
  Lockheed Martin Corp.    32,301    13,833
* Fiserv Inc.    87,183    13,014
  Sherwin-Williams Co.    34,686    11,517
  Illinois Tool Works Inc.    43,669    11,448
  CSX Corp.   287,790    10,919
  Parker-Hannifin Corp.    18,630     9,975
  General Dynamics Corp.    35,675     9,748
* PayPal Holdings Inc.   160,143     9,663
  Northrop Grumman Corp.    20,875     9,624
  Trane Technologies plc    33,198     9,361
  TransDigm Group Inc.     7,722     9,094
  Emerson Electric Co.    83,259     8,896
  FedEx Corp.    33,811     8,418
  Norfolk Southern Corp.    33,134     8,395
  PACCAR Inc.    74,815     8,296
  Cintas Corp.    12,625     7,936
  Capital One Financial Corp.    55,287     7,608
  3M Co.    80,119     7,381
  United Rentals Inc.     9,853     6,831
  Carrier Global Corp.   121,471     6,751
  Old Dominion Freight Line Inc.    14,385     6,365
  Ferguson plc    29,770     6,295
* Block Inc. (XNYS)    79,129     6,288
  WW Grainger Inc.     6,436     6,265
  AMETEK Inc.    33,546     6,044
  Fidelity National Information Services Inc.    86,193     5,964
  Johnson Controls International plc    99,217     5,881
  L3Harris Technologies Inc.    27,602     5,842
  Paychex Inc.    46,909     5,752
  Otis Worldwide Corp.    60,198     5,737
  Cummins Inc.    20,712     5,563
  Ingersoll Rand Inc. (XYNS)    59,014     5,390
  Martin Marietta Materials Inc.     8,994     5,196
  Vulcan Materials Co.    19,346     5,143
  Quanta Services Inc.    20,929     5,055
  Verisk Analytics Inc.    20,788     5,029
  Global Payments Inc.    37,583     4,875
  Equifax Inc.    17,721     4,848
  PPG Industries Inc.    34,156     4,836
  Rockwell Automation Inc.    16,753     4,776
  DuPont de Nemours Inc.    66,815     4,623
* Fair Isaac Corp.     3,541     4,497
  Xylem Inc.    34,500     4,383
  Fortive Corp.    51,475     4,382
* Keysight Technologies Inc.    25,843     3,988
* Mettler-Toledo International Inc.     3,189     3,977
  Howmet Aerospace Inc.    55,386     3,686
  Westinghouse Air Brake Technologies Corp.    25,909     3,661
* Builders FirstSource Inc.    17,916     3,497
  Dover Corp.    20,394     3,373
* Axon Enterprise Inc.    10,261     3,154
  Hubbell Inc.     7,781     2,962
* FleetCor Technologies Inc.    10,475     2,925
* Teledyne Technologies Inc.     6,787     2,900
* Waters Corp.     8,544     2,883
  Ball Corp.    44,688     2,861
  Veralto Corp.    31,972     2,763
 
9

 

Russell 1000 Index Fund
    Shares Market
Value

($000)
  Booz Allen Hamilton Holding Corp.    18,662     2,757
  Jacobs Solutions Inc.    18,394     2,697
  IDEX Corp.    11,041     2,605
  Expeditors International of Washington Inc.    21,462     2,567
  Textron Inc.    28,618     2,549
  Masco Corp.    32,804     2,518
  Synchrony Financial    59,965     2,477
  JB Hunt Transport Services Inc.    11,997     2,475
  Carlisle Cos. Inc.     7,050     2,467
  Packaging Corp. of America    12,905     2,338
* Saia Inc.     3,877     2,231
  Graco Inc.    24,425     2,229
  Nordson Corp.     8,354     2,219
* Trimble Inc.    36,028     2,205
  Lennox International Inc.     4,659     2,195
  TransUnion    27,988     2,173
  RPM International Inc.    18,546     2,139
  EMCOR Group Inc.     6,744     2,114
  Snap-on Inc.     7,580     2,089
  Lincoln Electric Holdings Inc.     8,087     2,075
* Zebra Technologies Corp. Class A     7,407     2,070
  Stanley Black & Decker Inc.    22,395     2,000
* XPO Inc.    16,459     1,980
  Owens Corning    12,936     1,938
  Watsco Inc.     4,838     1,907
  Amcor plc   210,343     1,906
* TopBuild Corp.     4,643     1,868
  Pentair plc    23,739     1,847
  Jack Henry & Associates Inc.    10,586     1,840
  HEICO Corp. Class A    11,733     1,826
  AECOM    19,170     1,703
  CNH Industrial NV   141,526     1,691
  Westrock Co.    37,175     1,684
  Regal Rexnord Corp.     9,692     1,662
  Huntington Ingalls Industries Inc.     5,673     1,654
  Allegion plc    12,692     1,623
  nVent Electric plc    24,099     1,622
  Advanced Drainage Systems Inc.     9,898     1,616
  Fortune Brands Innovations Inc.    18,549     1,509
  ITT Inc.    11,959     1,508
  A O Smith Corp.    17,631     1,462
* Trex Co. Inc.    15,699     1,441
  Toro Co.    15,265     1,409
* WEX Inc.     6,260     1,375
  Tetra Tech Inc.     7,682     1,362
  BWX Technologies Inc.    13,368     1,348
  AptarGroup Inc.     9,568     1,344
* WillScot Mobile Mini Holdings Corp.    27,946     1,334
  Curtiss-Wright Corp.     5,515     1,303
  HEICO Corp.     6,646     1,285
  Knight-Swift Transportation Holdings Inc.    22,804     1,285
  Eagle Materials Inc.     5,019     1,273
  Donaldson Co. Inc.    17,461     1,251
  CH Robinson Worldwide Inc.    16,837     1,247
    Shares Market
Value

($000)
* Affirm Holdings Inc.    32,780     1,230
  Woodward Inc.     8,659     1,225
  Robert Half Inc.    15,037     1,209
  MKS Instruments Inc.     9,723     1,194
  Crown Holdings Inc.    15,541     1,191
* Middleby Corp.     7,818     1,190
  Graphic Packaging Holding Co.    44,605     1,157
* Core & Main Inc. Class A    23,787     1,135
  Acuity Brands Inc.     4,496     1,130
* Axalta Coating Systems Ltd.    32,431     1,061
  Oshkosh Corp.     9,523     1,056
* Paylocity Holding Corp.     6,152     1,037
* FTI Consulting Inc.     4,876     1,009
  AGCO Corp.     9,187     1,008
* Generac Holdings Inc.     8,919     1,003
  Berry Global Group Inc.    17,203     1,001
  Cognex Corp.    25,327       999
  MSA Safety Inc.     5,422       998
  Landstar System Inc.     5,231       995
  Allison Transmission Holdings Inc.    13,038       982
  Vontier Corp.    22,829       982
  WESCO International Inc.     6,485       969
* Bill Holdings Inc.    14,855       941
* Mohawk Industries Inc.     7,764       921
* AZEK Co. Inc.    19,011       915
* GXO Logistics Inc.    17,131       887
  Brunswick Corp.    10,116       884
  Genpact Ltd.    25,743       875
  Crane Co.     7,003       851
  Littelfuse Inc.     3,549       845
  Flowserve Corp.    19,253       815
  Sonoco Products Co.    14,306       811
  Esab Corp.     8,128       806
  Armstrong World Industries Inc.     6,337       764
* Euronet Worldwide Inc.     6,950       761
  Sensata Technologies Holding plc    21,829       751
* Kirby Corp.     8,437       740
  Ryder System Inc.     6,355       725
  Sealed Air Corp.    20,734       723
  Western Union Co.    52,871       709
  Louisiana-Pacific Corp.     9,454       699
  MSC Industrial Direct Co. Inc. Class A     6,826       689
* MasTec Inc.     9,130       689
  MDU Resources Group Inc.    29,538       640
* Shift4 Payments Inc. Class A     7,772       639
  Valmont Industries Inc.     2,994       635
  Air Lease Corp.    15,231       611
  ManpowerGroup Inc.     7,257       524
  Silgan Holdings Inc.    11,891       522
* Spirit AeroSystems Holdings Inc. Class A    15,511       444
  Crane NXT Co.     7,144       417
  Vestis Corp.    17,029       319
* Hayward Holdings Inc.    19,797       293
* Mercury Systems Inc.     7,815       233
* Gates Industrial Corp. plc    15,632       230
  ADT Inc.    30,186       219
* NCR Atleos Corp.     9,485       206
 
10

 

Russell 1000 Index Fund
    Shares Market
Value

($000)
  Schneider National Inc. Class B     7,454       176
  Ardagh Metal Packaging SA    21,745        71
* Ardagh Group SA     2,011        15
        873,359
Real Estate (2.6%)
  Prologis Inc.   134,536    17,930
  American Tower Corp.    67,896    13,502
  Equinix Inc.    13,620    12,106
  Welltower Inc.    78,235     7,210
  Simon Property Group Inc.    47,283     7,004
  Crown Castle Inc.    63,074     6,934
  Public Storage    22,841     6,484
  Digital Realty Trust Inc.    44,016     6,462
  Realty Income Corp.   121,063     6,309
* CoStar Group Inc.    59,017     5,136
  VICI Properties Inc.   150,647     4,509
  Extra Space Storage Inc.    30,481     4,297
* CBRE Group Inc. Class A    44,349     4,075
  Weyerhaeuser Co.   106,505     3,662
  AvalonBay Communities Inc.    20,647     3,655
  Iron Mountain Inc.    42,063     3,308
  SBA Communications Corp.    15,684     3,282
  Equity Residential    54,230     3,265
  Alexandria Real Estate Equities Inc.    25,063     3,126
  Invitation Homes Inc.    88,785     3,025
  Ventas Inc.    58,046     2,455
  Sun Communities Inc.    17,966     2,403
  Essex Property Trust Inc.     9,336     2,160
  Host Hotels & Resorts Inc.   103,141     2,139
  Mid-America Apartment Communities Inc.    16,841     2,117
  Kimco Realty Corp.    95,592     1,889
  American Homes 4 Rent Class A    48,571     1,798
  WP Carey Inc.    30,971     1,745
  Equity LifeStyle Properties Inc.    25,896     1,743
  UDR Inc.    47,999     1,704
  Gaming and Leisure Properties Inc.    37,129     1,689
  Regency Centers Corp.    26,436     1,638
  Rexford Industrial Realty Inc.    30,609     1,557
  Healthpeak Properties Inc.    92,564     1,550
  Boston Properties Inc.    22,734     1,471
  Camden Property Trust    15,209     1,437
  CubeSmart    32,657     1,424
  Lamar Advertising Co. Class A    12,570     1,390
* Jones Lang LaSalle Inc.     6,840     1,301
* Zillow Group Inc. Class C    21,683     1,217
  Federal Realty Investment Trust    11,850     1,195
  EastGroup Properties Inc.     6,639     1,166
  Omega Healthcare Investors Inc.    35,533     1,106
  NNN REIT Inc.    26,471     1,077
  First Industrial Realty Trust Inc.    19,291     1,022
  Americold Realty Trust Inc.    39,571     1,001
  Brixmor Property Group Inc.    43,857       992
    Shares Market
Value

($000)
  STAG Industrial Inc.    26,458       983
  Agree Realty Corp.    14,372       790
  Healthcare Realty Trust Inc.    55,689       767
  Rayonier Inc.    21,569       743
  Vornado Realty Trust    25,920       682
  Apartment Income REIT Corp.    21,851       662
  Kilroy Realty Corp.    16,829       638
  Park Hotels & Resorts Inc.    31,055       515
  Cousins Properties Inc.    22,122       505
* Zillow Group Inc. Class A     8,805       476
  EPR Properties    10,821       444
  National Storage Affiliates Trust    11,952       428
1 Medical Properties Trust Inc.    87,408       368
* Howard Hughes Holdings Inc.     4,777       365
  Highwoods Properties Inc.    14,689       359
  NET Lease Office Properties     2,073        51
        176,443
Technology (33.0%)
  Microsoft Corp. 1,085,419   448,973
  Apple Inc. 2,150,878   388,771
  NVIDIA Corp.   346,546   274,159
  Meta Platforms Inc. Class A   322,582   158,107
* Alphabet Inc. Class A   864,713   119,728
* Alphabet Inc. Class C   734,050   102,605
  Broadcom Inc.    62,871    81,763
* Advanced Micro Devices Inc.   233,769    45,008
* Salesforce Inc.   138,042    42,630
* Adobe Inc.    66,830    37,444
  Intel Corp.   615,395    26,493
  Intuit Inc.    39,846    26,414
  QUALCOMM Inc.   162,722    25,676
  Oracle Corp.   224,981    25,126
  Applied Materials Inc.   121,878    24,573
  International Business Machines Corp.   132,521    24,520
* ServiceNow Inc.    29,690    22,901
  Texas Instruments Inc.   132,417    22,157
  Lam Research Corp.    19,197    18,012
  Micron Technology Inc.   159,394    14,443
  Analog Devices Inc.    72,662    13,938
  KLA Corp.    20,010    13,653
* Palo Alto Networks Inc.    43,946    13,647
* Synopsys Inc.    22,156    12,712
* Cadence Design Systems Inc.    39,420    11,999
* Crowdstrike Holdings Inc. Class A    31,102    10,082
  Amphenol Corp. Class A    85,058     9,292
  Marvell Technology Inc.   124,724     8,938
* Snowflake Inc. Class A    45,831     8,629
* Workday Inc. Class A    29,259     8,621
  Roper Technologies Inc.    15,423     8,401
* Autodesk Inc.    31,365     8,097
* Palantir Technologies Inc. Class A   277,578     6,962
  Microchip Technology Inc.    78,496     6,605
* Fortinet Inc.    95,546     6,603
  Cognizant Technology Solutions Corp. Class A    74,182     5,862
* DoorDash Inc. Class A    44,586     5,554
 
11

 

Russell 1000 Index Fund
    Shares Market
Value

($000)
* Datadog Inc. Class A    39,893     5,244
* Gartner Inc.    11,159     5,195
* ON Semiconductor Corp.    62,716     4,950
  CDW Corp.    19,687     4,847
  Monolithic Power Systems Inc.     6,705     4,828
* Atlassian Corp. Ltd. Class A    22,586     4,685
* MongoDB Inc.     9,746     4,362
* ANSYS Inc.    12,637     4,223
* Cloudflare Inc. Class A    42,356     4,174
* HubSpot Inc.     6,653     4,117
  Corning Inc.   110,712     3,569
  HP Inc.   125,941     3,568
* Splunk Inc.    22,657     3,539
  Vertiv Holdings Co. Class A    50,179     3,393
* Pinterest Inc. Class A    85,287     3,130
* Zscaler Inc.    12,895     3,120
* PTC Inc.    16,651     3,047
  Entegris Inc.    21,818     2,931
  Hewlett Packard Enterprise Co.   186,642     2,843
* Western Digital Corp.    47,234     2,809
  NetApp Inc.    30,795     2,744
* Tyler Technologies Inc.     6,079     2,657
* Zoom Video Communications Inc. Class A    37,064     2,622
  Jabil Inc.    18,163     2,617
  Leidos Holdings Inc.    19,909     2,546
* VeriSign Inc.    12,949     2,529
* EPAM Systems Inc.     8,110     2,469
* GoDaddy Inc. Class A    21,390     2,442
  Skyworks Solutions Inc.    23,091     2,423
* Akamai Technologies Inc.    21,765     2,414
* Okta Inc.    22,277     2,390
  Teradyne Inc.    22,365     2,317
* Manhattan Associates Inc.     9,012     2,283
* Nutanix Inc. Class A    35,369     2,234
* Pure Storage Inc. Class A    41,463     2,183
  SS&C Technologies Holdings Inc.    31,762     2,025
* AppLovin Corp. Class A    30,774     1,838
* Dynatrace Inc.    34,911     1,730
  Gen Digital Inc. (XNGS)    80,254     1,725
* Qorvo Inc.    14,343     1,643
* F5 Inc.     8,650     1,619
* DocuSign Inc.    29,289     1,560
  Amdocs Ltd.    17,090     1,559
* Elastic NV    11,612     1,554
* Lattice Semiconductor Corp.    19,701     1,509
* Ceridian HCM Holding Inc.    21,462     1,497
* Match Group Inc.    40,871     1,473
* Twilio Inc. Class A    24,593     1,465
  Bentley Systems Inc. Class B    28,217     1,449
* Guidewire Software Inc.    11,825     1,411
  Paycom Software Inc.     7,517     1,371
* Globant SA     6,025     1,345
* UiPath Inc. Class A    55,116     1,309
* Unity Software Inc.    42,422     1,244
* CACI International Inc. Class A     3,210     1,203
* Toast Inc. Class A    52,012     1,196
  Universal Display Corp.     6,757     1,179
  KBR Inc.    19,449     1,168
    Shares Market
Value

($000)
* Coherent Corp.    18,910     1,125
  Science Applications International Corp.     7,664     1,073
* SentinelOne Inc. Class A    34,256       965
* Arrow Electronics Inc.     8,065       948
* Confluent Inc. Class A    27,176       920
* Gitlab Inc. Class A    12,660       913
* Procore Technologies Inc.    11,607       906
* Dropbox Inc. Class A    37,316       894
  TD SYNNEX Corp.     8,186       851
* Smartsheet Inc. Class A    18,397       777
* Aspen Technology Inc.     3,988       773
* Cirrus Logic Inc.     8,153       749
* ZoomInfo Technologies Inc.    43,820       734
* Kyndryl Holdings Inc.    32,815       721
  Dolby Laboratories Inc. Class A     8,704       705
* DXC Technology Co.    29,858       653
* Five9 Inc.    10,446       637
  Avnet Inc.    13,317       620
* DoubleVerify Holdings Inc.    20,050       619
* IAC Inc.    10,860       617
*,1 GLOBALFOUNDRIES Inc.    11,247       615
* Teradata Corp.    14,231       535
*,1 Clarivate plc    69,559       499
* Wolfspeed Inc.    18,178       473
  Concentrix Corp.     6,452       467
* Alteryx Inc. Class A     9,066       436
  Dun & Bradstreet Holdings Inc.    39,595       417
* RingCentral Inc. Class A    12,419       415
  Pegasystems Inc.     5,951       387
* HashiCorp Inc. Class A    14,469       377
* IPG Photonics Corp.     4,277       369
* CCC Intelligent Solutions Holdings Inc.    29,254       343
* Allegro MicroSystems Inc.    10,859       342
* nCino Inc.    10,230       305
* NCR Voyix Corp.    18,971       277
* Paycor HCM Inc.     9,404       199
* Informatica Inc. Class A     5,936       193
* Maplebear Inc.     3,035        99
      2,261,562
Telecommunications (2.0%)
  Cisco Systems Inc.   591,389    28,605
  Comcast Corp. Class A   582,295    24,951
  Verizon Communications Inc.   613,776    24,563
  AT&T Inc. 1,044,247    17,679
  T-Mobile US Inc.    76,378    12,473
* Arista Networks Inc.    36,564    10,148
  Motorola Solutions Inc.    24,091     7,959
* Charter Communications Inc. Class A    14,679     4,315
  Juniper Networks Inc.    46,026     1,704
* Ciena Corp.    21,770     1,240
* Roku Inc.    17,882     1,130
* Liberty Broadband Corp. Class C    17,102     1,029
* Frontier Communications Parent Inc.    35,463       840
  Iridium Communications Inc.    17,768       514
* Lumentum Holdings Inc.     9,754       473
  Cable One Inc.       815       372
* ViaSat Inc.    16,690       327
 
12

 

Russell 1000 Index Fund
    Shares Market
Value

($000)
* Liberty Broadband Corp. Class A     2,356       142
  Ubiquiti Inc.       621        73
* EchoStar Corp. Class A        11        —
*,2 GCI Liberty Inc.    11,885        —
        138,537
Utilities (2.3%)
  NextEra Energy Inc.   295,238    16,294
  Waste Management Inc.    59,320    12,199
  Southern Co.   158,874    10,684
  Duke Energy Corp.   112,368    10,319
  Constellation Energy Corp.    46,892     7,899
  Sempra    91,822     6,483
  American Electric Power Co. Inc.    74,989     6,388
  Dominion Energy Inc.   121,679     5,820
  Republic Services Inc.    30,068     5,520
  Exelon Corp.   144,735     5,187
  PG&E Corp.   296,879     4,955
  Public Service Enterprise Group Inc.    72,508     4,525
  Consolidated Edison Inc.    50,503     4,404
  Xcel Energy Inc.    80,271     4,229
  Edison International    55,060     3,745
  WEC Energy Group Inc.    45,878     3,601
  American Water Works Co. Inc.    28,333     3,359
  DTE Energy Co.    29,962     3,246
  Entergy Corp.    30,906     3,139
  Eversource Energy    50,886     2,987
  FirstEnergy Corp.    79,586     2,914
  Vistra Corp.    53,186     2,901
  PPL Corp.   107,854     2,844
  Ameren Corp.    38,286     2,726
  CenterPoint Energy Inc.    92,216     2,536
  Atmos Energy Corp.    21,575     2,436
  CMS Energy Corp.    42,463     2,436
  NRG Energy Inc.    33,115     1,832
  Alliant Energy Corp.    36,796     1,757
  Evergy Inc.    32,528     1,611
  NiSource Inc.    60,518     1,577
  AES Corp.    96,767     1,471
* Clean Harbors Inc.     7,421     1,351
  Essential Utilities Inc.    35,573     1,237
    Shares Market
Value

($000)
  Pinnacle West Capital Corp.    16,578     1,133
  OGE Energy Corp.    29,256       963
  UGI Corp.    30,757       753
* Stericycle Inc.    13,205       718
  IDACORP Inc.     7,398       652
  National Fuel Gas Co.    13,008       634
1 Brookfield Renewable Corp. Class A    19,729       468
* Sunrun Inc.    30,107       363
  Clearway Energy Inc. Class C    16,133       352
  Avangrid Inc.    10,007       312
  Hawaiian Electric Industries Inc.    16,139       197
  Clearway Energy Inc. Class A       172         3
        161,160
Total Common Stocks (Cost $4,539,402) 6,827,630
Temporary Cash Investments (0.4%)
Money Market Fund (0.4%)
3,4 Vanguard Market Liquidity Fund, 5.400% (Cost $24,956)   249,603          24,958
Total Investments (99.9%) (Cost $4,564,358) 6,852,588
Other Assets and Liabilities—Net (0.1%) 7,953
Net Assets (100%) 6,860,541
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 $2,325,000.
2 Security value determined using significant unobservable inputs.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 Collateral of $2,513,000 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 2024 128 32,664 1,312
  
See accompanying Notes, which are an integral part of the Financial Statements.
13

 

Russell 1000 Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $4,539,402) 6,827,630
Affiliated Issuers (Cost $24,956) 24,958
Total Investments in Securities 6,852,588
Investment in Vanguard 203
Cash 551
Cash Collateral Pledged—Futures Contracts 1,460
Receivables for Investment Securities Sold 20
Receivables for Accrued Income 9,176
Receivables for Capital Shares Issued 1
Variation Margin Receivable—Futures Contracts 116
Total Assets 6,864,115
Liabilities  
Payables for Investment Securities Purchased 833
Collateral for Securities on Loan 2,513
Payables for Capital Shares Redeemed 29
Payables to Vanguard 199
Total Liabilities 3,574
Net Assets 6,860,541
1 Includes $2,325,000 of securities on loan.  
At February 29, 2024, net assets consisted of:  
   
Paid-in Capital 4,782,086
Total Distributable Earnings (Loss) 2,078,455
Net Assets 6,860,541
 
ETF Shares—Net Assets  
Applicable to 19,800,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
4,588,259
Net Asset Value Per Share—ETF Shares $231.73
 
Institutional Shares—Net Assets  
Applicable to 5,061,600 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
2,272,282
Net Asset Value Per Share—Institutional Shares $448.93
  
See accompanying Notes, which are an integral part of the Financial Statements.
14

 

Russell 1000 Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends1 45,966
Interest2 342
Securities Lending—Net 236
Total Income 46,544
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 66
Management and Administrative—ETF Shares 1,345
Management and Administrative—Institutional Shares 627
Marketing and Distribution—ETF Shares 107
Marketing and Distribution—Institutional Shares 36
Custodian Fees 84
Shareholders’ Reports—ETF Shares 36
Shareholders’ Reports—Institutional Shares 1
Trustees’ Fees and Expenses 2
Other Expenses 9
Total Expenses 2,313
Expenses Paid Indirectly (2)
Net Expenses 2,311
Net Investment Income 44,233
Realized Net Gain (Loss)  
Investment Securities Sold2,3 49,978
Futures Contracts 1,115
Realized Net Gain (Loss) 51,093
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 743,000
Futures Contracts 1,417
Change in Unrealized Appreciation (Depreciation) 744,417
Net Increase (Decrease) in Net Assets Resulting from Operations 839,743
1 Dividends are net of foreign withholding taxes of $8,000.
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 $322,000, 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 $45,229,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
15

 

Russell 1000 Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 44,233   86,605
Realized Net Gain (Loss) 51,093   516,997
Change in Unrealized Appreciation (Depreciation) 744,417   226,623
Net Increase (Decrease) in Net Assets Resulting from Operations 839,743   830,225
Distributions      
ETF Shares (31,842)   (52,340)
Institutional Shares (16,459)   (31,653)
Total Distributions (48,301)   (83,993)
Capital Share Transactions      
ETF Shares 274,476   562,506
Institutional Shares (18,826)   (389,779)
Net Increase (Decrease) from Capital Share Transactions 255,650   172,727
Total Increase (Decrease) 1,047,092   918,959
Net Assets      
Beginning of Period 5,813,449   4,894,490
End of Period 6,860,541   5,813,449
  
See accompanying Notes, which are an integral part of the Financial Statements.
16

 

Russell 1000 Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $204.87 $180.47 $210.32 $161.36 $134.37 $133.57
Investment Operations            
Net Investment Income1 1.524 2.956 2.757 2.459 2.525 2.395
Net Realized and Unrealized Gain (Loss) on Investments 27.003 24.306 (29.909) 48.925 27.028 .759
Total from Investment Operations 28.527 27.262 (27.152) 51.384 29.553 3.154
Distributions            
Dividends from Net Investment Income (1.667) (2.862) (2.698) (2.424) (2.563) (2.354)
Distributions from Realized Capital Gains
Total Distributions (1.667) (2.862) (2.698) (2.424) (2.563) (2.354)
Net Asset Value, End of Period $231.73 $204.87 $180.47 $210.32 $161.36 $134.37
Total Return 14.02% 15.34% -13.02% 32.14% 22.39% 2.45%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $4,588 $3,785 $2,721 $2,682 $1,678 $1,196
Ratio of Total Expenses to Average Net Assets 0.08%2 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.43% 1.59% 1.39% 1.34% 1.79% 1.85%
Portfolio Turnover Rate3 1% 8% 10% 6% 9% 6%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
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.
17

 

Russell 1000 Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $396.88 $349.62 $407.44 $312.59 $260.26 $258.75
Investment Operations            
Net Investment Income1 2.959 5.737 5.354 4.807 4.927 4.645
Net Realized and Unrealized Gain (Loss) on Investments 52.337 47.099 (57.922) 94.766 52.362 1.483
Total from Investment Operations 55.296 52.836 (52.568) 99.573 57.289 6.128
Distributions            
Dividends from Net Investment Income (3.246) (5.576) (5.252) (4.723) (4.959) (4.618)
Distributions from Realized Capital Gains
Total Distributions (3.246) (5.576) (5.252) (4.723) (4.959) (4.618)
Net Asset Value, End of Period $448.93 $396.88 $349.62 $407.44 $312.59 $260.26
Total Return 14.03% 15.35% -13.01% 32.16% 22.45% 2.45%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,272 $2,029 $2,174 $2,822 $2,523 $2,323
Ratio of Total Expenses to Average Net Assets 0.07%2 0.07% 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 1.44% 1.60% 1.39% 1.36% 1.81% 1.86%
Portfolio Turnover Rate3 1% 8% 10% 6% 9% 6%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%.
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.
18

 

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.
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 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 valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other 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.
During the six months ended February 29, 2024, 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.
19

 

Russell 1000 Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually 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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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
20

 

Russell 1000 Index Fund
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 29, 2024, 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 29, 2024, the fund had contributed to Vanguard capital in the amount of $203,000, representing less than 0.01% of the fund’s net assets and 0.08% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2024, custodian fee offset arrangements reduced the fund’s expenses by $2,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments 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.
21

 

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 29, 2024, based on the inputs used to value them:
  Level 1
($000)
Level 2
($000)
Level 3
($000)
Total
($000)
Investments        
Assets        
Common Stocks 6,827,615 15 6,827,630
Temporary Cash Investments 24,958 24,958
Total 6,852,573 15 6,852,588
Derivative Financial Instruments        
Assets        
Futures Contracts1 1,312 1,312
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.
E. As of February 29, 2024, 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 4,598,242
Gross Unrealized Appreciation 2,492,123
Gross Unrealized Depreciation (236,465)
Net Unrealized Appreciation (Depreciation) 2,255,658
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, 2023, the fund had available capital losses totaling $240,443,000 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, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2024, the fund purchased $56,276,000 of investment securities and sold $86,353,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $345,244,000 and $76,125,000, 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
22

 

Russell 1000 Index Fund
months ended February 29, 2024, such purchases were $17,954,000 and sales were $4,096,000, resulting in net realized loss of $727,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
G. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 350,887 1,675   1,669,809 9,325
Issued in Lieu of Cash Distributions  
Redeemed (76,411) (350)   (1,107,303) (5,925)
Net Increase (Decrease)—ETF Shares 274,476 1,325   562,506 3,400
Institutional Shares          
Issued 59,113 148   419,440 1,152
Issued in Lieu of Cash Distributions 14,560 36   28,506 82
Redeemed (92,499) (233)   (837,725) (2,341)
Net Increase (Decrease)—Institutional Shares (18,826) (49)   (389,779) (1,107)
H. Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I. Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
23

 

Russell 1000 Value Index Fund
Fund Allocation
As of February 29, 2024
Basic Materials 3.4%
Consumer Discretionary 8.8
Consumer Staples 7.1
Energy 7.7
Financials 20.8
Health Care 14.0
Industrials 16.4
Real Estate 4.7
Technology 8.4
Telecommunications 3.8
Utilities 4.9
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.
24

 

Russell 1000 Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (3.5%)
  Linde plc   198,911    89,275
  Freeport-McMoRan Inc.   647,960    24,499
  Air Products and Chemicals Inc.   100,585    23,541
  Nucor Corp.   112,623    21,657
  Dow Inc.   321,291    17,954
  Newmont Corp. (XNYS)   521,859    16,308
  LyondellBasell Industries NV Class A   117,433    11,776
  Steel Dynamics Inc.    70,543     9,440
  International Flavors & Fragrances Inc.   115,464     8,717
  Reliance Steel & Aluminum Co.    26,067     8,373
  Albemarle Corp.    52,955     7,300
  CF Industries Holdings Inc.    87,016     7,024
  Celanese Corp.    44,699     6,793
  Ecolab Inc.    24,987     5,618
  International Paper Co.   156,530     5,535
  Avery Dennison Corp.    24,500     5,305
  Fastenal Co.    64,939     4,741
  United States Steel Corp.    99,872     4,728
  Eastman Chemical Co.    53,627     4,705
* Cleveland-Cliffs Inc.   225,002     4,680
  Mosaic Co.   149,622     4,662
* RBC Bearings Inc.    12,754     3,480
  Royal Gold Inc.    29,656     3,044
  Olin Corp.    55,587     2,991
  Hexcel Corp.    38,043     2,833
  FMC Corp.    48,017     2,708
  Element Solutions Inc.   100,777     2,368
  Timken Co.    27,722     2,328
  Alcoa Corp.    80,358     2,187
  Westlake Corp.    14,610     2,027
  Ashland Inc.    21,311     1,996
* Valvoline Inc.    46,412     1,979
  Huntsman Corp.    76,242     1,952
  NewMarket Corp.     2,798     1,795
  Chemours Co.    66,778     1,313
* MP Materials Corp.    47,355       720
  SSR Mining Inc. (XTSE)    92,056       396
        326,748
Consumer Discretionary (8.8%)
  Walmart Inc. 1,939,106   113,651
  Walt Disney Co.   828,616    92,457
  McDonald's Corp.   193,992    56,700
    Shares Market
Value

($000)
  NIKE Inc. Class B   251,834    26,173
  General Motors Co.   621,980    25,489
  Ford Motor Co. 1,778,006    22,118
  DR Horton Inc.   141,184    21,099
  Lennar Corp. Class A   112,767    17,875
  Electronic Arts Inc.   122,716    17,116
  Lowe's Cos. Inc.    69,774    16,793
* Dollar Tree Inc.    94,658    13,884
  Hilton Worldwide Holdings Inc.    61,105    12,485
  Delta Air Lines Inc.   275,395    11,641
* Take-Two Interactive Software Inc.    74,569    10,956
  eBay Inc.   227,690    10,765
  Estee Lauder Cos. Inc. Class A    71,558    10,632
  PulteGroup Inc.    96,989    10,512
* Aptiv plc   122,363     9,727
  Garmin Ltd.    69,475     9,542
  Genuine Parts Co.    63,420     9,466
* NVR Inc.     1,224     9,334
  Southwest Airlines Co.   270,193     9,260
* Royal Caribbean Cruises Ltd.    74,001     9,128
* Warner Bros Discovery Inc.   996,419     8,759
  Omnicom Group Inc.    89,758     7,934
* Carnival Corp.   449,468     7,129
* United Airlines Holdings Inc.   147,712     6,719
* Liberty Media Corp.-Liberty Formula One Class C    90,957     6,618
  LKQ Corp.   120,448     6,298
  Best Buy Co. Inc.    76,706     6,204
  Williams-Sonoma Inc.    25,110     5,914
  Toll Brothers Inc.    48,378     5,546
* MGM Resorts International   127,661     5,525
  Interpublic Group of Cos. Inc.   174,325     5,474
* CarMax Inc.    67,430     5,327
* Live Nation Entertainment Inc.    54,762     5,311
  Darden Restaurants Inc.    29,059     4,961
  News Corp. Class A   179,461     4,824
  Bath & Body Works Inc.   103,732     4,741
  Wynn Resorts Ltd.    44,000     4,629
  Tapestry Inc.    96,890     4,605
  Dick's Sporting Goods Inc.    25,156     4,475
* O'Reilly Automotive Inc.     4,038     4,391
* AutoZone Inc.     1,305     3,923
  Gentex Corp.   105,847     3,867
25

 

Russell 1000 Value Index Fund
    Shares Market
Value

($000)
  PVH Corp.    27,178     3,714
  Fox Corp. Class A   122,361     3,645
  Lithia Motors Inc.    12,178     3,642
  Lear Corp.    26,153     3,592
  Vail Resorts Inc.    15,375     3,541
* Skechers USA Inc. Class A    56,111     3,468
* Rivian Automotive Inc. Class A   299,638     3,392
  Ralph Lauren Corp.    18,053     3,356
  BorgWarner Inc. (XNYS)   105,805     3,294
  Tempur Sealy International Inc.    60,115     3,274
  New York Times Co. Class A    73,114     3,238
  Aramark   105,498     3,200
* Mattel Inc.   161,391     3,179
  Service Corp. International    42,131     3,084
  Hyatt Hotels Corp. Class A    19,997     3,071
  Thor Industries Inc.    23,236     2,978
  Hasbro Inc.    59,189     2,977
  Paramount Global Class B   265,390     2,930
* American Airlines Group Inc.   184,518     2,893
* BJ's Wholesale Club Holdings Inc.    39,490     2,884
* Norwegian Cruise Line Holdings Ltd.   145,070     2,813
  Wyndham Hotels & Resorts Inc.    34,260     2,623
* Bright Horizons Family Solutions Inc.    22,771     2,615
  Whirlpool Corp.    24,086     2,587
  VF Corp.   158,043     2,582
* Caesars Entertainment Inc.    55,071     2,394
* Capri Holdings Ltd.    51,154     2,360
* SiteOne Landscape Supply Inc.    13,607     2,293
* Expedia Group Inc.    16,568     2,267
* Liberty Media Corp.-Liberty SiriusXM Class C    75,937     2,201
  Boyd Gaming Corp.    32,770     2,167
* Coty Inc. Class A   170,934     2,147
  Macy's Inc.   122,293     2,133
  Yum! Brands Inc.    15,403     2,132
* Alaska Air Group Inc.    56,955     2,130
  Harley-Davidson Inc.    58,294     2,114
  Polaris Inc.    22,194     2,058
* AutoNation Inc.    12,876     1,929
  Advance Auto Parts Inc.    26,885     1,816
  U-Haul Holding Co.    28,002     1,780
* Etsy Inc.    24,315     1,743
*,1 GameStop Corp. Class A   121,102     1,728
  Gap Inc.    88,438     1,675
  Nexstar Media Group Inc.     9,942     1,652
* RH     5,902     1,620
* Madison Square Garden Sports Corp.     8,403     1,581
  Ross Stores Inc.    10,223     1,523
  Marriott Vacations Worldwide Corp.    16,215     1,511
* Ollie's Bargain Outlet Holdings Inc.    18,845     1,511
  RB Global Inc. (XTSE)    19,250     1,461
* Wayfair Inc. Class A    24,065     1,434
  Kohl's Corp.    49,537     1,381
  Penske Automotive Group Inc.     8,867     1,361
  Fox Corp. Class B    48,732     1,334
    Shares Market
Value

($000)
  Carter's Inc.    16,247     1,315
* Grand Canyon Education Inc.     9,745     1,314
  Columbia Sportswear Co.    15,822     1,308
  Newell Brands Inc.   173,574     1,302
* TripAdvisor Inc.    48,438     1,299
  News Corp. Class B    45,437     1,272
* Penn Entertainment Inc.    67,990     1,244
* Planet Fitness Inc. Class A    19,983     1,240
  Leggett & Platt Inc.    60,495     1,235
  H&R Block Inc.    23,278     1,139
* Liberty Media Corp.-Liberty SiriusXM Class A    38,393     1,119
*,1 Lucid Group Inc.   336,434     1,110
  Nordstrom Inc.    51,962     1,090
* Under Armour Inc. Class A   115,668     1,036
*,1 QuantumScape Corp.   153,467       962
1 Sirius XM Holdings Inc.   195,849       866
* Liberty Media Corp.-Liberty Live Class C    21,732       865
  Travel & Leisure Co.    17,139       766
  Phinia Inc.    21,201       726
  Avis Budget Group Inc.     5,917       639
  Las Vegas Sands Corp.    11,128       607
  Lennar Corp. Class B     3,910       576
* Victoria's Secret & Co.    18,961       542
* Under Armour Inc. Class C    57,998       495
* Liberty Media Corp.-Liberty Formula One Class A     7,322       480
*,1 Birkenstock Holding plc     9,607       480
* Hertz Global Holdings Inc.    58,734       461
*,1 AMC Entertainment Holdings Inc. Class A    89,629       387
* Driven Brands Holdings Inc.    27,445       378
* Liberty Media Corp.-Liberty Live Class A     8,118       313
* Mister Car Wash Inc.    34,410       285
  Murphy USA Inc.       491       205
* U-Haul Holding Co. (XNYS)     2,104       135
* Petco Health & Wellness Co. Inc.    40,063       104
* Cava Group Inc.     1,622        95
  Paramount Global Class A     1,149        24
* Playtika Holding Corp.     3,034        22
        829,421
Consumer Staples (7.1%)
  Procter & Gamble Co.   865,776   137,606
  Philip Morris International Inc.   703,430    63,281
  Coca-Cola Co.   888,369    53,320
  Mondelez International Inc. Class A   615,956    45,008
  CVS Health Corp.   580,322    43,159
  Altria Group Inc.   810,085    33,141
  Colgate-Palmolive Co.   371,946    32,181
  PepsiCo Inc.   192,822    31,881
  McKesson Corp.    38,034    19,831
  Corteva Inc.   323,424    17,310
  General Mills Inc.   263,468    16,909
  Constellation Brands Inc. Class A    65,925    16,384
  Kroger Co.   295,753    14,672
  Keurig Dr Pepper Inc.   431,080    12,894
  Archer-Daniels-Midland Co.   242,096    12,858
  Kraft Heinz Co.   363,274    12,816
  Kenvue Inc.   518,595     9,853
 
26

 

Russell 1000 Value Index Fund
    Shares Market
Value

($000)
  McCormick & Co. Inc.   113,590     7,822
  Walgreens Boots Alliance Inc.   323,919     6,886
  Tyson Foods Inc. Class A   125,580     6,811
  Kellanova   117,619     6,487
  Bunge Global SA    65,415     6,173
  Conagra Brands Inc.   214,999     6,037
  J M Smucker Co.    46,386     5,574
* US Foods Holding Corp.   102,389     5,200
  Molson Coors Beverage Co. Class B    78,913     4,926
  Hormel Foods Corp.   130,744     4,618
  Casey's General Stores Inc.    14,445     4,398
  Campbell Soup Co.    86,497     3,688
  Ingredion Inc.    29,807     3,506
  Albertsons Cos. Inc. Class A   172,142     3,491
  Hershey Co.    17,458     3,281
* Darling Ingredients Inc.    71,671     3,032
* Performance Food Group Co.    37,289     2,863
* Post Holdings Inc.    23,305     2,427
  Flowers Foods Inc.    84,701     1,899
* Freshpet Inc.    14,236     1,609
  Spectrum Brands Holdings Inc.    15,876     1,277
  Church & Dwight Co. Inc.    11,425     1,144
  Brown-Forman Corp. Class B    18,610     1,121
* Grocery Outlet Holding Corp.    42,976     1,108
  Kimberly-Clark Corp.     8,967     1,087
  Reynolds Consumer Products Inc.    24,331       718
* Pilgrim's Pride Corp.    18,879       601
  WK Kellogg Co.    29,561       433
  Lamb Weston Holdings Inc.     3,715       380
  Seaboard Corp.        97       319
  Brown-Forman Corp. Class A     3,019       181
* Olaplex Holdings Inc.    59,867       111
* Boston Beer Co. Inc. Class A       344       106
        672,418
Energy (7.7%)
  Exxon Mobil Corp. 1,833,679   191,656
  Chevron Corp.   779,416   118,479
  ConocoPhillips   542,797    61,086
  Schlumberger NV   645,790    31,211
  EOG Resources Inc.   266,398    30,492
  Marathon Petroleum Corp.   171,951    29,099
  Phillips 66   201,656    28,738
  Pioneer Natural Resources Co.   105,495    24,811
  Valero Energy Corp.   153,813    21,758
  Williams Cos. Inc.   551,533    19,822
  Occidental Petroleum Corp.   311,700    18,892
  ONEOK Inc.   249,257    18,724
  Kinder Morgan Inc.   887,174    15,428
  Diamondback Energy Inc.    80,664    14,723
  Baker Hughes Co.   458,187    13,558
  Devon Energy Corp.   289,873    12,772
  Halliburton Co.   324,633    11,385
  Coterra Energy Inc.   337,503     8,701
  Hess Corp.    55,540     8,095
    Shares Market
Value

($000)
* First Solar Inc.    48,131     7,407
  Marathon Oil Corp.   273,240     6,626
  EQT Corp.   163,009     6,056
  Chesapeake Energy Corp.    56,731     4,696
  TechnipFMC plc   195,775     4,246
  HF Sinclair Corp.    65,476     3,634
* Southwestern Energy Co.   496,304     3,459
  Range Resources Corp.   105,869     3,348
* Antero Resources Corp.   127,916     3,287
  Ovintiv Inc. (XNYS)    65,653     3,244
  NOV Inc.   177,426     2,999
  DTE Midstream LLC    43,872     2,528
  Antero Midstream Corp.   102,798     1,378
*,1 Plug Power Inc.   237,383       838
  APA Corp.    16,109       480
        733,656
Financials (20.7%)
* Berkshire Hathaway Inc. Class B   829,528   339,609
  JPMorgan Chase & Co. 1,307,535   243,280
  Bank of America Corp. 3,121,540   107,756
  Wells Fargo & Co. 1,662,504    92,419
  S&P Global Inc.   133,298    57,102
  Goldman Sachs Group Inc.   144,523    56,227
  BlackRock Inc.    67,365    54,656
  Citigroup Inc.   866,312    48,072
  Morgan Stanley   544,914    46,884
  Chubb Ltd.   183,901    46,282
  Charles Schwab Corp.   671,649    44,853
  CME Group Inc.   162,612    35,832
  Intercontinental Exchange Inc.   256,513    35,507
  US Bancorp   706,260    29,635
  Aon plc Class A (XNYS)    89,828    28,385
  PNC Financial Services Group Inc.   180,480    26,567
  American International Group Inc.   322,832    23,531
  Travelers Cos. Inc.   103,326    22,831
  KKR & Co. Inc.   226,855    22,291
  Arthur J Gallagher & Co.    90,609    22,102
  Aflac Inc.   267,422    21,592
  Truist Financial Corp.   601,310    21,034
  MetLife Inc.   287,173    20,027
  Bank of New York Mellon Corp.   349,034    19,577
  Allstate Corp.   118,864    18,961
  Prudential Financial Inc.   164,605    17,940
* Coinbase Global Inc. Class A    76,602    15,593
  Discover Financial Services   112,845    13,620
  Hartford Financial Services Group Inc.   133,545    12,799
  Progressive Corp.    66,362    12,580
* Arch Capital Group Ltd.   138,925    12,168
  T Rowe Price Group Inc.    99,789    11,311
  Willis Towers Watson plc    40,912    11,153
  Fifth Third Bancorp   308,542    10,595
  M&T Bank Corp.    75,131    10,499
  Raymond James Financial Inc.    86,051    10,354
  State Street Corp.   139,399    10,278
  MSCI Inc.    17,356     9,736
  Cboe Global Markets Inc.    47,523     9,124
  Marsh & McLennan Cos. Inc.    44,566     9,014
* Markel Group Inc.     5,967     8,906
 
27

 

Russell 1000 Value Index Fund
    Shares Market
Value

($000)
  Principal Financial Group Inc.   109,327     8,840
  Nasdaq Inc.   154,486     8,682
  Huntington Bancshares Inc.   650,363     8,481
  Regions Financial Corp.   426,474     7,945
  Cincinnati Financial Corp.    69,436     7,916
  Northern Trust Corp.    92,699     7,613
  W R Berkley Corp.    90,493     7,565
  First Citizens BancShares Inc. Class A     4,347     6,841
  Citizens Financial Group Inc.   210,330     6,602
  Loews Corp.    82,817     6,222
  Everest Group Ltd.    16,745     6,177
  KeyCorp   421,210     6,011
  Fidelity National Financial Inc.   117,193     5,928
  Brown & Brown Inc.    65,435     5,510
  Reinsurance Group of America Inc.    30,053     5,315
  Interactive Brokers Group Inc. Class A    46,835     5,092
  Globe Life Inc.    39,640     5,032
* Robinhood Markets Inc. Class A   303,343     4,948
  East West Bancorp Inc.    63,497     4,626
  Ally Financial Inc.   122,486     4,531
  Unum Group    88,836     4,393
  Carlyle Group Inc.    95,386     4,373
  Assurant Inc.    23,839     4,326
  Annaly Capital Management Inc.   222,936     4,256
  American Financial Group Inc.    32,892     4,199
* SoFi Technologies Inc.   420,661     3,778
  RenaissanceRe Holdings Ltd.    16,650     3,743
* NU Holdings Ltd. Class A   332,206     3,681
  Webster Financial Corp.    77,108     3,673
  Tradeweb Markets Inc. Class A    33,928     3,590
  First Horizon Corp.   251,744     3,550
  Franklin Resources Inc.   128,638     3,531
  Old Republic International Corp.   117,995     3,417
  Jefferies Financial Group Inc.    81,618     3,413
  Stifel Financial Corp.    44,720     3,392
  XP Inc. Class A   133,482     3,156
  Blue Owl Capital Inc.   174,608     3,136
  SEI Investments Co.    45,355     3,050
  Voya Financial Inc.    44,227     3,023
  Evercore Inc. Class A    15,840     2,963
  Comerica Inc.    59,477     2,937
  Cullen/Frost Bankers Inc.    26,775     2,905
  Pinnacle Financial Partners Inc.    34,781     2,877
  Western Alliance Bancorp    48,908     2,823
  Commerce Bancshares Inc.    54,187     2,820
  AGNC Investment Corp.   290,637     2,778
  Houlihan Lokey Inc.    21,166     2,723
  Starwood Property Trust Inc.   133,393     2,720
  Popular Inc.    31,933     2,672
  First American Financial Corp.    45,443     2,654
    Shares Market
Value

($000)
  Wintrust Financial Corp.    27,541     2,654
  Zions Bancorp NA    65,772     2,593
  Corebridge Financial Inc.   103,824     2,578
  Invesco Ltd.   163,845     2,525
  Synovus Financial Corp.    65,333     2,479
  MGIC Investment Corp.   123,851     2,463
  Prosperity Bancshares Inc.    39,275     2,451
  Affiliated Managers Group Inc.    15,575     2,435
  OneMain Holdings Inc.    50,585     2,389
  Moody's Corp.     6,277     2,382
  Rithm Capital Corp.   218,633     2,370
  Assured Guaranty Ltd.    25,483     2,334
  Axis Capital Holdings Ltd.    34,983     2,189
  FNB Corp.   161,091     2,149
  Hanover Insurance Group Inc.    16,100     2,117
  Bank OZK    48,135     2,108
  RLI Corp.    14,174     2,076
  White Mountains Insurance Group Ltd.     1,112     1,963
  Lincoln National Corp.    69,382     1,911
  Lazard Inc.    49,293     1,900
  Janus Henderson Group plc    60,328     1,880
  Broadridge Financial Solutions Inc.     8,721     1,775
  Columbia Banking System Inc.    93,832     1,698
  Kemper Corp.    27,334     1,567
* Credit Acceptance Corp.     2,818     1,560
  New York Community Bancorp Inc.   323,278     1,549
  Primerica Inc.     5,625     1,380
  SLM Corp.    61,141     1,274
* Brighthouse Financial Inc.    26,434     1,231
  First Hawaiian Inc.    57,758     1,211
  BOK Financial Corp.    12,727     1,082
  TPG Inc.    23,473     1,041
  Virtu Financial Inc. Class A    40,405       729
  CNA Financial Corp.    11,679       513
* Rocket Cos. Inc. Class A    34,231       430
  TFS Financial Corp.    23,313       297
  UWM Holdings Corp.    27,010       172
      1,966,566
Health Care (13.9%)
  Johnson & Johnson 1,091,717   176,181
  Merck & Co. Inc.   938,948   119,387
  Abbott Laboratories   734,956    87,195
  Danaher Corp.   298,305    75,513
  Pfizer Inc. 2,560,262    68,001
  Medtronic plc   602,015    50,184
  Bristol-Myers Squibb Co.   922,784    46,831
  Elevance Health Inc.    93,142    46,687
* Boston Scientific Corp.   663,000    43,897
  Stryker Corp.   120,129    41,933
* Regeneron Pharmaceuticals Inc.    43,281    41,813
  Cigna Group   122,517    41,183
  Gilead Sciences Inc.   566,308    40,831
  Thermo Fisher Scientific Inc.    67,166    38,297
  UnitedHealth Group Inc.    66,939    33,041
  Becton Dickinson & Co.   131,277    30,922
  HCA Healthcare Inc.    71,525    22,294
  Amgen Inc.    77,443    21,206
* Centene Corp.   241,953    18,976
 
28

 

Russell 1000 Value Index Fund
    Shares Market
Value

($000)
  GE Healthcare Inc.   168,391    15,371
* Biogen Inc.    65,315    14,173
* Moderna Inc.   150,340    13,867
  Zimmer Biomet Holdings Inc.    94,985    11,812
  Humana Inc.    31,976    11,202
  STERIS plc    44,857    10,448
* ICON plc    31,325    10,043
  Baxter International Inc.   228,634     9,356
  Laboratory Corp. of America Holdings    38,346     8,276
  Cooper Cos. Inc.    87,844     8,222
* Hologic Inc.   109,891     8,110
* Avantor Inc.   305,080     7,517
* Illumina Inc.    50,192     7,018
  Viatris Inc.   540,965     6,692
* BioMarin Pharmaceutical Inc.    74,586     6,435
  Quest Diagnostics Inc.    50,634     6,324
  Revvity Inc.    56,061     6,144
  Cardinal Health Inc.    54,401     6,092
* Charles River Laboratories International Inc.    22,952     5,834
  Royalty Pharma plc Class A   167,874     5,093
  Teleflex Inc.    21,240     4,732
* Molina Healthcare Inc.    11,879     4,679
* Catalent Inc.    81,288     4,661
* United Therapeutics Corp.    20,425     4,609
  Universal Health Services Inc. Class B    27,091     4,526
* Henry Schein Inc.    59,067     4,517
* Qiagen NV   100,972     4,321
* Tenet Healthcare Corp.    45,622     4,243
* Vertex Pharmaceuticals Inc.     9,919     4,173
* Elanco Animal Health Inc. (XNYS)   221,458     3,519
  Agilent Technologies Inc.    24,636     3,384
* Acadia Healthcare Co. Inc.    40,527     3,382
  DENTSPLY SIRONA Inc.    95,516     3,122
  Encompass Health Corp.    41,640     3,098
* Bio-Rad Laboratories Inc. Class A     9,337     3,043
* Exact Sciences Corp.    52,673     3,030
* Repligen Corp.    14,039     2,723
* Globus Medical Inc. Class A    38,301     2,068
  Organon & Co.   115,091     2,004
* Azenta Inc.    26,947     1,756
* Alnylam Pharmaceuticals Inc.    11,041     1,668
  Perrigo Co. plc    60,662     1,593
* Jazz Pharmaceuticals plc    13,308     1,582
* Envista Holdings Corp.    73,900     1,526
* Fortrea Holdings Inc.    39,695     1,490
* IQVIA Holdings Inc.     5,955     1,472
* Enovis Corp.    23,550     1,409
* Amedisys Inc.    14,470     1,346
* Incyte Corp.    21,891     1,278
  Chemed Corp.     1,879     1,177
* Integra LifeSciences Holdings Corp.    30,925     1,141
* Teladoc Health Inc.    74,722     1,127
  Premier Inc. Class A    53,067     1,107
* QuidelOrtho Corp.    24,073     1,098
* ICU Medical Inc.     9,047       988
* R1 RCM Inc.    69,947       983
    Shares Market
Value

($000)
*,1 Ginkgo Bioworks Holdings Inc.   637,483       969
* Doximity Inc. Class A    30,364       857
* Exelixis Inc.    37,363       818
* Tandem Diabetes Care Inc.    25,446       678
* Certara Inc.    34,968       590
* Karuna Therapeutics Inc.     1,722       541
* Ionis Pharmaceuticals Inc.     9,137       413
  Bio-Techne Corp.     4,041       297
* Sotera Health Co.    13,605       204
* Maravai LifeSciences Holdings Inc. Class A    21,050       163
* Roivant Sciences Ltd.     9,170       105
* agilon health Inc.    14,169        87
      1,320,698
Industrials (16.3%)
  General Electric Co.   491,392    77,095
  RTX Corp.   651,542    58,424
  Honeywell International Inc.   262,876    52,241
  Eaton Corp. plc   180,466    52,155
* Boeing Co.   218,344    44,481
  Union Pacific Corp.   157,975    40,077
  American Express Co.   176,661    38,763
  United Parcel Service Inc. Class B (XNYS)   237,228    35,171
  Parker-Hannifin Corp.    57,945    31,027
  General Dynamics Corp.   110,872    30,296
  CSX Corp.   795,184    30,169
* Fiserv Inc.   196,803    29,377
  Northrop Grumman Corp.    61,166    28,199
  Emerson Electric Co.   258,683    27,640
  FedEx Corp.   105,116    26,171
  Norfolk Southern Corp.   103,050    26,111
  PACCAR Inc.   232,280    25,758
  Capital One Financial Corp.   172,038    23,674
  TransDigm Group Inc.    19,961    23,509
  3M Co.   249,542    22,988
  Trane Technologies plc    72,814    20,531
  Caterpillar Inc.    57,738    19,282
  AMETEK Inc.   104,261    18,786
  Fidelity National Information Services Inc.   268,794    18,598
  Ferguson plc    87,650    18,534
  L3Harris Technologies Inc.    85,815    18,164
  Cummins Inc.    64,309    17,274
  Carrier Global Corp.   307,976    17,117
  United Rentals Inc.    24,328    16,866
  Otis Worldwide Corp.   176,450    16,816
  Ingersoll Rand Inc. (XYNS)   183,845    16,791
  Martin Marietta Materials Inc.    27,928    16,134
  Johnson Controls International plc   259,620    15,388
  Global Payments Inc.   117,073    15,184
  DuPont de Nemours Inc.   207,665    14,368
  Fortive Corp.   159,925    13,614
  Vulcan Materials Co.    46,716    12,419
* Block Inc. (XNYS)   153,999    12,238
  Xylem Inc.    94,475    12,003
  Quanta Services Inc.    47,911    11,571
  Westinghouse Air Brake Technologies Corp.    80,968    11,440
  Howmet Aerospace Inc.   171,527    11,415
  PPG Industries Inc.    79,910    11,315
* Builders FirstSource Inc.    55,590    10,850
  Dover Corp.    63,092    10,434
 
29

 

Russell 1000 Value Index Fund
    Shares Market
Value

($000)
* Keysight Technologies Inc.    59,725     9,216
* Teledyne Technologies Inc.    21,067     9,001
  Ball Corp.   139,283     8,917
  Veralto Corp.    99,282     8,580
  Jacobs Solutions Inc.    56,863     8,339
  Textron Inc.    88,524     7,885
  Masco Corp.   101,766     7,812
  Synchrony Financial   186,349     7,696
  Carlisle Cos. Inc.    21,857     7,650
  IDEX Corp.    31,404     7,408
  Packaging Corp. of America    39,999     7,247
  Expeditors International of Washington Inc.    57,514     6,879
  Nordson Corp.    25,851     6,867
* Trimble Inc.   111,401     6,817
  Lennox International Inc.    14,451     6,809
  TransUnion    87,289     6,776
  Automatic Data Processing Inc.    26,554     6,669
  Illinois Tool Works Inc.    25,073     6,573
  Snap-on Inc.    23,537     6,488
* XPO Inc.    51,529     6,200
  Stanley Black & Decker Inc.    69,223     6,181
  JB Hunt Transport Services Inc.    29,884     6,165
* Saia Inc.    10,657     6,132
  Owens Corning    40,022     5,995
  Sherwin-Williams Co.    17,982     5,971
  Amcor plc   651,257     5,900
  Pentair plc    74,164     5,769
  RPM International Inc.    46,919     5,412
* TopBuild Corp.    13,381     5,384
* Zebra Technologies Corp. Class A    19,011     5,313
  CNH Industrial NV   441,118     5,271
  AECOM    59,186     5,258
  Westrock Co.   114,800     5,199
  Huntington Ingalls Industries Inc.    17,709     5,164
  Regal Rexnord Corp.    29,886     5,125
  nVent Electric plc    74,549     5,019
  Hubbell Inc.    13,175     5,015
  ITT Inc.    37,374     4,714
  Equifax Inc.    17,014     4,655
  Fortune Brands Innovations Inc.    57,154     4,649
  Watsco Inc.    11,259     4,437
  EMCOR Group Inc.    13,691     4,292
  AptarGroup Inc.    29,610     4,159
  Graco Inc.    44,708     4,080
  Curtiss-Wright Corp.    17,190     4,062
  A O Smith Corp.    48,872     4,052
  Knight-Swift Transportation Holdings Inc.    70,727     3,985
  Jack Henry & Associates Inc.    22,438     3,899
  Woodward Inc.    27,014     3,822
* Affirm Holdings Inc.   101,872     3,822
  Robert Half Inc.    46,599     3,747
  Crown Holdings Inc.    48,102     3,686
  MKS Instruments Inc.    29,986     3,681
* Middleby Corp.    24,112     3,669
  Acuity Brands Inc.    14,113     3,546
* Core & Main Inc. Class A    74,035     3,534
  Tetra Tech Inc.    19,573     3,471
    Shares Market
Value

($000)
  BWX Technologies Inc.    34,100     3,438
  Oshkosh Corp.    29,430     3,263
  Berry Global Group Inc.    53,879     3,136
* WillScot Mobile Mini Holdings Corp.    65,112     3,109
  AGCO Corp.    28,277     3,102
* Generac Holdings Inc.    27,388     3,081
  Cognex Corp.    77,972     3,076
  WESCO International Inc.    19,953     2,983
* Bill Holdings Inc.    46,419     2,940
* Axalta Coating Systems Ltd.    89,663     2,935
* AZEK Co. Inc.    59,740     2,874
  Deere & Co.     7,784     2,842
* Mohawk Industries Inc.    23,869     2,831
* PayPal Holdings Inc.    46,504     2,806
* GXO Logistics Inc.    52,984     2,742
  Allison Transmission Holdings Inc.    36,271     2,732
  Cintas Corp.     4,292     2,698
  Crane Co.    21,742     2,643
  Littelfuse Inc.    10,898     2,596
* FTI Consulting Inc.    12,299     2,544
  MSA Safety Inc.    13,796     2,541
  Brunswick Corp.    28,987     2,534
  Esab Corp.    25,478     2,525
  Sonoco Products Co.    44,213     2,506
  Flowserve Corp.    59,058     2,499
  Sensata Technologies Holding plc    68,571     2,360
* Kirby Corp.    26,661     2,339
  Donaldson Co. Inc.    32,105     2,299
* WEX Inc.    10,425     2,291
  Ryder System Inc.    19,654     2,243
  MSC Industrial Direct Co. Inc. Class A    21,312     2,151
  Louisiana-Pacific Corp.    29,025     2,147
* MasTec Inc.    28,069     2,118
  Genpact Ltd.    60,249     2,049
  Vontier Corp.    46,217     1,987
  MDU Resources Group Inc.    90,796     1,968
  Western Union Co.   141,033     1,891
  Air Lease Corp.    46,765     1,875
  Valmont Industries Inc.     8,813     1,868
  Armstrong World Industries Inc.    14,082     1,698
  Graphic Packaging Holding Co.    63,983     1,660
  Silgan Holdings Inc.    37,719     1,656
  ManpowerGroup Inc.    22,294     1,609
  Eagle Materials Inc.     5,362     1,360
  Old Dominion Freight Line Inc.     3,060     1,354
  Crane NXT Co.    21,758     1,271
* Spirit AeroSystems Holdings Inc. Class A    42,611     1,219
* Euronet Worldwide Inc.    10,751     1,177
  Sealed Air Corp.    28,966     1,010
  Vestis Corp.    53,314     1,000
* Hayward Holdings Inc.    60,122       889
  CH Robinson Worldwide Inc.    11,461       849
* Gates Industrial Corp. plc    50,717       747
* Mercury Systems Inc.    24,307       726
  ADT Inc.    93,392       678
* FleetCor Technologies Inc.     2,298       642
* NCR Atleos Corp.    29,187       635
 
30

 

Russell 1000 Value Index Fund
    Shares Market
Value

($000)
  Landstar System Inc.     3,331       634
  Schneider National Inc. Class B    24,628       580
  HEICO Corp.     2,714       525
  Lincoln Electric Holdings Inc.     1,654       424
  HEICO Corp. Class A     2,701       420
  Allegion plc     3,004       384
1 Ardagh Group SA     8,833        65
  Ardagh Metal Packaging SA     6,378        21
      1,548,317
Real Estate (4.7%)
  Prologis Inc.   418,167    55,729
  Welltower Inc.   243,264    22,419
  Digital Realty Trust Inc.   136,606    20,055
  Realty Income Corp.   377,484    19,671
  Crown Castle Inc.   174,979    19,237
  Equinix Inc.    21,082    18,738
  Simon Property Group Inc.   115,064    17,046
  VICI Properties Inc.   469,823    14,062
  Extra Space Storage Inc.    94,578    13,333
* CBRE Group Inc. Class A   137,348    12,621
  Weyerhaeuser Co.   332,520    11,432
  AvalonBay Communities Inc.    64,100    11,348
  Equity Residential   168,687    10,157
  Alexandria Real Estate Equities Inc.    77,553     9,673
  Invitation Homes Inc.   276,379     9,416
  SBA Communications Corp.    43,666     9,136
* CoStar Group Inc.   104,194     9,068
  Public Storage    29,699     8,431
  Ventas Inc.   180,657     7,640
  Essex Property Trust Inc.    28,874     6,681
  Host Hotels & Resorts Inc.   319,674     6,630
  Mid-America Apartment Communities Inc.    52,485     6,596
  Kimco Realty Corp.   297,214     5,873
  Sun Communities Inc.    43,374     5,802
  American Homes 4 Rent Class A   152,651     5,650
  WP Carey Inc.    95,839     5,399
  Gaming and Leisure Properties Inc.   115,675     5,261
  Iron Mountain Inc.    66,096     5,198
  Regency Centers Corp.    81,675     5,060
  UDR Inc.   142,382     5,055
  Rexford Industrial Realty Inc.    95,135     4,840
  Healthpeak Properties Inc.   286,971     4,807
  Boston Properties Inc.    70,898     4,588
  Camden Property Trust    46,894     4,430
  CubeSmart   101,335     4,419
* Jones Lang LaSalle Inc.    21,364     4,064
  Federal Realty Investment Trust    36,471     3,678
  Equity LifeStyle Properties Inc.    54,170     3,647
  EastGroup Properties Inc.    20,671     3,632
  Omega Healthcare Investors Inc.   110,323     3,433
  NNN REIT Inc.    81,991     3,336
  First Industrial Realty Trust Inc.    59,729     3,166
  Americold Realty Trust Inc.   122,517     3,100
    Shares Market
Value

($000)
  Brixmor Property Group Inc.   135,214     3,057
  STAG Industrial Inc.    81,937     3,043
* Zillow Group Inc. Class A    54,298     2,935
  Agree Realty Corp.    45,004     2,473
  Healthcare Realty Trust Inc.   171,599     2,365
* Zillow Group Inc. Class C    41,725     2,343
  Rayonier Inc.    66,292     2,282
  Vornado Realty Trust    79,830     2,099
  Apartment Income REIT Corp.    67,140     2,036
  Kilroy Realty Corp.    53,022     2,009
  Park Hotels & Resorts Inc.    95,785     1,590
  Cousins Properties Inc.    68,152     1,555
  EPR Properties    33,409     1,372
  National Storage Affiliates Trust    36,373     1,302
* Howard Hughes Holdings Inc.    15,338     1,172
  Highwoods Properties Inc.    47,304     1,157
1 Medical Properties Trust Inc.   270,943     1,141
  Lamar Advertising Co. Class A     8,960       990
  NET Lease Office Properties     6,433       157
        448,635
Technology (8.4%)
  Intel Corp. 1,911,803    82,303
  International Business Machines Corp.   411,684    76,174
* Advanced Micro Devices Inc.   313,045    60,271
  Oracle Corp.   411,773    45,987
  Micron Technology Inc.   495,163    44,867
  Analog Devices Inc.   225,607    43,276
  Texas Instruments Inc.   243,350    40,720
* Salesforce Inc.   105,552    32,597
  Marvell Technology Inc.   387,253    27,751
  Roper Technologies Inc.    47,935    26,112
  Cognizant Technology Solutions Corp. Class A   230,406    18,207
* ON Semiconductor Corp.   195,488    15,428
  Amphenol Corp. Class A   131,148    14,327
  Applied Materials Inc.    58,620    11,819
  Corning Inc.   344,057    11,092
  QUALCOMM Inc.    64,636    10,199
  Vertiv Holdings Co. Class A   143,843     9,727
  Hewlett Packard Enterprise Co.   578,981     8,818
  HP Inc.   310,998     8,811
* Western Digital Corp.   146,593     8,718
  Entegris Inc.    64,347     8,646
* Zoom Video Communications Inc. Class A   114,985     8,133
  Leidos Holdings Inc.    62,047     7,933
  Skyworks Solutions Inc.    71,907     7,544
* Akamai Technologies Inc.    67,524     7,490
* VeriSign Inc.    38,023     7,425
* Okta Inc.    64,687     6,941
  SS&C Technologies Holdings Inc.    98,252     6,265
  Microchip Technology Inc.    69,884     5,880
* Nutanix Inc. Class A    83,142     5,251
  NetApp Inc.    57,460     5,121
* Qorvo Inc.    44,587     5,107
 
31

 

Russell 1000 Value Index Fund
    Shares Market
Value

($000)
* F5 Inc.    26,716     5,002
  Amdocs Ltd.    52,990     4,833
  Gen Digital Inc. (XNGS)   211,359     4,542
* PTC Inc.    24,698     4,520
* Guidewire Software Inc.    36,766     4,388
* Ceridian HCM Holding Inc.    60,910     4,249
* AppLovin Corp. Class A    70,774     4,227
* Twilio Inc. Class A    63,904     3,808
* DoorDash Inc. Class A    29,958     3,732
* CACI International Inc. Class A     9,944     3,727
* Coherent Corp.    58,516     3,480
  Science Applications International Corp.    23,913     3,347
  Jabil Inc.    20,904     3,012
* GoDaddy Inc. Class A    26,067     2,976
  Lam Research Corp.     3,139     2,945
* Arrow Electronics Inc.    25,013     2,939
  TD SYNNEX Corp.    26,324     2,735
* SentinelOne Inc. Class A    91,877     2,588
* Aspen Technology Inc.    12,372     2,399
* Unity Software Inc.    80,128     2,349
  KBR Inc.    38,585     2,316
* Cirrus Logic Inc.    24,931     2,289
* ANSYS Inc.     6,844     2,287
* Kyndryl Holdings Inc.   102,530     2,253
  Dolby Laboratories Inc. Class A    26,831     2,173
* DXC Technology Co.    92,998     2,033
  Universal Display Corp.    11,536     2,012
* Tyler Technologies Inc.     4,562     1,994
  Avnet Inc.    42,128     1,963
*,1 GLOBALFOUNDRIES Inc.    35,461     1,939
* IAC Inc.    33,475     1,901
*,1 Clarivate plc   212,721     1,527
* Pure Storage Inc. Class A    28,104     1,480
* Wolfspeed Inc.    56,082     1,459
  Concentrix Corp.    19,819     1,436
  Dun & Bradstreet Holdings Inc.   122,750     1,294
  Teradyne Inc.    11,713     1,213
* IPG Photonics Corp.    13,523     1,168
* ZoomInfo Technologies Inc.    66,022     1,106
* CCC Intelligent Solutions Holdings Inc.    91,107     1,067
* UiPath Inc. Class A    40,065       951
* nCino Inc.    29,099       868
  CDW Corp.     3,512       865
* NCR Voyix Corp.    58,079       848
* Informatica Inc. Class A    17,627       574
* Match Group Inc.    12,527       451
* HashiCorp Inc. Class A    13,802       360
* Paycor HCM Inc.    15,726       332
  Bentley Systems Inc. Class B     6,296       323
* Dropbox Inc. Class A    12,775       306
* Maplebear Inc.     2,856        93
        791,619
Telecommunications (3.8%)
  Cisco Systems Inc. 1,836,937    88,853
  Comcast Corp. Class A 1,809,004    77,516
  Verizon Communications Inc. 1,906,645    76,304
  AT&T Inc. 3,243,725    54,916
  T-Mobile US Inc.   237,047    38,710
  Juniper Networks Inc.   143,882     5,328
* Ciena Corp.    66,840     3,809
    Shares Market
Value

($000)
* Roku Inc.    48,806     3,084
* Liberty Broadband Corp. Class C    45,313     2,727
* Frontier Communications Parent Inc.   110,682     2,621
  Motorola Solutions Inc.     6,005     1,984
* Lumentum Holdings Inc.    30,310     1,469
  Cable One Inc.     2,318     1,057
* ViaSat Inc.    52,988     1,037
* Liberty Broadband Corp. Class A     2,353       141
  Iridium Communications Inc.     3,882       112
  Ubiquiti Inc.       275        32
*,2 GCI Liberty Inc.    26,959        —
        359,700
Utilities (4.9%)
  NextEra Energy Inc.   917,392    50,631
  Southern Co.   493,254    33,171
  Duke Energy Corp.   348,807    32,031
  Constellation Energy Corp.   145,779    24,556
  Sempra   285,859    20,182
  American Electric Power Co. Inc.   233,574    19,898
  Dominion Energy Inc.   379,073    18,131
  Republic Services Inc.    93,460    17,159
  Exelon Corp.   450,502    16,146
  PG&E Corp.   924,899    15,437
  Public Service Enterprise Group Inc.   225,026    14,042
  Consolidated Edison Inc.   156,982    13,690
  Xcel Energy Inc.   249,147    13,128
  Edison International   171,735    11,681
  WEC Energy Group Inc.   142,716    11,202
  American Water Works Co. Inc.    88,111    10,445
  DTE Energy Co.    93,198    10,098
  Entergy Corp.    95,724     9,723
  Eversource Energy   157,610     9,252
  FirstEnergy Corp.   246,267     9,016
  PPL Corp.   333,793     8,802
  Ameren Corp.   118,435     8,431
  CenterPoint Energy Inc.   285,430     7,849
  Atmos Energy Corp.    67,013     7,566
  CMS Energy Corp.   131,555     7,547
  Vistra Corp.   116,602     6,359
  NRG Energy Inc.   102,906     5,693
  Alliant Energy Corp.   113,595     5,424
  Evergy Inc.   100,650     4,986
  NiSource Inc.   186,926     4,871
* Clean Harbors Inc.    22,868     4,164
  Waste Management Inc.    18,617     3,829
  Essential Utilities Inc.   109,936     3,824
  Pinnacle West Capital Corp.    51,188     3,498
  OGE Energy Corp.    90,319     2,972
  UGI Corp.    93,925     2,299
* Stericycle Inc.    41,377     2,251
  IDACORP Inc.    22,858     2,014
  National Fuel Gas Co.    40,092     1,954
  AES Corp.   117,453     1,785
1 Brookfield Renewable Corp. Class A    60,138     1,427
* Sunrun Inc.    95,336     1,148
  Clearway Energy Inc. Class C    50,476     1,100
  Avangrid Inc.    32,207     1,003
 
32

 

Russell 1000 Value Index Fund
    Shares Market
Value

($000)
  Hawaiian Electric Industries Inc.    50,098       610
  Clearway Energy Inc. Class A     1,070        22
        461,047
Total Common Stocks (Cost $8,519,768) 9,458,825
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
3,4 Vanguard Market Liquidity Fund, 5.400% (Cost $11,051)   110,545          11,054
Total Investments (99.9%) (Cost $8,530,819) 9,469,879
Other Assets and Liabilities—Net (0.1%) 10,614
Net Assets (100%) 9,480,493
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 $9,496,000.
2 Security value determined using significant unobservable inputs.
3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
4 Collateral of $10,438,000 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 2024 54 13,780 235
    
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)
Carrier Global Corp. 8/30/24 BANA 3,891 (5.326) (3)
Johnson Controls International plc 8/30/24 BANA 2,845 (5.326) (11)
          (14)
1 Based on Overnight Bank Funding Rate as of the most recent reset date. Floating interest payment received/paid monthly.
  BANA—Bank of America, N.A.
  
See accompanying Notes, which are an integral part of the Financial Statements.
33

 

Russell 1000 Value Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $8,519,768) 9,458,825
Affiliated Issuers (Cost $11,051) 11,054
Total Investments in Securities 9,469,879
Investment in Vanguard 286
Cash 580
Cash Collateral Pledged—Futures Contracts 560
Receivables for Investment Securities Sold 438
Receivables for Accrued Income 20,237
Receivables for Capital Shares Issued 585
Variation Margin Receivable—Futures Contracts 55
Total Assets 9,492,620
Liabilities  
Payables for Investment Securities Purchased 1,375
Collateral for Securities on Loan 10,438
Payables for Capital Shares Redeemed 19
Payables to Vanguard 281
Unrealized Depreciation—Over-the-Counter Swap Contracts 14
Total Liabilities 12,127
Net Assets 9,480,493
1 Includes $9,496,000 of securities on loan.  
At February 29, 2024, net assets consisted of:  
   
Paid-in Capital 9,299,037
Total Distributable Earnings (Loss) 181,456
Net Assets 9,480,493
 
ETF Shares—Net Assets  
Applicable to 107,552,615 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
8,091,295
Net Asset Value Per Share—ETF Shares $75.23
 
Institutional Shares—Net Assets  
Applicable to 4,727,628 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
1,389,198
Net Asset Value Per Share—Institutional Shares $293.85
  
See accompanying Notes, which are an integral part of the Financial Statements.
34

 

Russell 1000 Value Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends1 101,208
Interest2 227
Securities Lending—Net 539
Total Income 101,974
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 97
Management and Administrative—ETF Shares 2,419
Management and Administrative—Institutional Shares 405
Marketing and Distribution—ETF Shares 195
Marketing and Distribution—Institutional Shares 23
Custodian Fees 128
Shareholders’ Reports—ETF Shares 81
Shareholders’ Reports—Institutional Shares 1
Trustees’ Fees and Expenses 3
Other Expenses 9
Total Expenses 3,361
Expenses Paid Indirectly (1)
Net Expenses 3,360
Net Investment Income 98,614
Realized Net Gain (Loss)  
Investment Securities Sold2,3 91,668
Futures Contracts 974
Swap Contracts (217)
Realized Net Gain (Loss) 92,425
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 651,770
Futures Contracts 37
Swap Contracts (14)
Change in Unrealized Appreciation (Depreciation) 651,793
Net Increase (Decrease) in Net Assets Resulting from Operations 842,832
1 Dividends are net of foreign withholding taxes of $19,000.
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 $212,000, ($4,000), less than $1,000, and less than $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $111,973,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
35

 

Russell 1000 Value Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 98,614   181,917
Realized Net Gain (Loss) 92,425   295,118
Change in Unrealized Appreciation (Depreciation) 651,793   169,788
Net Increase (Decrease) in Net Assets Resulting from Operations 842,832   646,823
Distributions      
ETF Shares (88,489)   (145,415)
Institutional Shares (16,264)   (34,279)
Total Distributions (104,753)   (179,694)
Capital Share Transactions      
ETF Shares 696,065   400,261
Institutional Shares (118,446)   (290,991)
Net Increase (Decrease) from Capital Share Transactions 577,619   109,270
Total Increase (Decrease) 1,315,698   576,399
Net Assets      
Beginning of Period 8,164,795   7,588,396
End of Period 9,480,493   8,164,795
  
See accompanying Notes, which are an integral part of the Financial Statements.
36

 

Russell 1000 Value Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 20211 20201 20191
Net Asset Value, Beginning of Period $69.71 $65.70 $71.54 $53.52 $54.61 $55.60
Investment Operations            
Net Investment Income2 .799 1.523 1.415 1.282 1.408 1.357
Net Realized and Unrealized Gain (Loss) on Investments 5.571 3.964 (5.875) 17.932 (1.056) (1.054)
Total from Investment Operations 6.370 5.487 (4.460) 19.214 .352 .303
Distributions            
Dividends from Net Investment Income (.850) (1.477) (1.380) (1.194) (1.442) (1.293)
Distributions from Realized Capital Gains
Total Distributions (.850) (1.477) (1.380) (1.194) (1.442) (1.293)
Net Asset Value, End of Period $75.23 $69.71 $65.70 $71.54 $53.52 $54.61
Total Return 9.23% 8.55% -6.32% 36.32% 0.75% 0.60%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $8,091 $6,760 $5,980 $6,569 $2,646 $1,914
Ratio of Total Expenses to Average Net Assets 0.08%3 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 2.28% 2.27% 2.02% 1.99% 2.65% 2.51%
Portfolio Turnover Rate4 2% 15% 14% 19% 24% 17%
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 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
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.
37

 

Russell 1000 Value Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $272.26 $256.61 $279.40 $209.00 $213.25 $217.14
Investment Operations            
Net Investment Income1 3.116 5.952 5.555 5.002 5.594 5.294
Net Realized and Unrealized Gain (Loss) on Investments 21.804 15.489 (22.930) 70.071 (4.226) (4.087)
Total from Investment Operations 24.920 21.441 (17.375) 75.073 1.368 1.207
Distributions            
Dividends from Net Investment Income (3.330) (5.791) (5.415) (4.673) (5.618) (5.097)
Distributions from Realized Capital Gains
Total Distributions (3.330) (5.791) (5.415) (4.673) (5.618) (5.097)
Net Asset Value, End of Period $293.85 $272.26 $256.61 $279.40 $209.00 $213.25
Total Return 9.24% 8.55% -6.30% 36.35% 0.81% 0.61%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,389 $1,405 $1,608 $1,773 $1,207 $1,889
Ratio of Total Expenses to Average Net Assets 0.07%2 0.07% 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 2.28% 2.27% 2.03% 2.01% 2.64% 2.52%
Portfolio Turnover Rate3 2% 15% 14% 19% 24% 17%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%.
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
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.
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 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 valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other 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.
During the six months ended February 29, 2024, 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.
39

 

Russell 1000 Value Index Fund
3.  Swap Contracts: The fund has entered into equity swap contracts to earn the total return on selected reference stocks or indexes 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 29, 2024, 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 virtually 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.
40

 

Russell 1000 Value Index Fund
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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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. 
41

 

Russell 1000 Value Index Fund
For the six months ended February 29, 2024, 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 29, 2024, the fund had contributed to Vanguard capital in the amount of $286,000, representing less than 0.01% of the fund’s net assets and 0.11% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2024, custodian fee offset arrangements reduced the fund’s expenses by $1,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments 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.
42

 

Russell 1000 Value Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2024, based on the inputs used to value them:
  Level 1
($000)
Level 2
($000)
Level 3
($000)
Total
($000)
Investments        
Assets        
Common Stocks 9,458,760 65 9,458,825
Temporary Cash Investments 11,054 11,054
Total 9,469,814 65 9,469,879
Derivative Financial Instruments        
Assets        
Futures Contracts1 235 235
Liabilities        
Swap Contracts 14 14
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.
E. As of February 29, 2024, 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 8,557,929
Gross Unrealized Appreciation 1,475,937
Gross Unrealized Depreciation (563,752)
Net Unrealized Appreciation (Depreciation) 912,185
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, 2023, the fund had available capital losses totaling $862,433,000 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, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2024, the fund purchased $196,932,000 of investment securities and sold $281,647,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $1,091,092,000 and $434,046,000, 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 29, 2024, such purchases were $37,567,000 and sales were $6,063,000, resulting in net realized loss of $884,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
43

 

Russell 1000 Value Index Fund
G. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 1,130,399 16,775   2,616,326 39,050
Issued in Lieu of Cash Distributions  
Redeemed (434,334) (6,200)   (2,216,065) (33,100)
Net Increase (Decrease)—ETF Shares 696,065 10,575   400,261 5,950
Institutional Shares          
Issued 85,781 309   283,411 1,096
Issued in Lieu of Cash Distributions 13,928 51   29,613 117
Redeemed (218,155) (792)   (604,015) (2,319)
Net Increase (Decrease)—Institutional Shares (118,446) (432)   (290,991) (1,106)
H. Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I. Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
44

 

Russell 1000 Growth Index Fund
Fund Allocation
As of February 29, 2024
Basic Materials 0.4%
Consumer Discretionary 19.2
Consumer Staples 2.5
Energy 0.5
Financials 2.5
Health Care 10.1
Industrials 9.9
Real Estate 0.9
Technology 53.1
Telecommunications 0.6
Utilities 0.3
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.
45

 

Russell 1000 Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (0.4%)
  Ecolab Inc.    191,471     43,050
  Fastenal Co.    423,780     30,940
  Linde plc     45,209     20,291
  Southern Copper Corp.     84,523      6,835
  Avery Dennison Corp.     26,346      5,705
  Scotts Miracle-Gro Co.     40,279      2,646
* Valvoline Inc.     35,055      1,495
  FMC Corp.     17,718        999
         111,961
Consumer Discretionary (19.2%)
* Amazon.com Inc.  8,933,295  1,579,049
* Tesla Inc.  2,735,981    552,340
  Home Depot Inc.    991,831    377,501
  Costco Wholesale Corp.    439,341    326,821
* Netflix Inc.    428,155    258,143
* Uber Technologies Inc.  1,951,414    155,137
* Booking Holdings Inc.     35,390    122,762
  TJX Cos. Inc.  1,142,461    113,264
  Starbucks Corp.  1,118,699    106,164
  Lowe's Cos. Inc.    419,764    101,025
  McDonald's Corp.    298,687     87,300
* Chipotle Mexican Grill Inc.     27,200     73,134
  Target Corp.    455,909     69,718
  NIKE Inc. Class B    628,596     65,330
* Airbnb Inc. Class A    401,777     63,268
  Marriott International Inc. Class A    241,481     60,339
* O'Reilly Automotive Inc.     49,688     54,032
* Lululemon Athletica Inc.    110,296     51,518
  Ross Stores Inc.    310,664     46,276
* Copart Inc.    849,969     45,176
* AutoZone Inc.     14,532     43,683
* Trade Desk Inc. Class A    436,726     37,309
* Spotify Technology SA    138,968     35,633
  Yum! Brands Inc.    243,750     33,740
  Dollar General Corp.    217,071     31,543
  Tractor Supply Co.    108,622     27,625
* Ulta Beauty Inc.     48,718     26,725
* Deckers Outdoor Corp.     25,938     23,230
  Hilton Worldwide Holdings Inc.    112,861     23,060
* Coupang Inc.  1,085,848     20,110
  Las Vegas Sands Corp.    340,328     18,555
* Roblox Corp. Class A    459,849     18,348
* DraftKings Inc. Class A    413,982     17,934
    Shares Market
Value

($000)
  Domino's Pizza Inc.     34,615     15,520
  Pool Corp.     37,684     15,003
* Expedia Group Inc.     99,668     13,637
* Burlington Stores Inc.     64,009     13,128
* Floor & Decor Holdings Inc. Class A    103,314     12,513
  Rollins Inc.    252,867     11,144
* Five Below Inc.     54,422     10,921
  Estee Lauder Cos. Inc. Class A     71,917     10,685
  RB Global Inc. (XTSE)    137,732     10,455
  Wingstop Inc.     29,577     10,383
  Texas Roadhouse Inc.     66,280      9,900
  Darden Restaurants Inc.     55,896      9,542
* Royal Caribbean Cruises Ltd.     69,849      8,616
  Churchill Downs Inc.     70,460      8,587
  Murphy USA Inc.     18,383      7,666
* Crocs Inc.     60,365      7,380
* Lyft Inc. Class A    341,722      5,426
  TKO Group Holdings Inc.     60,296      5,049
* Etsy Inc.     68,779      4,931
  H&R Block Inc.     93,993      4,601
  Service Corp. International     53,625      3,925
* American Airlines Group Inc.    244,141      3,828
* Caesars Entertainment Inc.     85,105      3,699
* YETI Holdings Inc.     86,676      3,557
* Live Nation Entertainment Inc.     35,471      3,440
* BJ's Wholesale Club Holdings Inc.     46,315      3,383
  Choice Hotels International Inc.     29,939      3,351
  Wendy's Co.    172,829      3,130
* Planet Fitness Inc. Class A     40,709      2,526
* SiteOne Landscape Supply Inc.     13,869      2,337
  U-Haul Holding Co.     35,985      2,288
  Best Buy Co. Inc.     25,851      2,091
* NVR Inc.        258      1,967
* Norwegian Cruise Line Holdings Ltd.     99,320      1,926
  Williams-Sonoma Inc.      7,977      1,879
  Nexstar Media Group Inc.     10,980      1,824
46

 

Russell 1000 Growth Index Fund
    Shares Market
Value

($000)
  Tempur Sealy International Inc.     33,163      1,806
* Wayfair Inc. Class A     28,188      1,680
* Ollie's Bargain Outlet Holdings Inc.     19,419      1,557
  eBay Inc.     32,337      1,529
* Peloton Interactive Inc. Class A    328,330      1,484
  Travel & Leisure Co.     30,308      1,354
  Delta Air Lines Inc.     31,086      1,314
* Grand Canyon Education Inc.      7,922      1,068
* Victoria's Secret & Co.     33,529        958
  Vail Resorts Inc.      3,486        803
* Bright Horizons Family Solutions Inc.      6,735        774
  Dick's Sporting Goods Inc.      4,150        738
  Avis Budget Group Inc.      6,540        707
* Cava Group Inc.     11,996        701
* CarMax Inc.      8,504        672
  Tapestry Inc.     13,846        658
* RH      2,377        652
  Wynn Resorts Ltd.      5,908        621
* Skechers USA Inc. Class A      8,807        544
  Polaris Inc.      4,473        415
  Wyndham Hotels & Resorts Inc.      5,374        411
*,1 Birkenstock Holding plc      8,055        403
* U-Haul Holding Co. (XNYS)      5,494        354
* Playtika Holding Corp.     18,095        134
       4,927,367
Consumer Staples (2.5%)
  PepsiCo Inc.    943,912    156,066
  Coca-Cola Co.  1,914,744    114,923
  Procter & Gamble Co.    438,670     69,722
* Monster Beverage Corp.    736,476     43,526
  Sysco Corp.    502,776     40,710
  Kimberly-Clark Corp.    314,274     38,080
  Cencora Inc.    160,102     37,720
  McKesson Corp.     51,141     26,665
  Church & Dwight Co. Inc.    216,711     21,697
  Hershey Co.    110,132     20,696
  Clorox Co.    122,580     18,793
  Lamb Weston Holdings Inc.    135,855     13,886
* Celsius Holdings Inc.    142,278     11,613
  Kenvue Inc.    583,116     11,079
  Brown-Forman Corp. Class B    145,574      8,768
* Performance Food Group Co.     71,650      5,500
  Constellation Brands Inc. Class A     16,179      4,021
* Boston Beer Co. Inc. Class A      8,591      2,647
  Brown-Forman Corp. Class A     38,722      2,321
  Casey's General Stores Inc.      5,142      1,566
* Freshpet Inc.     11,436      1,293
    Shares Market
Value

($000)
  Albertsons Cos. Inc. Class A     33,974        689
         651,981
Energy (0.5%)
  Cheniere Energy Inc.    237,547     36,867
  Hess Corp.    153,790     22,415
  Targa Resources Corp.    219,392     21,553
* Enphase Energy Inc.    131,841     16,745
  Texas Pacific Land Corp.      6,024      9,490
  APA Corp.    270,029      8,044
  Halliburton Co.    179,812      6,306
  Ovintiv Inc. (XNYS)    113,648      5,615
  ONEOK Inc.     31,013      2,330
1 New Fortress Energy Inc.     63,401      2,229
  Antero Midstream Corp.    107,297      1,438
*,1 ChargePoint Holdings Inc.    290,647        602
         133,634
Financials (2.5%)
  Blackstone Inc.    706,600     90,318
  Progressive Corp.    434,017     82,272
  Marsh & McLennan Cos. Inc.    392,939     79,480
  Apollo Global Management Inc.    516,878     57,787
  Moody's Corp.    143,486     54,442
  Ameriprise Financial Inc.    101,588     41,383
  Ares Management Corp. Class A    161,716     21,448
  MSCI Inc.     38,013     21,324
  LPL Financial Holdings Inc.     74,605     19,986
  Broadridge Financial Solutions Inc.     97,113     19,770
* NU Holdings Ltd. Class A  1,587,039     17,584
  FactSet Research Systems Inc.     37,964     17,561
  KKR & Co. Inc.    161,818     15,900
  Equitable Holdings Inc.    343,791     11,771
  S&P Global Inc.     26,373     11,298
  Kinsale Capital Group Inc.     21,634     11,167
  MarketAxess Holdings Inc.     36,688      7,830
  Brown & Brown Inc.     91,366      7,694
  Morningstar Inc.     25,426      7,592
  Primerica Inc.     22,940      5,626
* Ryan Specialty Holdings Inc.     95,383      4,996
* Arch Capital Group Ltd.     50,451      4,419
  Tradeweb Markets Inc. Class A     39,648      4,196
  Willis Towers Watson plc     13,012      3,547
  RenaissanceRe Holdings Ltd.     13,332      2,997
  Arthur J Gallagher & Co.     11,300      2,756
  Everest Group Ltd.      5,504      2,030
  First Citizens BancShares Inc. Class A      1,150      1,810
 
47

 

Russell 1000 Growth Index Fund
    Shares Market
Value

($000)
  SLM Corp.     85,536      1,782
  RLI Corp.      8,281      1,213
  Blue Owl Capital Inc.     64,390      1,157
  TPG Inc.     20,232        897
  XP Inc. Class A     26,352        623
* Rocket Cos. Inc. Class A     39,914        501
  Houlihan Lokey Inc.      3,565        459
  Lincoln National Corp.     15,271        421
* Brighthouse Financial Inc.      6,353        296
1 UWM Holdings Corp.     29,525        188
         636,521
Health Care (10.1%)
  Eli Lilly & Co.    839,118    632,426
  UnitedHealth Group Inc.    775,170    382,624
  AbbVie Inc.  1,749,773    308,048
  Thermo Fisher Scientific Inc.    235,716    134,401
* Intuitive Surgical Inc.    346,405    133,574
  Amgen Inc.    360,221     98,639
* Vertex Pharmaceuticals Inc.    233,680     98,319
  Zoetis Inc.    458,838     91,001
  Merck & Co. Inc.    463,478     58,931
* Edwards Lifesciences Corp.    596,854     50,655
* IDEXX Laboratories Inc.     81,644     46,964
* DexCom Inc.    383,235     44,099
* IQVIA Holdings Inc.    167,014     41,279
* Veeva Systems Inc. Class A    143,583     32,379
  Agilent Technologies Inc.    235,223     32,310
  Stryker Corp.     89,405     31,209
  West Pharmaceutical Services Inc.     73,300     26,268
  ResMed Inc.    143,911     25,000
* Align Technology Inc.     75,625     22,871
  Humana Inc.     53,658     18,797
  Elevance Health Inc.     31,341     15,710
* Alnylam Pharmaceuticals Inc.     98,390     14,866
  Cardinal Health Inc.    125,053     14,003
  Abbott Laboratories    108,424     12,863
  HCA Healthcare Inc.     40,797     12,716
* Neurocrine Biosciences Inc.     95,590     12,465
* Molina Healthcare Inc.     31,223     12,299
* Sarepta Therapeutics Inc.     88,479     11,316
* Insulet Corp.     68,751     11,275
  Bio-Techne Corp.    145,232     10,685
* Karuna Therapeutics Inc.     31,518      9,896
* Shockwave Medical Inc.     35,948      9,378
* Natera Inc.    106,369      9,200
* Medpace Holdings Inc.     23,062      9,168
  Bruker Corp.    105,138      9,099
* Penumbra Inc.     35,959      8,448
* Incyte Corp.    134,527      7,851
  Cigna Group     21,493      7,225
* DaVita Inc.     53,524      6,796
* Regeneron Pharmaceuticals Inc.      6,805      6,574
* Illumina Inc.     46,705      6,531
    Shares Market
Value

($000)
  Chemed Corp.     10,251      6,418
* Apellis Pharmaceuticals Inc.    100,003      6,197
* Masimo Corp.     42,930      5,518
* Ionis Pharmaceuticals Inc.    121,316      5,485
* Inspire Medical Systems Inc.     28,446      5,093
* Exelixis Inc.    230,794      5,054
* Repligen Corp.     24,400      4,733
* 10X Genomics Inc. Class A     92,068      4,294
* Ultragenyx Pharmaceutical Inc.     78,593      4,065
* ICON plc     12,138      3,892
* Roivant Sciences Ltd.    335,524      3,838
* Jazz Pharmaceuticals plc     31,760      3,776
* Exact Sciences Corp.     61,974      3,565
  GE Healthcare Inc.     30,350      2,770
* BioMarin Pharmaceutical Inc.     21,471      1,853
* Globus Medical Inc. Class A     32,840      1,773
* Novocure Ltd.    103,031      1,577
* agilon health Inc.    254,758      1,562
* Doximity Inc. Class A     50,806      1,434
* Sotera Health Co.     67,478      1,013
* Certara Inc.     42,548        718
  Encompass Health Corp.      6,308        469
* Maravai LifeSciences Holdings Inc. Class A     60,264        466
* Ginkgo Bioworks Holdings Inc.    142,079        216
* Tandem Diabetes Care Inc.      7,679        205
       2,604,142
Industrials (9.9%)
  Visa Inc. Class A  1,581,689    447,049
  Mastercard Inc. Class A    823,290    390,865
  Accenture plc Class A    626,497    234,799
  Caterpillar Inc.    379,493    126,735
  Lockheed Martin Corp.    219,679     94,075
  Deere & Co.    245,644     89,672
  Automatic Data Processing Inc.    351,980     88,393
  Union Pacific Corp.    258,615     65,608
  Sherwin-Williams Co.    196,278     65,170
  Illinois Tool Works Inc.    241,913     63,417
* PayPal Holdings Inc.    986,036     59,497
  Cintas Corp.     76,391     48,020
  WW Grainger Inc.     43,828     42,665
  American Express Co.    188,999     41,470
  Old Dominion Freight Line Inc.     91,028     40,278
  Paychex Inc.    319,503     39,177
  Verisk Analytics Inc.    141,531     34,236
  Rockwell Automation Inc.    113,783     32,437
* Fair Isaac Corp.     24,019     30,502
  United Parcel Service Inc. Class B (XNYS)    199,279     29,545
* Mettler-Toledo International Inc.     21,599     26,939
* Fiserv Inc.    162,331     24,231
  Equifax Inc.     83,632     22,881
* Axon Enterprise Inc.     69,752     21,440
 
48

 

Russell 1000 Growth Index Fund
    Shares Market
Value

($000)
* Waters Corp.     58,004     19,572
  Trane Technologies plc     66,801     18,836
  Booz Allen Hamilton Holding Corp.    127,173     18,785
* FleetCor Technologies Inc.     66,315     18,520
  Honeywell International Inc.     85,145     16,921
* Block Inc. (XNYS)    200,018     15,895
* Boeing Co.     75,119     15,303
  Lincoln Electric Holdings Inc.     51,748     13,279
  HEICO Corp. Class A     72,047     11,210
  Advanced Drainage Systems Inc.     67,798     11,067
  Allegion plc     80,778     10,329
  TransDigm Group Inc.      8,750     10,305
* Trex Co. Inc.    107,917      9,902
  Toro Co.    103,289      9,535
  United Rentals Inc.     13,748      9,531
  Hubbell Inc.     24,217      9,219
  Quanta Services Inc.     37,458      9,046
  PPG Industries Inc.     58,485      8,281
  CSX Corp.    216,240      8,204
  HEICO Corp.     40,450      7,823
  Vulcan Materials Co.     28,773      7,649
* Paylocity Holding Corp.     41,579      7,011
* Keysight Technologies Inc.     45,192      6,973
  CH Robinson Worldwide Inc.     88,947      6,589
  Graco Inc.     68,017      6,207
  Eagle Materials Inc.     22,698      5,755
  Landstar System Inc.     28,142      5,353
  EMCOR Group Inc.     16,044      5,030
* Shift4 Payments Inc. Class A     53,430      4,393
* WEX Inc.     19,800      4,351
  Graphic Packaging Holding Co.    163,582      4,245
  Jack Henry & Associates Inc.     23,122      4,018
  Northrop Grumman Corp.      8,170      3,767
  Donaldson Co. Inc.     51,311      3,675
  Xylem Inc.     28,564      3,629
  JB Hunt Transport Services Inc.     16,478      3,400
  Watsco Inc.      8,246      3,250
  RPM International Inc.     24,723      2,852
  Sealed Air Corp.     80,687      2,814
* Euronet Worldwide Inc.     22,907      2,507
* Zebra Technologies Corp. Class A      8,866      2,478
  Expeditors International of Washington Inc.     19,363      2,316
* WillScot Mobile Mini Holdings Corp.     47,011      2,245
  Ferguson plc     10,592      2,240
  Otis Worldwide Corp.     23,407      2,231
  Vontier Corp.     51,018      2,194
  Tetra Tech Inc.      9,153      1,623
* Saia Inc.      2,780      1,600
  BWX Technologies Inc.     15,043      1,517
  Armstrong World Industries Inc.     12,123      1,462
  Genpact Ltd.     42,524      1,446
  IDEX Corp.      5,711      1,347
    Shares Market
Value

($000)
* FTI Consulting Inc.      5,960      1,233
  MSA Safety Inc.      5,955      1,097
  A O Smith Corp.     12,262      1,016
* TopBuild Corp.      1,920        773
* Axalta Coating Systems Ltd.     22,428        734
  Western Union Co.     52,145        699
  Allison Transmission Holdings Inc.      8,153        614
  Brunswick Corp.      5,151        450
  Ardagh Metal Packaging SA    126,405        415
* Spirit AeroSystems Holdings Inc. Class A     10,226        292
  Valmont Industries Inc.      1,295        274
       2,534,428
Real Estate (0.9%)
  American Tower Corp.    461,423     91,759
  Equinix Inc.     46,427     41,265
  Public Storage     90,234     25,615
* CoStar Group Inc.    172,371     15,001
  Iron Mountain Inc.    142,080     11,173
  Simon Property Group Inc.     70,190     10,398
  Lamar Advertising Co. Class A     66,565      7,359
  Crown Castle Inc.     45,716      5,026
  Equity LifeStyle Properties Inc.     58,741      3,954
  Sun Communities Inc.     27,024      3,615
  SBA Communications Corp.     10,385      2,173
  UDR Inc.     17,491        621
         217,959
Technology (53.0%)
  Microsoft Corp.  7,379,253  3,052,354
  Apple Inc. 14,621,716  2,642,875
  NVIDIA Corp.  2,356,010  1,863,887
  Meta Platforms Inc. Class A  2,193,217  1,074,961
* Alphabet Inc. Class A  5,891,517    815,739
* Alphabet Inc. Class C  4,977,419    695,744
  Broadcom Inc.    427,517    555,981
* Adobe Inc.    454,349    254,563
* Salesforce Inc.    707,630    218,530
  Intuit Inc.    270,937    179,601
* Advanced Micro Devices Inc.    904,335    174,112
* ServiceNow Inc.    201,899    155,733
  QUALCOMM Inc.    964,629    152,209
  Applied Materials Inc.    700,081    141,150
  Lam Research Corp.    123,537    115,909
* Palo Alto Networks Inc.    298,831     92,802
  KLA Corp.    136,006     92,797
* Synopsys Inc.    150,678     86,448
* Cadence Design Systems Inc.    267,968     81,564
  Oracle Corp.    628,822     70,227
* Crowdstrike Holdings Inc. Class A    211,621     68,597
  Texas Instruments Inc.    367,449     61,485
* Snowflake Inc. Class A    311,643     58,676
* Workday Inc. Class A    199,014     58,641
* Autodesk Inc.    212,960     54,980
* Palantir Technologies Inc. Class A  1,886,990     47,326
* Fortinet Inc.    651,046     44,994
 
49

 

Russell 1000 Growth Index Fund
    Shares Market
Value

($000)
* Datadog Inc. Class A    270,525     35,563
* Gartner Inc.     76,003     35,384
  Monolithic Power Systems Inc.     45,568     32,811
  Microchip Technology Inc.    380,133     31,984
* Atlassian Corp. Ltd. Class A    153,605     31,861
  Amphenol Corp. Class A    290,650     31,751
  CDW Corp.    126,185     31,068
* MongoDB Inc.     66,372     29,707
* DoorDash Inc. Class A    237,338     29,565
* Cloudflare Inc. Class A    288,011     28,381
* HubSpot Inc.     45,271     28,014
* Splunk Inc.    154,161     24,083
* ANSYS Inc.     70,942     23,707
* Pinterest Inc. Class A    579,839     21,280
* Zscaler Inc.     87,609     21,199
* EPAM Systems Inc.     55,167     16,793
* Manhattan Associates Inc.     61,013     15,456
* Tyler Technologies Inc.     31,228     13,651
  Teradyne Inc.    127,398     13,197
* Dynatrace Inc.    238,092     11,797
* Pure Storage Inc. Class A    220,639     11,617
  Jabil Inc.     77,579     11,178
* PTC Inc.     59,300     10,852
* DocuSign Inc.    200,425     10,677
* Elastic NV     78,582     10,515
* Lattice Semiconductor Corp.    134,954     10,339
* GoDaddy Inc. Class A     88,140     10,061
  Paycom Software Inc.     51,230      9,344
  Bentley Systems Inc. Class B    178,701      9,180
* Globant SA     40,791      9,103
* Match Group Inc.    249,088      8,977
* Toast Inc. Class A    351,085      8,075
  NetApp Inc.     83,274      7,421
* UiPath Inc. Class A    289,219      6,869
* Gitlab Inc. Class A     86,838      6,263
* Confluent Inc. Class A    184,316      6,243
* Procore Technologies Inc.     78,973      6,162
* Dropbox Inc. Class A    227,460      5,448
* Smartsheet Inc. Class A    126,884      5,356
  HP Inc.    175,594      4,975
* Five9 Inc.     70,515      4,301
* DoubleVerify Holdings Inc.    136,206      4,207
* Teradata Corp.     99,092      3,728
* Nutanix Inc. Class A     58,767      3,712
  Universal Display Corp.     21,058      3,673
* Unity Software Inc.    114,716      3,363
* AppLovin Corp. Class A     53,219      3,178
* Alteryx Inc. Class A     61,050      2,933
* RingCentral Inc. Class A     85,384      2,853
  KBR Inc.     47,314      2,840
  Pegasystems Inc.     40,989      2,666
* ZoomInfo Technologies Inc.    152,638      2,558
* Allegro MicroSystems Inc.     73,317      2,309
  Gen Digital Inc. (XNGS)     84,345      1,812
    Shares Market
Value

($000)
* HashiCorp Inc. Class A     64,712      1,687
  Vertiv Holdings Co. Class A     24,594      1,663
* Twilio Inc. Class A     27,217      1,622
* Okta Inc.      9,419      1,011
  Entegris Inc.      7,240        973
* VeriSign Inc.      4,546        888
* SentinelOne Inc. Class A     30,658        864
* Ceridian HCM Holding Inc.     12,003        837
* Paycor HCM Inc.     27,829        588
* Maplebear Inc.     13,970        455
* nCino Inc.      5,533        165
* Informatica Inc. Class A      3,185        104
      13,642,782
Telecommunications (0.6%)
* Arista Networks Inc.    248,661     69,013
  Motorola Solutions Inc.    150,703     49,791
* Charter Communications Inc. Class A     99,810     29,337
  Iridium Communications Inc.    114,524      3,315
* Liberty Broadband Corp. Class C     23,996      1,444
* Roku Inc.     14,922        943
  Ubiquiti Inc.      3,302        387
  Cable One Inc.        357        163
* Liberty Broadband Corp. Class A      2,706        163
         154,556
Utilities (0.3%)
  Waste Management Inc.    362,512     74,551
  AES Corp.    403,011      6,126
  Vistra Corp.    105,340      5,745
          86,422
Total Common Stocks (Cost $16,941,104) 25,701,753
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
2,3 Vanguard Market Liquidity Fund, 5.400% (Cost $24,629)    246,321           24,629
Total Investments (100.0%) (Cost $16,965,733) 25,726,382
Other Assets and Liabilities—Net (0.0%) (3,602)
Net Assets (100%) 25,722,780
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 $1,608,000.
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 $1,691,000 was received for securities on loan.
 
50

 

Russell 1000 Growth 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 2024 82 20,925 154
  
See accompanying Notes, which are an integral part of the Financial Statements.
51

 

Russell 1000 Growth Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $16,941,104) 25,701,753
Affiliated Issuers (Cost $24,629) 24,629
Total Investments in Securities 25,726,382
Investment in Vanguard 749
Cash Collateral Pledged—Futures Contracts 1,610
Receivables for Investment Securities Sold 278
Receivables for Accrued Income 17,366
Receivables for Capital Shares Issued 2,298
Variation Margin Receivable—Futures Contracts 141
Total Assets 25,748,824
Liabilities  
Due to Custodian 267
Payables for Investment Securities Purchased 51
Collateral for Securities on Loan 1,691
Payables for Capital Shares Redeemed 23,286
Payables to Vanguard 749
Total Liabilities 26,044
Net Assets 25,722,780
1 Includes $1,608,000 of securities on loan.  
At February 29, 2024, net assets consisted of:  
   
Paid-in Capital 17,619,276
Total Distributable Earnings (Loss) 8,103,504
Net Assets 25,722,780
 
ETF Shares—Net Assets  
Applicable to 222,406,844 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
18,986,915
Net Asset Value Per Share—ETF Shares $85.37
 
Institutional Shares—Net Assets  
Applicable to 10,257,507 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
6,735,865
Net Asset Value Per Share—Institutional Shares $656.68
  
See accompanying Notes, which are an integral part of the Financial Statements.
52

 

Russell 1000 Growth Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends1 83,623
Interest2 787
Securities Lending—Net 54
Total Income 84,464
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 227
Management and Administrative—ETF Shares 5,380
Management and Administrative—Institutional Shares 1,371
Marketing and Distribution—ETF Shares 413
Marketing and Distribution—Institutional Shares 84
Custodian Fees 76
Shareholders’ Reports—ETF Shares 260
Shareholders’ Reports—Institutional Shares 9
Trustees’ Fees and Expenses 8
Other Expenses 9
Total Expenses 7,837
Expenses Paid Indirectly (15)
Net Expenses 7,822
Net Investment Income 76,642
Realized Net Gain (Loss)  
Investment Securities Sold2,3 272,400
Futures Contracts 2,476
Realized Net Gain (Loss) 274,876
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 3,399,172
Futures Contracts 2
Change in Unrealized Appreciation (Depreciation) 3,399,174
Net Increase (Decrease) in Net Assets Resulting from Operations 3,750,692
1 Dividends are net of foreign withholding taxes of $17,000.
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 $756,000, ($5,000), less than $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $249,431,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
53

 

Russell 1000 Growth Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 76,642   126,251
Realized Net Gain (Loss) 274,876   383,172
Change in Unrealized Appreciation (Depreciation) 3,399,174   2,713,994
Net Increase (Decrease) in Net Assets Resulting from Operations 3,750,692   3,223,417
Distributions      
ETF Shares (60,576)   (90,542)
Institutional Shares (15,288)   (27,545)
Total Distributions (75,864)   (118,087)
Capital Share Transactions      
ETF Shares 2,460,681   3,874,680
Institutional Shares 2,222,119   320,229
Net Increase (Decrease) from Capital Share Transactions 4,682,800   4,194,909
Total Increase (Decrease) 8,357,628   7,300,239
Net Assets      
Beginning of Period 17,365,152   10,064,913
End of Period 25,722,780   17,365,152
  
See accompanying Notes, which are an integral part of the Financial Statements.
54

 

Russell 1000 Growth Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 20211 20201 20191
Net Asset Value, Beginning of Period $72.51 $60.05 $74.77 $58.66 $41.14 $39.89
Investment Operations            
Net Investment Income2 .286 .578 .523 .460 .475 .481
Net Realized and Unrealized Gain (Loss) on Investments 12.868 12.437 (14.754) 16.099 17.530 1.177
Total from Investment Operations 13.154 13.015 (14.231) 16.559 18.005 1.658
Distributions            
Dividends from Net Investment Income (.294) (.555) (.489) (.449) (.485) (.408)
Distributions from Realized Capital Gains
Total Distributions (.294) (.555) (.489) (.449) (.485) (.408)
Net Asset Value, End of Period $85.37 $72.51 $60.05 $74.77 $58.66 $41.14
Total Return 18.21% 21.87% -19.11% 28.40% 44.18% 4.20%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $18,987 $13,652 $7,311 $7,455 $4,951 $2,872
Ratio of Total Expenses to Average Net Assets 0.08%3 0.08% 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 0.73% 0.92% 0.77% 0.72% 1.04% 1.25%
Portfolio Turnover Rate4 1% 14% 13% 14% 14% 17%
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 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
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.
55

 

Russell 1000 Growth Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $557.73 $461.93 $575.10 $451.15 $316.39 $306.82
Investment Operations            
Net Investment Income1 2.231 4.482 4.036 3.573 3.695 3.711
Net Realized and Unrealized Gain (Loss) on Investments 99.000 95.622 (113.399) 123.861 134.792 9.061
Total from Investment Operations 101.231 100.104 (109.363) 127.434 138.487 12.772
Distributions            
Dividends from Net Investment Income (2.281) (4.304) (3.807) (3.484) (3.727) (3.202)
Distributions from Realized Capital Gains
Total Distributions (2.281) (4.304) (3.807) (3.484) (3.727) (3.202)
Net Asset Value, End of Period $656.68 $557.73 $461.93 $575.10 $451.15 $316.39
Total Return 18.21% 21.86% -19.09% 28.42% 44.24% 4.21%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $6,736 $3,713 $2,754 $3,573 $3,542 $3,076
Ratio of Total Expenses to Average Net Assets 0.07%2 0.07% 0.07% 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 0.74% 0.94% 0.77% 0.74% 1.06% 1.26%
Portfolio Turnover Rate3 1% 14% 13% 14% 14% 17%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%.
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
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.
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 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 valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Other 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.
During the six months ended February 29, 2024, 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.
57

 

Russell 1000 Growth Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually 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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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
58

 

Russell 1000 Growth Index Fund
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 29, 2024, 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 29, 2024, the fund had contributed to Vanguard capital in the amount of $749,000, representing less than 0.01% of the fund’s net assets and 0.30% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2024, custodian fee offset arrangements reduced the fund’s expenses by $15,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments 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 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 29, 2024, 100% of the market value of the fund’s investments and derivatives was determined based on Level 1 inputs.
E. As of February 29, 2024, 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 16,983,897
Gross Unrealized Appreciation 8,901,150
Gross Unrealized Depreciation (158,511)
Net Unrealized Appreciation (Depreciation) 8,742,639
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, 2023, the fund had available capital losses totaling $945,593,000 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, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2024, the fund purchased $2,552,910,000 of investment securities and sold $238,876,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $2,743,569,000 and $376,773,000, 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 29, 2024, such purchases were $45,129,000 and sales were $13,260,000, resulting in net realized loss of $981,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
60

 

Russell 1000 Growth Index Fund
G. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 2,837,549 38,950   5,340,020 88,875
Issued in Lieu of Cash Distributions  
Redeemed (376,868) (4,825)   (1,465,340) (22,325)
Net Increase (Decrease)—ETF Shares 2,460,681 34,125   3,874,680 66,550
Institutional Shares          
Issued 2,572,014 4,195   877,284 1,872
Issued in Lieu of Cash Distributions 13,851 24   24,974 54
Redeemed (363,746) (619)   (582,029) (1,231)
Net Increase (Decrease)—Institutional Shares 2,222,119 3,600   320,229 695
H. Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I. Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
61

 

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.
62

 

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This material may be used in conjunction with the offering of shares of any Vanguard fund only if preceded or accompanied by the fund’s current prospectus.
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.
© 2024 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q18482 042024

Semiannual Report   |   February 29, 2024
Vanguard Russell 2000 Index Funds
Vanguard Russell 2000 Index Fund
Vanguard Russell 2000 Value Index Fund
Vanguard Russell 2000 Growth Index Fund
See the inside front cover for important information about your fund’s annual and semiannual shareholder reports.

 

Important information about shareholder reports
Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
Contents
About Your Fund’s Expenses

1
Russell 2000 Index Fund

3
Russell 2000 Value Index Fund

34
Russell 2000 Growth Index Fund

60

 

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 29, 2024      
  Beginning
Account Value
8/31/2023
Ending
Account Value
2/29/2024
Expenses
Paid During
Period
Based on Actual Fund Return      
Russell 2000 Index Fund      
ETF Shares $1,000.00 $1,089.80 $0.52
Institutional Shares 1,000.00 1,090.00 0.42
Russell 2000 Value Index Fund      
ETF Shares $1,000.00 $1,076.80 $0.77
Institutional Shares 1,000.00 1,077.20 0.41
Russell 2000 Growth Index Fund      
ETF Shares $1,000.00 $1,102.20 $0.78
Institutional Shares 1,000.00 1,102.60 0.42
Based on Hypothetical 5% Yearly Return      
Russell 2000 Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Institutional Shares 1,000.00 1,024.47 0.40
Russell 2000 Value Index Fund      
ETF Shares $1,000.00 $1,024.12 $0.75
Institutional Shares 1,000.00 1,024.47 0.40
Russell 2000 Growth Index Fund      
ETF Shares $1,000.00 $1,024.12 $0.75
Institutional Shares 1,000.00 1,024.47 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 (182/366).
2

 

Russell 2000 Index Fund
Fund Allocation
As of February 29, 2024
Basic Materials 3.8%
Consumer Discretionary 13.3
Consumer Staples 2.8
Energy 7.4
Financials 14.9
Health Care 15.6
Industrials 19.0
Real Estate 5.8
Technology 13.5
Telecommunications 1.3
Utilities 2.6
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 29, 2024
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 (99.3%)
Basic Materials (3.8%)
  UFP Industries Inc.   218,477    25,044
  Commercial Metals Co.   426,393    23,025
  Mueller Industries Inc.   407,944    20,960
* Arcadium Lithium plc 3,722,540    20,437
  Boise Cascade Co.   144,644    19,659
  Balchem Corp.   116,652    18,337
  Cabot Corp.   201,307    17,101
  Avient Corp.   328,945    13,316
  Carpenter Technology Corp.   177,890    11,501
  Innospec Inc.    90,770    11,280
  Sensient Technologies Corp.   153,359    10,257
  Quaker Chemical Corp.    50,445    10,114
  Materion Corp.    74,573    10,017
* Constellium SE   468,574     9,086
* Uranium Energy Corp. 1,375,533     8,913
  Minerals Technologies Inc.   118,366     8,565
  Sylvamo Corp.   130,516     7,884
  Hecla Mining Co. 2,223,403     7,871
  Stepan Co.    77,476     6,911
  Tronox Holdings plc   426,062     6,263
* Ingevity Corp.   132,819     6,067
  Hawkins Inc.    70,473     4,951
  Orion SA   201,231     4,536
  Kaiser Aluminum Corp.    58,131     4,216
  Koppers Holdings Inc.    73,276     4,149
*,1 Energy Fuels Inc.   571,437     3,617
* Worthington Steel Inc.   112,617     3,565
  Mativ Holdings Inc.   198,717     3,452
* TimkenSteel Corp.   158,021     3,437
* Perimeter Solutions SA   555,485     3,377
* Ecovyst Inc.   336,725     3,249
  Ryerson Holding Corp.   102,342     3,232
* US Silica Holdings Inc.   274,609     3,158
* Coeur Mining Inc. 1,203,813     3,118
  Compass Minerals International Inc.   124,601     2,841
  Haynes International Inc.    45,323     2,694
  AdvanSix Inc.    94,941     2,656
  Olympic Steel Inc.    35,854     2,439
* Clearwater Paper Corp.    59,397     2,334
* Novagold Resources Inc.   879,122     2,180
* Encore Energy Corp.   533,825     2,061
* Century Aluminum Co.   191,351     2,003
  Radius Recycling Inc.    94,195     1,861
*,1 Ivanhoe Electric Inc.   229,745     1,700
    Shares Market
Value

($000)
* LSB Industries Inc.   195,467     1,439
  GrafTech International Ltd.   704,972     1,241
* Northwest Pipe Co.    36,149     1,078
  American Vanguard Corp.    98,445     1,055
* Piedmont Lithium Inc.    65,100       948
*,1 i-80 Gold Corp.   704,287       887
  Omega Flex Inc.    12,163       847
* Intrepid Potash Inc.    38,873       819
* Rayonier Advanced Materials Inc.   232,708       789
1 Caledonia Mining Corp. plc    60,264       596
  FutureFuel Corp.    94,016       557
*,1 Contango ORE Inc.    28,128       476
* Dakota Gold Corp.   204,687       434
  Tredegar Corp.    98,450       428
*,1 Perpetua Resources Corp.   135,496       392
* Glatfelter Corp.   158,586       354
*,1 5e Advanced Materials Inc.   140,989       255
* Origin Materials Inc.   423,338       251
*,1 LanzaTech Global Inc.    74,131       239
  Valhi Inc.     8,828       120
* NioCorp Developments Ltd.     7,987        21
        356,660
Consumer Discretionary (13.2%)
* e.l.f. Beauty Inc.   196,191    40,912
* Light & Wonder Inc.   332,197    33,389
*,1 Carvana Co.   349,179    26,513
* Duolingo Inc.   106,098    25,357
* Abercrombie & Fitch Co. Class A   177,537    22,682
* Taylor Morrison Home Corp.   377,049    21,345
  Meritage Homes Corp.   132,417    20,877
  Academy Sports & Outdoors Inc.   263,249    19,670
  KB Home   259,244    17,222
  Signet Jewelers Ltd.   162,389    16,525
* Skyline Champion Corp.   195,034    16,342
* Asbury Automotive Group Inc.    75,633    15,794
  American Eagle Outfitters Inc.   664,779    15,789
* Shake Shack Inc. Class A   137,212    14,588
  MDC Holdings Inc.   218,216    13,682
  Group 1 Automotive Inc.    49,716    13,456
4

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
* Hilton Grand Vacations Inc.   292,369    13,122
* M/I Homes Inc.    98,256    12,478
* Tri Pointe Homes Inc.   350,016    12,384
* Goodyear Tire & Rubber Co. 1,024,557    12,172
  Kontoor Brands Inc.   204,404    12,082
* Cavco Industries Inc.    31,830    11,859
  Steven Madden Ltd.   273,573    11,714
* Adient plc   341,238    11,582
* Visteon Corp.   100,320    11,348
  LCI Industries    90,070    11,347
  Rush Enterprises Inc. Class A   222,924    10,856
* Helen of Troy Ltd.    86,505    10,813
  International Game Technology plc   395,054    10,734
  TEGNA Inc.   734,928    10,296
  Foot Locker Inc.   298,971    10,294
  Red Rock Resorts Inc. Class A   173,105    10,038
* Boot Barn Holdings Inc.   108,366    10,024
  Inter Parfums Inc.    66,972     9,826
* Urban Outfitters Inc.   232,105     9,644
* SkyWest Inc.   147,232     9,455
* frontdoor Inc.   295,091     9,254
* Stride Inc.   154,301     9,219
  Graham Holdings Co. Class B    13,110     9,208
  Strategic Education Inc.    82,225     9,110
* Dorman Products Inc.    95,754     9,022
  Century Communities Inc.   103,676     8,946
* Sonos Inc.   462,224     8,764
* LGI Homes Inc.    75,989     8,670
  Bloomin' Brands Inc.   318,721     8,663
  Papa John's International Inc.   119,383     8,582
* ACV Auctions Inc. Class A   462,287     8,206
  MillerKnoll Inc.   268,490     8,202
* Dave & Buster's Entertainment Inc.   131,537     8,121
* JetBlue Airways Corp. 1,223,011     7,925
* Fox Factory Holding Corp.   155,099     7,846
  PriceSmart Inc.    91,448     7,694
* Coursera Inc.   473,603     7,611
  Winnebago Industries Inc.   105,447     7,564
  HNI Corp.   168,046     7,530
* Topgolf Callaway Brands Corp.   523,177     7,450
* Brinker International Inc.   159,487     7,391
  Acushnet Holdings Corp.   112,408     7,241
* Adtalem Global Education Inc.   144,788     7,167
* Central Garden & Pet Co. Class A   187,600     7,071
  Worthington Enterprises Inc.   112,263     6,974
* Cinemark Holdings Inc.   400,048     6,965
* Hanesbrands Inc. 1,281,029     6,918
* SeaWorld Entertainment Inc.   132,207     6,789
* Gentherm Inc.   119,098     6,772
  Upbound Group Inc.   200,446     6,767
* ODP Corp.   118,134     6,672
* Six Flags Entertainment Corp.   262,937     6,663
* National Vision Holdings Inc.   282,496     6,610
    Shares Market
Value

($000)
* Vista Outdoor Inc.   210,063     6,554
* Atlanta Braves Holdings Inc. Class C   165,467     6,473
  Laureate Education Inc.   476,545     6,390
  Cheesecake Factory Inc.   176,577     6,247
  La-Z-Boy Inc.   158,151     6,008
* OPENLANE Inc.   392,913     6,000
  Dana Inc.   474,289     5,929
* Madison Square Garden Entertainment Corp.   144,838     5,575
* Green Brick Partners Inc.    94,888     5,551
  Oxford Industries Inc.    54,455     5,521
* Beyond Inc.   163,882     5,495
  Jack in the Box Inc.    73,599     5,373
* Knowles Corp.   327,010     5,343
  Cracker Barrel Old Country Store Inc.    80,500     5,323
  Dillard's Inc. Class A    12,797     5,307
* Leslie's Inc.   647,021     5,111
* G-III Apparel Group Ltd.   150,166     4,996
* PROG Holdings Inc.   161,298     4,979
* Sally Beauty Holdings Inc.   391,184     4,941
  Caleres Inc.   123,491     4,768
  Steelcase Inc. Class A   336,619     4,625
  Buckle Inc.   110,969     4,543
* Sweetgreen Inc. Class A   351,469     4,478
* Cars.com Inc.   241,778     4,434
  John Wiley & Sons Inc. Class A   132,725     4,426
* XPEL Inc.    82,160     4,320
* PowerSchool Holdings Inc. Class A   203,962     4,261
  Perdoceo Education Corp.   237,349     4,227
  Allegiant Travel Co.    57,744     4,203
* Sphere Entertainment Co.    96,625     4,184
  Krispy Kreme Inc.   319,122     4,129
  Camping World Holdings Inc. Class A   152,032     4,058
* OneSpaWorld Holdings Ltd.   303,469     3,957
* Lions Gate Entertainment Corp. Class B   431,134     3,915
  Winmark Corp.    10,172     3,861
  Scholastic Corp.    97,132     3,831
  Monro Inc.   113,253     3,802
* Chegg Inc.   414,219     3,703
  Hibbett Inc.    44,639     3,658
* Everi Holdings Inc.   307,111     3,642
* Udemy Inc.   319,653     3,612
  Monarch Casino & Resort Inc.    49,083     3,453
* Dream Finders Homes Inc. Class A    88,003     3,444
* Arlo Technologies Inc.   325,584     3,389
* Beazer Homes USA Inc.   107,437     3,366
*,1 Revolve Group Inc.   149,811     3,285
  Interface Inc.   207,814     3,267
* Malibu Boats Inc. Class A    73,821     3,222
* Sabre Corp. 1,204,645     3,192
  Matthews International Corp. Class A   108,118     3,129
* Vizio Holding Corp. Class A   278,151     3,062
* BJ's Restaurants Inc.    82,686     2,896
  Wolverine World Wide Inc.   282,955     2,878
 
5

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
* American Axle & Manufacturing Holdings Inc.   414,828     2,871
  Sonic Automotive Inc. Class A    53,556     2,812
* QuinStreet Inc.   192,016     2,809
* IMAX Corp.   163,225     2,796
* Hovnanian Enterprises Inc. Class A    17,829     2,793
  Ethan Allen Interiors Inc.    82,906     2,772
  Sturm Ruger & Co. Inc.    63,827     2,765
* Viad Corp.    74,029     2,756
  Golden Entertainment Inc.    73,448     2,722
  Dine Brands Global Inc.    56,043     2,719
* Hawaiian Holdings Inc.   186,045     2,625
  Guess? Inc.   102,445     2,600
* MarineMax Inc.    77,767     2,582
1 Spirit Airlines Inc.   399,330     2,576
* Figs Inc. Class A   464,363     2,429
* Portillo's Inc. Class A   164,564     2,391
*,1 Luminar Technologies Inc.   991,895     2,371
* Thryv Holdings Inc.   113,159     2,370
  Standard Motor Products Inc.    74,578     2,369
* Clear Channel Outdoor Holdings Inc. 1,360,489     2,340
  Smith & Wesson Brands Inc.   166,962     2,292
* Life Time Group Holdings Inc.   163,219     2,243
* Chuy's Holdings Inc.    65,340     2,210
* Accel Entertainment Inc.   194,110     2,199
  Shoe Carnival Inc.    66,301     2,173
  Global Industrial Co.    48,023     2,106
* Lions Gate Entertainment Corp. Class A   212,018     2,059
* Kura Sushi USA Inc. Class A    21,574     2,050
* Sun Country Airlines Holdings Inc.   136,517     2,048
* First Watch Restaurant Group Inc.    80,554     2,018
  Arko Corp.   295,721     1,931
* Savers Value Village Inc.    94,939     1,922
  Haverty Furniture Cos. Inc.    53,435     1,833
* Integral Ad Science Holding Corp.   176,762     1,831
* Clean Energy Fuels Corp.   618,032     1,823
  RCI Hospitality Holdings Inc.    31,942     1,800
  Gray Television Inc.   307,817     1,798
* Universal Technical Institute Inc.   119,526     1,798
  A-Mark Precious Metals Inc.    69,092     1,775
  Sinclair Inc.   119,547     1,775
* European Wax Center Inc. Class A   124,358     1,763
* Corsair Gaming Inc.   135,176     1,751
* Denny's Corp.   186,598     1,722
  Rush Enterprises Inc. Class B    33,918     1,710
* Stoneridge Inc.    95,660     1,681
  Designer Brands Inc. Class A   157,298     1,661
* Daily Journal Corp.     4,863     1,646
    Shares Market
Value

($000)
* Super Group SGHC Ltd.   495,686     1,636
* Instructure Holdings Inc.    71,045     1,628
  Movado Group Inc.    55,384     1,590
* Stagwell Inc.   291,820     1,558
* Central Garden & Pet Co.    35,322     1,550
* Atlanta Braves Holdings Inc. Class A    36,690     1,539
* Liquidity Services Inc.    83,979     1,506
* AMC Networks Inc. Class A   112,533     1,456
* America's Car-Mart Inc.    21,561     1,452
* Boston Omaha Corp. Class A    85,264     1,399
* Rush Street Interactive Inc.   236,485     1,383
* MasterCraft Boat Holdings Inc.    62,042     1,361
* Potbelly Corp.    95,558     1,326
  Marcus Corp.    87,758     1,287
* Genesco Inc.    40,270     1,285
* Sleep Number Corp.    77,370     1,278
  Carrols Restaurant Group Inc.   134,425     1,273
* PlayAGS Inc.   134,915     1,252
  Carriage Services Inc.    49,233     1,222
* Bally's Corp.   107,234     1,205
* Lovesac Co.    51,151     1,179
* Lindblad Expeditions Holdings Inc.   127,012     1,177
  Build-A-Bear Workshop Inc.    48,364     1,158
*,1 iRobot Corp.    99,727     1,138
* Eastman Kodak Co.   209,136     1,117
* Gannett Co. Inc.   523,398     1,115
* Cardlytics Inc.   132,759     1,101
* OneWater Marine Inc. Class A    41,838     1,088
* GoPro Inc. Class A   459,509     1,075
* iHeartMedia Inc. Class A   376,769     1,044
* Zumiez Inc.    58,470     1,030
  Climb Global Solutions Inc.    14,960     1,017
* Stitch Fix Inc. Class A   309,180       999
* Landsea Homes Corp.    73,321       999
* 1-800-Flowers.com Inc. Class A    95,677       997
* Frontier Group Holdings Inc.   141,406       981
  Alta Equipment Group Inc.    83,292       956
  Hooker Furnishings Corp.    38,952       955
* Selectquote Inc.   489,796       950
* JAKKS Pacific Inc.    26,764       940
* Legacy Housing Corp.    36,463       938
* Xponential Fitness Inc. Class A    91,465       922
* Funko Inc. Class A   130,463       918
* El Pollo Loco Holdings Inc.   100,133       907
  Johnson Outdoors Inc. Class A    19,347       889
* Lincoln Educational Services Corp.    86,934       875
* Cooper-Standard Holdings Inc.    62,061       873
* EW Scripps Co. Class A   215,434       868
 
6

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
  Entravision Communications Corp. Class A   220,851       850
  Aaron's Co. Inc.   108,828       843
*,1 Children's Place Inc.    43,716       841
  Cricut Inc. Class A   172,688       834
* Destination XL Group Inc.   204,760       817
* Holley Inc.   190,470       817
* SES AI Corp.   455,063       805
* AMMO Inc.   329,479       784
* Inspired Entertainment Inc.    79,004       782
1 Bowlero Corp. Class A    61,701       768
* Vera Bradley Inc.    96,526       753
* Playstudios Inc.   312,841       741
* Tile Shop Holdings Inc.   103,940       722
  Nathan's Famous Inc.    10,102       710
  Weyco Group Inc.    21,595       696
* Nerdy Inc.   227,576       660
*,1 Livewire Group Inc.    69,613       653
  Rocky Brands Inc.    25,931       647
* Turtle Beach Corp.    59,857       639
* Tilly's Inc. Class A    82,608       635
*,1 Blink Charging Co.   197,204       627
* Full House Resorts Inc.   120,954       620
* WW International Inc.   197,578       616
  Clarus Corp.   104,953       605
*,1 BARK Inc.   482,883       579
* Outbrain Inc.   151,538       558
1 Big Lots Inc.   102,469       555
*,1 Fisker Inc.   760,736       554
* Snap One Holdings Corp.    66,571       551
  Escalade Inc.    36,684       544
* ContextLogic Inc. Class A    83,282       541
* ThredUP Inc. Class A   262,770       526
* Lands' End Inc.    53,916       525
* Reservoir Media Inc.    71,427       516
* Gambling.com Group Ltd.    55,656       510
* CarParts.com Inc.   198,456       506
* Sportsman's Warehouse Holdings Inc.   134,658       486
* Latham Group Inc.   139,498       473
  Townsquare Media Inc. Class A    41,611       443
* Red Robin Gourmet Burgers Inc.    57,362       429
* J Jill Inc.    16,700       417
  Cato Corp. Class A    62,612       414
* Biglari Holdings Inc. Class B     2,338       405
  Big 5 Sporting Goods Corp.    77,052       370
  Purple Innovation Inc.   198,771       370
*,1 Mondee Holdings Inc.   164,562       370
*,1 Vuzix Corp.   215,685       365
* VOXX International Corp.    42,849       364
* Noodles & Co.   144,112       362
  Marine Products Corp.    30,515       350
* Allbirds Inc. Class A   359,697       327
* ONE Group Hospitality Inc.    79,463       311
* Emerald Holding Inc.    56,038       300
* Century Casinos Inc.    98,226       286
* Traeger Inc.   126,803       282
* Duluth Holdings Inc. Class B    50,085       238
*,1 Torrid Holdings Inc.    43,766       220
    Shares Market
Value

($000)
* Solo Brands Inc. Class A    72,432       196
* Fossil Group Inc.   178,738       189
  NL Industries Inc.    31,132       159
* 2U Inc.   291,845       132
*,1 United Homes Group Inc.    18,896       132
  CompX International Inc.     5,595       130
* Urban One Inc.    40,895       119
* Envela Corp.    27,183       117
* Lazydays Holdings Inc.    27,839       112
* Urban One Inc. (XNCM)    32,657       108
* Smith Douglas Homes Corp.     2,937        85
*,1 Rent the Runway Inc. Class A   170,919        69
* Loop Media Inc.   132,426        66
* Qurate Retail Inc. Class B     5,078        28
      1,243,766
Consumer Staples (2.8%)
* BellRing Brands Inc.   479,968    27,334
* Sprouts Farmers Market Inc.   370,757    23,150
  Lancaster Colony Corp.    71,338    14,761
  Coca-Cola Consolidated Inc.    17,496    14,711
  WD-40 Co.    49,484    13,281
* Simply Good Foods Co.   330,460    11,725
  Primo Water Corp.   569,422     9,230
  Cal-Maine Foods Inc.   149,404     8,589
  J & J Snack Foods Corp.    54,765     7,945
  Energizer Holdings Inc.   260,714     7,443
  Edgewell Personal Care Co.   183,037     6,990
* TreeHouse Foods Inc.   187,285     6,703
  Andersons Inc.   117,268     6,483
  Vector Group Ltd.   529,033     5,904
  MGP Ingredients Inc.    57,933     4,935
* Chefs' Warehouse Inc.   127,889     4,861
  Utz Brands Inc.   261,685     4,629
* Sovos Brands Inc.   200,804     4,576
* National Beverage Corp.    86,174     4,536
  Universal Corp.    87,493     4,201
  Ingles Markets Inc. Class A    50,861     3,917
  Weis Markets Inc.    59,865     3,888
  John B Sanfilippo & Son Inc.    32,547     3,332
* United Natural Foods Inc.   212,743     3,321
* Hain Celestial Group Inc.   325,099     3,251
* Herbalife Ltd.   359,390     3,173
  Dole plc   259,451     3,064
  B&G Foods Inc.   258,907     2,990
  Fresh Del Monte Produce Inc.   123,303     2,951
* Vita Coco Co. Inc.   104,266     2,721
  SpartanNash Co.   125,933     2,653
* SunOpta Inc.   341,164     2,398
*,1 Beyond Meat Inc.   214,686     2,295
  Nu Skin Enterprises Inc. Class A   181,754     2,272
* USANA Health Sciences Inc.    41,379     1,997
* Vital Farms Inc.   110,861     1,992
  ACCO Brands Corp.   335,031     1,870
* Mission Produce Inc.   175,815     1,855
  Calavo Growers Inc.    62,884     1,815
  Turning Point Brands Inc.    62,534     1,582
  Medifast Inc.    39,337     1,577
 
7

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
* Duckhorn Portfolio Inc.   158,648     1,509
  Oil-Dri Corp. of America    18,008     1,284
  Limoneira Co.    64,012     1,182
*,1 Westrock Coffee Co.   104,231     1,055
* Beauty Health Co.   296,710       988
* Seneca Foods Corp. Class A    18,965       961
  Village Super Market Inc. Class A    32,148       879
*,1 Waldencast plc Class A   131,108       876
* Nature's Sunshine Products Inc.    48,691       864
  Alico Inc.    25,938       719
*,1 Brookfield Realty Capital Corp. Class A   142,444       588
  Natural Grocers by Vitamin Cottage Inc.    34,088       565
* HF Foods Group Inc.   146,858       552
* GrowGeneration Corp.   215,614       461
  PetMed Express Inc.    73,647       373
*,1 Forafric Global plc    18,587       194
* Benson Hill Inc.   621,993       154
* Zevia PBC Class A    89,666       135
  J M Smucker Co.         1        —
        260,240
Energy (7.3%)
* Weatherford International plc   259,037    26,580
  Matador Resources Co.   412,370    26,041
* NEXTracker Inc. Class A   457,773    25,745
  Chord Energy Corp.   152,367    24,752
  ChampionX Corp.   712,386    22,127
  Permian resources Corp. 1,420,213    22,098
  Murphy Oil Corp.   540,746    21,451
  Civitas Resources Inc.   294,195    20,205
  PBF Energy Inc. Class A   405,959    18,958
  SM Energy Co.   430,136    18,827
  Noble Corp. plc   409,618    17,126
  Equitrans Midstream Corp. 1,589,490    16,992
  Alpha Metallurgical Resources Inc.    41,868    15,795
  Patterson-UTI Energy Inc. 1,286,546    14,885
  Magnolia Oil & Gas Corp. Class A   652,839    14,806
  Arcosa Inc.   176,619    14,659
* Valaris Ltd.   219,732    13,854
  Helmerich & Payne Inc.   354,338    13,603
  California Resources Corp.   253,652    13,233
  Liberty Energy Inc.   597,801    12,781
* CNX Resources Corp.   569,842    11,938
* Tidewater Inc.   168,858    11,825
  Northern Oil & Gas Inc.   320,198    11,441
  Cactus Inc. Class A   235,356    10,803
  Arch Resources Inc.    65,220    10,780
  Warrior Met Coal Inc.   188,093    10,716
  Peabody Energy Corp.   416,243    10,310
* Kosmos Energy Ltd. 1,661,126    10,199
  CONSOL Energy Inc.   111,280     9,550
  Archrock Inc.   505,767     9,240
* Shoals Technologies Group Inc. Class A   623,918     8,005
* Seadrill Ltd.   183,725     7,753
* Array Technologies Inc.   551,116     7,517
  Golar LNG Ltd.   364,434     7,394
* Par Pacific Holdings Inc.   200,851     7,255
    Shares Market
Value

($000)
* Oceaneering International Inc.   365,728     7,227
* Callon Petroleum Co.   222,842     6,944
  Sitio Royalties Corp. Class A   299,262     6,829
* Talos Energy Inc.   491,091     6,477
  Delek US Holdings Inc.   234,218     5,975
* Expro Group Holdings NV   325,972     5,832
* Gulfport Energy Corp.    40,749     5,786
* DNOW Inc.   387,534     5,484
  World Kinect Corp.   217,604     5,301
  Borr Drilling Ltd.   799,772     4,815
* Helix Energy Solutions Group Inc.   523,443     4,711
* Green Plains Inc.   211,622     4,508
* Vital Energy Inc.    85,056     4,281
* Diamond Offshore Drilling Inc.   370,233     4,106
  CVR Energy Inc.   107,753     3,575
* MRC Global Inc.   304,693     3,513
  SunCoke Energy Inc.   304,541     3,262
* Fluence Energy Inc.   213,319     3,262
  Crescent Energy Co. Class A   280,015     3,131
  Comstock Resources Inc.   334,041     2,856
* Dril-Quip Inc.   123,590     2,793
* ProPetro Holding Corp.   351,316     2,600
* Nabors Industries Ltd. (XNYS)    33,068     2,592
  Core Laboratories Inc.   170,816     2,557
  Select Water Solutions Inc.   290,583     2,482
* REX American Resources Corp.    56,163     2,470
* Ameresco Inc. Class A   117,387     2,460
  Kinetik Holdings Inc.    66,490     2,348
* Bristow Group Inc.    86,160     2,322
  RPC Inc.   309,671     2,288
* SilverBow Resources Inc.    76,736     2,178
  Vitesse Energy Inc.    90,753     2,063
*,1 FuelCell Energy Inc. 1,655,205     1,970
  Berry Corp.   274,317     1,934
* Centrus Energy Corp. Class A    44,685     1,823
* Newpark Resources Inc.   277,521     1,784
* TETRA Technologies Inc.   457,082     1,783
  VAALCO Energy Inc.   390,264     1,741
*,1 Tellurian Inc. 2,012,085     1,597
  SandRidge Energy Inc.   116,771     1,523
  Kodiak Gas Services Inc.    57,917     1,477
  Ramaco Resources Inc. Class A    80,805     1,421
*,1 Stem Inc.   519,643     1,393
* Montauk Renewables Inc.   242,962     1,380
* NextDecade Corp.   283,602     1,302
* Oil States International Inc.   229,190     1,235
  Atlas Energy Solutions Inc.    64,575     1,218
* DMC Global Inc.    70,907     1,183
*,1 EVgo Inc.   375,120     1,110
  W&T Offshore Inc.   356,541     1,077
*,1 SunPower Corp.   316,139       983
*,1 Solid Power Inc.   565,552       927
* SEACOR Marine Holdings Inc.    87,632       920
 
8

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
  Solaris Oilfield Infrastructure Inc. Class A   106,294       900
* Amplify Energy Corp.   132,585       801
* ProFrac Holding Corp. Class A    93,762       767
  Riley Exploration Permian Inc.    32,219       762
  Granite Ridge Resources Inc.   123,692       761
*,1 Gevo Inc.   852,520       760
1 HighPeak Energy Inc.    43,866       727
* Forum Energy Technologies Inc.    35,425       709
  Evolution Petroleum Corp.   113,086       663
* Hallador Energy Co.    82,818       629
* Ring Energy Inc.   439,973       629
*,1 Energy Vault Holdings Inc.   359,935       605
  Ranger Energy Services Inc.    54,010       567
  NACCO Industries Inc. Class A    15,028       499
* Maxeon Solar Technologies Ltd.   106,207       426
* TPI Composites Inc.   149,983       418
* KLX Energy Services Holdings Inc.    45,388       369
* Mammoth Energy Services Inc.    83,999       306
*,1 ESS Tech Inc.   327,635       285
* Empire Petroleum Corp.    48,136       285
* PrimeEnergy Resources Corp.     2,192       217
  Ramaco Resources Inc. Class B    17,110       205
* FTC Solar Inc.   254,827       130
*,1 Enviva Inc.   111,986        45
* Verde Clean Fuels Inc.     2,163         9
        688,527
Financials (14.8%)
  SouthState Corp.   277,038    23,282
  Selective Insurance Group Inc.   218,964    22,877
  Essent Group Ltd.   381,269    20,425
* Marathon Digital Holdings Inc.   773,996    20,046
  Cadence Bank   663,125    18,355
  Old National Bancorp 1,066,146    17,517
* Mr Cooper Group Inc.   234,875    16,742
  Radian Group Inc.   572,497    16,683
  Jackson Financial Inc. Class A   301,296    16,586
  United Bankshares Inc.   476,237    16,521
  Home BancShares Inc.   693,988    16,281
* American Equity Investment Life Holding Co.   286,030    15,886
  FirstCash Holdings Inc.   136,948    15,681
  Hamilton Lane Inc. Class A   132,724    15,243
  Glacier Bancorp Inc.   405,873    15,188
  First Financial Bankshares Inc.   474,224    14,672
  Hancock Whitney Corp.   315,869    13,772
* Enstar Group Ltd.    43,716    13,462
  UMB Financial Corp.   161,036    13,142
  Moelis & Co. Class A   243,142    13,139
  Valley National Bancorp 1,571,193    12,868
    Shares Market
Value

($000)
1 Blackstone Mortgage Trust Inc. Class A   626,940    12,771
  Piper Sandler Cos.    63,187    11,896
  ServisFirst Bancshares Inc.   185,541    11,724
  Associated Banc-Corp.   550,857    11,480
  Ameris Bancorp   240,837    11,158
  Walker & Dunlop Inc.   115,820    11,047
  United Community Banks Inc.   420,721    10,943
  CNO Financial Group Inc.   407,678    10,881
  First BanCorp (XNYS)   625,779    10,626
* Axos Financial Inc.   202,166    10,537
* Genworth Financial Inc. Class A 1,681,793    10,343
* Texas Capital Bancshares Inc.   174,039    10,207
  International Bancshares Corp.   195,397    10,139
  Cathay General Bancorp   253,158     9,886
* Riot Platforms Inc.   691,615     9,766
  Artisan Partners Asset Management Inc. Class A   223,310     9,618
  WSFS Financial Corp.   222,792     9,444
* Oscar Health Inc. Class A   573,562     9,326
  PJT Partners Inc. Class A    86,310     9,097
  Atlantic Union Bankshares Corp.   273,232     9,088
  BGC Group Inc. Class A 1,301,989     9,049
  Fulton Financial Corp.   584,854     9,007
1 Arbor Realty Trust Inc.   669,889     8,976
* NMI Holdings Inc. Class A   294,327     8,853
  Community Bank System Inc.   194,045     8,790
  Simmons First National Corp. Class A   451,751     8,674
1 Bank of Hawaii Corp.   142,449     8,587
* Bancorp Inc.   189,627     8,465
  Independent Bank Corp. (XNGS)   160,567     8,377
  CVB Financial Corp.   484,271     8,242
  First Interstate BancSystem Inc. Class A   300,592     7,912
  Pacific Premier Bancorp Inc.   345,349     7,895
  PennyMac Financial Services Inc.    92,545     7,860
  First Financial Bancorp   342,835     7,439
  Seacoast Banking Corp. of Florida   306,683     7,403
  Eastern Bankshares Inc.   564,028     7,287
  BankUnited Inc.   270,769     7,262
  First Merchants Corp.   214,907     7,135
  BancFirst Corp.    80,401     7,054
  Banc of California Inc.   477,602     6,987
  Cohen & Steers Inc.    94,703     6,965
  Towne Bank   255,174     6,918
*,1 Upstart Holdings Inc.   266,319     6,858
  StepStone Group Inc. Class A   196,086     6,810
* Palomar Holdings Inc.    88,813     6,762
* StoneX Group Inc.    97,334     6,741
* Enova International Inc.   105,735     6,688
  Park National Corp.    51,988     6,681
  WaFd Inc.   234,706     6,393
  Renasant Corp.   200,722     6,345
 
9

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
  Stewart Information Services Corp.    97,276     6,126
* BRP Group Inc. Class A   219,022     6,093
  OFG Bancorp   167,934     6,083
  WesBanco Inc.   209,818     6,081
* Triumph Financial Inc.    80,988     6,074
  Trustmark Corp.   221,645     5,953
  Virtus Investment Partners Inc.    25,519     5,929
* Goosehead Insurance Inc. Class A    78,224     5,918
  Federal Agricultural Mortgage Corp. Class C    33,000     5,903
  Apollo Commercial Real Estate Finance Inc.   516,454     5,789
  Lakeland Financial Corp.    90,429     5,760
  Independent Bank Group Inc.   131,680     5,758
  NBT Bancorp Inc.   166,917     5,740
* Customers Bancorp Inc.   104,159     5,657
* Cannae Holdings Inc.   250,050     5,456
  Banner Corp.   124,304     5,449
  City Holding Co.    54,138     5,440
  Horace Mann Educators Corp.   149,670     5,417
  Northwest Bancshares Inc.   463,639     5,313
  Compass Diversified Holdings   229,962     5,289
  Bank of NT Butterfield & Son Ltd.   176,710     5,282
  Enterprise Financial Services Corp.   131,949     5,267
  Hilltop Holdings Inc.   169,647     5,239
  Heartland Financial USA Inc.   153,941     5,234
  Ready Capital Corp.   582,328     5,142
  Navient Corp.   313,190     5,092
  First Bancorp (XNGS)   144,903     4,944
  Live Oak Bancshares Inc.   122,204     4,854
  First Commonwealth Financial Corp.   372,405     4,852
  Pathward Financial Inc.    94,974     4,828
  Mercury General Corp.    97,438     4,744
  Hope Bancorp Inc.   419,908     4,606
  FB Financial Corp.   128,851     4,592
  National Bank Holdings Corp. Class A   134,100     4,538
  Stock Yards Bancorp Inc.    98,964     4,534
  Two Harbors Investment Corp.   353,783     4,482
  PennyMac Mortgage Investment Trust   316,175     4,468
  Ladder Capital Corp.   412,565     4,460
  First Busey Corp.   188,958     4,357
  S&T Bancorp Inc.   138,840     4,330
  Westamerica BanCorp    94,302     4,311
  Safety Insurance Group Inc.    52,302     4,297
  Employers Holdings Inc.    93,419     4,270
  Stellar Bancorp Inc.   177,149     4,198
  MFA Financial Inc. REIT   372,913     4,184
  National Western Life Group Inc. Class A     8,401     4,079
* Encore Capital Group Inc.    84,775     4,069
  WisdomTree Inc.   501,183     4,040
  Provident Financial Services Inc.   267,755     4,038
    Shares Market
Value

($000)
  Nelnet Inc. Class A    46,738     4,013
  Franklin BSP Realty Trust Inc. REIT   302,205     3,901
*,1 Trupanion Inc.   144,423     3,863
  TriCo Bancshares   113,101     3,779
  Veritex Holdings Inc.   191,238     3,754
  Victory Capital Holdings Inc. Class A    97,230     3,737
  Nicolet Bankshares Inc.    46,627     3,680
  AMERISAFE Inc.    69,173     3,650
  Chimera Investment Corp.   827,665     3,609
* PRA Group Inc.   140,843     3,600
  Peoples Bancorp Inc.   126,917     3,563
1 ARMOUR Residential REIT Inc.   178,672     3,538
  Sandy Spring Bancorp Inc.   159,409     3,504
  QCR Holdings Inc.    59,764     3,407
  Berkshire Hills Bancorp Inc.   158,353     3,403
  Preferred Bank    46,834     3,365
  Brightspire Capital Inc.   468,659     3,238
  OceanFirst Financial Corp.   212,278     3,227
* LendingClub Corp.   395,341     3,206
  German American Bancorp Inc.   101,742     3,201
  Claros Mortgage Trust Inc.   330,167     3,196
* Skyward Specialty Insurance Group Inc.    86,684     3,172
  Origin Bancorp Inc.   105,836     3,158
* SiriusPoint Ltd.   254,543     3,123
  Brookline Bancorp Inc.   317,771     3,105
  Ellington Financial Inc.   273,945     3,104
* Lemonade Inc.   184,651     2,999
  Southside Bancshares Inc.   104,528     2,996
  Enact Holdings Inc.   107,791     2,988
  1st Source Corp.    59,822     2,978
  Patria Investments Ltd. Class A   197,694     2,946
  Bank First Corp.    33,732     2,918
* Assetmark Financial Holdings Inc.    80,571     2,848
  Banco Latinoamericano de Comercio Exterior SA Class E   100,278     2,805
  First Bancshares Inc.   111,998     2,781
  Capitol Federal Financial Inc.   465,541     2,695
  Brightsphere Investment Group Inc.   118,851     2,693
  Lakeland Bancorp Inc.   227,225     2,654
  ConnectOne Bancorp Inc.   133,117     2,634
* Open Lending Corp. Class A   362,354     2,631
* Ambac Financial Group Inc.   160,289     2,622
  F&G Annuities & Life Inc.    67,969     2,568
  Eagle Bancorp Inc.   107,309     2,556
  Redwood Trust Inc.   414,071     2,538
  Dynex Capital Inc.   205,308     2,533
  Premier Financial Corp.   128,673     2,494
  Merchants Bancorp    57,882     2,481
  First Mid Bancshares Inc.    81,072     2,456
  Tompkins Financial Corp.    50,244     2,420
  New York Mortgage Trust Inc.   331,738     2,392
 
10

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
  Dime Community Bancshares Inc.   127,363     2,387
  ProAssurance Corp.   189,942     2,342
  Heritage Financial Corp.   126,082     2,314
  HCI Group Inc.    23,212     2,266
  Community Trust Bancorp Inc.    56,272     2,237
1 Brookfield Business Corp. Class A    94,557     2,162
  Old Second Bancorp Inc.   158,358     2,127
* CrossFirst Bankshares Inc.   164,777     2,121
  Mercantile Bank Corp.    57,164     2,106
  Univest Financial Corp.   104,975     2,102
  Perella Weinberg Partners   153,810     2,101
  KKR Real Estate Finance Trust Inc.   214,391     2,090
  First Community Bankshares Inc.    62,643     2,076
  Amerant Bancorp Inc.    93,906     1,990
  Business First Bancshares Inc.    86,860     1,950
  Horizon Bancorp Inc.   156,565     1,885
  TPG RE Finance Trust Inc.   251,767     1,883
  Byline Bancorp Inc.    89,945     1,874
  Midland States Bancorp Inc.    75,871     1,847
  TrustCo Bank Corp. NY    67,567     1,844
* Columbia Financial Inc.   107,850     1,804
  Central Pacific Financial Corp.    96,182     1,795
  Farmers National Banc Corp.   132,479     1,786
  United Fire Group Inc.    76,552     1,783
  Heritage Commerce Corp.   214,662     1,780
  Universal Insurance Holdings Inc.    88,065     1,778
  Independent Bank Corp.    72,475     1,772
* World Acceptance Corp.    14,624     1,751
  Cambridge Bancorp    27,533     1,742
  Equity Bancshares Inc. Class A    53,379     1,699
  American National Bankshares Inc.    37,126     1,675
  Great Southern Bancorp Inc.    32,092     1,673
  Hanmi Financial Corp.   110,030     1,663
  Camden National Corp.    51,880     1,649
1 Orchid Island Capital Inc.   191,583     1,648
  Metrocity Bankshares Inc.    66,745     1,622
  Washington Trust Bancorp Inc.    61,610     1,586
  First Financial Corp.    41,502     1,545
* LendingTree Inc.    38,881     1,539
  Republic Bancorp Inc. Class A    31,043     1,529
  Tiptree Inc.    87,050     1,524
  HarborOne Bancorp Inc.   149,459     1,521
* Coastal Financial Corp.    39,616     1,521
  Southern Missouri Bancorp Inc.    34,803     1,492
  Peapack-Gladstone Financial Corp.    61,304     1,485
  First Foundation Inc.   187,132     1,484
  Amalgamated Financial Corp.    64,309     1,484
  CNB Financial Corp.    74,175     1,483
    Shares Market
Value

($000)
  P10 Inc. Class A   159,819     1,482
  Invesco Mortgage Capital Inc. REIT   163,637     1,478
  Northfield Bancorp Inc.   145,951     1,474
* Metropolitan Bank Holding Corp.    37,437     1,468
  Diamond Hill Investment Group Inc.     9,819     1,421
  Alerus Financial Corp.    65,022     1,418
  HomeTrust Bancshares Inc.    53,663     1,409
  Bar Harbor Bankshares    54,350     1,371
  Capital City Bank Group Inc.    48,319     1,370
1 B Riley Financial Inc.    74,061     1,358
  James River Group Holdings Ltd.   134,179     1,340
  Capstar Financial Holdings Inc.    69,852     1,310
  Kearny Financial Corp.   204,146     1,298
  Arrow Financial Corp.    54,006     1,295
  Flushing Financial Corp.   100,877     1,295
  Northeast Bank    24,017     1,282
  GCM Grosvenor Inc. Class A   150,950     1,279
  Burke & Herbert Financial Services Corp.    23,288     1,273
  Esquire Financial Holdings Inc.    25,025     1,271
  SmartFinancial Inc.    57,975     1,248
  Shore Bancshares Inc.   108,942     1,238
* Greenlight Capital Re Ltd. Class A    94,518     1,194
  MidWestOne Financial Group Inc.    51,182     1,173
  South Plains Financial Inc.    42,305     1,129
  Summit Financial Group Inc.    40,990     1,106
  Five Star Bancorp    46,461     1,103
* Carter Bankshares Inc.    82,540     1,090
* MBIA Inc.   166,611     1,088
  Mid Penn Bancorp Inc.    51,507     1,083
  ACNB Corp.    30,710     1,082
  RBB Bancorp    60,471     1,041
  West BanCorp Inc.    59,249     1,031
  Financial Institutions Inc.    55,387     1,017
  Orrstown Financial Services Inc.    37,324     1,006
  First Business Financial Services Inc.    28,451     1,004
  Peoples Financial Services Corp.    24,801     1,001
  Citizens & Northern Corp.    54,292       997
  First Bank    73,883       991
* American Coastal Insurance Corp. Class C    70,772       987
1 NewtekOne Inc.    85,152       983
  Home Bancorp Inc.    26,258       965
  Northrim BanCorp Inc.    19,359       963
  Chicago Atlantic Real Estate Finance Inc.    58,963       960
  Bank of Marin Bancorp    57,714       959
  Enterprise Bancorp Inc.    35,324       957
  Macatawa Bank Corp.    96,220       943
  Farmers & Merchants Bancorp Inc.    46,014       929
* Southern First Bancshares Inc.    28,095       926
 
11

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
  HomeStreet Inc.    66,244       924
  HBT Financial Inc.    48,469       924
  Primis Financial Corp.    74,254       917
  Sierra Bancorp    49,180       915
* Third Coast Bancshares Inc.    46,903       899
  MVB Financial Corp.    41,532       889
1 Hingham Institution for Savings     5,229       878
  Granite Point Mortgage Trust Inc.   184,767       876
* Bridgewater Bancshares Inc.    73,544       871
  Red River Bancshares Inc.    17,465       870
  First of Long Island Corp.    78,038       869
  Guaranty Bancshares Inc.    30,146       867
  Orange County Bancorp Inc.    18,616       856
  First Bancorp Inc. (XNGS)    36,021       851
  Fidelity D&D Bancorp Inc.    17,043       851
  Civista Bancshares Inc.    56,167       844
* Forge Global Holdings Inc.   400,980       834
* Fidelis Insurance Holdings Ltd.    55,717       834
  BayCom Corp.    40,737       816
  Waterstone Financial Inc.    64,116       811
  FS Bancorp Inc.    24,036       802
  John Marshall Bancorp Inc.    45,106       789
  Donegal Group Inc. Class A    56,187       787
  Codorus Valley Bancorp Inc.    33,889       780
* Blue Foundry Bancorp    82,508       777
  Greene County Bancorp Inc.    25,772       736
  Norwood Financial Corp.    26,617       735
  Unity Bancorp Inc.    26,190       717
  Northeast Community Bancorp Inc.    45,983       717
  NexPoint Diversified Real Estate Trust   113,205       717
  Capital Bancorp Inc.    34,657       714
* FVCBankcorp Inc.    58,760       712
  Timberland Bancorp Inc.    27,047       709
1 Middlefield Banc Corp.    28,521       700
  Colony Bankcorp Inc.    60,670       688
  Plumas Bancorp    19,705       687
  Southern States Bancshares Inc.    27,647       687
  ChoiceOne Financial Services Inc.    25,527       679
  AFC Gamma Inc.    58,987       678
  Regional Management Corp.    28,800       674
  Central Valley Community Bancorp    35,980       672
* eHealth Inc.   101,788       672
  National Bankshares Inc.    21,165       662
  Parke Bancorp Inc.    37,612       649
  Citizens Financial Services Inc.    13,732       642
  PCB Bancorp    39,474       637
  C&F Financial Corp.    11,905       636
* Ponce Financial Group Inc.    71,266       629
  Crawford & Co. Class A    52,370       613
  Oak Valley Bancorp    24,407       608
    Shares Market
Value

($000)
* Ocwen Financial Corp.    22,949       598
  Ames National Corp.    31,050       589
  Silvercrest Asset Management Group Inc. Class A    34,674       581
  Investors Title Co.     3,730       580
  Princeton Bancorp Inc.    18,697       575
  BCB Bancorp Inc.    54,143       568
* Hippo Holdings Inc.    39,944       561
  Evans Bancorp Inc.    18,630       553
  Bankwell Financial Group Inc.    21,630       551
  Chemung Financial Corp.    12,791       545
  LCNB Corp.    38,699       545
  ESSA Bancorp Inc.    31,275       543
  Virginia National Bankshares Corp.    17,208       523
* Velocity Financial Inc.    31,369       513
* AlTi Global Inc.    82,850       485
  Penns Woods Bancorp Inc.    24,996       483
  MainStreet Bancshares Inc.    25,436       458
  Angel Oak Mortgage REIT Inc.    43,546       456
* Maiden Holdings Ltd.   334,050       451
  First Community Corp.    26,595       437
* NI Holdings Inc.    30,070       421
  USCB Financial Holdings Inc.    37,346       408
  Nexpoint Real Estate Finance Inc.    28,839       405
* First Western Financial Inc.    28,386       402
* Pioneer Bancorp Inc.    42,389       395
* Sterling Bancorp Inc.    78,200       394
* Security National Financial Corp. Class A    44,860       387
  Bank7 Corp.    13,424       376
* Kingsway Financial Services Inc.    40,707       359
* Luther Burbank Corp.    37,150       340
* Consumer Portfolio Services Inc.    30,672       271
* SWK Holdings Corp.    13,668       226
  MarketWise Inc.   119,593       216
* GoHealth Inc. Class A    15,239       205
* Finance of America Cos. Inc. Class A   192,117       166
  Blue Ridge Bankshares Inc.    64,032       157
*,1 Bakkt Holdings Inc.   261,329       152
* OppFi Inc.    38,179       134
  Value Line Inc.     2,743       118
      1,388,072
Health Care (15.5%)
* Vaxcyte Inc.   380,289    28,073
* Viking Therapeutics Inc.   349,658    26,941
* HealthEquity Inc.   305,599    25,246
  Ensign Group Inc.   198,580    24,807
* Cytokinetics Inc.   338,782    24,474
* Intra-Cellular Therapies Inc.   340,700    23,685
* Blueprint Medicines Corp.   221,359    20,701
* Option Care Health Inc.   609,886    19,681
* Halozyme Therapeutics Inc.   472,263    18,801
* Alkermes plc   603,279    17,911
 
12

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
* Lantheus Holdings Inc.   247,564    16,186
* Merit Medical Systems Inc.   206,845    15,762
* REVOLUTION Medicines Inc.   522,802    15,412
* Glaukos Corp.   172,525    15,284
* Bridgebio Pharma Inc.   416,412    14,220
* Insmed Inc.   502,562    13,931
* Neogen Corp.   792,648    13,626
* Evolent Health Inc. Class A   400,534    13,582
* Arrowhead Pharmaceuticals Inc.   422,217    13,553
* Integer Holdings Corp.   120,998    13,345
* Haemonetics Corp.   182,290    13,304
* Iovance Biotherapeutics Inc.   834,198    13,272
* iRhythm Technologies Inc.   111,729    13,257
* Amicus Therapeutics Inc. 1,033,398    13,248
* Cymabay Therapeutics Inc.   411,355    13,242
* Madrigal Pharmaceuticals Inc.    53,890    12,729
* Prestige Consumer Healthcare Inc.   181,281    12,614
* Krystal Biotech Inc.    78,382    12,500
* Axonics Inc.   181,028    12,299
* SpringWorks Therapeutics Inc.   244,156    12,027
* Biohaven Ltd.   248,761    11,975
* LivaNova plc   197,169    10,807
* Progyny Inc.   289,039    10,556
* Axsome Therapeutics Inc.   129,685    10,554
* Cerevel Therapeutics Holdings Inc.   254,102    10,418
* Beam Therapeutics Inc.   263,545    10,407
* Intellia Therapeutics Inc.   320,868    10,306
  Select Medical Holdings Corp.   378,045    10,294
* ACADIA Pharmaceuticals Inc.   440,630    10,240
* Ideaya Biosciences Inc.   218,631     9,773
* Crinetics Pharmaceuticals Inc.   237,249     9,713
* TransMedics Group Inc.   115,117     9,394
* Arcellx Inc.   139,679     9,194
* Privia Health Group Inc.   409,451     9,139
* Inari Medical Inc.   194,686     8,979
  CONMED Corp.   111,575     8,962
* TG Therapeutics Inc.   504,184     8,682
* Surgery Partners Inc.   274,975     8,532
* Denali Therapeutics Inc.   429,661     8,499
  Patterson Cos. Inc.   312,638     8,469
* RadNet Inc.   218,936     8,289
* Arvinas Inc.   178,375     8,202
* Twist Bioscience Corp.   207,057     8,135
* Celldex Therapeutics Inc.   168,838     8,114
* Nuvalent Inc. Class A    96,393     8,109
* Rhythm Pharmaceuticals Inc.   186,737     8,108
* Vericel Corp.   173,101     7,907
* Ardelyx Inc.   838,133     7,811
* Guardant Health Inc.   410,689     7,803
* CorVel Corp.    31,730     7,742
* PTC Therapeutics Inc.   262,164     7,390
* NeoGenomics Inc.   463,366     7,229
* PROCEPT BioRobotics Corp.   146,483     7,081
    Shares Market
Value

($000)
* Apollo Medical Holdings Inc.   155,558     7,006
* Immunovant Inc.   196,066     6,935
* Corcept Therapeutics Inc.   291,626     6,853
*,1 Recursion Pharmaceuticals Inc. Class A   496,380     6,681
* Rocket Pharmaceuticals Inc.   227,864     6,676
* Owens & Minor Inc.   270,067     6,571
* Agios Pharmaceuticals Inc.   201,978     6,528
* Amphastar Pharmaceuticals Inc.   140,167     6,528
* Protagonist Therapeutics Inc.   207,770     6,312
* Veracyte Inc.   264,566     6,231
* Inmode Ltd.   281,717     6,198
* Myriad Genetics Inc.   293,826     6,150
* Dynavax Technologies Corp.   471,194     5,970
* AtriCure Inc.   169,208     5,917
* Kymera Therapeutics Inc.   138,197     5,901
* Catalyst Pharmaceuticals Inc.   365,023     5,851
* Hims & Hers Health Inc.   443,980     5,789
* Vera Therapeutics Inc.   122,361     5,761
  US Physical Therapy Inc.    54,202     5,760
* Syndax Pharmaceuticals Inc.   243,189     5,700
* RxSight Inc.   103,509     5,648
* Keros Therapeutics Inc.    81,893     5,528
* STAAR Surgical Co.   176,718     5,521
* Kura Oncology Inc.   257,103     5,420
* UFP Technologies Inc.    26,011     5,418
* Supernus Pharmaceuticals Inc.   178,517     5,302
* Addus HomeCare Corp.    57,083     5,268
* Pacific Biosciences of California Inc.   916,525     5,068
* Akero Therapeutics Inc.   186,620     5,037
  LeMaitre Vascular Inc.    71,855     5,030
* Morphic Holding Inc.   133,326     4,926
* Avidity Biosciences Inc.   268,956     4,922
* Pacira BioSciences Inc.   165,453     4,917
* Ligand Pharmaceuticals Inc.    61,110     4,849
* Xencor Inc.   210,798     4,838
* Phreesia Inc.   192,651     4,768
* Ironwood Pharmaceuticals Inc.   504,436     4,757
* Collegium Pharmaceutical Inc.   126,225     4,634
* Inhibrx Inc.   125,261     4,588
* Alphatec Holdings Inc.   335,378     4,504
  National HealthCare Corp.    45,403     4,479
* Dyne Therapeutics Inc.   161,934     4,356
* Omnicell Inc.   163,504     4,290
* Prothena Corp. plc   153,579     4,237
* Alpine Immune Sciences Inc.   118,373     4,169
* ADMA Biologics Inc.   775,141     4,155
* Sage Therapeutics Inc.   191,998     4,124
* 4D Molecular Therapeutics Inc.   145,357     4,073
* Tarsus Pharmaceuticals Inc.   104,330     3,987
* MacroGenics Inc.   222,107     3,985
 
13

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
* Warby Parker Inc. Class A   308,478     3,921
* MannKind Corp.   948,488     3,898
* BioCryst Pharmaceuticals Inc.   689,428     3,881
* Brookdale Senior Living Inc.   677,211     3,874
* Day One Biopharmaceuticals Inc.   227,801     3,811
* Harmony Biosciences Holdings Inc.   117,389     3,768
* Arcus Biosciences Inc.   195,581     3,741
* Geron Corp. (XNGS) 1,863,076     3,726
* ANI Pharmaceuticals Inc.    53,093     3,593
* AdaptHealth Corp.   347,888     3,559
* Sana Biotechnology Inc.   349,308     3,507
* Amylyx Pharmaceuticals Inc.   185,142     3,490
* Healthcare Services Group Inc.   270,359     3,450
* Vir Biotechnology Inc.   304,725     3,425
* MiMedx Group Inc.   419,203     3,421
* Cytek Biosciences Inc.   439,861     3,387
*,1 Cassava Sciences Inc.   144,738     3,326
* Innoviva Inc.   217,046     3,316
* Arcturus Therapeutics Holdings Inc.    85,345     3,308
* Pliant Therapeutics Inc.   208,346     3,306
* Relay Therapeutics Inc.   328,403     3,291
* Deciphera Pharmaceuticals Inc.   194,541     3,247
* Verve Therapeutics Inc.   190,062     3,241
* LifeStance Health Group Inc.   385,833     3,222
* Zentalis Pharmaceuticals Inc.   211,361     3,151
* Scholar Rock Holding Corp.   201,392     3,122
* Avanos Medical Inc.   167,910     3,118
* Quanterix Corp.   127,686     3,059
* Editas Medicine Inc.   299,453     3,012
*,1 Janux Therapeutics Inc.    62,166     3,008
  Embecta Corp.   210,017     2,999
* Arcutis Biotherapeutics Inc.   287,611     2,957
* Ocular Therapeutix Inc.   292,061     2,938
* Viridian Therapeutics Inc.   155,378     2,907
* Cabaletta Bio Inc.   125,497     2,871
*,1 Aurinia Pharmaceuticals Inc.   492,154     2,815
* Pediatrix Medical Group Inc.   306,520     2,805
* Artivion Inc.   143,659     2,773
* 89bio Inc.   232,682     2,669
* EyePoint Pharmaceuticals Inc.    96,937     2,638
* REGENXBIO Inc.   149,173     2,602
* Mirum Pharmaceuticals Inc.    90,213     2,590
*,1 Apogee Therapeutics Inc.    74,364     2,589
* Edgewise Therapeutics Inc.   155,727     2,543
* Accolade Inc.   247,033     2,532
* SI-BONE Inc.   144,665     2,510
* Silk Road Medical Inc.   139,293     2,506
* Liquidia Corp.   173,205     2,453
* Amneal Pharmaceuticals Inc.   442,525     2,443
* Varex Imaging Corp.   140,909     2,424
    Shares Market
Value

($000)
* Kiniksa Pharmaceuticals Ltd. Class A   113,666     2,403
  HealthStream Inc.    87,442     2,385
* Zymeworks Inc.   197,052     2,367
* Caribou Biosciences Inc.   297,809     2,356
*,1 Altimmune Inc.   192,011     2,323
*,1 ImmunityBio Inc.   481,777     2,279
* Revance Therapeutics Inc.   318,330     2,273
* Y-mAbs Therapeutics Inc.   134,786     2,251
* Disc Medicine Inc.    32,497     2,232
* Evolus Inc.   150,420     2,231
* Treace Medical Concepts Inc.   165,221     2,221
* Fate Therapeutics Inc.   311,080     2,206
* Mersana Therapeutics Inc.   403,475     2,195
* Nurix Therapeutics Inc.   173,572     2,144
* BioLife Solutions Inc.   126,629     2,140
  National Research Corp.    52,658     2,123
* Cogent Biosciences Inc.   302,282     2,116
* CareDx Inc.   188,974     2,011
* Travere Therapeutics Inc.   264,843     2,002
* Paragon 28 Inc.   158,849     1,982
* OmniAb Inc.   337,588     1,972
*,1 Nano-X Imaging Ltd.   174,825     1,951
* Pennant Group Inc.   103,167     1,924
*,1 Summit Therapeutics Inc. (XNMS)   423,772     1,924
* OraSure Technologies Inc.   263,011     1,892
* Nevro Corp.   129,200     1,881
* Alignment Healthcare Inc.   308,405     1,850
* Lyell Immunopharma Inc.   630,574     1,841
* UroGen Pharma Ltd.    98,996     1,815
* ORIC Pharmaceuticals Inc.   142,317     1,813
* Tango Therapeutics Inc.   162,873     1,813
  Atrion Corp.     4,907     1,806
* PetIQ Inc.    99,135     1,805
* Theravance Biopharma Inc.   187,320     1,774
* Marinus Pharmaceuticals Inc.   184,496     1,753
* Avid Bioservices Inc.   227,169     1,745
* Cullinan Oncology Inc.    94,400     1,744
* AnaptysBio Inc.    67,890     1,733
* HilleVax Inc.    95,368     1,731
*,1 Novavax Inc.   346,155     1,710
* Astria Therapeutics Inc.   120,288     1,710
* Adaptive Biotechnologies Corp.   414,180     1,702
* Health Catalyst Inc.   204,476     1,701
* Allogene Therapeutics Inc.   344,040     1,689
* Orthofix Medical Inc.   128,557     1,679
* Fulgent Genetics Inc.    74,285     1,676
* Avita Medical Inc.    91,854     1,665
* Enhabit Inc.   183,735     1,654
* Savara Inc.   326,722     1,650
* Castle Biosciences Inc.    90,598     1,636
* Zimvie Inc.    94,995     1,610
* Alector Inc.   230,474     1,606
* Surmodics Inc.    49,888     1,591
* OrthoPediatrics Corp.    57,725     1,585
* Axogen Inc.   148,884     1,572
* Multiplan Corp. 1,400,424     1,568
* Replimune Group Inc.   179,862     1,543
* KalVista Pharmaceuticals Inc.   112,781     1,539
 
14

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
* Xeris Biopharma Holdings Inc.   487,232     1,498
*,1 OPKO Health Inc. 1,470,754     1,471
* MaxCyte Inc.   319,306     1,469
*,1 ALX Oncology Holdings Inc.    98,231     1,441
* Cerus Corp.   650,452     1,418
*,1 Enliven Therapeutics Inc.    85,470     1,365
*,1 Anavex Life Sciences Corp.   263,324     1,353
* Nkarta Inc.   108,406     1,310
* Anika Therapeutics Inc.    53,714     1,304
* Tactile Systems Technology Inc.    85,298     1,301
* Arbutus Biopharma Corp.   463,157     1,297
* ModivCare Inc.    46,031     1,291
* Community Health Systems Inc.   456,868     1,275
* Taro Pharmaceutical Industries Ltd.    30,060     1,265
*,1 Biomea Fusion Inc.    72,087     1,262
*,1 Phathom Pharmaceuticals Inc.   116,925     1,251
*,1 Prime Medicine Inc.   144,429     1,246
* Longboard Pharmaceuticals Inc.    55,654     1,234
* Pulmonx Corp.   133,540     1,231
* Olema Pharmaceuticals Inc.    97,662     1,211
* Atea Pharmaceuticals Inc.   280,889     1,211
* Ventyx Biosciences Inc.   170,258     1,205
* Harrow Inc.   110,095     1,192
* Codexis Inc.   253,974     1,181
* DocGo Inc.   283,703     1,155
* Terns Pharmaceuticals Inc.   155,385     1,137
  iRadimed Corp.    26,811     1,125
* Inozyme Pharma Inc.   173,356     1,103
* Mineralys Therapeutics Inc.    70,991     1,092
* Sutro Biopharma Inc.   217,999     1,070
* Agiliti Inc.   108,205     1,068
* Larimar Therapeutics Inc.    92,093     1,059
* Viemed Healthcare Inc.   124,653     1,055
* Sharecare Inc. 1,122,853     1,055
* Enanta Pharmaceuticals Inc.    73,245     1,053
* WaVe Life Sciences Ltd.   214,962     1,034
* Entrada Therapeutics Inc.    77,626     1,027
* Acelyrin Inc.   121,516     1,027
* Tyra Biosciences Inc.    50,445     1,008
* Nuvation Bio Inc.   535,574     1,002
* Celcuity Inc.    64,097       997
*,1 Heron Therapeutics Inc.   371,376       988
*,1 Omeros Corp.   218,912       985
* Tenaya Therapeutics Inc.   165,192       983
* Poseida Therapeutics Inc.   247,870       982
* American Well Corp. Class A   900,972       973
* Voyager Therapeutics Inc.   115,764       963
  Phibro Animal Health Corp. Class A    74,338       961
* Humacyte Inc.   220,918       961
* iTeos Therapeutics Inc.    89,497       959
*,1 Neumora Therapeutics Inc.    53,920       951
* Rigel Pharmaceuticals Inc.   617,474       939
* 2seventy bio Inc.   180,339       938
    Shares Market
Value

($000)
* Aerovate Therapeutics Inc.    40,581       937
* OptimizeRx Corp.    58,936       933
  Agenus Inc. 1,387,880       930
* Vanda Pharmaceuticals Inc.   207,188       926
* Rapt Therapeutics Inc.   107,292       919
* Annexon Inc.   163,933       913
* Aura Biosciences Inc.   100,428       911
* Organogenesis Holdings Inc.   253,240       904
*,1 Zynex Inc.    66,615       903
* Zevra Therapeutics Inc.   132,384       892
* Accuray Inc.   341,083       887
  Utah Medical Products Inc.    12,581       883
* Gritstone bio Inc.   315,124       882
  SIGA Technologies Inc.   168,695       879
* Actinium Pharmaceuticals Inc.   100,684       859
*,1 Lexicon Pharmaceuticals Inc.   332,641       828
* Coherus Biosciences Inc.   354,339       808
* Semler Scientific Inc.    16,942       799
* CVRx Inc.    40,186       789
* AngioDynamics Inc.   140,612       772
*,1 Stoke Therapeutics Inc.    99,029       766
* ARS Pharmaceuticals Inc.    90,828       760
* Ovid therapeutics Inc.   219,504       746
* Precigen Inc.   484,678       746
* MeiraGTx Holdings plc   120,233       742
*,1 Third Harmonic Bio Inc.    70,279       713
*,1 CorMedix Inc.   200,046       708
* Erasca Inc.   297,174       707
* Kodiak Sciences Inc.   116,578       701
* Monte Rosa Therapeutics Inc.   109,171       691
*,1 PDS Biotechnology Corp.   102,848       678
* Sangamo Therapeutics Inc.   559,276       649
* Harvard Bioscience Inc.   148,657       644
* XOMA Corp.    26,436       643
* Quipt Home Medical Corp.   148,772       638
* 23andMe Holding Co. Class A 1,108,288       632
*,1 scPharmaceuticals Inc.   103,441       623
* InfuSystem Holdings Inc.    67,117       621
*,1 Butterfly Network Inc.   521,308       620
*,1 Fennec Pharmaceuticals Inc.    65,243       618
*,1 Quantum-Si Inc.   369,005       616
*,1 IGM Biosciences Inc.    48,647       614
* Emergent BioSolutions Inc.   189,850       613
* PepGen Inc.    36,061       611
* Aldeyra Therapeutics Inc.   166,988       604
* Compass Therapeutics Inc.   327,367       583
* 908 Devices Inc.    78,718       579
*,1 Pulse Biosciences Inc.    58,132       574
* Outset Medical Inc.   182,177       574
* Foghorn Therapeutics Inc.    72,746       562
* FibroGen Inc.   327,294       560
* Inogen Inc.    83,973       558
* Merrimack Pharmaceuticals Inc.    37,144       546
* Bluebird Bio Inc.   389,547       541
* Sanara Medtech Inc.    14,110       537
 
15

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
* ClearPoint Neuro Inc.    81,999       524
* Lineage Cell Therapeutics Inc.   483,523       503
* Immuneering Corp. Class A    81,059       503
* Joint Corp.    50,736       500
* Nautilus Biotechnology Inc.   184,831       497
* Akoya Biosciences Inc.    85,897       493
*,1 Genelux Corp.    67,063       490
* Optinose Inc.   261,768       466
* Karyopharm Therapeutics Inc.   398,701       462
* Computer Programs and Systems Inc.    51,783       459
* Aveanna Healthcare Holdings Inc.   184,704       438
* Trevi Therapeutics Inc.   149,962       438
*,1 X4 Pharmaceuticals Inc.   442,300       429
* BioAtla Inc.   158,795       429
* Generation Bio Co.   162,440       408
* Tela Bio Inc.    59,231       400
* Seres Therapeutics Inc.   349,178       398
*,1 Verrica Pharmaceuticals Inc.    75,286       397
*,1 Protalix BioTherapeutics Inc.   240,792       392
* Seer Inc.   210,612       383
* Allakos Inc.   244,504       362
*,1 Omega Therapeutics Inc.    87,514       360
*,1 Orchestra BioMed Holdings Inc.    53,004       341
* Graphite Bio Inc.   100,278       340
*,1 Citius Pharmaceuticals Inc.   441,347       339
*,2 Scilex Holding Co. (Acquired 1/6/23, Cost $1,735)   165,557       338
* Innovage Holding Corp.    67,831       328
* Design Therapeutics Inc.   117,495       327
* Mural Oncology plc    60,148       318
  Cartesian Therapeutics Inc. (XNMS)   430,868       315
* Vor BioPharma Inc.   135,233       311
* Sight Sciences Inc.    77,326       311
* Century Therapeutics Inc.    84,353       310
* Biote Corp. Class A    50,093       298
* Aclaris Therapeutics Inc.   249,609       297
* Assertio Holdings Inc.   326,054       288
* American Healthcare REIT Inc.    21,090       288
*,1 AirSculpt Technologies Inc.    44,017       278
* Atara Biotherapeutics Inc.   355,044       276
* Cue Biopharma Inc.   131,387       273
* Kezar Life Sciences Inc.   256,223       269
*,1 Nuvectis Pharma Inc.    27,118       268
* KORU Medical Systems Inc.   125,360       266
*,1 ProKidney Corp.   162,680       265
* PMV Pharmaceuticals Inc.   139,179       257
* Adicet Bio Inc.   108,833       256
* Rallybio Corp.   109,558       255
1 Carisma Therapeutics Inc.    95,454       246
*,1 Outlook Therapeutics Inc.   558,251       244
* NGM Biopharmaceuticals Inc.   158,459       241
* Eyenovia Inc.   111,060       240
    Shares Market
Value

($000)
*,1 Bioxcel Therapeutics Inc.    73,950       235
* Zura Bio Ltd.    62,239       229
* Prelude Therapeutics Inc.    52,522       226
* Eagle Pharmaceuticals Inc.    36,874       216
*,1 Beyond Air Inc.    98,661       202
* Vigil Neuroscience Inc.    57,900       201
* Cargo Therapeutics Inc.     7,228       175
* Ikena Oncology Inc.   112,941       162
* Vicarious Surgical Inc.   365,604       155
* P3 Health Partners Inc.   143,808       150
* Acrivon Therapeutics Inc.    30,894       150
*,1 Cutera Inc.    66,557       149
* Cara Therapeutics Inc.   168,229       143
* CG oncology Inc.     3,084       138
* Allovir Inc.   184,591       136
*,1 Vaxxinity Inc. Class A   153,041       131
*,1 Sagimet Biosciences Inc. Class A    19,269       118
* Aadi Bioscience Inc.    58,881       116
* BrightSpring Health Services Inc.    12,321       111
* Turnstone Biologics Corp.    23,120       105
*,1 Fractyl Health Inc.     8,917        80
* Reneo Pharmaceuticals Inc.    46,759        77
* CareMax Inc.     8,995        69
* Kyverna Therapeutics Inc.     2,426        66
*,1 BioVie Inc.    44,225        55
*,1 Ocean Biomedical Inc.    31,247        55
* Bright Green Corp.   208,310        52
* Metagenomi Inc.     3,615        43
*,1,3 Tobira Therapeutics Inc. CVR     6,227        28
* ArriVent Biopharma Inc.     1,256        27
*,3 PDL BioPharma Inc.       712         1
*,3 Synergy Pharmaceuticals LLC   224,815        —
*,3 Achillion Pharmaceuticals Inc. CVR     1,085        —
*,3 Flexion Therape CVR       111        —
*,3 OmniAb Inc. 12.5 Earnout    14,203        —
*,3 OmniAb Inc. 15 Earnout    14,203        —
* Cano Health Inc.         1        —
      1,458,197
Industrials (18.9%)
  Comfort Systems USA Inc.   128,578    39,310
  Simpson Manufacturing Co. Inc.   155,945    32,543
* API Group Corp.   761,144    26,678
  Applied Industrial Technologies Inc.   140,489    26,677
  Atkore Inc.   137,646    23,317
* ATI Inc.   469,246    23,078
* Chart Industries Inc.   156,296    22,328
  AAON Inc.   246,356    20,689
  Installed Building Products Inc.    86,259    20,610
  FTAI Aviation Ltd.   362,269    20,392
  Watts Water Technologies Inc. Class A    99,583    20,310
* Beacon Roofing Supply Inc.   230,042    19,758
* Fluor Corp.   518,992    19,099
* SPX Technologies Inc.   160,393    18,796
 
16

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
* Summit Materials Inc. Class A   434,685    18,565
  Maximus Inc.   221,519    18,532
* ExlService Holdings Inc.   588,476    18,313
* StoneCo. Ltd. Class A 1,058,968    18,225
  Federal Signal Corp.   218,052    17,861
  Franklin Electric Co. Inc.   168,061    17,472
  Zurn Elkay Water Solutions Corp.   538,568    17,100
* ASGN Inc.   172,164    17,099
  Badger Meter Inc.   107,161    17,005
* Modine Manufacturing Co.   187,069    16,782
  GATX Corp.   129,099    16,375
  Herc Holdings Inc.   103,127    16,364
  HB Fuller Co.   196,669    15,641
  Moog Inc. Class A   103,449    15,512
* Itron Inc.   165,801    15,366
* Knife River Corp.   205,685    15,239
* TriNet Group Inc.   116,817    14,954
  Exponent Inc.   184,347    14,912
  Kadant Inc.    42,281    14,261
  Matson Inc.   125,799    13,970
  Brink's Co.   167,964    13,912
  Terex Corp.   241,829    13,869
  EnerSys   150,113    13,792
  Otter Tail Corp.   150,175    13,585
* Alight Inc. Class A 1,507,405    13,582
* GMS Inc.   149,382    13,341
* Dycom Industries Inc.   104,331    13,197
  Encore Wire Corp.    54,705    13,184
  Insperity Inc.   129,451    13,177
  Belden Inc.   154,631    13,171
* CBIZ Inc.   174,138    13,153
* ACI Worldwide Inc.   394,744    12,991
  CSW Industrials Inc.    55,843    12,866
  ArcBest Corp.    86,559    12,366
  Hillenbrand Inc.   254,969    12,124
  Korn Ferry   189,969    12,093
* AeroVironment Inc.    94,773    12,016
  Enpro Inc.    76,403    11,905
* Resideo Technologies Inc.   532,991    11,902
  John Bean Technologies Corp.   115,977    11,769
  Scorpio Tankers Inc.   173,642    11,657
* Sterling Infrastructure Inc.   108,956    11,619
* Marqeta Inc. Class A 1,747,298    11,410
  McGrath RentCorp.    90,011    11,205
* Verra Mobility Corp.   507,839    10,979
* Flywire Corp.   386,413    10,970
  Griffon Corp.   152,528    10,890
  Albany International Corp. Class A   113,809    10,683
  ICF International Inc.    68,139    10,551
* Masonite International Corp.    81,012    10,551
* PagSeguro Digital Ltd. Class A   722,442    10,056
* Remitly Global Inc.   484,201     9,984
  ABM Industries Inc.   240,975     9,955
* Hub Group Inc. Class A   228,426     9,715
* MYR Group Inc.    59,694     9,698
* O-I Glass Inc.   565,409     9,567
* Kratos Defense & Security Solutions Inc.   523,807     9,554
  ESCO Technologies Inc.    93,240     9,500
  Patrick Industries Inc.    77,599     9,307
    Shares Market
Value

($000)
  Werner Enterprises Inc.   230,548     9,254
  UniFirst Corp.    54,580     9,209
* RXO Inc.   422,822     9,099
  Mueller Water Products Inc. Class A   564,722     8,781
* PGT Innovations Inc.   206,308     8,617
* Gibraltar Industries Inc.   111,084     8,603
  EVERTEC Inc.   237,538     8,582
  Granite Construction Inc.   160,275     8,259
* AAR Corp.   123,050     8,217
* Masterbrand Inc.   472,038     8,171
  International Seaways Inc.   147,839     7,825
* AMN Healthcare Services Inc.   138,783     7,809
* OSI Systems Inc.    58,636     7,692
  Tennant Co.    67,466     7,636
  Primoris Services Corp.   193,230     7,635
  Trinity Industries Inc.   295,505     7,500
  Alamo Group Inc.    36,663     7,417
  Kennametal Inc.   293,560     7,409
  Standex International Corp.    42,656     7,379
  Textainer Group Holdings Ltd.   146,805     7,326
* AvidXchange Holdings Inc.   543,442     7,222
* Mirion Technologies Inc.   729,012     7,130
* Construction Partners Inc. Class A   146,076     7,023
  Bread Financial Holdings Inc.   180,924     6,926
* Hillman Solutions Corp.   710,578     6,921
* Huron Consulting Group Inc.    69,107     6,781
  Enerpac Tool Group Corp.   198,901     6,705
  H&E Equipment Services Inc.   117,213     6,621
  AZZ Inc.    90,402     6,581
* Cimpress plc    65,218     6,392
* CoreCivic Inc.   413,647     6,300
  Barnes Group Inc.   178,066     6,222
*,1 Bloom Energy Corp. Class A   700,985     6,148
  Powell Industries Inc.    33,024     6,117
* American Woodmark Corp.    59,617     5,976
* Donnelley Financial Solutions Inc.    90,086     5,816
  Golden Ocean Group Ltd.   448,613     5,774
  Greenbrier Cos. Inc.   110,915     5,740
*,1 Joby Aviation Inc. 1,014,061     5,699
* Leonardo DRS Inc.   249,884     5,675
  Greif Inc. Class A    87,597     5,646
* JELD-WEN Holding Inc.   309,238     5,628
  SFL Corp. Ltd.   418,281     5,588
  Napco Security Technologies Inc.   121,000     5,449
  DHT Holdings Inc.   499,067     5,400
* Legalzoom.com Inc.   430,862     5,343
  Helios Technologies Inc.   120,823     5,334
* NV5 Global Inc.    50,503     5,137
*,1 Enovix Corp.   504,278     4,917
  Kforce Inc.    69,504     4,840
  Lindsay Corp.    40,331     4,812
  Teekay Tankers Ltd. Class A    86,833     4,760
  Kaman Corp.   102,368     4,689
* Payoneer Global Inc.   963,991     4,685
 
17

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
*,1 Rocket Lab USA Inc. 1,014,479     4,651
  Apogee Enterprises Inc.    80,430     4,601
  Wabash National Corp.   167,682     4,574
  Dorian LPG Ltd.   125,666     4,543
* Janus International Group Inc.   308,273     4,424
  Columbus McKinnon Corp.   102,962     4,301
* Montrose Environmental Group Inc.   101,260     4,190
  Quanex Building Products Corp.   119,797     4,143
  Marten Transport Ltd.   211,296     3,983
* BlueLinx Holdings Inc.    30,955     3,927
* SP Plus Corp.    71,337     3,667
  TriMas Corp.   151,002     3,549
  VSE Corp.    47,462     3,517
* Proto Labs Inc.    95,827     3,491
  Forward Air Corp.    93,926     3,487
  Astec Industries Inc.    82,611     3,354
* Thermon Group Holdings Inc.   121,805     3,324
* IES Holdings Inc.    30,071     3,305
* Triumph Group Inc.   233,849     3,250
  CRA International Inc.    24,512     3,249
* Aspen Aerogels Inc.   186,237     3,200
* Energy Recovery Inc.   202,986     3,173
* Transcat Inc.    30,120     3,167
  Genco Shipping & Trading Ltd.   153,869     3,139
* ZipRecruiter Inc. Class A   245,976     3,129
* Aurora Innovation Inc. 1,231,009     3,127
* Blue Bird Corp.    91,797     3,106
  Gorman-Rupp Co.    83,122     3,103
  First Advantage Corp.   196,529     3,078
  Deluxe Corp.   158,511     3,077
  Nordic American Tankers Ltd.   748,400     3,046
* Vicor Corp.    80,662     3,004
  Barrett Business Services Inc.    23,869     2,912
  Kelly Services Inc. Class A   113,720     2,790
* CryoPort Inc.   157,587     2,785
1 Flex LNG Ltd.   108,763     2,745
*,1 Archer Aviation Inc. Class A   554,881     2,680
* Repay Holdings Corp.   301,697     2,622
  Pitney Bowes Inc.   639,640     2,578
  Myers Industries Inc.   133,004     2,558
  Cadre Holdings Inc.    70,725     2,541
* Air Transport Services Group Inc.   205,173     2,476
  Insteel Industries Inc.    67,934     2,473
1 Ardmore Shipping Corp.   151,728     2,463
  Heidrick & Struggles International Inc.    72,024     2,449
*,1 PureCycle Technologies Inc.   422,699     2,447
* CECO Environmental Corp.   107,877     2,443
* Titan International Inc.   190,206     2,427
  Cass Information Systems Inc.    49,655     2,399
  Hyster-Yale Materials Handling Inc.    40,563     2,388
  REV Group Inc.   114,657     2,367
* Ducommun Inc.    48,939     2,335
* Hudson Technologies Inc.   158,902     2,328
    Shares Market
Value

($000)
* International Money Express Inc.   116,784     2,301
* Cross Country Healthcare Inc.   125,057     2,285
  Heartland Express Inc.   170,775     2,182
  Argan Inc.    45,780     2,145
* Conduent Inc.   623,667     2,145
  Pactiv Evergreen Inc.   144,939     2,138
* Great Lakes Dredge & Dock Corp.   237,561     2,124
*,1 Virgin Galactic Holdings Inc. 1,193,165     2,076
  Douglas Dynamics Inc.    82,254     2,065
  Eagle Bulk Shipping Inc.    33,473     2,051
  Mesa Laboratories Inc.    18,699     2,042
* Evolv Technologies Holdings Inc.   416,339     1,986
  United States Lime & Minerals Inc.     7,689     1,961
  Costamare Inc.   168,250     1,913
* Titan Machinery Inc.    74,900     1,890
  Ennis Inc.    92,767     1,885
* Astronics Corp.    95,826     1,837
  Miller Industries Inc.    40,488     1,822
* Sterling Check Corp.   113,371     1,777
* DXP Enterprises Inc.    49,601     1,762
* Manitowoc Co. Inc.   126,386     1,762
* Tutor Perini Corp.   154,850     1,754
* I3 Verticals Inc. Class A    81,676     1,741
* Teekay Corp.   225,390     1,706
* Paysafe Ltd.   118,027     1,700
*,1 Nikola Corp. 2,252,057     1,676
  FTAI Infrastructure Inc.   360,387     1,651
* Limbach Holdings Inc.    33,263     1,638
  Resources Connection Inc.   117,614     1,627
* Franklin Covey Co.    42,246     1,613
* V2X Inc.    41,897     1,613
* Vishay Precision Group Inc.    45,105     1,558
* FARO Technologies Inc.    68,542     1,535
  Covenant Logistics Group Inc.    30,448     1,482
  LSI Industries Inc.   101,682     1,467
  National Presto Industries Inc.    18,619     1,440
*,1 Atmus Filtration Technologies Inc.    59,889     1,430
* Green Dot Corp. Class A   169,174     1,389
  Overseas Shipholding Group Inc. Class A   224,457     1,365
* Cantaloupe Inc.   208,077     1,352
  Allient Inc.    47,072     1,338
* Custom Truck One Source Inc.   207,437     1,332
* BrightView Holdings Inc.   151,212     1,317
* TrueBlue Inc.   110,026     1,293
* Bowman Consulting Group Ltd.    39,500     1,287
  Shyft Group Inc.   123,107     1,269
  Preformed Line Products Co.     9,057     1,245
  Greif Inc. Class B    19,378     1,241
  TTEC Holdings Inc.    70,808     1,236
* Daseke Inc.   149,489     1,233
* Advantage Solutions Inc.   316,653     1,206
* Distribution Solutions Group Inc.    36,414     1,144
 
18

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
  Safe Bulkers Inc.   242,800     1,127
* Target Hospitality Corp.   113,530     1,099
  Pangaea Logistics Solutions Ltd.   130,910     1,097
  Park Aerospace Corp.    67,550     1,028
* Hyliion Holdings Corp.   530,094       965
  Luxfer Holdings plc    97,072       963
* Willdan Group Inc.    44,171       922
* Forrester Research Inc.    42,315       853
  Park-Ohio Holdings Corp.    31,263       840
  Universal Logistics Holdings Inc.    24,527       830
* Aersale Corp.    93,454       826
* Iteris Inc.   157,028       820
*,1 Himalaya Shipping Ltd.   102,496       809
* Luna Innovations Inc.   118,356       802
* Commercial Vehicle Group Inc.   117,786       770
* Radiant Logistics Inc.   132,124       766
* Concrete Pumping Holdings Inc.    93,274       764
* Ranpak Holdings Corp.   156,433       743
  Kronos Worldwide Inc.    79,528       723
  Karat Packaging Inc.    24,422       723
* Performant Financial Corp.   247,694       721
* Global Business Travel Group I   118,973       714
* Hireright Holdings Corp.    50,193       711
* Blade Air Mobility Inc.   216,353       688
*,1 Microvast Holdings Inc.   780,667       672
  Quad/Graphics Inc.   111,412       667
* Mistras Group Inc.    75,122       650
*,1 Ispire Technology Inc.    64,174       649
* Gencor Industries Inc.    38,618       633
* BlackSky Technology Inc.   437,890       622
*,1 Desktop Metal Inc. Class A 1,015,462       621
* SoundThinking Inc.    34,782       605
  Trinseo plc   127,244       573
* Atlanticus Holdings Corp.    16,914       561
* Acacia Research Corp.   136,277       551
  Information Services Group Inc.   125,943       545
* CS Disco Inc.    81,102       540
* IBEX Holdings Ltd.    33,657       537
* Mayville Engineering Co. Inc.    41,185       504
* Willis Lease Finance Corp.    10,482       502
* Core Molding Technologies Inc.    26,705       491
* DHI Group Inc.   155,765       441
*,1 Danimer Scientific Inc.   315,044       422
* PAM Transportation Services Inc.    22,237       412
*,1 Terran Orbital Corp.   360,575       389
*,1 Eos Energy Enterprises Inc.   391,247       373
  EVI Industries Inc.    17,267       372
* Paysign Inc.   117,172       359
*,1 Eve Holding Inc.    64,460       358
* 374Water Inc.   230,764       307
*,1 SKYX Platforms Corp.   227,365       293
* CompoSecure Inc.    58,934       285
* CPI Card Group Inc.    14,865       281
*,1 Babcock & Wilcox Enterprises Inc.   212,072       271
    Shares Market
Value

($000)
*,1,3 Tingo Group Inc.   370,341       256
  Hirequest Inc.    18,950       254
*,1 Workhorse Group Inc.   754,852       253
* Priority Technology Holdings Inc.    64,619       214
* Skillsoft Corp.    15,708       192
* INNOVATE Corp.   196,498       154
* Redwire Corp.    27,955        90
*,1 Velo3D Inc.   320,912        88
*,1 Dragonfly Energy Holdings Corp.   100,915        66
* Amprius Technologies Inc.    18,998        62
* Southland Holdings Inc.    13,497        62
* TuSimple Holdings Inc. Class A     2,412         1
      1,772,990
Other (0.0%)4
* Alto Neuroscience Inc.     2,379        37
*,3 Aduro Biotech Inc. CVR    17,431         3
*,3 GTX Inc. CVR       846         1
*,3 Chinook Therapeutics Inc. CVR       704        —
             41
Real Estate (5.8%)
  Ryman Hospitality Properties Inc.   212,549    25,183
  Terreno Realty Corp.   301,468    19,384
  Kite Realty Group Trust   792,175    16,960
  Phillips Edison & Co. Inc.   429,320    15,335
  Essential Properties Realty Trust Inc.   567,473    13,557
  PotlatchDeltic Corp.   287,773    13,010
  Macerich Co.   786,727    12,910
  Apple Hospitality REIT Inc.   784,550    12,623
  Independence Realty Trust Inc.   821,092    12,021
  Sabra Health Care REIT Inc.   842,451    11,693
1 SL Green Realty Corp.   235,906    11,437
  DigitalBridge Group Inc.   588,841    10,817
  Tanger Inc.   371,919    10,715
  Broadstone Net Lease Inc.   684,015    10,199
  COPT Defense Properties   410,269     9,941
  Innovative Industrial Properties Inc.   101,394     9,936
  Hannon Armstrong Sustainable Infrastructure Capital Inc.   385,160     9,694
  SITE Centers Corp.   693,598     9,419
  LXP Industrial Trust 1,054,329     9,131
  National Health Investors Inc.   151,740     8,721
  Sunstone Hotel Investors Inc.   757,934     8,481
  CareTrust REIT Inc.   364,172     8,216
  Four Corners Property Trust Inc.   329,190     7,960
  Douglas Emmett Inc.   587,083     7,761
  Outfront Media Inc.   537,203     7,720
  DiamondRock Hospitality Co.   765,307     7,194
  Urban Edge Properties   418,096     7,112
* Equity Commonwealth   371,312     6,992
  Pebblebrook Hotel Trust   432,663     6,853
 
19

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
  St. Joe Co.   125,581     6,765
  RLJ Lodging Trust   563,792     6,692
  InvenTrust Properties Corp.   247,258     6,243
*,1 Opendoor Technologies Inc. 2,021,518     6,226
  JBG SMITH Properties   369,420     6,125
* Cushman & Wakefield plc   604,603     6,040
  Xenia Hotels & Resorts Inc.   390,934     5,997
  Retail Opportunity Investments Corp.   448,042     5,793
  Acadia Realty Trust   340,172     5,575
  Newmark Group Inc. Class A   500,133     5,396
* GEO Group Inc.   438,065     5,375
  Global Net Lease Inc.   708,469     5,108
  Uniti Group Inc.   866,893     5,080
  Empire State Realty Trust Inc. Class A   480,972     4,795
  LTC Properties Inc.   149,267     4,696
  Getty Realty Corp.   173,417     4,571
  Alexander & Baldwin Inc.   263,715     4,288
  NETSTREIT Corp.   251,602     4,229
  Veris Residential Inc.   287,630     4,199
  Elme Communities   320,164     4,124
  Easterly Government Properties Inc.   349,065     4,119
* Compass Inc. Class A 1,036,399     4,094
  Service Properties Trust   600,241     4,082
* Apartment Investment and Management Co. Class A   532,370     3,929
  American Assets Trust Inc.   177,756     3,834
  Kennedy-Wilson Holdings Inc.   435,882     3,827
  Safehold Inc.   177,025     3,562
  Plymouth Industrial REIT Inc.   160,497     3,462
1 eXp World Holdings Inc.   258,909     3,392
  UMH Properties Inc.   217,832     3,355
  Hudson Pacific Properties Inc.   502,703     3,187
  Marcus & Millichap Inc.    86,323     3,167
  Centerspace    54,934     3,054
  Paramount Group Inc.   671,986     2,977
  Diversified Healthcare Trust   871,481     2,858
* Redfin Corp.   397,970     2,828
  Piedmont Office Realty Trust Inc. Class A   449,167     2,816
  Brandywine Realty Trust   619,138     2,662
  Community Healthcare Trust Inc.    96,865     2,629
  Armada Hoffler Properties Inc.   245,326     2,497
* Anywhere Real Estate Inc.   393,045     2,464
  Summit Hotel Properties Inc.   382,244     2,454
  NexPoint Residential Trust Inc.    82,282     2,403
  CBL & Associates Properties Inc.    97,682     2,253
* Forestar Group Inc.    66,642     2,247
  Whitestone REIT   176,435     2,174
  Global Medical REIT Inc.   221,091     1,979
    Shares Market
Value

($000)
  Farmland Partners Inc.   162,799     1,921
  Peakstone Realty Trust REIT   131,872     1,816
  Universal Health Realty Income Trust    46,696     1,811
  Gladstone Commercial Corp.   144,951     1,795
  Chatham Lodging Trust   175,420     1,789
  Alexander's Inc.     8,023     1,774
  Gladstone Land Corp.   121,509     1,581
  Saul Centers Inc.    41,990     1,520
* FRP Holdings Inc.    23,779     1,432
  Ares Commercial Real Estate Corp.   189,398     1,428
  CTO Realty Growth Inc.    80,400     1,371
  RMR Group Inc. Class A    55,698     1,363
* Tejon Ranch Co.    76,188     1,267
  One Liberty Properties Inc.    59,374     1,202
  Postal Realty Trust Inc. Class A    73,997     1,060
  Orion Office REIT Inc.   207,073       727
  Alpine Income Property Trust Inc.    46,158       721
  BRT Apartments Corp.    42,497       658
  City Office REIT Inc.   140,480       643
* Star Holdings    46,253       571
  Braemar Hotels & Resorts Inc.   235,675       537
  RE/MAX Holdings Inc. Class A    63,001       537
  Douglas Elliman Inc.   291,186       536
* Maui Land & Pineapple Co. Inc.    27,063       530
  Office Properties Income Trust   173,935       464
* Stratus Properties Inc.    20,979       458
  Clipper Realty Inc.    42,010       197
* Transcontinental Realty Investors Inc.     4,617       179
* American Realty Investors Inc.     5,123        99
  Physicians Realty Trust       236         3
        540,587
Technology (13.4%)
* Super Micro Computer Inc.   168,654   146,075
*,1 MicroStrategy Inc. Class A    44,552    45,570
* Onto Innovation Inc.   178,010    32,782
* Fabrinet   133,819    28,847
* SPS Commerce Inc.   133,274    24,677
* Rambus Inc.   396,687    23,500
* Qualys Inc.   135,474    23,283
* Novanta Inc.   130,503    22,569
* Varonis Systems Inc.   395,445    20,089
* Tenable Holdings Inc.   415,506    20,011
* Insight Enterprises Inc.   104,436    19,634
* MACOM Technology Solutions Holdings Inc.   197,853    17,476
* Appfolio Inc. Class A    69,596    16,848
* Altair Engineering Inc. Class A   197,675    16,818
* Silicon Laboratories Inc.   115,409    15,873
* Workiva Inc.   180,974    15,585
* CommVault Systems Inc.   160,108    15,324
  Power Integrations Inc.   206,737    14,773
* Synaptics Inc.   143,833    14,398
 
20

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
  Advanced Energy Industries Inc.   136,781    13,842
* Axcelis Technologies Inc.   118,508    13,352
* Box Inc. Class A   512,981    13,230
* Alarm.com Holdings Inc.   174,052    13,174
* Sanmina Corp.   205,489    12,987
* Rapid7 Inc.   220,648    12,926
  Amkor Technology Inc.   409,197    12,693
* Parsons Corp.   150,087    12,099
* FormFactor Inc.   280,829    12,084
* Freshworks Inc. Class A   589,384    12,047
* Blackline Inc.   207,272    11,759
* Ziff Davis Inc.   168,267    11,570
* Diodes Inc.   164,170    11,160
* Blackbaud Inc.   158,507    10,966
*,1 C3.ai Inc. Class A   295,569    10,927
* Braze Inc. Class A   190,638    10,847
* Sprout Social Inc. Class A   173,614    10,733
  Vishay Intertechnology Inc.   469,114    10,203
  Kulicke & Soffa Industries Inc.   201,746     9,607
* Q2 Holdings Inc.   207,144     9,576
* Plexus Corp.    99,849     9,426
* Envestnet Inc.   182,205     9,389
* Yelp Inc.   241,924     9,300
* Impinj Inc.    85,097     9,294
* Cleanspark Inc.   544,033     9,096
* Credo Technology Group Holding Ltd.   417,102     8,984
* DigitalOcean Holdings Inc.   230,854     8,754
  Progress Software Corp.   158,415     8,453
* LiveRamp Holdings Inc.   239,550     8,379
* Perficient Inc.   124,949     8,105
* PagerDuty Inc.   329,697     7,965
* ePlus Inc.    96,478     7,949
  Xerox Holdings Corp.   425,424     7,934
* Cargurus Inc.   355,661     7,874
* Ambarella Inc.   137,719     7,692
* Verint Systems Inc.   227,192     7,182
* Rogers Corp.    63,080     7,069
* Ultra Clean Holdings Inc.   162,052     7,001
* Veeco Instruments Inc.   185,115     6,703
* Photronics Inc.   222,103     6,394
  CSG Systems International Inc.   114,851     6,266
* Fastly Inc. Class A   439,490     6,250
* Squarespace Inc. Class A   183,437     6,105
*,1 IonQ Inc.   584,704     6,058
* Upwork Inc.   454,891     5,959
* Magnite Inc.   492,426     5,919
* Sitime Corp.    63,285     5,854
* Asana Inc. Class A   295,612     5,824
* PROS Holdings Inc.   162,763     5,819
  Clear Secure Inc. Class A   299,147     5,759
* Agilysys Inc.    72,866     5,669
* TTM Technologies Inc.   376,853     5,596
* NetScout Systems Inc.   252,422     5,465
* Cohu Inc.   169,528     5,447
* ACM Research Inc. Class A   175,243     5,419
* MaxLinear Inc.   276,768     5,380
* Zeta Global Holdings Corp. Class A   505,708     5,310
* Appian Corp. Class A   149,414     5,207
* Schrodinger Inc.   198,268     5,048
    Shares Market
Value

($000)
  CTS Corp.   112,817     5,027
* Sprinklr Inc. Class A   384,076     5,005
* Semtech Corp.   232,698     4,933
* Jamf Holding Corp.   257,237     4,628
* Ichor Holdings Ltd.   103,663     4,437
  Adeia Inc.   389,260     4,414
  Shutterstock Inc.    90,026     4,390
* AvePoint Inc.   540,204     4,322
*,1 PAR Technology Corp.    96,874     4,245
* Bumble Inc. Class A   368,104     4,215
* Everbridge Inc.   148,042     4,185
  Benchmark Electronics Inc.   128,619     3,950
* Intapp Inc.   100,567     3,945
* Zuora Inc. Class A   484,079     3,911
* ScanSource Inc.    90,102     3,895
* PDF Solutions Inc.   111,431     3,788
* SMART Global Holdings Inc.   175,883     3,741
*,1 SoundHound AI Inc. Class A   497,884     3,694
* Alkami Technology Inc.   145,732     3,636
* Couchbase Inc.   126,638     3,556
  Sapiens International Corp. NV   111,894     3,443
* N-Able Inc.   253,696     3,417
  A10 Networks Inc.   256,388     3,413
* Model N Inc.   138,166     3,393
* indie Semiconductor Inc. Class A   547,682     3,390
* PubMatic Inc. Class A   155,712     3,261
* TechTarget Inc.    92,373     2,929
* Amplitude Inc. Class A   246,237     2,920
* Grid Dynamics Holdings Inc.   204,844     2,763
  PC Connection Inc.    41,571     2,759
* Vimeo Inc.   555,886     2,663
  Methode Electronics Inc.   123,849     2,638
* E2open Parent Holdings Inc.   618,402     2,616
* Navitas Semiconductor Corp.   397,942     2,443
* Xometry Inc. Class A   123,129     2,408
  Simulations Plus Inc.    57,728     2,396
* Yext Inc.   388,006     2,297
  Hackett Group Inc.    91,315     2,257
* SolarWinds Corp.   186,224     2,224
* Olo Inc. Class A   377,030     2,194
* Cerence Inc.   146,632     2,185
* nLight Inc.   163,261     2,160
* NerdWallet Inc. Class A   122,955     2,074
* Matterport Inc.   929,426     1,970
* 3D Systems Corp.   475,534     1,969
* Kimball Electronics Inc.    87,253     1,964
* SmartRent Inc.   672,930     1,952
* CEVA Inc.    84,531     1,914
* BigCommerce Holdings Inc. Series 1   245,336     1,901
* Alpha & Omega Semiconductor Ltd.    84,855     1,858
* Mitek Systems Inc.   158,713     1,843
* Digimarc Corp.    51,698     1,813
* MeridianLink Inc.    95,302     1,807
* Bandwidth Inc. Class A    85,946     1,765
* Mediaalpha Inc. Class A    82,205     1,706
*,1 Aehr Test Systems   100,371     1,633
*,1 MicroVision Inc.   686,418     1,620
 
21

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
* Definitive Healthcare Corp.   168,902     1,608
* Eventbrite Inc. Class A   281,691     1,577
* Weave Communications Inc.   121,704     1,525
  NVE Corp.    17,579     1,469
* SEMrush Holdings Inc. Class A   114,454     1,428
* OneSpan Inc.   145,653     1,400
* Planet Labs PBC   638,216     1,398
* Domo Inc. Class B   115,803     1,333
  American Software Inc. Class A   118,028     1,324
* Unisys Corp.   240,307     1,247
* EverQuote Inc. Class A    77,670     1,244
* Grindr Inc.   150,146     1,243
*,1 Applied Digital Corp.   298,029     1,237
* Enfusion Inc. Class A   137,829     1,195
* Daktronics Inc.   137,538     1,194
* Nextdoor Holdings Inc.   533,575     1,169
* Consensus Cloud Solutions Inc.    71,801     1,143
* TrueCar Inc.   325,326     1,132
* Digital Turbine Inc.   347,769     1,102
* Thoughtworks Holding Inc.   336,583     1,050
*,1 Terawulf Inc.   538,314     1,009
*,1 NextNav Inc.   203,539       871
* EverCommerce Inc.    85,878       841
*,1 Bit Digital Inc.   320,311       833
  ON24 Inc.   113,113       794
  Immersion Corp.   114,942       776
* SkyWater Technology Inc.    67,034       775
* Asure Software Inc.    83,015       774
* Red Violet Inc.    40,987       732
* Innodata Inc.    94,531       700
* Tucows Inc. Class A    35,817       677
* Rimini Street Inc.   189,300       611
* Vivid Seats Inc. Class A    88,328       532
*,1 Atomera Inc.    82,149       518
* Transphorm Inc.   105,523       508
* Viant Technology Inc. Class A    54,548       496
* inTEST Corp.    42,332       494
* Rackspace Technology Inc.   228,955       483
* eGain Corp.    75,937       465
*,1 Cipher Mining Inc.   153,351       454
* Expensify Inc. Class A   198,280       412
  Richardson Electronics Ltd.    44,690       393
* Intevac Inc.    96,406       372
* FiscalNote Holdings Inc.   222,471       367
* LivePerson Inc.   285,740       363
*,1 BigBear.ai Holdings Inc.   107,914       363
* Brightcove Inc.   156,100       346
* CoreCard Corp.    26,249       335
* Aeva Technologies Inc.   285,989       289
*,1 Veritone Inc.    94,167       216
* System1 Inc.   119,872       200
* CXApp Inc.     7,482        22
*,1 Presto Automation Inc.    11,930         4
* Veradigm Inc.       348         2
      1,256,131
    Shares Market
Value

($000)
Telecommunications (1.2%)
  Cogent Communications Holdings Inc.   159,248    12,885
  InterDigital Inc.    96,036    10,278
* Viavi Solutions Inc.   805,303     7,691
* Calix Inc.   214,483     7,479
* Lumen Technologies Inc. 3,667,795     5,942
* Extreme Networks Inc.   459,159     5,804
* EchoStar Corp. Class A   442,586     5,802
  Telephone and Data Systems Inc.   359,922     5,507
* Harmonic Inc.   400,259     5,255
* Globalstar Inc. 2,548,970     3,976
* Digi International Inc.   127,461     3,768
* Infinera Corp.   724,262     3,636
  Shenandoah Telecommunications Co.   176,570     3,295
* Liberty Latin America Ltd. Class C   496,464     3,237
* fuboTV Inc. 1,029,561     2,131
* IDT Corp. Class B    55,624     2,070
  Bel Fuse Inc. Class B    37,879     1,969
* Gogo Inc.   241,030     1,967
* Anterix Inc.    46,869     1,861
*,1 Lightwave Logic Inc.   426,226     1,794
* Xperi Inc.   158,246     1,734
  Adtran Holdings Inc.   282,950     1,610
* NETGEAR Inc.   104,605     1,568
* Aviat Networks Inc.    41,384     1,469
* Clearfield Inc.    47,146     1,422
  ATN International Inc.    39,729     1,332
* 8x8 Inc.   436,904     1,236
* Consolidated Communications Holdings Inc.   277,460     1,196
  Spok Holdings Inc.    64,738     1,163
* Ribbon Communications Inc.   322,312       964
* AST SpaceMobile Inc.   293,803       931
* Ooma Inc.    87,049       888
* CommScope Holding Co. Inc.   760,212       886
* Liberty Latin America Ltd. Class A   131,926       848
* WideOpenWest Inc.   182,976       732
* Comtech Telecommunications Corp.    99,715       674
* Kaltura Inc.   309,922       412
* KVH Industries Inc.    67,445       320
* Cambium Networks Corp.    43,989       187
*,1 Akoustis Technologies Inc.   249,528       155
* DZS Inc.    80,657       119
*,1 Charge Enterprises Inc.       436        —
        116,193
Utilities (2.6%)
* Casella Waste Systems Inc. Class A   205,281    18,496
  Southwest Gas Holdings Inc.   224,934    15,329
  Portland General Electric Co.   369,807    14,855
  New Jersey Resources Corp.   353,799    14,722
  Brookfield Infrastructure Corp. Class A (XTSE)   436,212    14,469
  Black Hills Corp.   245,549    12,776
 
22

 

Russell 2000 Index Fund
    Shares Market
Value

($000)
  Ormat Technologies Inc. (XNYS)   194,659    12,682
  ONE Gas Inc.   200,744    11,964
  ALLETE Inc.   210,109    11,901
  PNM Resources Inc.   311,950    11,389
  Spire Inc.   187,385    11,116
  Northwestern Energy Group Inc.   224,144    10,741
  American States Water Co.   135,062     9,645
  California Water Service Group   210,152     9,644
  Avista Corp.   278,973     9,262
  MGE Energy Inc.   132,593     8,379
  Chesapeake Utilities Corp.    77,397     7,897
  SJW Group   116,335     6,405
  Northwest Natural Holding Co.   130,873     4,808
  Middlesex Water Co.    63,757     3,245
  Unitil Corp.    58,205     2,966
* Sunnova Energy International Inc.   385,951     2,810
* Enviri Corp.   286,145     2,249
  York Water Co.    51,370     1,818
  Consolidated Water Co. Ltd.    54,652     1,615
* Altus Power Inc.   232,528     1,584
  Aris Water Solutions Inc. Class A   109,381     1,317
  Genie Energy Ltd. Class B    72,002     1,313
  Artesian Resources Corp. Class A    32,886     1,134
  Excelerate Energy Inc. Class A    65,877     1,034
* Pure Cycle Corp.    72,262       720
*,1 NuScale Power Corp.   195,188       605
  Global Water Resources Inc.    42,158       546
  RGC Resources Inc.    28,433       533
* Cadiz Inc.   145,479       422
* Vertex Energy Inc.   235,867       318
    Shares Market
Value

($000)
*,1 Li-Cycle Holdings Corp.   499,673       180
        240,889
Total Common Stocks (Cost $9,814,055) 9,322,293
Warrant (0.0%)
* Cassava Sciences Inc. Exp. 11/15/24 (Cost$—)         1          
Temporary Cash Investments (2.2%)
Money Market Fund (2.2%)
5,6 Vanguard Market Liquidity Fund, 5.400% (Cost $211,761) 2,118,252          211,804
Total Investments (101.5%) (Cost $10,025,816) 9,534,097
Other Assets and Liabilities—Net (-1.5%) (144,626)
Net Assets (100%) 9,389,471
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 $157,609,000.
2 Restricted securities totaling $338,000, representing 0.0% of net assets.
3 Security value determined using significant unobservable inputs.
4 “Other” represents securities that are not classified by the fund’s benchmark index.
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 $170,203,000 was received for securities on loan, of which $169,623,000 is held in Vanguard Market Liquidity Fund and $580,000 is held in cash.
  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 2024 657 67,582 1,744
  
See accompanying Notes, which are an integral part of the Financial Statements.
23

 

Russell 2000 Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $9,814,055) 9,322,293
Affiliated Issuers (Cost $211,761) 211,804
Total Investments in Securities 9,534,097
Investment in Vanguard 259
Cash 13,724
Cash Collateral Pledged—Futures Contracts 3,550
Receivables for Investment Securities Sold 12,491
Receivables for Accrued Income 7,343
Receivables for Capital Shares Issued 112
Variation Margin Receivable—Futures Contracts 363
Total Assets 9,571,939
Liabilities  
Payables for Investment Securities Purchased 11,753
Collateral for Securities on Loan 170,203
Payables for Capital Shares Redeemed 162
Payables to Vanguard 350
Total Liabilities 182,468
Net Assets 9,389,471
1 Includes $157,609,000 of securities on loan.  
At February 29, 2024, net assets consisted of:  
   
Paid-in Capital 10,775,026
Total Distributable Earnings (Loss) (1,385,555)
Net Assets 9,389,471
 
ETF Shares—Net Assets  
Applicable to 107,750,030 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
8,873,184
Net Asset Value Per Share—ETF Shares $82.35
 
Institutional Shares—Net Assets  
Applicable to 1,638,495 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
516,287
Net Asset Value Per Share—Institutional Shares $315.10
  
See accompanying Notes, which are an integral part of the Financial Statements.
24

 

Russell 2000 Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends1 46,197
Interest2 935
Securities Lending—Net 4,351
Total Income 51,483
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 85
Management and Administrative—ETF Shares 2,717
Management and Administrative—Institutional Shares 151
Marketing and Distribution—ETF Shares 186
Marketing and Distribution—Institutional Shares 9
Custodian Fees 287
Shareholders’ Reports—ETF Shares 221
Shareholders’ Reports—Institutional Shares 4
Trustees’ Fees and Expenses 3
Other Expenses 9
Total Expenses 3,672
Expenses Paid Indirectly (20)
Net Expenses 3,652
Net Investment Income 47,831
Realized Net Gain (Loss)  
Investment Securities Sold2,3 191,443
Futures Contracts 1,105
Realized Net Gain (Loss) 192,548
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 494,650
Futures Contracts 2,033
Change in Unrealized Appreciation (Depreciation) 496,683
Net Increase (Decrease) in Net Assets Resulting from Operations 737,062
1 Dividends are net of foreign withholding taxes of $65,000.
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 $865,000, 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 $236,052,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
25

 

Russell 2000 Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 47,831   102,830
Realized Net Gain (Loss) 192,548   (40,387)
Change in Unrealized Appreciation (Depreciation) 496,683   226,212
Net Increase (Decrease) in Net Assets Resulting from Operations 737,062   288,655
Distributions      
ETF Shares (65,405)   (89,739)
Institutional Shares (4,503)   (7,681)
Total Distributions (69,908)   (97,420)
Capital Share Transactions      
ETF Shares 1,790,020   1,021,035
Institutional Shares 3,406   (25,904)
Net Increase (Decrease) from Capital Share Transactions 1,793,426   995,131
Total Increase (Decrease) 2,460,580   1,186,366
Net Assets      
Beginning of Period 6,928,891   5,742,525
End of Period 9,389,471   6,928,891
  
See accompanying Notes, which are an integral part of the Financial Statements.
26

 

Russell 2000 Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 20211 20201 20191
Net Asset Value, Beginning of Period $76.28 $74.02 $91.28 $62.69 $59.88 $69.56
Investment Operations            
Net Investment Income2 .483 1.207 1.030 .865 .810 .797
Net Realized and Unrealized Gain (Loss) on Investments 6.308 2.207 (17.254) 28.550 2.815 (9.704)
Total from Investment Operations 6.791 3.414 (16.224) 29.415 3.625 (8.907)
Distributions            
Dividends from Net Investment Income (.721) (1.154) (1.036) (.825) (.815) (.773)
Distributions from Realized Capital Gains
Total Distributions (.721) (1.154) (1.036) (.825) (.815) (.773)
Net Asset Value, End of Period $82.35 $76.28 $74.02 $91.28 $62.69 $59.88
Total Return 8.98% 4.75% -17.88% 47.15% 6.12% -12.83%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $8,873 $6,455 $5,255 $6,223 $1,802 $1,464
Ratio of Total Expenses to Average Net Assets 0.10%3 0.10%3 0.10%3 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.36% 1.64% 1.26% 1.02% 1.37% 1.30%
Portfolio Turnover Rate4 3% 15% 19% 23% 19% 16%
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 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
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.
27

 

Russell 2000 Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $291.86 $283.22 $349.26 $239.84 $229.03 $266.12
Investment Operations            
Net Investment Income1 1.929 4.671 4.063 3.360 3.208 3.078
Net Realized and Unrealized Gain (Loss) on Investments 24.097 8.434 (66.085) 109.242 10.710 (37.106)
Total from Investment Operations 26.026 13.105 (62.022) 112.602 13.918 (34.028)
Distributions            
Dividends from Net Investment Income (2.786) (4.465) (4.018) (3.182) (3.108) (3.062)
Distributions from Realized Capital Gains
Total Distributions (2.786) (4.465) (4.018) (3.182) (3.108) (3.062)
Net Asset Value, End of Period $315.10 $291.86 $283.22 $349.26 $239.84 $229.03
Total Return 9.00% 4.76% -17.88% 47.19% 6.15% -12.83%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $516 $474 $487 $619 $630 $859
Ratio of Total Expenses to Average Net Assets 0.08%2 0.08%2 0.08%2 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.42% 1.67% 1.29% 1.08% 1.41% 1.32%
Portfolio Turnover Rate3 3% 15% 19% 23% 19% 16%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
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

 

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.
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 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 valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 
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.
During the six months ended February 29, 2024, the fund’s average investments in long and short futures contracts represented 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 virtually 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,
29

 

Russell 2000 Index Fund
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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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
30

 

Russell 2000 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 29, 2024, 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 29, 2024, the fund had contributed to Vanguard capital in the amount of $259,000, 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. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2024, custodian fee offset arrangements reduced the fund’s expenses by $20,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments 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.
31

 

Russell 2000 Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2024, based on the inputs used to value them:
  Level 1
($000)
Level 2
($000)
Level 3
($000)
Total
($000)
Investments        
Assets        
Common Stocks 9,321,666 338 289 9,322,293
Warrant
Temporary Cash Investments 211,804 211,804
Total 9,533,470 338 289 9,534,097
Derivative Financial Instruments        
Assets        
Futures Contracts1 1,744 1,744
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.
E. As of February 29, 2024, 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 10,063,817
Gross Unrealized Appreciation 1,294,920
Gross Unrealized Depreciation (1,822,896)
Net Unrealized Appreciation (Depreciation) (527,976)
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, 2023, the fund had available capital losses totaling $1,064,194,000 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, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2024, the fund purchased $247,659,000 of investment securities and sold $240,709,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $2,622,623,000 and $865,549,000, 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 29, 2024, such purchases were $22,301,000 and sales were $20,148,000, resulting in net realized loss of $4,929,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
32

 

Russell 2000 Index Fund
G. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 2,656,669 34,325   2,621,028 35,700
Issued in Lieu of Cash Distributions  
Redeemed (866,649) (11,200)   (1,599,993) (22,075)
Net Increase (Decrease)—ETF Shares 1,790,020 23,125   1,021,035 13,625
Institutional Shares          
Issued 39,168 136   142,600 509
Issued in Lieu of Cash Distributions 4,067 14   7,193 27
Redeemed (39,829) (136)   (175,697) (632)
Net Increase (Decrease)—Institutional Shares 3,406 14   (25,904) (96)
H. Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I. Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
33

 

Russell 2000 Value Index Fund
Fund Allocation
As of February 29, 2024
Basic Materials 4.2%
Consumer Discretionary 14.0
Consumer Staples 2.1
Energy 9.7
Financials 24.8
Health Care 9.4
Industrials 15.5
Real Estate 10.1
Technology 5.5
Telecommunications 1.1
Utilities 3.6
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.
34

 

Russell 2000 Value Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (4.2%)
  Commercial Metals Co.  80,783    4,362
  UFP Industries Inc.  35,093    4,023
  Boise Cascade Co.  27,408    3,725
  Avient Corp.  62,728    2,539
  Mueller Industries Inc.  43,834    2,252
  Carpenter Technology Corp.  33,849    2,188
* Uranium Energy Corp. 261,432    1,694
  Minerals Technologies Inc.  22,560    1,632
  Tronox Holdings plc  80,552    1,184
  Hecla Mining Co. 332,199    1,176
  Stepan Co.  12,947    1,155
  Koppers Holdings Inc.  13,889      786
* Worthington Steel Inc.  21,189      671
* Constellium SE  33,882      657
  Mativ Holdings Inc.  37,480      651
* TimkenSteel Corp.  29,951      651
* Perimeter Solutions SA 104,981      638
* US Silica Holdings Inc.  51,910      597
* Coeur Mining Inc. 227,827      590
  Ryerson Holding Corp.  18,059      570
  Haynes International Inc.   8,607      512
  AdvanSix Inc.  17,957      502
* Ecovyst Inc.  50,018      483
  Olympic Steel Inc.   6,792      462
* Clearwater Paper Corp.  11,255      442
* Encore Energy Corp. 100,993      390
  Radius Recycling Inc.  17,818      352
* LSB Industries Inc.  36,924      272
  Innospec Inc.   2,071      257
* Northwest Pipe Co.   6,770      202
  American Vanguard Corp.  16,202      174
* i-80 Gold Corp. 131,102      165
* Intrepid Potash Inc.   7,280      154
* Rayonier Advanced Materials Inc.  43,831      149
* Piedmont Lithium Inc.   7,814      114
  Caledonia Mining Corp. plc  10,921      108
  FutureFuel Corp.  17,965      107
  GrafTech International Ltd.  59,501      105
* Energy Fuels Inc.  14,597       92
  Tredegar Corp.  17,604       77
  Kaiser Aluminum Corp.     877       64
* Glatfelter Corp.  28,517       64
* Contango ORE Inc.   2,806       48
* Origin Materials Inc.  79,846       47
* Dakota Gold Corp.  13,134       28
  Valhi Inc.   1,703       23
    Shares Market
Value

($000)
* 5e Advanced Materials Inc.   3,954        7
        37,141
Consumer Discretionary (14.0%)
* Taylor Morrison Home Corp.  71,501    4,048
  Meritage Homes Corp.  25,144    3,964
* Light & Wonder Inc.  33,477    3,365
  KB Home  49,182    3,267
  Signet Jewelers Ltd.  30,816    3,136
* Asbury Automotive Group Inc.  14,322    2,991
* Carvana Co.  37,098    2,817
  MDC Holdings Inc.  41,395    2,595
  Group 1 Automotive Inc.   9,453    2,558
* M/I Homes Inc.  18,641    2,367
* Tri Pointe Homes Inc.  66,503    2,353
  American Eagle Outfitters Inc.  97,991    2,327
* Goodyear Tire & Rubber Co. 194,696    2,313
* Adient plc  64,893    2,203
  Rush Enterprises Inc. Class A  44,477    2,166
* Abercrombie & Fitch Co. Class A  16,283    2,080
* Helen of Troy Ltd.  16,432    2,054
  Foot Locker Inc.  56,843    1,957
  TEGNA Inc. 139,507    1,955
* SkyWest Inc.  28,091    1,804
  Graham Holdings Co. Class B   2,475    1,738
  Strategic Education Inc.  15,660    1,735
  Century Communities Inc.  19,712    1,701
  MillerKnoll Inc.  51,123    1,562
* LGI Homes Inc.  13,225    1,509
* JetBlue Airways Corp. 231,135    1,498
  Winnebago Industries Inc.  20,130    1,444
* Topgolf Callaway Brands Corp.  98,971    1,409
* Skyline Champion Corp.  16,248    1,361
* Central Garden & Pet Co. Class A  35,951    1,355
* Adtalem Global Education Inc.  27,336    1,353
  LCI Industries  10,591    1,334
  Worthington Enterprises Inc.  21,316    1,324
  HNI Corp.  28,940    1,297
* ODP Corp.  22,344    1,262
* Vista Outdoor Inc.  39,731    1,240
* Urban Outfitters Inc.  29,148    1,211
* National Vision Holdings Inc.  49,676    1,162
35

 

Russell 2000 Value Index Fund
    Shares Market
Value

($000)
* OPENLANE Inc.  74,235    1,134
  La-Z-Boy Inc.  29,846    1,134
  Dana Inc.  89,708    1,121
* Beyond Inc.  31,013    1,040
* Knowles Corp.  61,842    1,011
* G-III Apparel Group Ltd.  28,441      946
  Caleres Inc.  23,367      902
* Leslie's Inc. 111,641      882
  Steelcase Inc. Class A  63,738      876
  Red Rock Resorts Inc. Class A  15,078      874
  John Wiley & Sons Inc. Class A  25,054      836
  Perdoceo Education Corp.  44,982      801
* Sphere Entertainment Co.  18,298      792
* PROG Holdings Inc.  24,617      760
  Winmark Corp.   1,963      745
  Scholastic Corp.  18,401      726
  Monro Inc.  21,415      719
  Allegiant Travel Co.   9,767      711
* Green Brick Partners Inc.  12,052      705
* Beazer Homes USA Inc.  20,271      635
  Interface Inc.  39,443      620
* American Axle & Manufacturing Holdings Inc.  78,474      543
  Sonic Automotive Inc. Class A  10,089      530
  Krispy Kreme Inc.  40,903      529
  Ethan Allen Interiors Inc.  15,690      525
* Hovnanian Enterprises Inc. Class A   3,354      525
* Hawaiian Holdings Inc.  35,013      494
* MarineMax Inc.  14,699      488
1 Spirit Airlines Inc.  75,443      487
* Sabre Corp. 170,747      453
  Standard Motor Products Inc.  14,149      449
* Thryv Holdings Inc.  21,310      446
* Clear Channel Outdoor Holdings Inc. 257,802      443
* Hanesbrands Inc.  80,820      436
  Guess? Inc.  17,144      435
  Matthews International Corp. Class A  15,009      434
  PriceSmart Inc.   5,130      432
  Smith & Wesson Brands Inc.  31,479      432
  Shoe Carnival Inc.  12,528      411
* Dream Finders Homes Inc. Class A   9,901      387
  Papa John's International Inc.   4,979      358
  Haverty Furniture Cos. Inc.  10,068      345
* Clean Energy Fuels Corp. 116,582      344
  A-Mark Precious Metals Inc.  13,088      336
  Gray Television Inc.  54,292      317
  Designer Brands Inc. Class A  29,672      313
  Movado Group Inc.  10,561      303
* Stagwell Inc.  55,166      295
* Life Time Group Holdings Inc.  21,183      291
* Central Garden & Pet Co.   6,469      284
  Sinclair Inc.  18,961      282
* Universal Technical Institute Inc.  18,535      279
* AMC Networks Inc. Class A  21,262      275
* America's Car-Mart Inc.   4,034      272
    Shares Market
Value

($000)
* Stoneridge Inc.  14,832      261
* Six Flags Entertainment Corp.  10,255      260
* Daily Journal Corp.     754      255
* Everi Holdings Inc.  21,521      255
  Oxford Industries Inc.   2,514      255
* Boston Omaha Corp. Class A  15,074      247
  Marcus Corp.  16,673      245
* Lions Gate Entertainment Corp. Class B  26,796      243
* Genesco Inc.   7,580      242
  Carrols Restaurant Group Inc.  25,271      239
* Malibu Boats Inc. Class A   5,346      233
  Rush Enterprises Inc. Class B   4,451      224
* First Watch Restaurant Group Inc.   8,929      224
* Cinemark Holdings Inc.  12,612      220
* Gannett Co. Inc.  99,210      211
* Cardlytics Inc.  25,125      208
* Eastman Kodak Co.  38,770      207
* OneWater Marine Inc. Class A   7,935      206
* BJ's Restaurants Inc.   5,793      203
* GoPro Inc. Class A  86,613      203
* Lindblad Expeditions Holdings Inc.  21,834      202
* iHeartMedia Inc. Class A  71,323      198
* Zumiez Inc.  10,960      193
  Laureate Education Inc.  14,087      189
* Landsea Homes Corp.  13,911      189
* 1-800-Flowers.com Inc. Class A  17,914      187
* Selectquote Inc.  93,509      181
  Hooker Furnishings Corp.   7,347      180
* Savers Value Village Inc.   8,869      180
* JAKKS Pacific Inc.   5,070      178
* Legacy Housing Corp.   6,832      176
* El Pollo Loco Holdings Inc.  19,096      173
* Sun Country Airlines Holdings Inc.  11,503      173
  Johnson Outdoors Inc. Class A   3,729      171
* Lincoln Educational Services Corp.  16,264      164
* Sweetgreen Inc. Class A  12,860      164
  Aaron's Co. Inc.  20,733      161
* Children's Place Inc.   8,196      158
* Holley Inc.  36,332      156
* Destination XL Group Inc.  38,524      154
* Madison Square Garden Entertainment Corp.   3,976      153
* AMMO Inc.  61,499      146
* SES AI Corp.  80,939      143
* Vera Bradley Inc.  17,782      139
* Tile Shop Holdings Inc.  19,523      136
* Playstudios Inc.  57,539      136
  Weyco Group Inc.   4,031      130
* Lions Gate Entertainment Corp. Class A  12,507      121
* Turtle Beach Corp.  11,010      118
* Brinker International Inc.   2,526      117
* Tilly's Inc. Class A  15,028      116
* WW International Inc.  36,768      115
* Liquidity Services Inc.   6,382      114
* Sleep Number Corp.   6,838      113
 
36

 

Russell 2000 Value Index Fund
    Shares Market
Value

($000)
  Hibbett Inc.   1,366      112
  Clarus Corp.  19,287      111
* Cooper-Standard Holdings Inc.   7,792      110
  Rocky Brands Inc.   4,410      110
  Big Lots Inc.  20,195      109
* Snap One Holdings Corp.  12,965      107
* BARK Inc.  88,441      106
* Lands' End Inc.  10,620      103
* Stitch Fix Inc. Class A  31,899      103
* Outbrain Inc.  27,594      102
* ContextLogic Inc. Class A  15,421      100
* Bally's Corp.   8,833       99
* Reservoir Media Inc.  13,719       99
* Biglari Holdings Inc. Class B     535       93
  Escalade Inc.   6,282       93
* Chegg Inc.  10,234       92
* Sportsman's Warehouse Holdings Inc.  24,829       90
* Latham Group Inc.  25,811       88
* EW Scripps Co. Class A  20,809       84
  Cato Corp. Class A  12,593       83
  Global Industrial Co.   1,898       83
* J Jill Inc.   3,270       82
  Upbound Group Inc.   2,401       81
* ThredUP Inc. Class A  39,280       79
* Arlo Technologies Inc.   7,451       78
* Chuy's Holdings Inc.   2,307       78
* Denny's Corp.   8,368       77
* VOXX International Corp.   8,473       72
  Purple Innovation Inc.  37,788       70
  Big 5 Sporting Goods Corp.  14,301       69
* SeaWorld Entertainment Inc.   1,333       68
*,1 Vuzix Corp.  38,401       65
* Allbirds Inc. Class A  70,577       64
* Vizio Holding Corp. Class A   5,386       59
* Blink Charging Co.  18,321       58
* Traeger Inc.  26,051       58
* Funko Inc. Class A   8,105       57
* Emerald Holding Inc.  10,341       55
  Build-A-Bear Workshop Inc.   2,235       54
  Dine Brands Global Inc.   1,055       51
* Sally Beauty Holdings Inc.   3,964       50
* Figs Inc. Class A   9,601       50
  Wolverine World Wide Inc.   4,694       48
* Duluth Holdings Inc. Class B   9,467       45
  Sturm Ruger & Co. Inc.     927       40
* Fossil Group Inc.  35,296       37
  Climb Global Solutions Inc.     528       36
  NL Industries Inc.   6,036       31
*,1 United Homes Group Inc.   3,907       27
* Xponential Fitness Inc. Class A   2,624       26
* 2U Inc.  55,774       25
* Urban One Inc.   8,714       25
  CompX International Inc.   1,090       25
* Lazydays Holdings Inc.   6,003       24
* European Wax Center Inc. Class A   1,660       24
  Bowlero Corp. Class A   1,963       24
* iRobot Corp.   1,923       22
* Urban One Inc. (XNCM)   5,665       19
  Nathan's Famous Inc.     223       16
* Full House Resorts Inc.   3,152       16
* Rent the Runway Inc. Class A  33,728       14
    Shares Market
Value

($000)
* Solo Brands Inc. Class A   4,077       11
* Mondee Holdings Inc.   4,787       11
* Century Casinos Inc.   2,697        8
* Smith Douglas Homes Corp.     161        5
       122,934
Consumer Staples (2.1%)
* BellRing Brands Inc.  66,826    3,806
  Primo Water Corp.  93,252    1,512
  Edgewell Personal Care Co.  34,898    1,333
  Andersons Inc.  22,309    1,233
* TreeHouse Foods Inc.  31,119    1,114
  Vector Group Ltd.  82,654      922
  Universal Corp.  16,594      797
  Ingles Markets Inc. Class A   9,680      745
  Weis Markets Inc.  11,339      736
* United Natural Foods Inc.  40,170      627
* Hain Celestial Group Inc.  61,476      615
  B&G Foods Inc.  48,857      564
  Fresh Del Monte Produce Inc.  23,407      560
  SpartanNash Co.  23,730      500
  Nu Skin Enterprises Inc. Class A  34,298      429
  ACCO Brands Corp.  63,633      355
* Mission Produce Inc.  28,595      302
  Dole plc  21,313      252
* Duckhorn Portfolio Inc.  24,290      231
  Limoneira Co.  12,041      222
* Seneca Foods Corp. Class A   3,608      183
  Oil-Dri Corp. of America   2,499      178
  Village Super Market Inc. Class A   6,061      166
*,1 Waldencast plc Class A  24,808      166
* Nature's Sunshine Products Inc.   9,063      161
* Herbalife Ltd.  18,119      160
  Alico Inc.   4,845      134
  Natural Grocers by Vitamin Cottage Inc.   6,437      107
* HF Foods Group Inc.  26,930      101
  Cal-Maine Foods Inc.   1,725       99
* GrowGeneration Corp.  39,367       84
  PetMed Express Inc.  14,497       73
*,1 Forafric Global plc   3,913       41
* Benson Hill Inc. 128,950       32
* SunOpta Inc.   3,622       25
* Zevia PBC Class A   7,961       12
* Brookfield Realty Capital Corp. Class A   2,181        9
        18,586
Energy (9.7%)
  Chord Energy Corp.  28,904    4,695
  Murphy Oil Corp. 102,812    4,079
  Matador Resources Co.  64,373    4,065
  Civitas Resources Inc.  55,903    3,839
  Permian resources Corp. 236,810    3,685
  PBF Energy Inc. Class A  76,994    3,596
  SM Energy Co.  81,632    3,573
  Alpha Metallurgical Resources Inc.   7,425    2,801
  Arcosa Inc.  33,514    2,782
  Patterson-UTI Energy Inc. 229,965    2,661
  Helmerich & Payne Inc.  67,264    2,582
  California Resources Corp.  48,102    2,509
  Equitrans Midstream Corp. 214,163    2,289
  Liberty Energy Inc. 106,678    2,281
 
37

 

Russell 2000 Value Index Fund
    Shares Market
Value

($000)
* CNX Resources Corp. 108,258    2,268
  Arch Resources Inc.  12,436    2,056
  Warrior Met Coal Inc.  35,745    2,036
  Peabody Energy Corp.  79,019    1,957
  CONSOL Energy Inc.  21,126    1,813
* Seadrill Ltd.  34,970    1,476
  Archrock Inc.  79,033    1,444
* Callon Petroleum Co.  42,150    1,313
  Golar LNG Ltd.  64,509    1,309
* Talos Energy Inc.  92,983    1,226
  Delek US Holdings Inc.  44,254    1,129
* Gulfport Energy Corp.   7,772    1,104
* DNOW Inc.  73,265    1,037
  World Kinect Corp.  41,122    1,002
* Helix Energy Solutions Group Inc.  99,052      891
* Par Pacific Holdings Inc.  23,424      846
* Vital Energy Inc.  16,073      809
* Diamond Offshore Drilling Inc.  69,980      776
  Sitio Royalties Corp. Class A  31,629      722
* Green Plains Inc.  32,995      703
* Expro Group Holdings NV  38,503      689
  SunCoke Energy Inc.  57,540      616
  Noble Corp. plc  13,255      554
  Comstock Resources Inc.  63,178      540
* Dril-Quip Inc.  23,424      529
* ProPetro Holding Corp.  66,460      492
  Select Water Solutions Inc.  55,028      470
* MRC Global Inc.  38,128      440
* Bristow Group Inc.  16,275      439
  RPC Inc.  58,571      433
  Kinetik Holdings Inc.  11,201      396
  Vitesse Energy Inc.  17,240      392
* FuelCell Energy Inc. 312,483      372
* SilverBow Resources Inc.  12,978      368
  Berry Corp.  51,886      366
  Crescent Energy Co. Class A  32,259      361
* REX American Resources Corp.   7,954      350
* Centrus Energy Corp. Class A   8,445      344
* Newpark Resources Inc.  52,670      339
  Core Laboratories Inc.  21,951      329
  VAALCO Energy Inc.  66,116      295
  SandRidge Energy Inc.  21,999      287
* Tellurian Inc. 357,942      284
  Ramaco Resources Inc. Class A  15,893      279
*,1 Stem Inc. 101,094      271
  Northern Oil & Gas Inc.   7,237      259
* Oil States International Inc.  43,507      235
  Atlas Energy Solutions Inc.  10,152      191
  Kodiak Gas Services Inc.   7,440      190
* Solid Power Inc. 111,598      183
* EVgo Inc.  60,659      180
  Magnolia Oil & Gas Corp. Class A   7,913      179
* SEACOR Marine Holdings Inc.  16,601      174
  Solaris Oilfield Infrastructure Inc. Class A  18,442      156
* DMC Global Inc.   9,242      154
* Amplify Energy Corp.  24,854      150
  Granite Ridge Resources Inc.  23,279      143
* Gevo Inc. 159,215      142
    Shares Market
Value

($000)
* Forum Energy Technologies Inc.   6,538      131
* Ring Energy Inc.  85,510      122
* Hallador Energy Co.  15,341      117
*,1 Energy Vault Holdings Inc.  66,342      111
* ProFrac Holding Corp. Class A  13,299      109
  Ranger Energy Services Inc.  10,009      105
  NACCO Industries Inc. Class A   2,782       92
  CVR Energy Inc.   1,923       64
* KLX Energy Services Holdings Inc.   7,543       61
* Nabors Industries Ltd. (XNYS)     732       57
* PrimeEnergy Resources Corp.     563       56
* Mammoth Energy Services Inc.  15,100       55
* ESS Tech Inc.  57,759       50
* Maxeon Solar Technologies Ltd.   7,349       29
  Ramaco Resources Inc. Class B   2,282       27
1 HighPeak Energy Inc.   1,283       21
* Verde Clean Fuels Inc.     193        1
        85,133
Financials (24.7%)
  SouthState Corp.  52,657    4,425
  Essent Group Ltd.  72,431    3,880
  Cadence Bank 126,392    3,499
  Old National Bancorp 202,090    3,320
* Mr Cooper Group Inc.  44,495    3,172
  Radian Group Inc. 108,572    3,164
  Jackson Financial Inc. Class A  57,178    3,148
  United Bankshares Inc.  90,416    3,137
  Home BancShares Inc. 131,625    3,088
* American Equity Investment Life Holding Co.  54,089    3,004
  Glacier Bancorp Inc.  77,109    2,885
  Hancock Whitney Corp.  60,026    2,617
* Enstar Group Ltd.   8,241    2,538
  UMB Financial Corp.  30,674    2,503
  Valley National Bancorp 298,437    2,444
1 Blackstone Mortgage Trust Inc. Class A 119,447    2,433
  Associated Banc-Corp. 105,184    2,192
  Ameris Bancorp  45,791    2,122
  Walker & Dunlop Inc.  22,037    2,102
  United Community Banks Inc.  80,051    2,082
  CNO Financial Group Inc.  77,394    2,066
* Genworth Financial Inc. Class A 319,841    1,967
* Texas Capital Bancshares Inc.  33,098    1,941
  International Bancshares Corp.  37,139    1,927
  Cathay General Bancorp  48,068    1,877
  First BanCorp (XNYS) 108,909    1,849
  WSFS Financial Corp.  42,377    1,796
* Axos Financial Inc.  33,821    1,763
  Atlantic Union Bankshares Corp.  52,020    1,730
  Fulton Financial Corp. 111,430    1,716
1 Arbor Realty Trust Inc. 127,275    1,705
 
38

 

Russell 2000 Value Index Fund
    Shares Market
Value

($000)
  Community Bank System Inc.  36,841    1,669
  Simmons First National Corp. Class A  86,039    1,652
  Bank of Hawaii Corp.  27,135    1,636
* Oscar Health Inc. Class A 100,610    1,636
  Independent Bank Corp. (XNGS)  30,599    1,596
  CVB Financial Corp.  92,144    1,568
* NMI Holdings Inc. Class A  51,487    1,549
  First Interstate BancSystem Inc. Class A  57,248    1,507
  Pacific Premier Bancorp Inc.  65,834    1,505
  ServisFirst Bancshares Inc.  23,201    1,466
  First Financial Bancorp  65,250    1,416
  Seacoast Banking Corp. of Florida  58,363    1,409
  PennyMac Financial Services Inc.  16,554    1,406
  Eastern Bankshares Inc. 107,380    1,387
  BankUnited Inc.  51,610    1,384
  First Merchants Corp.  40,683    1,351
  Banc of California Inc.  90,250    1,320
  Towne Bank  48,327    1,310
  Park National Corp.   9,865    1,268
* Enova International Inc.  20,015    1,266
  WaFd Inc.  44,849    1,222
  Renasant Corp.  38,003    1,201
  Hamilton Lane Inc. Class A  10,354    1,189
  Stewart Information Services Corp.  18,565    1,169
  OFG Bancorp  32,010    1,159
  WesBanco Inc.  39,700    1,151
  BancFirst Corp.  13,073    1,147
* Triumph Financial Inc.  15,292    1,147
* StoneX Group Inc.  16,419    1,137
  Trustmark Corp.  41,880    1,125
  Apollo Commercial Real Estate Finance Inc.  97,715    1,095
  Independent Bank Group Inc.  24,888    1,088
* Customers Bancorp Inc.  19,684    1,069
  Banner Corp.  23,555    1,033
* Cannae Holdings Inc.  47,206    1,030
  Horace Mann Educators Corp.  28,265    1,023
  Moelis & Co. Class A  18,926    1,023
  Lakeland Financial Corp.  15,973    1,017
  Northwest Bancshares Inc.  87,698    1,005
  Compass Diversified Holdings  43,436      999
  Enterprise Financial Services Corp.  24,977      997
  Hilltop Holdings Inc.  32,152      993
  NBT Bancorp Inc.  28,783      990
  Heartland Financial USA Inc.  29,084      989
  Ready Capital Corp. 110,255      974
  Navient Corp.  59,723      971
  Virtus Investment Partners Inc.   4,152      965
  Federal Agricultural Mortgage Corp. Class C   5,290      946
  City Holding Co.   9,377      942
  First Bancorp (XNGS)  27,393      935
  Bank of NT Butterfield & Son Ltd.  31,047      928
  Live Oak Bancshares Inc.  23,148      919
    Shares Market
Value

($000)
  First Commonwealth Financial Corp.  70,463      918
  Mercury General Corp.  18,434      898
  BGC Group Inc. Class A 128,780      895
  FB Financial Corp.  24,427      871
  Hope Bancorp Inc.  79,421      871
  National Bank Holdings Corp. Class A  25,360      858
  Two Harbors Investment Corp.  66,834      847
  PennyMac Mortgage Investment Trust  59,859      846
  Ladder Capital Corp.  77,950      843
  First Busey Corp.  35,778      825
  S&T Bancorp Inc.  26,244      819
  Safety Insurance Group Inc.   9,879      812
  Employers Holdings Inc.  17,638      806
  MFA Financial Inc. REIT  70,416      790
  National Western Life Group Inc. Class A   1,584      769
* Encore Capital Group Inc.  15,973      767
  Nelnet Inc. Class A   8,877      762
  Provident Financial Services Inc.  50,491      761
  Stellar Bancorp Inc.  31,791      753
  Franklin BSP Realty Trust Inc. REIT  57,264      739
  TriCo Bancshares  21,377      714
  Veritex Holdings Inc.  36,110      709
  Nicolet Bankshares Inc.   8,861      699
  Chimera Investment Corp. 156,519      682
* PRA Group Inc.  26,555      679
  Peoples Bancorp Inc.  24,041      675
  ARMOUR Residential REIT Inc.  33,767      669
  Sandy Spring Bancorp Inc.  30,201      664
  QCR Holdings Inc.  11,356      647
  Berkshire Hills Bancorp Inc.  29,943      643
  Preferred Bank   8,906      640
  Brightspire Capital Inc.  88,610      612
  OceanFirst Financial Corp.  40,071      609
  German American Bancorp Inc.  19,314      608
  Pathward Financial Inc.  11,940      607
* LendingClub Corp.  74,613      605
  Claros Mortgage Trust Inc.  62,491      605
  Origin Bancorp Inc.  20,099      600
  Ellington Financial Inc.  52,434      594
  Brookline Bancorp Inc.  60,102      587
  Southside Bancshares Inc.  19,776      567
  Westamerica BanCorp  12,409      567
  1st Source Corp.  11,366      566
  Enact Holdings Inc.  20,419      566
* Riot Platforms Inc.  39,506      558
  Bank First Corp.   6,426      556
* SiriusPoint Ltd.  43,441      533
  Banco Latinoamericano de Comercio Exterior SA Class E  18,935      530
  First Bancshares Inc.  21,115      524
  Capitol Federal Financial Inc.  87,808      508
  Artisan Partners Asset Management Inc. Class A  11,710      504
  Lakeland Bancorp Inc.  42,939      502
  ConnectOne Bancorp Inc.  25,218      499
* Ambac Financial Group Inc.  30,458      498
  Eagle Bancorp Inc.  20,277      483
  Redwood Trust Inc.  78,294      480
 
39

 

Russell 2000 Value Index Fund
    Shares Market
Value

($000)
  Dynex Capital Inc.  38,754      478
  Premier Financial Corp.  24,360      472
* Lemonade Inc.  29,008      471
  Merchants Bancorp  10,927      468
  First Mid Bancshares Inc.  15,351      465
  Tompkins Financial Corp.   9,533      459
  F&G Annuities & Life Inc.  12,152      459
  Dime Community Bancshares Inc.  24,057      451
  New York Mortgage Trust Inc.  62,588      451
  ProAssurance Corp.  35,835      442
  Heritage Financial Corp.  23,865      438
* Skyward Specialty Insurance Group Inc.  11,799      432
  Community Trust Bancorp Inc.  10,723      426
  Old Second Bancorp Inc.  29,871      401
* CrossFirst Bankshares Inc.  31,140      401
  Univest Financial Corp.  19,981      400
  Mercantile Bank Corp.  10,817      399
  KKR Real Estate Finance Trust Inc.  40,517      395
  First Community Bankshares Inc.  11,858      393
  Piper Sandler Cos.   2,071      390
  Amerant Bancorp Inc.  17,763      376
  Business First Bancshares Inc.  16,546      371
  Horizon Bancorp Inc.  29,673      357
  Byline Bancorp Inc.  17,094      356
  TPG RE Finance Trust Inc.  47,502      355
  Midland States Bancorp Inc.  14,363      350
  TrustCo Bank Corp. NY  12,832      350
  Central Pacific Financial Corp.  18,302      342
  Farmers National Banc Corp.  25,144      339
  AMERISAFE Inc.   6,409      338
  Heritage Commerce Corp.  40,743      338
  United Fire Group Inc.  14,462      337
  Independent Bank Corp.  13,756      336
  Cambridge Bancorp   5,238      331
  Equity Bancshares Inc. Class A  10,081      321
  American National Bankshares Inc.   7,102      320
  Great Southern Bancorp Inc.   6,111      319
  Hanmi Financial Corp.  20,957      317
  Camden National Corp.   9,845      313
* World Acceptance Corp.   2,602      312
1 Orchid Island Capital Inc.  36,122      311
  Brightsphere Investment Group Inc.  13,661      310
  Metrocity Bankshares Inc.  12,615      307
  Washington Trust Bancorp Inc.  11,634      299
  First Financial Corp.   7,904      294
  Republic Bancorp Inc. Class A   5,886      290
  HarborOne Bancorp Inc.  28,283      288
  CNB Financial Corp.  14,172      283
  Peapack-Gladstone Financial Corp.  11,614      281
  Amalgamated Financial Corp.  12,171      281
  Southern Missouri Bancorp Inc.   6,541      280
  First Foundation Inc.  35,182      279
    Shares Market
Value

($000)
  Northfield Bancorp Inc.  27,601      279
  Invesco Mortgage Capital Inc. REIT  30,871      279
  Alerus Financial Corp.  12,352      269
  Universal Insurance Holdings Inc.  13,070      264
  Bar Harbor Bankshares  10,310      260
* Metropolitan Bank Holding Corp.   6,500      255
  James River Group Holdings Ltd.  25,441      254
  Northeast Bank   4,641      248
  Capstar Financial Holdings Inc.  13,175      247
  Flushing Financial Corp.  19,062      245
  Kearny Financial Corp.  38,593      245
  Arrow Financial Corp.  10,158      244
  SmartFinancial Inc.  10,951      236
  Shore Bancshares Inc.  20,528      233
* Greenlight Capital Re Ltd. Class A  17,861      226
  MidWestOne Financial Group Inc.   9,835      225
  Burke & Herbert Financial Services Corp.   4,096      224
* LendingTree Inc.   5,572      220
  South Plains Financial Inc.   8,107      216
  Tiptree Inc.  11,985      210
  HomeTrust Bancshares Inc.   7,914      208
  Summit Financial Group Inc.   7,713      208
  Mid Penn Bancorp Inc.   9,821      207
* Carter Bankshares Inc.  15,640      206
* MBIA Inc.  31,363      205
* Columbia Financial Inc.  12,104      203
  ACNB Corp.   5,737      202
  RBB Bancorp  11,557      199
  West BanCorp Inc.  11,208      195
  Financial Institutions Inc.  10,492      193
  First Business Financial Services Inc.   5,429      192
  Orrstown Financial Services Inc.   7,070      191
  Peoples Financial Services Corp.   4,739      191
  Citizens & Northern Corp.  10,307      189
  First Bank  14,082      189
* American Coastal Insurance Corp. Class C  13,489      188
  Northrim BanCorp Inc.   3,719      185
  Chicago Atlantic Real Estate Finance Inc.  11,349      185
  NewtekOne Inc.  16,021      185
  Home Bancorp Inc.   4,956      182
  Bank of Marin Bancorp  10,830      180
  Enterprise Bancorp Inc.   6,609      179
  Macatawa Bank Corp.  18,174      178
  Farmers & Merchants Bancorp Inc.   8,764      177
  HBT Financial Inc.   9,165      175
* Southern First Bancshares Inc.   5,291      174
  HomeStreet Inc.  12,423      173
  Sierra Bancorp   9,289      173
  Primis Financial Corp.  13,974      173
  Hingham Institution for Savings   1,022      172
  Capital City Bank Group Inc.   5,950      169
* Bridgewater Bancshares Inc.  14,080      167
 
40

 

Russell 2000 Value Index Fund
    Shares Market
Value

($000)
  Granite Point Mortgage Trust Inc.  35,099      166
  Red River Bancshares Inc.   3,314      165
  First of Long Island Corp.  14,683      164
  Guaranty Bancshares Inc.   5,644      162
  Fidelity D&D Bancorp Inc.   3,215      161
  Orange County Bancorp Inc.   3,509      161
  Civista Bancshares Inc.  10,624      160
  First Bancorp Inc. (XNGS)   6,713      159
* Third Coast Bancshares Inc.   8,231      158
* Forge Global Holdings Inc.  74,888      156
  MVB Financial Corp.   7,233      155
  Waterstone Financial Inc.  12,035      152
  Donegal Group Inc. Class A  10,681      150
  John Marshall Bancorp Inc.   8,542      149
  Codorus Valley Bancorp Inc.   6,378      147
* Blue Foundry Bancorp  15,452      146
  BayCom Corp.   6,949      139
  Norwood Financial Corp.   4,935      136
  Northeast Community Bancorp Inc.   8,659      135
  Unity Bancorp Inc.   4,860      133
  Timberland Bancorp Inc.   5,063      133
  Capital Bancorp Inc.   6,437      133
  NexPoint Diversified Real Estate Trust  20,885      132
* FVCBankcorp Inc.  10,856      131
  Middlefield Banc Corp.   5,330      131
  AFC Gamma Inc.  11,288      130
  Southern States Bancshares Inc.   5,150      128
  Colony Bankcorp Inc.  11,197      127
  Central Valley Community Bancorp   6,707      125
  ChoiceOne Financial Services Inc.   4,705      125
  Parke Bancorp Inc.   7,047      122
  National Bankshares Inc.   3,876      121
  FS Bancorp Inc.   3,601      120
  Plumas Bancorp   3,433      120
  PCB Bancorp   7,355      119
* Fidelis Insurance Holdings Ltd.   7,857      118
  Five Star Bancorp   4,940      117
  C&F Financial Corp.   2,158      115
* Ponce Financial Group Inc.  13,007      115
  Evans Bancorp Inc.   3,790      113
  Investors Title Co.     730      113
  Oak Valley Bancorp   4,513      113
  Princeton Bancorp Inc.   3,668      113
* Ocwen Financial Corp.   4,313      112
  Bankwell Financial Group Inc.   4,340      111
  Regional Management Corp.   4,669      109
  Ames National Corp.   5,765      109
  Chemung Financial Corp.   2,543      108
  Virginia National Bankshares Corp.   3,562      108
  BCB Bancorp Inc.  10,112      106
  ESSA Bancorp Inc.   6,028      105
  Stock Yards Bancorp Inc.   2,298      105
  Citizens Financial Services Inc.   2,221      104
  LCNB Corp.   7,044       99
* Hippo Holdings Inc.   7,004       98
* Velocity Financial Inc.   5,911       97
  Penns Woods Bancorp Inc.   4,988       96
    Shares Market
Value

($000)
  Angel Oak Mortgage REIT Inc.   8,790       92
* Maiden Holdings Ltd.  65,016       88
  First Community Corp.   5,320       87
  MainStreet Bancshares Inc.   4,822       87
* eHealth Inc.  13,051       86
  Victory Capital Holdings Inc. Class A   2,202       85
* Security National Financial Corp. Class A   9,432       81
* NI Holdings Inc.   5,476       77
  USCB Financial Holdings Inc.   7,018       77
* First Western Financial Inc.   5,294       75
  Nexpoint Real Estate Finance Inc.   5,340       75
* Sterling Bancorp Inc.  14,383       72
* Pioneer Bancorp Inc.   7,732       72
  Bank7 Corp.   2,316       65
  Greene County Bancorp Inc.   2,169       62
* Luther Burbank Corp.   6,674       61
* Consumer Portfolio Services Inc.   6,166       54
  MarketWise Inc.  24,347       44
* Open Lending Corp. Class A   5,872       43
* SWK Holdings Corp.   2,580       43
* GoHealth Inc. Class A   2,928       39
* Finance of America Cos. Inc. Class A  39,695       34
  Blue Ridge Bankshares Inc.  13,052       32
  Esquire Financial Holdings Inc.     592       30
*,1 Bakkt Holdings Inc.  52,149       30
  GCM Grosvenor Inc. Class A   3,328       28
* OppFi Inc.   8,047       28
  Value Line Inc.      50        2
       217,538
Health Care (9.4%)
* Neogen Corp. 150,609    2,589
* Integer Holdings Corp.  22,936    2,530
* Iovance Biotherapeutics Inc. 158,367    2,520
* Prestige Consumer Healthcare Inc.  34,458    2,398
* Biohaven Ltd.  47,290    2,277
* LivaNova plc  35,119    1,925
* Intellia Therapeutics Inc.  52,412    1,683
* Twist Bioscience Corp.  39,439    1,550
* Crinetics Pharmaceuticals Inc.  37,682    1,543
  Patterson Cos. Inc.  46,646    1,264
* Recursion Pharmaceuticals Inc. Class A  93,785    1,262
* NeoGenomics Inc.  79,890    1,246
* Owens & Minor Inc.  51,056    1,242
* Agios Pharmaceuticals Inc.  38,147    1,233
* Veracyte Inc.  50,006    1,178
* Myriad Genetics Inc.  55,509    1,162
* Celldex Therapeutics Inc.  23,677    1,138
* Kura Oncology Inc.  48,484    1,022
* Avidity Biosciences Inc.  50,816      930
  National HealthCare Corp.   8,590      848
* Bridgebio Pharma Inc.  23,923      817
* Ligand Pharmaceuticals Inc.   9,873      783
* REVOLUTION Medicines Inc.  25,590      754
* Tarsus Pharmaceuticals Inc.  19,720      754
* Brookdale Senior Living Inc. 128,164      733
 
41

 

Russell 2000 Value Index Fund
    Shares Market
Value

($000)
* 4D Molecular Therapeutics Inc.  25,150      705
* Ideaya Biosciences Inc.  14,721      658
* MiMedx Group Inc.  79,302      647
* Relay Therapeutics Inc.  61,988      621
* Vir Biotechnology Inc.  54,552      613
* Sana Biotechnology Inc.  61,053      613
* Verve Therapeutics Inc.  35,841      611
* Avanos Medical Inc.  31,819      591
* Scholar Rock Holding Corp.  38,128      591
* Dyne Therapeutics Inc.  21,728      585
* Editas Medicine Inc.  56,458      568
* Innoviva Inc.  37,099      567
* Arcturus Therapeutics Holdings Inc.  14,630      567
* Vera Therapeutics Inc.  12,038      567
* Janux Therapeutics Inc.  11,127      538
* Ironwood Pharmaceuticals Inc.  56,511      533
* Pediatrix Medical Group Inc.  57,865      529
* Addus HomeCare Corp.   5,676      524
* MacroGenics Inc.  29,234      524
* Ardelyx Inc.  54,647      509
  Embecta Corp.  35,467      506
* Alphatec Holdings Inc.  37,390      502
* Arcus Biosciences Inc.  25,822      494
* REGENXBIO Inc.  28,213      492
* Quanterix Corp.  20,368      488
* Edgewise Therapeutics Inc.  29,410      480
* Amneal Pharmaceuticals Inc.  83,810      463
* Varex Imaging Corp.  26,683      459
* Kiniksa Pharmaceuticals Ltd. Class A  21,547      456
* Zymeworks Inc.  37,278      448
* Caribou Biosciences Inc.  56,217      445
* Artivion Inc.  22,975      443
* Protagonist Therapeutics Inc.  14,587      443
* Altimmune Inc.  36,305      439
* Xencor Inc.  19,025      437
* Pacific Biosciences of California Inc.  78,340      433
* Fate Therapeutics Inc.  58,212      413
* Omnicell Inc.  15,603      409
* Nurix Therapeutics Inc.  32,680      404
* Deciphera Pharmaceuticals Inc.  23,905      399
* CareDx Inc.  35,737      380
* OmniAb Inc.  64,241      375
* ADMA Biologics Inc.  68,781      369
* Alpine Immune Sciences Inc.  10,471      369
* OraSure Technologies Inc.  49,534      356
* Cytokinetics Inc.   4,857      351
* Lyell Immunopharma Inc. 119,172      348
* ORIC Pharmaceuticals Inc.  26,832      342
* Tango Therapeutics Inc.  30,683      342
* Theravance Biopharma Inc.  35,440      336
* Cullinan Oncology Inc.  17,752      328
*,1 Nano-X Imaging Ltd.  29,271      327
* AdaptHealth Corp.  31,745      325
* Allogene Therapeutics Inc.  64,860      318
* Fulgent Genetics Inc.  14,068      317
* Orthofix Medical Inc.  24,166      316
* AtriCure Inc.   8,966      314
* Enhabit Inc.  34,600      311
* Zimvie Inc.  17,775      301
    Shares Market
Value

($000)
* Multiplan Corp. 264,557      296
* Savara Inc.  58,111      293
* Inhibrx Inc.   7,966      292
* Replimune Group Inc.  33,917      291
* KalVista Pharmaceuticals Inc.  21,262      290
* LifeStance Health Group Inc.  33,285      278
*,1 OPKO Health Inc. 277,065      277
* ALX Oncology Holdings Inc.  18,521      272
  HealthStream Inc.   9,845      269
* PTC Therapeutics Inc.   9,531      269
* Apogee Therapeutics Inc.   7,683      268
* MaxCyte Inc.  55,925      257
*,1 Enliven Therapeutics Inc.  16,043      256
* Nkarta Inc.  20,770      251
* HilleVax Inc.  13,690      248
* Anika Therapeutics Inc.  10,026      243
* Community Health Systems Inc.  86,395      241
* Taro Pharmaceutical Industries Ltd.   5,637      237
* Nevro Corp.  16,065      234
* Olema Pharmaceuticals Inc.  18,445      229
* EyePoint Pharmaceuticals Inc.   8,410      229
* Atea Pharmaceuticals Inc.  52,634      227
* Y-mAbs Therapeutics Inc.  13,451      225
* Inozyme Pharma Inc.  32,771      208
* Sutro Biopharma Inc.  41,285      203
* Larimar Therapeutics Inc.  17,616      203
* Nuvation Bio Inc. 104,706      196
* WaVe Life Sciences Ltd.  40,581      195
* American Well Corp. Class A 179,609      194
* Entrada Therapeutics Inc.  14,694      194
* Codexis Inc.  41,236      192
* Syndax Pharmaceuticals Inc.   8,182      192
* iTeos Therapeutics Inc.  17,897      192
* Castle Biosciences Inc.  10,498      190
* Tenaya Therapeutics Inc.  31,904      190
* Sharecare Inc. 201,300      189
* BioCryst Pharmaceuticals Inc.  33,442      188
* Beam Therapeutics Inc.   4,760      188
* Celcuity Inc.  11,972      186
* Poseida Therapeutics Inc.  46,554      184
* Cogent Biosciences Inc.  26,155      183
* Dynavax Technologies Corp.  14,198      180
* Geron Corp. (XNGS)  90,073      180
* 2seventy bio Inc.  34,479      179
* Annexon Inc.  31,361      175
* Phathom Pharmaceuticals Inc.  16,389      175
* Vanda Pharmaceuticals Inc.  38,732      173
* Aura Biosciences Inc.  19,032      173
* Enanta Pharmaceuticals Inc.  11,901      171
* Zevra Therapeutics Inc.  25,004      169
* Gritstone bio Inc.  59,461      167
* Mersana Therapeutics Inc.  29,022      158
* Rocket Pharmaceuticals Inc.   5,377      158
* ANI Pharmaceuticals Inc.   2,314      157
* Longboard Pharmaceuticals Inc.   7,001      155
* Mineralys Therapeutics Inc.   9,911      152
* Organogenesis Holdings Inc.  42,387      151
* Agenus Inc. 221,022      148
* Surgery Partners Inc.   4,772      148
* Health Catalyst Inc.  17,586      146
 
42

 

Russell 2000 Value Index Fund
    Shares Market
Value

($000)
* Stoke Therapeutics Inc.  18,902      146
* AngioDynamics Inc.  26,222      144
* Precigen Inc.  91,413      141
* Ovid therapeutics Inc.  40,813      139
* Kodiak Sciences Inc.  22,999      138
* Monte Rosa Therapeutics Inc.  21,634      137
* MannKind Corp.  32,645      134
* Third Harmonic Bio Inc.  13,118      133
* Liquidia Corp.   9,349      132
* Erasca Inc.  55,313      132
  Phibro Animal Health Corp. Class A   9,751      126
* Tyra Biosciences Inc.   6,154      123
* Sangamo Therapeutics Inc. 102,304      119
* Butterfly Network Inc. 100,017      119
* XOMA Corp.   4,853      118
* Inari Medical Inc.   2,557      118
* 23andMe Holding Co. Class A 205,036      117
* Viridian Therapeutics Inc.   6,126      115
*,1 Omeros Corp.  25,439      114
* Quantum-Si Inc.  68,078      114
*,1 IGM Biosciences Inc.   8,947      113
* Emergent BioSolutions Inc.  34,435      111
* Acelyrin Inc.  12,975      110
* ARS Pharmaceuticals Inc.  13,077      109
* FibroGen Inc.  63,100      108
* 908 Devices Inc.  14,645      108
* Bluebird Bio Inc.  75,916      106
* Inogen Inc.  15,681      104
* Morphic Holding Inc.   2,813      104
* Compass Therapeutics Inc.  57,636      103
*,2 Scilex Holding Co. (Acquired 1/6/23, Cost $525)  50,101      102
*,1 Neumora Therapeutics Inc.   5,421       96
* Nautilus Biotechnology Inc.  34,374       92
* Fennec Pharmaceuticals Inc.   9,595       91
* Adaptive Biotechnologies Corp.  21,900       90
* Arbutus Biopharma Corp.  31,960       90
*,1 Lexicon Pharmaceuticals Inc.  34,438       86
* PepGen Inc.   5,041       85
* BioAtla Inc.  31,194       84
* Computer Programs and Systems Inc.   9,383       83
*,1 ImmunityBio Inc.  17,279       82
* Trevi Therapeutics Inc.  27,616       81
*,1 Pulse Biosciences Inc.   8,038       79
* Protalix BioTherapeutics Inc.  47,105       77
* Arvinas Inc.   1,662       76
* Generation Bio Co.  29,458       74
* Terns Pharmaceuticals Inc.   9,819       72
* Genelux Corp.   9,785       71
* Seer Inc.  37,884       69
* Aveanna Healthcare Holdings Inc.  28,592       68
* Day One Biopharmaceuticals Inc.   3,936       66
* Allakos Inc.  43,314       64
* UroGen Pharma Ltd.   3,510       64
* Vor BioPharma Inc.  27,692       64
* AnaptysBio Inc.   2,454       63
* Cabaletta Bio Inc.   2,666       61
* Century Therapeutics Inc.  16,710       61
* Graphite Bio Inc.  18,061       61
    Shares Market
Value

($000)
* Novavax Inc.  12,088       60
* PetIQ Inc.   3,303       60
* Design Therapeutics Inc.  21,210       59
* Assertio Holdings Inc.  66,140       58
* Kezar Life Sciences Inc.  53,021       56
* Citius Pharmaceuticals Inc.  70,436       54
* Adicet Bio Inc.  22,530       53
* PMV Pharmaceuticals Inc.  28,609       53
* Rallybio Corp.  22,824       53
* Sage Therapeutics Inc.   2,405       52
  Carisma Therapeutics Inc.  19,918       51
* Atara Biotherapeutics Inc.  63,187       49
  Cartesian Therapeutics Inc. (XNMS)  64,264       47
* Eagle Pharmaceuticals Inc.   7,730       45
* OrthoPediatrics Corp.   1,620       45
* X4 Pharmaceuticals Inc.  45,992       45
* Rapt Therapeutics Inc.   5,157       44
* Zura Bio Ltd.  11,735       43
* NGM Biopharmaceuticals Inc.  27,932       42
* Vigil Neuroscience Inc.  12,015       42
* Astria Therapeutics Inc.   2,917       41
* ProKidney Corp.  25,279       41
* Prelude Therapeutics Inc.   9,216       40
* MeiraGTx Holdings plc   6,256       39
* BioLife Solutions Inc.   2,081       35
* Rigel Pharmaceuticals Inc.  23,274       35
* Ikena Oncology Inc.  24,073       34
* Biote Corp. Class A   5,637       34
* Healthcare Services Group Inc.   2,615       33
* Coherus Biosciences Inc.  14,094       32
* Acrivon Therapeutics Inc.   6,468       31
* Cara Therapeutics Inc.  34,662       29
* Allovir Inc.  38,925       29
* Seres Therapeutics Inc.  24,273       28
* Accolade Inc.   2,774       28
* Travere Therapeutics Inc.   3,678       28
* Disc Medicine Inc.     413       28
*,1 Cutera Inc.  12,243       27
* Agiliti Inc.   2,781       27
* Humacyte Inc.   5,814       25
* Immuneering Corp. Class A   3,891       24
* Aadi Bioscience Inc.  12,114       24
* CVRx Inc.   1,057       21
* Vicarious Surgical Inc.  43,785       19
* American Healthcare REIT Inc.   1,209       17
* Sagimet Biosciences Inc. Class A   2,283       14
* CareMax Inc.   1,859       14
* Cargo Therapeutics Inc.     552       13
  Utah Medical Products Inc.     176       12
* Turnstone Biologics Corp.   2,676       12
*,1 Ocean Biomedical Inc.   6,482       11
* CG oncology Inc.     239       11
* Accuray Inc.   3,641        9
* Heron Therapeutics Inc.   3,269        9
* Actinium Pharmaceuticals Inc.   1,099        9
* BrightSpring Health Services Inc.     956        9
* CorMedix Inc.   2,372        8
* Reneo Pharmaceuticals Inc.   3,878        6
* Beyond Air Inc.   2,460        5
* Fractyl Health Inc.     514        5
 
43

 

Russell 2000 Value Index Fund
    Shares Market
Value

($000)
* ClearPoint Neuro Inc.     667        4
* Kyverna Therapeutics Inc.     140        4
* ArriVent Biopharma Inc.      98        2
* Metagenomi Inc.     204        2
* AirSculpt Technologies Inc.     120        1
*,3 PDL BioPharma Inc.     270       —
*,3 OmniAb Inc. 12.5 Earnout   4,268       —
*,3 OmniAb Inc. 15 Earnout   4,268       —
        82,781
Industrials (15.4%)
* Summit Materials Inc. Class A  82,530    3,525
* Beacon Roofing Supply Inc.  39,137    3,362
  GATX Corp.  22,961    2,912
* Knife River Corp.  39,094    2,897
  Matson Inc.  23,820    2,645
* Itron Inc.  28,518    2,643
  Zurn Elkay Water Solutions Corp.  81,787    2,597
* Alight Inc. Class A 286,152    2,578
  Encore Wire Corp.  10,392    2,505
* ASGN Inc.  24,021    2,386
  Moog Inc. Class A  15,641    2,345
  Korn Ferry  36,026    2,293
* Resideo Technologies Inc. 101,248    2,261
  Enpro Inc.  14,497    2,259
  Scorpio Tankers Inc.  33,001    2,215
  ABM Industries Inc.  45,788    1,892
* Marqeta Inc. Class A 288,347    1,883
* Hub Group Inc. Class A  43,542    1,852
* Kratos Defense & Security Solutions Inc.  99,475    1,814
  UniFirst Corp.  10,372    1,750
* GMS Inc.  19,408    1,733
* API Group Corp.  47,848    1,677
* Chart Industries Inc.  11,480    1,640
* AAR Corp.  23,448    1,566
  Patrick Industries Inc.  12,989    1,558
* Masterbrand Inc.  89,736    1,553
  Werner Enterprises Inc.  37,446    1,503
  International Seaways Inc.  28,115    1,488
  ArcBest Corp.   9,924    1,418
  Kennametal Inc.  56,135    1,417
  Textainer Group Holdings Ltd.  27,995    1,397
* StoneCo. Ltd. Class A  78,695    1,354
  Primoris Services Corp.  34,185    1,351
* Mirion Technologies Inc. 137,790    1,348
  Granite Construction Inc.  26,146    1,347
  Bread Financial Holdings Inc.  34,412    1,317
* Hillman Solutions Corp. 134,313    1,308
  AZZ Inc.  17,189    1,251
  Otter Tail Corp.  13,348    1,207
* CoreCivic Inc.  78,230    1,191
  Barnes Group Inc.  33,689    1,177
  Powell Industries Inc.   6,305    1,168
  Trinity Industries Inc.  45,689    1,160
* Modine Manufacturing Co.  12,743    1,143
  Terex Corp.  19,212    1,102
  Golden Ocean Group Ltd.  84,682    1,090
  Greenbrier Cos. Inc.  21,006    1,087
  SFL Corp. Ltd.  79,882    1,067
* JELD-WEN Holding Inc.  58,556    1,066
  Greif Inc. Class A  16,445    1,060
* American Woodmark Corp.  10,557    1,058
  DHT Holdings Inc.  94,346    1,021
  Belden Inc.  11,136      949
    Shares Market
Value

($000)
  Teekay Tankers Ltd. Class A  16,453      902
  Kaman Corp.  19,625      899
  Griffon Corp.  11,617      829
  Columbus McKinnon Corp.  19,423      811
  Quanex Building Products Corp.  22,695      785
  ESCO Technologies Inc.   7,439      758
* PagSeguro Digital Ltd. Class A  53,404      743
* BlueLinx Holdings Inc.   5,821      738
* Joby Aviation Inc. 127,635      717
* Gibraltar Industries Inc.   9,214      714
  Tennant Co.   6,031      683
  TriMas Corp.  28,548      671
  VSE Corp.   9,000      667
* Proto Labs Inc.  18,136      661
  Astec Industries Inc.  15,636      635
* SPX Technologies Inc.   5,320      623
* Triumph Group Inc.  44,292      616
* Aspen Aerogels Inc.  35,129      604
  Genco Shipping & Trading Ltd.  28,954      591
* Aurora Innovation Inc. 232,744      591
  Deluxe Corp.  29,931      581
  Nordic American Tankers Ltd. 141,179      575
* Thermon Group Holdings Inc.  20,340      555
* Blue Bird Corp.  16,133      546
  Apogee Enterprises Inc.   9,406      538
  First Advantage Corp.  33,803      529
  Kelly Services Inc. Class A  21,528      528
* Cimpress plc   5,379      527
*,1 Archer Aviation Inc. Class A 104,834      506
* Repay Holdings Corp.  57,084      496
  Insteel Industries Inc.  12,890      469
* Air Transport Services Group Inc.  38,772      468
  Ardmore Shipping Corp.  28,707      466
  Heidrick & Struggles International Inc.  13,647      464
* CECO Environmental Corp.  20,410      462
* Titan International Inc.  36,077      460
  Gorman-Rupp Co.  12,289      459
  REV Group Inc.  21,781      450
* Ducommun Inc.   9,216      440
  Heartland Express Inc.  32,270      412
  Argan Inc.   8,729      409
* Conduent Inc. 118,255      407
  Pactiv Evergreen Inc.  27,543      406
* Great Lakes Dredge & Dock Corp.  45,127      403
  Eagle Bulk Shipping Inc.   6,365      390
* Hudson Technologies Inc.  25,272      370
* Cross Country Healthcare Inc.  19,896      364
  Costamare Inc.  32,049      364
*,1 PureCycle Technologies Inc.  62,218      360
* Titan Machinery Inc.  14,163      357
  Ennis Inc.  17,527      356
  Dorian LPG Ltd.   9,756      353
* Astronics Corp.  18,068      346
* ACI Worldwide Inc.  10,224      337
* Manitowoc Co. Inc.  23,972      334
* DXP Enterprises Inc.   9,362      333
* Tutor Perini Corp.  29,178      331
  Miller Industries Inc.   7,177      323
 
44

 

Russell 2000 Value Index Fund
    Shares Market
Value

($000)
* Teekay Corp.  42,688      323
* Paysafe Ltd.  22,318      321
  HB Fuller Co.   4,028      320
* Nikola Corp. 427,386      318
* Donnelley Financial Solutions Inc.   4,887      316
* Sterling Check Corp.  20,142      316
  FTAI Infrastructure Inc.  68,085      312
  Resources Connection Inc.  22,301      308
* V2X Inc.   7,934      305
* Evolv Technologies Holdings Inc.  64,027      305
* Vishay Precision Group Inc.   8,533      295
  Covenant Logistics Group Inc.   5,739      279
  National Presto Industries Inc.   3,553      275
* Sterling Infrastructure Inc.   2,577      275
  Standex International Corp.   1,544      267
* O-I Glass Inc.  15,788      267
* FARO Technologies Inc.  11,893      266
* Green Dot Corp. Class A  31,932      262
  Overseas Shipholding Group Inc. Class A  42,583      259
  Albany International Corp. Class A   2,739      257
  Greif Inc. Class B   4,014      257
* Limbach Holdings Inc.   5,175      255
* Fluor Corp.   6,755      249
* BrightView Holdings Inc.  28,456      248
* TrueBlue Inc.  20,880      245
* RXO Inc.  10,646      229
* Advantage Solutions Inc.  59,672      227
  Safe Bulkers Inc.  45,821      213
  Pangaea Logistics Solutions Ltd.  25,106      210
  Park Aerospace Corp.  12,816      195
* Hyliion Holdings Corp. 104,287      190
  Luxfer Holdings plc  18,235      181
  EnerSys   1,956      180
* Willdan Group Inc.   8,376      175
* Virgin Galactic Holdings Inc.  98,726      172
  Flex LNG Ltd.   6,694      169
  Park-Ohio Holdings Corp.   5,857      157
  Universal Logistics Holdings Inc.   4,635      157
* Aersale Corp.  17,568      155
  Marten Transport Ltd.   8,000      151
* Radiant Logistics Inc.  24,888      144
* Ranpak Holdings Corp.  29,579      141
  Kronos Worldwide Inc.  14,952      136
* Hireright Holdings Corp.   9,364      133
  Quad/Graphics Inc.  21,818      131
* Blade Air Mobility Inc.  40,711      129
* Commercial Vehicle Group Inc.  19,601      128
* Gencor Industries Inc.   7,719      127
  Himalaya Shipping Ltd.  15,824      125
  Preformed Line Products Co.     902      124
*,1 Microvast Holdings Inc. 144,609      124
*,1 Desktop Metal Inc. Class A 199,963      122
* Mistras Group Inc.  13,907      120
* BlackSky Technology Inc.  82,018      117
* AvidXchange Holdings Inc.   8,689      116
* Acacia Research Corp.  27,093      109
* Atmus Filtration Technologies Inc.   4,505      108
    Shares Market
Value

($000)
  Trinseo plc  23,354      105
* Atlanticus Holdings Corp.   3,134      104
* Willis Lease Finance Corp.   2,135      102
* CS Disco Inc.  15,126      101
* NV5 Global Inc.     930       95
* DHI Group Inc.  30,147       85
* Core Molding Technologies Inc.   4,493       83
* Mayville Engineering Co. Inc.   6,773       83
* Cantaloupe Inc.  12,320       80
*,1 Danimer Scientific Inc.  56,968       76
* CryoPort Inc.   4,023       71
*,1 Terran Orbital Corp.  65,383       71
  LSI Industries Inc.   4,878       70
* Iteris Inc.  12,891       67
* PAM Transportation Services Inc.   3,562       66
*,1,3 Tingo Group Inc.  93,192       64
  Cass Information Systems Inc.   1,171       57
* Concrete Pumping Holdings Inc.   6,922       57
  Information Services Group Inc.  11,946       52
* Babcock & Wilcox Enterprises Inc.  39,847       51
  Barrett Business Services Inc.     379       46
*,1 Workhorse Group Inc. 136,066       46
* Performant Financial Corp.  12,674       37
* Skillsoft Corp.   2,999       37
* INNOVATE Corp.  34,754       27
* Distribution Solutions Group Inc.     649       20
  EVI Industries Inc.     591       13
* Southland Holdings Inc.   2,660       12
* Eos Energy Enterprises Inc.   8,035        8
* CompoSecure Inc.   1,627        8
       135,887
Other (0.0%)4
* Alto Neuroscience Inc.     136        2
*,3 Aduro Biotech Inc. CVR     724       —
             2
Real Estate (10.1%)
  Terreno Realty Corp.  57,181    3,677
  Kite Realty Group Trust 150,368    3,219
  PotlatchDeltic Corp.  54,648    2,471
  Macerich Co. 149,648    2,456
  Phillips Edison & Co. Inc.  67,611    2,415
  Apple Hospitality REIT Inc. 148,951    2,397
  Essential Properties Realty Trust Inc.  96,183    2,298
  Independence Realty Trust Inc. 156,043    2,284
  Sabra Health Care REIT Inc. 159,855    2,219
  SL Green Realty Corp.  44,922    2,178
  Broadstone Net Lease Inc. 129,925    1,937
  Innovative Industrial Properties Inc.  19,325    1,894
  COPT Defense Properties  77,948    1,889
  SITE Centers Corp. 131,740    1,789
  LXP Industrial Trust 200,546    1,737
  Hannon Armstrong Sustainable Infrastructure Capital Inc.  67,642    1,703
 
45

 

Russell 2000 Value Index Fund
    Shares Market
Value

($000)
  Sunstone Hotel Investors Inc. 144,062    1,612
  National Health Investors Inc.  26,063    1,498
  Douglas Emmett Inc. 111,980    1,480
  CareTrust REIT Inc.  62,943    1,420
  DigitalBridge Group Inc.  76,110    1,398
  DiamondRock Hospitality Co. 145,563    1,368
  Urban Edge Properties  79,583    1,354
  Four Corners Property Trust Inc.  55,821    1,350
* Equity Commonwealth  70,730    1,332
  Pebblebrook Hotel Trust  81,767    1,295
  RLJ Lodging Trust 107,295    1,274
  InvenTrust Properties Corp.  46,783    1,181
  JBG SMITH Properties  69,769    1,157
* Cushman & Wakefield plc 114,209    1,141
  Xenia Hotels & Resorts Inc.  73,868    1,133
* Opendoor Technologies Inc. 361,843    1,114
  Retail Opportunity Investments Corp.  84,672    1,095
  Tanger Inc.  37,694    1,086
  Acadia Realty Trust  64,305    1,054
  Newmark Group Inc. Class A  94,448    1,019
* GEO Group Inc.  82,848    1,016
  Global Net Lease Inc. 133,830      965
  Uniti Group Inc. 163,820      960
  Empire State Realty Trust Inc. Class A  90,887      906
  LTC Properties Inc.  28,228      888
  Getty Realty Corp.  32,840      866
  Alexander & Baldwin Inc.  49,950      812
  NETSTREIT Corp.  47,515      799
  Veris Residential Inc.  54,404      794
  Easterly Government Properties Inc.  65,917      778
  Elme Communities  60,443      778
  Outfront Media Inc.  54,069      777
  Service Properties Trust 113,380      771
* Apartment Investment and Management Co. Class A 100,546      742
  American Assets Trust Inc.  33,567      724
  Kennedy-Wilson Holdings Inc.  82,232      722
  Safehold Inc.  33,476      673
  Plymouth Industrial REIT Inc.  30,358      655
  Hudson Pacific Properties Inc.  94,975      602
  Centerspace  10,402      578
  Paramount Group Inc. 127,259      564
  Diversified Healthcare Trust 164,327      539
  Piedmont Office Realty Trust Inc. Class A  84,950      533
  UMH Properties Inc.  34,075      525
  Brandywine Realty Trust 116,925      503
  Armada Hoffler Properties Inc.  46,378      472
  Summit Hotel Properties Inc.  72,017      462
* Forestar Group Inc.  12,632      426
* Anywhere Real Estate Inc.  67,201      421
  Whitestone REIT  33,525      413
  Marcus & Millichap Inc.  10,340      379
  Global Medical REIT Inc.  42,057      376
  Farmland Partners Inc.  30,732      363
  Peakstone Realty Trust REIT  24,879      343
    Shares Market
Value

($000)
  Chatham Lodging Trust  33,203      339
  NexPoint Residential Trust Inc.  10,923      319
  Gladstone Land Corp.  23,061      300
  Gladstone Commercial Corp.  22,548      279
* FRP Holdings Inc.   4,551      274
  Ares Commercial Real Estate Corp.  35,701      269
  CTO Realty Growth Inc.  15,143      258
* Tejon Ranch Co.  14,441      240
  One Liberty Properties Inc.  11,225      227
  Postal Realty Trust Inc. Class A  14,062      201
  Community Healthcare Trust Inc.   6,094      165
  Orion Office REIT Inc.  39,293      138
* Star Holdings  11,007      136
  Alpine Income Property Trust Inc.   8,645      135
  BRT Apartments Corp.   7,956      123
  City Office REIT Inc.  26,314      120
  Braemar Hotels & Resorts Inc.  46,442      106
  RE/MAX Holdings Inc. Class A  12,465      106
* Compass Inc. Class A  26,904      106
  Douglas Elliman Inc.  57,702      106
  CBL & Associates Properties Inc.   4,493      104
  Office Properties Income Trust  32,043       86
* Stratus Properties Inc.   3,784       83
  RMR Group Inc. Class A   3,058       75
* Transcontinental Realty Investors Inc.     878       34
  Saul Centers Inc.     711       26
* American Realty Investors Inc.   1,043       20
  Clipper Realty Inc.   1,264        6
* Maui Land & Pineapple Co. Inc.     193        4
        88,434
Technology (5.5%)
* Synaptics Inc.  25,088    2,511
  Amkor Technology Inc.  78,101    2,423
* Sanmina Corp.  37,093    2,344
  Vishay Intertechnology Inc.  89,332    1,943
* Ziff Davis Inc.  24,616    1,693
* LiveRamp Holdings Inc.  45,516    1,592
* Cleanspark Inc.  90,680    1,516
  Xerox Holdings Corp.  81,057    1,512
* ePlus Inc.  17,396    1,433
* Ultra Clean Holdings Inc.  30,577    1,321
* Veeco Instruments Inc.  35,223    1,275
* Parsons Corp.  15,519    1,251
* Photronics Inc.  41,992    1,209
* TTM Technologies Inc.  71,233    1,058
* NetScout Systems Inc.  47,690    1,033
* Cohu Inc.  32,086    1,031
*,1 IonQ Inc.  93,186      965
* Semtech Corp.  43,950      932
* Onto Innovation Inc.   4,815      887
* ACM Research Inc. Class A  27,755      858
* Ichor Holdings Ltd.  19,605      839
* Squarespace Inc. Class A  24,145      804
* Bumble Inc. Class A  69,586      797
  Benchmark Electronics Inc.  24,345      748
 
46

 

Russell 2000 Value Index Fund
    Shares Market
Value

($000)
*,1 PAR Technology Corp.  16,889      740
* ScanSource Inc.  17,005      735
* Magnite Inc.  53,601      644
* Ambarella Inc.  10,102      564
* SMART Global Holdings Inc.  26,005      553
  Kulicke & Soffa Industries Inc.  11,363      541
  PC Connection Inc.   7,886      523
* PubMatic Inc. Class A  24,095      505
* E2open Parent Holdings Inc. 118,928      503
  Methode Electronics Inc.  23,425      499
*,1 C3.ai Inc. Class A  13,307      492
* Diodes Inc.   6,672      454
* Vimeo Inc.  91,184      437
* SolarWinds Corp.  35,101      419
* Cerence Inc.  27,734      413
* nLight Inc.  30,800      408
* Xometry Inc. Class A  20,700      405
* Navitas Semiconductor Corp.  63,272      389
* Matterport Inc. 179,790      381
* 3D Systems Corp.  89,841      372
* SmartRent Inc. 126,686      367
* Rogers Corp.   3,178      356
* Alpha & Omega Semiconductor Ltd.  15,942      349
* PROS Holdings Inc.   8,700      311
* Kimball Electronics Inc.  12,594      284
* Bandwidth Inc. Class A  12,845      264
* Unisys Corp.  45,675      237
* Daktronics Inc.  25,930      225
* TrueCar Inc.  61,606      214
* Definitive Healthcare Corp.  22,209      211
* Plexus Corp.   2,173      205
* Fastly Inc. Class A  13,606      194
* Terawulf Inc. 101,806      191
* Olo Inc. Class A  30,197      176
* CommVault Systems Inc.   1,727      165
* Digital Turbine Inc.  48,488      154
  ON24 Inc.  21,244      149
  Immersion Corp.  21,385      144
*,1 Bit Digital Inc.  50,318      131
* Asure Software Inc.  12,726      119
  Adeia Inc.   9,733      110
* MeridianLink Inc.   5,633      107
* Grid Dynamics Holdings Inc.   7,426      100
* Rackspace Technology Inc.  45,436       96
* Verint Systems Inc.   2,970       94
* Consensus Cloud Solutions Inc.   5,652       90
* Nextdoor Holdings Inc.  39,453       86
* Tucows Inc. Class A   4,209       80
* Cipher Mining Inc.  26,126       77
* N-Able Inc.   5,381       73
* Vivid Seats Inc. Class A  12,181       73
* Brightcove Inc.  32,190       71
  Richardson Electronics Ltd.   7,961       70
* Intevac Inc.  16,754       65
* Aeva Technologies Inc.  58,827       59
* Mediaalpha Inc. Class A   2,798       58
  American Software Inc. Class A   4,957       56
* FiscalNote Holdings Inc.  33,572       55
* Planet Labs PBC  22,967       50
* CEVA Inc.   2,143       49
* indie Semiconductor Inc. Class A   6,814       42
    Shares Market
Value

($000)
* System1 Inc.  23,014       38
  Hackett Group Inc.   1,493       37
* EverCommerce Inc.   3,709       36
  NVE Corp.     421       35
* Eventbrite Inc. Class A   5,487       31
* Atomera Inc.   4,531       29
* EverQuote Inc. Class A   1,367       22
* Mitek Systems Inc.   1,737       20
* OneSpan Inc.   2,109       20
* NextNav Inc.   3,358       14
        48,241
Telecommunications (1.1%)
* Lumen Technologies Inc. 693,011    1,123
* EchoStar Corp. Class A  83,690    1,097
  Telephone and Data Systems Inc.  68,049    1,041
  Cogent Communications Holdings Inc.  11,174      904
  Shenandoah Telecommunications Co.  33,419      624
* Liberty Latin America Ltd. Class C  94,906      619
* fuboTV Inc. 194,644      403
  Bel Fuse Inc. Class B   6,651      346
* Gogo Inc.  41,399      338
* Xperi Inc.  30,612      335
  Adtran Holdings Inc.  53,632      305
* NETGEAR Inc.  19,886      298
* Aviat Networks Inc.   7,831      278
* Viavi Solutions Inc.  26,603      254
  ATN International Inc.   7,476      251
  Spok Holdings Inc.  12,228      220
* Consolidated Communications Holdings Inc.  46,798      202
* Ribbon Communications Inc.  61,068      182
* Liberty Latin America Ltd. Class A  23,924      154
* WideOpenWest Inc.  34,068      136
* Comtech Telecommunications Corp.  18,405      124
* IDT Corp. Class B   2,547       95
* Globalstar Inc.  58,726       92
* Digi International Inc.   2,845       84
* KVH Industries Inc.  12,213       58
* Anterix Inc.     812       32
* DZS Inc.  16,288       24
         9,619
Utilities (3.6%)
  Southwest Gas Holdings Inc.  42,642    2,906
  Portland General Electric Co.  70,120    2,817
  Brookfield Infrastructure Corp. Class A (XTSE)  73,880    2,451
  Black Hills Corp.  46,585    2,424
  ONE Gas Inc.  38,109    2,271
  ALLETE Inc.  39,921    2,261
  Spire Inc.  35,610    2,112
  Northwestern Energy Group Inc.  42,588    2,041
  PNM Resources Inc.  53,003    1,935
  Avista Corp.  53,010    1,760
  New Jersey Resources Corp.  32,053    1,334
  California Water Service Group  27,193    1,248
  SJW Group  21,960    1,209
 
47

 

Russell 2000 Value Index Fund
    Shares Market
Value

($000)
  Northwest Natural Holding Co.  24,709      908
  Ormat Technologies Inc. (XNYS)  13,166      858
  MGE Energy Inc.  12,321      778
  Chesapeake Utilities Corp.   5,212      532
* Enviri Corp.  54,250      426
  Unitil Corp.   7,833      399
* Altus Power Inc.  43,952      299
* Sunnova Energy International Inc.  37,624      274
  Aris Water Solutions Inc. Class A  19,129      230
  Consolidated Water Co. Ltd.   7,369      218
  Genie Energy Ltd. Class B   6,237      114
  RGC Resources Inc.   5,256       99
  Artesian Resources Corp. Class A   1,758       61
  Excelerate Energy Inc. Class A   2,878       45
*,1 Li-Cycle Holdings Corp. 102,611       37
        32,047
Total Common Stocks (Cost $891,128) 878,343
Temporary Cash Investments (1.0%)
Money Market Fund (1.0%)
5,6 Vanguard Market Liquidity Fund, 5.400% (Cost $8,630)  86,345         8,634
Total Investments (100.8%) (Cost $899,758) 886,977
Other Assets and Liabilities—Net (-0.8%) (7,105)
Net Assets (100%) 879,872
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 $6,969,000.
2 Restricted securities totaling $102,000, representing 0.0% of net assets.
3 Security value determined using significant unobservable inputs.
4 “Other” represents securities that are not classified by the fund’s benchmark index.
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 $7,905,000 was received for securities on loan, of which $7,862,000 is held in Vanguard Market Liquidity Fund and $43,000 is held in cash.
  CVR—Contingent Value Rights.
  REIT—Real Estate Investment Trust.
48

 

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 2024 15 1,543 55
  
See accompanying Notes, which are an integral part of the Financial Statements.
49

 

Russell 2000 Value Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $891,128) 878,343
Affiliated Issuers (Cost $8,630) 8,634
Total Investments in Securities 886,977
Investment in Vanguard 30
Cash 43
Cash Collateral Pledged—Futures Contracts 100
Receivables for Investment Securities Sold 2,778
Receivables for Accrued Income 1,110
Receivables for Capital Shares Issued 36
Variation Margin Receivable—Futures Contracts 10
Total Assets 891,084
Liabilities  
Due to Custodian 416
Payables for Investment Securities Purchased 2,834
Collateral for Securities on Loan 7,905
Payables for Capital Shares Redeemed 8
Payables to Vanguard 49
Total Liabilities 11,212
Net Assets 879,872
1 Includes $6,969,000 of securities on loan.  
At February 29, 2024, net assets consisted of:  
   
Paid-in Capital 1,169,973
Total Distributable Earnings (Loss) (290,101)
Net Assets 879,872
 
ETF Shares—Net Assets  
Applicable to 5,850,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
786,799
Net Asset Value Per Share—ETF Shares $134.50
 
Institutional Shares—Net Assets  
Applicable to 350,835 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
93,073
Net Asset Value Per Share—Institutional Shares $265.29
  
See accompanying Notes, which are an integral part of the Financial Statements.
50

 

Russell 2000 Value Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends1 8,026
Interest2 21
Securities Lending—Net 310
Total Income 8,357
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 10
Management and Administrative—ETF Shares 478
Management and Administrative—Institutional Shares 55
Marketing and Distribution—ETF Shares 20
Marketing and Distribution—Institutional Shares 3
Custodian Fees 33
Shareholders’ Reports—ETF Shares 27
Shareholders’ Reports—Institutional Shares
Trustees’ Fees and Expenses
Other Expenses 9
Total Expenses 635
Net Investment Income 7,722
Realized Net Gain (Loss)  
Investment Securities Sold2,3 (8,087)
Futures Contracts 14
Realized Net Gain (Loss) (8,073)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 67,709
Futures Contracts 65
Change in Unrealized Appreciation (Depreciation) 67,774
Net Increase (Decrease) in Net Assets Resulting from Operations 67,423
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 $18,000, less than $1,000, less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $9,618,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
51

 

Russell 2000 Value Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 7,722   22,598
Realized Net Gain (Loss) (8,073)   (46,175)
Change in Unrealized Appreciation (Depreciation) 67,774   38,704
Net Increase (Decrease) in Net Assets Resulting from Operations 67,423   15,127
Distributions      
ETF Shares (10,904)   (18,223)
Institutional Shares (2,541)   (4,018)
Total Distributions (13,445)   (22,241)
Capital Share Transactions      
ETF Shares (47,281)   (41,552)
Institutional Shares (91,891)   (7,012)
Net Increase (Decrease) from Capital Share Transactions (139,172)   (48,564)
Total Increase (Decrease) (85,194)   (55,678)
Net Assets      
Beginning of Period 965,066   1,020,744
End of Period 879,872   965,066
  
See accompanying Notes, which are an integral part of the Financial Statements.
52

 

Russell 2000 Value Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $126.66 $126.77 $143.88 $91.76 $99.51 $119.05
Investment Operations            
Net Investment Income1 1.023 2.816 2.353 1.998 1.868 1.912
Net Realized and Unrealized Gain (Loss) on Investments 8.604 (.234) (16.986) 51.982 (7.771) (19.589)
Total from Investment Operations 9.627 2.582 (14.633) 53.980 (5.903) (17.677)
Distributions            
Dividends from Net Investment Income (1.787) (2.692) (2.477) (1.860) (1.847) (1.863)
Distributions from Realized Capital Gains
Total Distributions (1.787) (2.692) (2.477) (1.860) (1.847) (1.863)
Net Asset Value, End of Period $134.50 $126.66 $126.77 $143.88 $91.76 $99.51
Total Return 7.68% 2.19% -10.28% 59.34% -6.05% -14.93%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $787 $788 $837 $1,036 $303 $251
Ratio of Total Expenses to Average Net Assets 0.15% 0.15%2 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to Average Net Assets 1.86% 2.27% 1.71% 1.52% 1.99% 1.83%
Portfolio Turnover Rate3 5% 27% 28% 45% 38% 27%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.15%.
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.
53

 

Russell 2000 Value Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $249.83 $250.04 $283.82 $180.98 $196.24 $234.81
Investment Operations            
Net Investment Income1 2.197 5.717 4.918 4.212 3.783 3.966
Net Realized and Unrealized Gain (Loss) on Investments 16.870 (.456) (33.609) 102.428 (15.303) (38.670)
Total from Investment Operations 19.067 5.261 (28.691) 106.640 (11.520) (34.704)
Distributions            
Dividends from Net Investment Income (3.607) (5.471) (5.089) (3.800) (3.740) (3.866)
Distributions from Realized Capital Gains
Total Distributions (3.607) (5.471) (5.089) (3.800) (3.740) (3.866)
Net Asset Value, End of Period $265.29 $249.83 $250.04 $283.82 $180.98 $196.24
Total Return 7.72% 2.26% -10.23% 59.46% -5.97% -14.88%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $93 $177 $184 $202 $88 $140
Ratio of Total Expenses to Average Net Assets 0.08% 0.08%2 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 2.01% 2.34% 1.82% 1.67% 2.04% 1.90%
Portfolio Turnover Rate3 5% 27% 28% 45% 38% 27%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
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.
54

 

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.
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 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 valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 
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.
During the six months ended February 29, 2024, 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 virtually 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,
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Russell 2000 Value Index Fund
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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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
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Russell 2000 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 29, 2024, 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 29, 2024, the fund had contributed to Vanguard capital in the amount of $30,000, 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.
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.
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Russell 2000 Value Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2024, based on the inputs used to value them:
  Level 1
($000)
Level 2
($000)
Level 3
($000)
Total
($000)
Investments        
Assets        
Common Stocks 878,177 102 64 878,343
Temporary Cash Investments 8,634 8,634
Total 886,811 102 64 886,977
Derivative Financial Instruments        
Assets        
Futures Contracts1 55 55
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 29, 2024, 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 903,556
Gross Unrealized Appreciation 142,816
Gross Unrealized Depreciation (159,340)
Net Unrealized Appreciation (Depreciation) (16,524)
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, 2023, the fund had available capital losses totaling $264,615,000 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, 2024; 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 29, 2024, the fund purchased $44,556,000 of investment securities and sold $136,860,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $15,265,000 and $62,524,000, 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 29, 2024, such purchases were $3,326,000 and sales were $2,191,000, resulting in net realized loss of $6,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
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Russell 2000 Value Index Fund
F. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 15,283 125   223,537 1,825
Issued in Lieu of Cash Distributions  
Redeemed (62,564) (500)   (265,089) (2,200)
Net Increase (Decrease)—ETF Shares (47,281) (375)   (41,552) (375)
Institutional Shares          
Issued 2,746 11   25,641 108
Issued in Lieu of Cash Distributions 2,540 10   4,016 17
Redeemed (97,177) (377)   (36,669) (154)
Net Increase (Decrease)—Institutional Shares (91,891) (356)   (7,012) (29)
G. Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
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Russell 2000 Growth Index Fund
Fund Allocation
As of February 29, 2024
Basic Materials 3.4%
Consumer Discretionary 12.7
Consumer Staples 3.5
Energy 5.1
Financials 5.1
Health Care 21.8
Industrials 22.5
Real Estate 1.6
Technology 21.4
Telecommunications 1.4
Utilities 1.5
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.
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Russell 2000 Growth Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (3.4%)
* Arcadium Lithium plc 914,384     5,020
  Balchem Corp.  28,587     4,494
  Cabot Corp.  49,504     4,205
  Sensient Technologies Corp.  37,628     2,517
  Quaker Chemical Corp.  12,413     2,489
  Materion Corp.  18,358     2,466
  Innospec Inc.  19,618     2,438
  Mueller Industries Inc.  43,457     2,233
  Sylvamo Corp.  32,048     1,936
* Ingevity Corp.  32,697     1,494
* Constellium SE  71,250     1,382
  Hawkins Inc.  17,287     1,214
  Orion SA  49,358     1,112
  Kaiser Aluminum Corp.  13,462       976
  UFP Industries Inc.   8,209       941
* Energy Fuels Inc. 120,623       764
  Compass Minerals International Inc.  30,675       699
* Novagold Resources Inc. 214,859       533
* Century Aluminum Co.  46,725       489
* Ivanhoe Electric Inc.  56,456       418
  Hecla Mining Co. 114,360       405
  Omega Flex Inc.   2,931       204
  Stepan Co.   2,219       198
* Ecovyst Inc.  17,828       172
  GrafTech International Ltd.  96,627       170
* Perpetua Resources Corp.  33,881        98
* Piedmont Lithium Inc.   5,516        80
* Dakota Gold Corp.  33,216        70
* LanzaTech Global Inc.  17,952        58
* Contango ORE Inc.   3,313        56
* 5e Advanced Materials Inc.  30,680        55
  Ryerson Holding Corp.   1,661        52
  American Vanguard Corp.   4,160        45
* i-80 Gold Corp.  11,147        14
* NioCorp Developments Ltd.   1,988         5
         39,502
Consumer Discretionary (12.7%)
* e.l.f. Beauty Inc.  48,220    10,055
* Duolingo Inc.  26,128     6,245
  Academy Sports & Outdoors Inc.  64,632     4,829
* Light & Wonder Inc.  38,272     3,847
* Shake Shack Inc. Class A  33,748     3,588
* Hilton Grand Vacations Inc.  71,836     3,224
  Kontoor Brands Inc.  50,216     2,968
    Shares Market
Value

($000)
* Cavco Industries Inc.   7,818     2,913
* Abercrombie & Fitch Co. Class A  22,589     2,886
  Steven Madden Ltd.  67,266     2,880
* Carvana Co.  37,719     2,864
* Visteon Corp.  24,655     2,789
  International Game Technology plc  97,041     2,637
* Boot Barn Holdings Inc.  26,591     2,460
  Inter Parfums Inc.  16,406     2,407
* frontdoor Inc.  72,477     2,273
* Stride Inc.  37,890     2,264
* Skyline Champion Corp.  26,769     2,243
* Dorman Products Inc.  23,535     2,217
* Sonos Inc. 113,527     2,152
  Bloomin' Brands Inc.  78,323     2,129
* ACV Auctions Inc. Class A 113,652     2,017
* Dave & Buster's Entertainment Inc.  32,331     1,996
* Fox Factory Holding Corp.  38,130     1,929
* Coursera Inc. 116,329     1,869
  Acushnet Holdings Corp.  27,572     1,776
* Gentherm Inc.  29,325     1,667
* Brinker International Inc.  35,956     1,666
  Papa John's International Inc.  22,908     1,647
* SeaWorld Entertainment Inc.  30,838     1,584
* Atlanta Braves Holdings Inc. Class C  40,451     1,582
  Upbound Group Inc.  46,229     1,561
  Cheesecake Factory Inc.  43,404     1,536
* Cinemark Holdings Inc.  81,876     1,425
  PriceSmart Inc.  15,844     1,333
  Red Rock Resorts Inc. Class A  22,929     1,330
  Laureate Education Inc.  98,891     1,326
  Jack in the Box Inc.  18,078     1,320
  Cracker Barrel Old Country Store Inc.  19,737     1,305
* Six Flags Entertainment Corp.  51,220     1,298
  Dillard's Inc. Class A   3,107     1,289
* Madison Square Garden Entertainment Corp.  30,367     1,169
* Sally Beauty Holdings Inc.  90,395     1,142
* Hanesbrands Inc. 209,774     1,133
  Buckle Inc.  27,302     1,118
* Cars.com Inc.  59,429     1,090
* XPEL Inc.  20,167     1,060
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Russell 2000 Growth Index Fund
    Shares Market
Value

($000)
  LCI Industries   8,330     1,049
* PowerSchool Holdings Inc. Class A  50,058     1,046
  Oxford Industries Inc.  10,094     1,023
  Camping World Holdings Inc. Class A  37,248       994
* OneSpaWorld Holdings Ltd.  74,357       970
* Sweetgreen Inc. Class A  69,537       886
* Udemy Inc.  78,347       885
  American Eagle Outfitters Inc.  36,770       873
  Monarch Casino & Resort Inc.  12,023       846
* Revolve Group Inc.  36,655       804
* Urban Outfitters Inc.  19,160       796
* Chegg Inc.  87,575       783
  Hibbett Inc.   9,112       747
* Arlo Technologies Inc.  70,939       738
* Lions Gate Entertainment Corp. Class B  79,626       723
* QuinStreet Inc.  47,144       690
* IMAX Corp.  40,139       688
* Viad Corp.  18,189       677
  Golden Entertainment Inc.  18,129       672
* Vizio Holding Corp. Class A  60,712       668
  Wolverine World Wide Inc.  62,706       638
  Sturm Ruger & Co. Inc.  14,438       625
  Dine Brands Global Inc.  12,416       602
* Portillo's Inc. Class A  40,509       589
*,1 Luminar Technologies Inc. 243,816       583
* Everi Holdings Inc.  47,211       560
* Accel Entertainment Inc.  47,524       538
* Figs Inc. Class A 100,973       528
* Kura Sushi USA Inc. Class A   5,231       497
* Malibu Boats Inc. Class A  11,169       487
  Arko Corp.  72,578       474
* BJ's Restaurants Inc.  12,846       450
* Integral Ad Science Holding Corp.  43,479       450
* Chuy's Holdings Inc.  13,204       447
* Green Brick Partners Inc.   7,641       447
  RCI Hospitality Holdings Inc.   7,851       442
* Corsair Gaming Inc.  32,902       426
* Super Group SGHC Ltd. 122,612       405
* European Wax Center Inc. Class A  28,440       403
  Global Industrial Co.   9,173       402
* Instructure Holdings Inc.  17,373       398
* Atlanta Braves Holdings Inc. Class A   9,176       385
* Dream Finders Homes Inc. Class A   8,775       343
* Rush Street Interactive Inc.  57,251       335
* MasterCraft Boat Holdings Inc.  15,011       329
* Denny's Corp.  35,380       327
* Potbelly Corp.  23,290       323
  Krispy Kreme Inc.  24,992       323
* PlayAGS Inc.  33,045       307
  Carriage Services Inc.  11,922       296
* Lovesac Co.  12,595       290
* Lions Gate Entertainment Corp. Class A  29,353       285
* Sun Country Airlines Holdings Inc.  18,669       280
* iRobot Corp.  22,083       252
* Frontier Group Holdings Inc.  34,766       241
    Shares Market
Value

($000)
  Alta Equipment Group Inc.  20,546       236
* PROG Holdings Inc.   7,608       235
* Savers Value Village Inc.  11,543       234
  Build-A-Bear Workshop Inc.   9,088       218
* Liquidity Services Inc.  11,977       215
  Climb Global Solutions Inc.   3,085       210
  Entravision Communications Corp. Class A  53,825       207
  Cricut Inc. Class A  42,859       207
* First Watch Restaurant Group Inc.   8,143       204
  Matthews International Corp. Class A   7,009       203
* Sabre Corp.  74,021       196
* Xponential Fitness Inc. Class A  19,174       193
* Inspired Entertainment Inc.  19,125       189
  HNI Corp.   3,903       175
* Life Time Group Holdings Inc.  12,340       170
* Sleep Number Corp.  10,018       166
* LGI Homes Inc.   1,415       161
* Bally's Corp.  14,353       161
* Nerdy Inc.  55,601       161
*,1 Livewire Group Inc.  17,171       161
1 Bowlero Corp. Class A  12,836       160
  Nathan's Famous Inc.   2,243       158
* Funko Inc. Class A  21,787       153
*,1 Fisker Inc. 186,924       136
* Full House Resorts Inc.  25,430       130
* Gambling.com Group Ltd.  13,658       125
* CarParts.com Inc.  48,333       123
* Stitch Fix Inc. Class A  36,779       119
* National Vision Holdings Inc.   4,878       114
  Townsquare Media Inc. Class A  10,668       114
* Leslie's Inc.  13,630       108
* Red Robin Gourmet Burgers Inc.  14,267       107
  Allegiant Travel Co.   1,409       103
* EW Scripps Co. Class A  24,972       101
* Noodles & Co.  36,608        92
  Marine Products Corp.   7,682        88
* Blink Charging Co.  26,501        84
*,1 Mondee Holdings Inc.  35,564        80
* Stoneridge Inc.   4,467        78
* Universal Technical Institute Inc.   5,208        78
* ONE Group Hospitality Inc.  19,292        75
  Guess? Inc.   2,933        74
* Daily Journal Corp.     212        72
  Sinclair Inc.   4,647        69
* Cooper-Standard Holdings Inc.   4,701        66
* Century Casinos Inc.  21,510        63
*,1 Torrid Holdings Inc.  11,070        56
* Solo Brands Inc. Class A  12,671        34
  Gray Television Inc.   4,887        29
* Envela Corp.   6,778        29
* Lindblad Expeditions Holdings Inc.   2,868        27
* ThredUP Inc. Class A  11,810        24
* Boston Omaha Corp. Class A   1,384        23
* SES AI Corp.  10,121        18
* Loop Media Inc.  32,587        16
  Rocky Brands Inc.     517        13
 
62

 

Russell 2000 Growth Index Fund
    Shares Market
Value

($000)
  Clarus Corp.   2,012        12
* Smith Douglas Homes Corp.     416        12
  Escalade Inc.     562         8
* Qurate Retail Inc. Class B     883         5
* Duluth Holdings Inc. Class B     735         4
* 2U Inc.   3,785         2
* Rent the Runway Inc. Class A   3,034         1
        146,188
Consumer Staples (3.5%)
* Sprouts Farmers Market Inc.  91,038     5,684
  Lancaster Colony Corp.  17,454     3,612
  Coca-Cola Consolidated Inc.   4,265     3,586
  WD-40 Co.  12,130     3,256
* Simply Good Foods Co.  81,102     2,878
  Cal-Maine Foods Inc.  34,359     1,975
  J & J Snack Foods Corp.  13,451     1,952
  Energizer Holdings Inc.  64,054     1,829
* BellRing Brands Inc.  31,472     1,792
  MGP Ingredients Inc.  14,187     1,208
* Chefs' Warehouse Inc.  31,357     1,192
  Utz Brands Inc.  64,422     1,140
* Sovos Brands Inc.  49,448     1,127
* National Beverage Corp.  21,161     1,114
  John B Sanfilippo & Son Inc.   8,022       821
* Vita Coco Co. Inc.  25,536       667
* Herbalife Ltd.  64,550       570
*,1 Beyond Meat Inc.  52,861       565
* SunOpta Inc.  79,391       558
* Vital Farms Inc.  27,389       492
* USANA Health Sciences Inc.  10,141       489
  Calavo Growers Inc.  15,526       448
  Dole plc  36,041       426
  Turning Point Brands Inc.  15,270       386
  Medifast Inc.   9,615       385
  Primo Water Corp.  19,420       315
*,1 Westrock Coffee Co.  25,281       256
  Vector Group Ltd.  22,479       251
* Beauty Health Co.  72,823       243
* TreeHouse Foods Inc.   5,542       198
* Brookfield Realty Capital Corp. Class A  32,621       135
  Oil-Dri Corp. of America   1,142        81
* Duckhorn Portfolio Inc.   7,597        72
* Mission Produce Inc.   6,108        64
* Zevia PBC Class A  12,757        19
  J M Smucker Co.       1        —
         39,786
Energy (5.1%)
* Weatherford International plc  63,628     6,529
* NEXTracker Inc. Class A 112,443     6,324
  ChampionX Corp. 174,993     5,435
  Noble Corp. plc  83,434     3,488
  Magnolia Oil & Gas Corp. Class A 150,199     3,407
* Valaris Ltd.  53,998     3,405
* Tidewater Inc.  41,494     2,906
  Cactus Inc. Class A  57,781     2,652
* Kosmos Energy Ltd. 408,114     2,506
  Northern Oil & Gas Inc.  69,337     2,477
    Shares Market
Value

($000)
* Shoals Technologies Group Inc. Class A 153,253     1,966
* Array Technologies Inc. 135,367     1,846
* Oceaneering International Inc.  89,841     1,775
  Equitrans Midstream Corp. 113,239     1,211
  Borr Drilling Ltd. 196,478     1,183
  Matador Resources Co.  17,887     1,130
  CVR Energy Inc.  24,210       803
* Fluence Energy Inc.  52,251       799
  Sitio Royalties Corp. Class A  32,309       737
* Par Pacific Holdings Inc.  18,950       684
  Permian resources Corp.  42,195       657
* Ameresco Inc. Class A  28,649       600
* Nabors Industries Ltd. (XNYS)   7,384       579
* Expro Group Holdings NV  30,098       538
* TETRA Technologies Inc. 111,617       435
  Archrock Inc.  22,292       407
* Montauk Renewables Inc.  59,403       337
* NextDecade Corp.  69,722       320
  Crescent Energy Co. Class A  27,009       302
* MRC Global Inc.  25,556       295
  Alpha Metallurgical Resources Inc.     712       269
  W&T Offshore Inc.  87,402       264
* SunPower Corp.  77,664       242
  Patterson-UTI Energy Inc.  18,303       212
  Core Laboratories Inc.  13,353       200
* Green Plains Inc.   9,055       193
  Liberty Energy Inc.   8,703       186
  Riley Exploration Permian Inc.   7,844       186
  Evolution Petroleum Corp.  27,982       164
* REX American Resources Corp.   3,528       155
1 HighPeak Energy Inc.   8,842       147
  Golar LNG Ltd.   5,766       117
  Kodiak Gas Services Inc.   4,511       115
* TPI Composites Inc.  37,036       103
* DMC Global Inc.   5,259        88
* Maxeon Solar Technologies Ltd.  17,719        71
* Empire Petroleum Corp.  11,274        67
  Kinetik Holdings Inc.   1,662        59
* SilverBow Resources Inc.   2,014        57
  Atlas Energy Solutions Inc.   2,827        53
  VAALCO Energy Inc.  10,569        47
* ProFrac Holding Corp. Class A   5,463        45
* EVgo Inc.  13,274        39
* FTC Solar Inc.  57,161        29
* Tellurian Inc.  27,580        22
  Solaris Oilfield Infrastructure Inc. Class A   2,143        18
* Enviva Inc.  28,352        11
* KLX Energy Services Holdings Inc.   1,199        10
         58,902
Financials (5.1%)
  Selective Insurance Group Inc.  53,799     5,621
* Marathon Digital Holdings Inc. 190,231     4,927
  FirstCash Holdings Inc.  33,660     3,854
 
63

 

Russell 2000 Growth Index Fund
    Shares Market
Value

($000)
  First Financial Bankshares Inc. 116,555     3,606
  Piper Sandler Cos.  12,814     2,412
  PJT Partners Inc. Class A  21,206     2,235
  Hamilton Lane Inc. Class A  19,304     2,217
* Bancorp Inc.  46,535     2,077
  Moelis & Co. Class A  35,104     1,897
  Artisan Partners Asset Management Inc. Class A  39,697     1,710
  Cohen & Steers Inc.  23,234     1,709
*,1 Upstart Holdings Inc.  65,408     1,684
* Riot Platforms Inc. 118,627     1,675
  StepStone Group Inc. Class A  48,190     1,674
* Palomar Holdings Inc.  21,794     1,659
* BRP Group Inc. Class A  53,818     1,497
* Goosehead Insurance Inc. Class A  19,273     1,458
  BGC Group Inc. Class A 152,838     1,062
  WisdomTree Inc. 123,493       995
  Stock Yards Bancorp Inc.  21,220       972
  ServisFirst Bancshares Inc.  15,340       969
*,1 Trupanion Inc.  35,305       944
  Victory Capital Holdings Inc. Class A  21,597       830
  Patria Investments Ltd. Class A  48,649       725
* Assetmark Financial Holdings Inc.  19,621       694
* Open Lending Corp. Class A  81,876       594
  HCI Group Inc.   5,734       560
  Brookfield Business Corp. Class A  23,232       531
  Perella Weinberg Partners  37,462       512
  AMERISAFE Inc.   8,769       463
  Pathward Financial Inc.   7,817       397
* Coastal Financial Corp.   9,704       373
  P10 Inc. Class A  39,230       364
  Diamond Hill Investment Group Inc.   2,443       353
1 B Riley Financial Inc.  18,284       335
  Westamerica BanCorp   7,004       320
* Axos Financial Inc.   5,897       307
  GCM Grosvenor Inc. Class A  33,030       280
  Esquire Financial Holdings Inc.   5,432       276
  Brightsphere Investment Group Inc.  11,278       256
  Federal Agricultural Mortgage Corp. Class C   1,346       241
  BancFirst Corp.   2,710       238
  First BanCorp (XNYS)  13,484       229
* Skyward Specialty Insurance Group Inc.   6,009       220
  Virtus Investment Partners Inc.     793       184
* Columbia Financial Inc.  10,794       181
* StoneX Group Inc.   2,607       181
* NMI Holdings Inc. Class A   5,854       176
* Oscar Health Inc. Class A  10,729       174
  Crawford & Co. Class A  12,942       152
  Silvercrest Asset Management Group Inc. Class A   8,429       141
  PennyMac Financial Services Inc.   1,462       124
* Lemonade Inc.   7,625       124
    Shares Market
Value

($000)
  NBT Bancorp Inc.   3,583       123
* AlTi Global Inc.  20,401       120
  Capital City Bank Group Inc.   4,079       116
  Five Star Bancorp   4,849       115
  City Holding Co.   1,101       111
  Tiptree Inc.   5,864       103
  Universal Insurance Holdings Inc.   4,738        96
  Bank of NT Butterfield & Son Ltd.   3,109        93
  Greene County Bancorp Inc.   3,266        93
  Lakeland Financial Corp.   1,443        92
* LendingTree Inc.   2,252        89
* Kingsway Financial Services Inc.   9,487        84
  HomeTrust Bancshares Inc.   2,862        75
* SiriusPoint Ltd.   6,043        74
* eHealth Inc.   8,516        56
  Stellar Bancorp Inc.   2,222        53
* Fidelis Insurance Holdings Ltd.   3,334        50
  FS Bancorp Inc.   1,158        39
  F&G Annuities & Life Inc.     945        36
  Value Line Inc.     729        31
  Citizens Financial Services Inc.     642        30
* Metropolitan Bank Holding Corp.     746        29
  Investors Title Co.     183        28
* World Acceptance Corp.     235        28
  Burke & Herbert Financial Services Corp.     435        24
  Regional Management Corp.     943        22
  Plumas Bancorp     638        22
  BayCom Corp.     906        18
  MVB Financial Corp.     712        15
* Third Coast Bancshares Inc.     772        15
  Bank7 Corp.     178         5
* OppFi Inc.     711         3
         59,277
Health Care (21.8%)
* Vaxcyte Inc.  93,541     6,905
* Viking Therapeutics Inc.  85,884     6,617
* HealthEquity Inc.  75,090     6,203
  Ensign Group Inc.  48,712     6,085
* Intra-Cellular Therapies Inc.  83,675     5,817
* Cytokinetics Inc.  76,849     5,552
* Blueprint Medicines Corp.  54,306     5,079
* Option Care Health Inc. 149,745     4,832
* Halozyme Therapeutics Inc. 115,969     4,617
* Alkermes plc 148,166     4,399
* Lantheus Holdings Inc.  60,780     3,974
* Merit Medical Systems Inc.  50,799     3,871
* Glaukos Corp.  42,369     3,753
* Insmed Inc. 123,452     3,422
* Evolent Health Inc. Class A  98,379     3,336
* Arrowhead Pharmaceuticals Inc. 103,713     3,329
* Haemonetics Corp.  44,806     3,270
* Amicus Therapeutics Inc. 253,800     3,254
* Cymabay Therapeutics Inc. 101,086     3,254
* iRhythm Technologies Inc.  27,413     3,253
* Madrigal Pharmaceuticals Inc.  13,215     3,121
* Krystal Biotech Inc.  19,302     3,078
 
64

 

Russell 2000 Growth Index Fund
    Shares Market
Value

($000)
* Axonics Inc.  44,432     3,019
* SpringWorks Therapeutics Inc.  59,930     2,952
* REVOLUTION Medicines Inc.  95,189     2,806
* Progyny Inc.  70,967     2,592
* Axsome Therapeutics Inc.  31,839     2,591
* Cerevel Therapeutics Holdings Inc.  62,429     2,560
  Select Medical Holdings Corp.  92,868     2,529
* ACADIA Pharmaceuticals Inc. 108,210     2,515
* Bridgebio Pharma Inc.  71,179     2,431
* TransMedics Group Inc.  28,341     2,313
* Beam Therapeutics Inc.  58,567     2,313
* Arcellx Inc.  34,252     2,254
* Privia Health Group Inc. 100,619     2,246
  CONMED Corp.  27,396     2,200
* TG Therapeutics Inc. 123,835     2,132
* Denali Therapeutics Inc. 105,543     2,088
* Inari Medical Inc.  44,442     2,050
* RadNet Inc.  53,792     2,037
* Nuvalent Inc. Class A  23,751     1,998
* Rhythm Pharmaceuticals Inc.  45,904     1,993
* Vericel Corp.  42,555     1,944
* Guardant Health Inc. 100,905     1,917
* Arvinas Inc.  41,576     1,912
* Surgery Partners Inc.  61,330     1,903
* CorVel Corp.   7,795     1,902
* PROCEPT BioRobotics Corp.  36,068     1,744
* Apollo Medical Holdings Inc.  38,287     1,724
* Immunovant Inc.  48,181     1,704
* Corcept Therapeutics Inc.  71,676     1,684
* Amphastar Pharmaceuticals Inc.  34,393     1,602
* Ideaya Biosciences Inc.  34,611     1,547
* Inmode Ltd.  69,193     1,522
* PTC Therapeutics Inc.  51,812     1,461
* Rocket Pharmaceuticals Inc.  49,591     1,453
* Kymera Therapeutics Inc.  33,947     1,450
* Catalyst Pharmaceuticals Inc.  89,727     1,438
* Hims & Hers Health Inc. 108,945     1,421
  US Physical Therapy Inc.  13,299     1,413
* RxSight Inc.  25,401     1,386
* Keros Therapeutics Inc.  20,111     1,357
* STAAR Surgical Co.  43,320     1,353
* UFP Technologies Inc.   6,335     1,320
* Supernus Pharmaceuticals Inc.  43,930     1,305
* Ardelyx Inc. 134,832     1,257
* Dynavax Technologies Corp.  97,310     1,233
* Akero Therapeutics Inc.  45,688     1,233
  LeMaitre Vascular Inc.  17,607     1,232
* Pacira BioSciences Inc.  40,702     1,210
* Phreesia Inc.  47,401     1,173
* Syndax Pharmaceuticals Inc.  49,759     1,166
* Collegium Pharmaceutical Inc.  31,014     1,139
* Morphic Holding Inc.  29,053     1,073
* AtriCure Inc.  29,912     1,046
* Prothena Corp. plc  37,697     1,040
    Shares Market
Value

($000)
* Protagonist Therapeutics Inc.  32,024       973
* Warby Parker Inc. Class A  75,855       964
* Sage Therapeutics Inc.  44,301       952
* Harmony Biosciences Holdings Inc.  28,851       926
* Amylyx Pharmaceuticals Inc.  45,397       856
* Day One Biopharmaceuticals Inc.  51,125       855
* Cytek Biosciences Inc. 108,509       836
*,1 Cassava Sciences Inc.  35,440       814
* Pliant Therapeutics Inc.  50,862       807
* Healthcare Services Group Inc.  63,087       805
* MannKind Corp. 189,874       780
* Zentalis Pharmaceuticals Inc.  52,191       778
* Inhibrx Inc.  20,265       742
* Arcutis Biotherapeutics Inc.  70,495       725
* BioCryst Pharmaceuticals Inc. 127,924       720
* Ocular Therapeutix Inc.  70,924       713
* Geron Corp. (XNGS) 346,371       693
* Aurinia Pharmaceuticals Inc. 120,744       691
* Vera Therapeutics Inc.  14,619       688
* Pacific Biosciences of California Inc. 123,498       683
* ANI Pharmaceuticals Inc.   9,895       670
* 89bio Inc.  57,412       659
* Xencor Inc.  28,110       645
* Mirum Pharmaceuticals Inc.  22,105       635
* Cabaletta Bio Inc.  27,336       625
* Silk Road Medical Inc.  34,362       618
* SI-BONE Inc.  35,559       617
* Addus HomeCare Corp.   6,604       609
* Accolade Inc.  57,094       585
* Viridian Therapeutics Inc.  29,879       559
* Revance Therapeutics Inc.  77,592       554
* Evolus Inc.  36,957       548
* Alpine Immune Sciences Inc.  15,455       544
* Treace Medical Concepts Inc.  40,488       544
* ADMA Biologics Inc. 101,305       543
* Omnicell Inc.  19,931       523
  National Research Corp.  12,804       516
* Celldex Therapeutics Inc.  10,710       515
* Disc Medicine Inc.   7,435       511
* Paragon 28 Inc.  39,109       488
* BioLife Solutions Inc.  28,432       480
* Pennant Group Inc.  25,586       477
* Ironwood Pharmaceuticals Inc.  50,110       473
*,1 Summit Therapeutics Inc. (XNMS) 103,368       469
*,1 ImmunityBio Inc.  97,266       460
* Alignment Healthcare Inc.  75,983       456
* AdaptHealth Corp.  44,503       455
* Alphatec Holdings Inc.  33,786       454
* Travere Therapeutics Inc.  60,039       454
  Patterson Cos. Inc.  16,648       451
  Atrion Corp.   1,221       449
* LifeStance Health Group Inc.  51,875       433
* Marinus Pharmaceuticals Inc.  45,322       431
* Avid Bioservices Inc.  55,682       428
 
65

 

Russell 2000 Growth Index Fund
    Shares Market
Value

($000)
* Liquidia Corp.  29,993       425
* Avita Medical Inc.  22,428       407
* Crinetics Pharmaceuticals Inc.   9,671       396
* Alector Inc.  56,699       395
* Surmodics Inc.  12,263       391
* Axogen Inc.  36,396       384
* PetIQ Inc.  20,246       369
* Astria Therapeutics Inc.  25,776       367
* Intellia Therapeutics Inc.  11,401       366
* Xeris Biopharma Holdings Inc. 118,639       365
* UroGen Pharma Ltd.  19,868       364
* EyePoint Pharmaceuticals Inc.  12,974       353
* AnaptysBio Inc.  13,621       348
* Cerus Corp. 158,522       346
*,1 Novavax Inc.  69,650       344
* OrthoPediatrics Corp.  12,446       342
* Mersana Therapeutics Inc.  60,913       331
*,1 Anavex Life Sciences Corp.  64,070       329
* ModivCare Inc.  11,314       317
* Tactile Systems Technology Inc.  20,734       316
* Dyne Therapeutics Inc.  11,612       312
*,1 Biomea Fusion Inc.  17,682       309
* Adaptive Biotechnologies Corp.  74,689       307
* Prime Medicine Inc.  35,174       304
* Pulmonx Corp.  32,841       303
* Ventyx Biosciences Inc.  42,370       300
* Harrow Inc.  27,215       295
* MacroGenics Inc.  16,465       295
* Apogee Therapeutics Inc.   8,394       292
* DocGo Inc.  69,757       284
* Cogent Biosciences Inc.  40,236       282
* Deciphera Pharmaceuticals Inc.  16,605       277
* Arcus Biosciences Inc.  14,435       276
  iRadimed Corp.   6,517       274
* Viemed Healthcare Inc.  30,484       258
* Y-mAbs Therapeutics Inc.  15,361       257
  HealthStream Inc.   8,728       238
* Voyager Therapeutics Inc.  28,199       235
* Heron Therapeutics Inc.  87,618       233
* OptimizeRx Corp.  14,580       231
* Agiliti Inc.  23,407       231
* Health Catalyst Inc.  27,449       228
* Aerovate Therapeutics Inc.   9,852       227
*,1 Zynex Inc.  16,273       221
  SIGA Technologies Inc.  41,279       215
* Humacyte Inc.  47,316       206
* Accuray Inc.  78,846       205
  Utah Medical Products Inc.   2,867       201
* Actinium Pharmaceuticals Inc.  22,994       196
* Arbutus Biopharma Corp.  69,157       194
* Semler Scientific Inc.   4,111       194
* Rigel Pharmaceuticals Inc. 123,365       187
* Terns Pharmaceuticals Inc.  25,067       183
* Ligand Pharmaceuticals Inc.   2,241       178
* CVRx Inc.   8,690       171
* Rapt Therapeutics Inc.  19,868       170
* LivaNova plc   3,081       169
* Coherus Biosciences Inc.  71,677       163
* CorMedix Inc.  46,179       163
* PDS Biotechnology Corp.  24,401       161
    Shares Market
Value

($000)
* Nevro Corp.  10,782       157
* Harvard Bioscience Inc.  36,087       156
* NeoGenomics Inc.  10,022       156
* Castle Biosciences Inc.   8,560       155
* scPharmaceuticals Inc.  25,505       154
* Quipt Home Medical Corp.  35,927       154
* InfuSystem Holdings Inc.  16,193       150
* Aldeyra Therapeutics Inc.  40,689       147
* Merrimack Pharmaceuticals Inc.   9,544       140
* Outset Medical Inc.  44,090       139
* Foghorn Therapeutics Inc.  17,836       138
* Sanara Medtech Inc.   3,452       131
* MeiraGTx Holdings plc  21,095       130
* Joint Corp.  12,984       128
* Lineage Cell Therapeutics Inc. 120,522       125
* ClearPoint Neuro Inc.  19,624       125
* Akoya Biosciences Inc.  21,308       122
* Karyopharm Therapeutics Inc. 101,741       118
* Quanterix Corp.   4,918       118
* Optinose Inc.  64,961       116
* Acelyrin Inc.  13,567       115
* Longboard Pharmaceuticals Inc.   4,792       106
*,1 Neumora Therapeutics Inc.   6,026       106
* Artivion Inc.   5,328       103
*,1 Omeros Corp.  22,151       100
* HilleVax Inc.   5,480        99
*,1 Verrica Pharmaceuticals Inc.  18,623        98
* Tela Bio Inc.  14,145        96
* Immuneering Corp. Class A  15,038        93
*,1 Lexicon Pharmaceuticals Inc.  37,103        92
* Omega Therapeutics Inc.  21,859        90
* Tyra Biosciences Inc.   4,482        90
* 4D Molecular Therapeutics Inc.   2,982        84
* Innovage Holding Corp.  17,299        84
* Orchestra BioMed Holdings Inc.  12,754        82
* Mural Oncology plc  15,078        80
  Embecta Corp.   5,513        79
* Innoviva Inc.   4,957        76
* Sight Sciences Inc.  18,921        76
* Phathom Pharmaceuticals Inc.   7,027        75
* Aclaris Therapeutics Inc.  62,029        74
* Mineralys Therapeutics Inc.   4,643        71
* Arcturus Therapeutics Holdings Inc.   1,813        70
  Phibro Animal Health Corp. Class A   5,223        68
* Seres Therapeutics Inc.  59,401        68
* Nuvectis Pharma Inc.   6,772        67
* KORU Medical Systems Inc.  31,177        66
* Cue Biopharma Inc.  31,044        64
*,1 AirSculpt Technologies Inc.  10,119        64
* Sana Biotechnology Inc.   6,267        63
* Outlook Therapeutics Inc. 142,178        62
*,1 Bioxcel Therapeutics Inc.  18,404        59
* Eyenovia Inc.  25,577        55
* X4 Pharmaceuticals Inc.  55,201        54
*,1 Nano-X Imaging Ltd.   4,430        49
* Janux Therapeutics Inc.     967        47
*,1 Beyond Air Inc.  21,805        45
 
66

 

Russell 2000 Growth Index Fund
    Shares Market
Value

($000)
* Vir Biotechnology Inc.   3,808        43
* PepGen Inc.   2,479        42
* American Healthcare REIT Inc.   2,970        41
* ARS Pharmaceuticals Inc.   4,782        40
* Fennec Pharmaceuticals Inc.   4,133        39
* P3 Health Partners Inc.  37,727        39
* Codexis Inc.   7,897        37
* Pulse Biosciences Inc.   3,686        36
* Biote Corp. Class A   5,750        34
  Agenus Inc.  47,485        32
* Enanta Pharmaceuticals Inc.   2,213        32
* Vaxxinity Inc. Class A  38,010        32
* Genelux Corp.   4,272        31
* Savara Inc.   5,494        28
* Cargo Therapeutics Inc.   1,159        28
* Organogenesis Holdings Inc.   7,329        26
* MaxCyte Inc.   5,407        25
* Aveanna Healthcare Holdings Inc.  10,281        24
* CG oncology Inc.     491        22
  Cartesian Therapeutics Inc. (XNMS)  26,781        20
* Vicarious Surgical Inc.  44,791        19
*,1,2 Tobira Therapeutics Inc. CVR   3,989        18
*,3 Scilex Holding Co. (Acquired 1/6/23, Cost $90)   8,622        18
* BrightSpring Health Services Inc.   1,971        18
* ProKidney Corp.  10,259        17
* Compass Therapeutics Inc.   8,214        15
* Reneo Pharmaceuticals Inc.   7,865        13
* Sharecare Inc.  14,019        13
* Bright Green Corp.  53,828        13
*,1 BioVie Inc.  10,646        13
* Sagimet Biosciences Inc. Class A   2,117        13
* Turnstone Biologics Corp.   2,551        12
* Fractyl Health Inc.   1,243        11
* Citius Pharmaceuticals Inc.  11,897         9
* Kyverna Therapeutics Inc.     338         9
* Atara Biotherapeutics Inc.   9,480         7
* Metagenomi Inc.     511         6
*,1 Cutera Inc.   1,845         4
* ArriVent Biopharma Inc.     202         4
*,1,2 Synergy Pharmaceuticals LLC 124,654        —
*,2 Prevail Therapeutics CVR      58        —
*,2 OmniAb Inc. 12.5 Earnout     532        —
*,2 OmniAb Inc. 15 Earnout     532        —
* Cano Health Inc.       1        —
        250,975
Industrials (22.5%)
  Comfort Systems USA Inc.  31,633     9,671
  Simpson Manufacturing Co. Inc.  38,347     8,002
  Applied Industrial Technologies Inc.  34,480     6,547
  Atkore Inc.  33,854     5,735
* ATI Inc. 115,277     5,669
  AAON Inc.  60,532     5,083
  Installed Building Products Inc.  21,176     5,060
  FTAI Aviation Ltd.  88,935     5,006
    Shares Market
Value

($000)
  Watts Water Technologies Inc. Class A  24,441     4,985
  Maximus Inc.  54,359     4,548
* ExlService Holdings Inc. 144,487     4,496
* API Group Corp. 125,596     4,402
  Federal Signal Corp.  53,546     4,386
* Fluor Corp. 118,670     4,367
  Franklin Electric Co. Inc.  41,270     4,290
  Badger Meter Inc.  26,285     4,171
  Herc Holdings Inc.  25,265     4,009
* SPX Technologies Inc.  32,540     3,813
  Exponent Inc.  45,262     3,661
* TriNet Group Inc.  28,603     3,661
  Kadant Inc.  10,445     3,523
  HB Fuller Co.  43,135     3,431
  Brink's Co.  41,238     3,416
* Chart Industries Inc.  23,589     3,370
* Dycom Industries Inc.  25,614     3,240
* CBIZ Inc.  42,813     3,234
  Insperity Inc.  31,773     3,234
  CSW Industrials Inc.  13,767     3,172
  EnerSys  34,327     3,154
  Hillenbrand Inc.  62,643     2,979
* AeroVironment Inc.  23,246     2,947
  John Bean Technologies Corp.  28,465     2,889
* ACI Worldwide Inc.  83,642     2,753
  McGrath RentCorp.  22,066     2,747
* StoneCo. Ltd. Class A 157,851     2,717
* Verra Mobility Corp. 124,709     2,696
* Flywire Corp.  94,970     2,696
* Modine Manufacturing Co.  29,420     2,639
  ICF International Inc.  16,729     2,590
* Masonite International Corp.  19,858     2,586
* Sterling Infrastructure Inc.  23,409     2,496
* Remitly Global Inc. 118,954     2,453
* MYR Group Inc.  14,691     2,387
  Albany International Corp. Class A  24,418     2,292
  Mueller Water Products Inc. Class A 138,728     2,157
* PGT Innovations Inc.  50,668     2,116
  EVERTEC Inc.  58,383     2,109
  Belden Inc.  23,518     2,003
* O-I Glass Inc. 118,333     2,002
  Terex Corp.  34,437     1,975
* RXO Inc.  90,052     1,938
* AMN Healthcare Services Inc.  34,049     1,916
* OSI Systems Inc.  14,383     1,887
  Alamo Group Inc.   9,017     1,824
  Otter Tail Corp.  19,579     1,771
* Construction Partners Inc. Class A  35,933     1,728
* Huron Consulting Group Inc.  17,007     1,669
  Enerpac Tool Group Corp.  48,832     1,646
* AvidXchange Holdings Inc. 122,243     1,625
  H&E Equipment Services Inc.  28,757     1,624
  Griffon Corp.  22,383     1,598
* Bloom Energy Corp. Class A 172,198     1,510
* PagSeguro Digital Ltd. Class A 108,036     1,504
  Standex International Corp.   8,537     1,477
* Leonardo DRS Inc.  61,327     1,393
 
67

 

Russell 2000 Growth Index Fund
    Shares Market
Value

($000)
  ESCO Technologies Inc.  13,246     1,350
  Napco Security Technologies Inc.  29,698     1,337
* Legalzoom.com Inc. 105,618     1,310
  Helios Technologies Inc.  29,656     1,309
*,1 Enovix Corp. 123,871     1,208
  ArcBest Corp.   8,393     1,199
  Kforce Inc.  17,147     1,194
* Gibraltar Industries Inc.  15,339     1,188
  Lindsay Corp.   9,881     1,179
* Payoneer Global Inc. 236,823     1,151
* Rocket Lab USA Inc. 249,193     1,143
* NV5 Global Inc.  11,171     1,136
  Wabash National Corp.  41,048     1,120
* ASGN Inc.  11,125     1,105
* Janus International Group Inc.  75,919     1,089
* GMS Inc.  11,614     1,037
* Montrose Environmental Group Inc.  24,948     1,032
* Donnelley Financial Solutions Inc.  15,732     1,016
  Tennant Co.   8,715       986
* SP Plus Corp.  17,541       902
* Cimpress plc   9,095       891
  Forward Air Corp.  22,949       852
  Zurn Elkay Water Solutions Corp.  26,384       838
  CRA International Inc.   6,065       804
* IES Holdings Inc.   7,313       804
  Marten Transport Ltd.  41,341       779
* Energy Recovery Inc.  49,618       776
* Transcat Inc.   7,330       771
  Moog Inc. Class A   5,123       768
* ZipRecruiter Inc. Class A  60,211       766
* Vicor Corp.  19,824       738
  Barrett Business Services Inc.   5,462       666
  Dorian LPG Ltd.  18,207       658
  Pitney Bowes Inc. 157,002       633
  Myers Industries Inc.  32,701       629
  Cadre Holdings Inc.  17,325       623
* CryoPort Inc.  33,196       587
  Hyster-Yale Materials Handling Inc.   9,970       587
* International Money Express Inc.  28,670       565
  Cass Information Systems Inc.  10,710       518
  Douglas Dynamics Inc.  20,139       506
* Beacon Roofing Supply Inc.   5,853       503
  Mesa Laboratories Inc.   4,582       500
  United States Lime & Minerals Inc.   1,831       467
* Joby Aviation Inc.  83,059       467
  Flex LNG Ltd.  17,909       452
  Apogee Enterprises Inc.   7,559       432
* I3 Verticals Inc. Class A  20,204       431
* Franklin Covey Co.  10,415       398
* Marqeta Inc. Class A  56,424       368
* Itron Inc.   3,866       358
  Trinity Industries Inc.  13,251       336
  Werner Enterprises Inc.   8,269       332
  Allient Inc.  11,582       329
* Custom Truck One Source Inc.  50,782       326
* Bowman Consulting Group Ltd.   9,655       314
    Shares Market
Value

($000)
  Shyft Group Inc.  30,006       309
* Daseke Inc.  36,894       304
  TTEC Holdings Inc.  17,421       304
* Virgin Galactic Holdings Inc. 164,990       287
  Granite Construction Inc.   5,454       281
  Patrick Industries Inc.   2,344       281
  LSI Industries Inc.  18,932       273
* Target Hospitality Corp.  27,988       271
* Distribution Solutions Group Inc.   8,076       254
  GATX Corp.   1,993       253
* Cantaloupe Inc.  34,517       224
*,1 Atmus Filtration Technologies Inc.   9,033       216
* Forrester Research Inc.  10,491       212
* Luna Innovations Inc.  29,367       199
  Karat Packaging Inc.   6,042       179
* Global Business Travel Group I  28,850       173
  Gorman-Rupp Co.   4,594       172
*,1 Ispire Technology Inc.  15,853       160
* SoundThinking Inc.   8,430       147
  Preformed Line Products Co.   1,039       143
*,1 PureCycle Technologies Inc.  23,422       136
* Performant Financial Corp.  45,749       133
* IBEX Holdings Ltd.   8,301       132
  Primoris Services Corp.   2,980       118
* Concrete Pumping Holdings Inc.  13,144       108
* Iteris Inc.  20,621       108
* American Woodmark Corp.     943        95
* Thermon Group Holdings Inc.   3,445        94
* Hudson Technologies Inc.   6,346        93
* Eve Holding Inc.  16,507        92
* Evolv Technologies Holdings Inc.  18,905        90
* Paysign Inc.  29,114        89
* Cross Country Healthcare Inc.   4,803        88
*,1 Eos Energy Enterprises Inc.  85,115        81
  EVI Industries Inc.   3,629        78
* Limbach Holdings Inc.   1,524        75
  Information Services Group Inc.  16,977        74
* 374Water Inc.  55,426        74
* SKYX Platforms Corp.  56,914        73
* CPI Card Group Inc.   3,797        72
  First Advantage Corp.   4,447        70
  Hirequest Inc.   4,782        64
* CompoSecure Inc.  12,865        62
* Blue Bird Corp.   1,651        56
* Priority Technology Holdings Inc.  15,304        51
  Himalaya Shipping Ltd.   4,160        33
* FARO Technologies Inc.   1,400        31
* Sterling Check Corp.   1,903        30
  Miller Industries Inc.     607        27
* Redwire Corp.   7,304        24
*,1 Velo3D Inc.  79,797        22
* Commercial Vehicle Group Inc.   3,248        21
* Amprius Technologies Inc.   4,798        16
* Dragonfly Energy Holdings Corp.  24,731        16
* PAM Transportation Services Inc.     711        13
 
68

 

Russell 2000 Growth Index Fund
    Shares Market
Value

($000)
* Mayville Engineering Co. Inc.     926        11
* Core Molding Technologies Inc.     513         9
* Atlanticus Holdings Corp.     219         7
* INNOVATE Corp.   9,304         7
* Babcock & Wilcox Enterprises Inc.   4,876         6
*,1 Terran Orbital Corp.   4,571         5
* Workhorse Group Inc.   7,749         3
        259,567
Other (0.0%)4
* Alto Neuroscience Inc.     334         5
*,2 Aduro Biotech Inc. CVR   9,451         2
*,1,2 GTX Inc. CVR     530        —
              7
Real Estate (1.6%)
  Ryman Hospitality Properties Inc.  52,162     6,180
  St. Joe Co.  30,780     1,658
  Tanger Inc.  42,756     1,232
  Outfront Media Inc.  61,738       887
* Compass Inc. Class A 218,348       862
  DigitalBridge Group Inc.  45,774       841
  eXp World Holdings Inc.  63,551       833
* Redfin Corp.  97,401       692
  Phillips Edison & Co. Inc.  17,917       640
  Universal Health Realty Income Trust  11,451       444
  Community Healthcare Trust Inc.  15,796       429
  Alexander's Inc.   1,905       421
  CBL & Associates Properties Inc.  18,060       416
  Essential Properties Realty Trust Inc.  15,384       368
  Saul Centers Inc.   9,493       344
  Marcus & Millichap Inc.   8,169       300
  RMR Group Inc. Class A   9,640       236
  Four Corners Property Trust Inc.   8,820       213
  National Health Investors Inc.   3,659       210
  CareTrust REIT Inc.   8,295       187
  Hannon Armstrong Sustainable Infrastructure Capital Inc.   7,279       183
  NexPoint Residential Trust Inc.   5,909       173
  UMH Properties Inc.   9,151       141
* Maui Land & Pineapple Co. Inc.   6,344       124
* Opendoor Technologies Inc.  25,814        79
  Gladstone Commercial Corp.   6,306        78
* Anywhere Real Estate Inc.   9,019        57
  Clipper Realty Inc.   9,326        44
         18,272
Technology (21.3%)
* Super Micro Computer Inc.  41,444    35,895
*,1 MicroStrategy Inc. Class A  10,908    11,157
* Fabrinet  32,889     7,090
* Onto Innovation Inc.  37,498     6,906
* SPS Commerce Inc.  32,791     6,072
* Rambus Inc.  97,429     5,772
* Qualys Inc.  33,232     5,711
* Novanta Inc.  31,997     5,534
    Shares Market
Value

($000)
* Varonis Systems Inc.  97,114     4,933
* Tenable Holdings Inc. 102,018     4,913
* Insight Enterprises Inc.  25,647     4,822
* MACOM Technology Solutions Holdings Inc.  48,571     4,290
* Appfolio Inc. Class A  17,157     4,154
* Altair Engineering Inc. Class A  48,529     4,129
* Silicon Laboratories Inc.  28,379     3,903
* Workiva Inc.  44,420     3,825
  Power Integrations Inc.  50,760     3,627
* CommVault Systems Inc.  37,119     3,553
  Advanced Energy Industries Inc.  33,617     3,402
* Axcelis Technologies Inc.  29,124     3,281
* Box Inc. Class A 125,949     3,248
* Alarm.com Holdings Inc.  42,797     3,239
* Rapid7 Inc.  54,180     3,174
* FormFactor Inc.  68,927     2,966
* Freshworks Inc. Class A 144,745     2,959
* Blackline Inc.  50,888     2,887
* Blackbaud Inc.  38,899     2,691
* Braze Inc. Class A  46,806     2,663
* Sprout Social Inc. Class A  42,688     2,639
* Q2 Holdings Inc.  50,847     2,351
* Envestnet Inc.  44,774     2,307
* Yelp Inc.  59,452     2,285
* Impinj Inc.  20,844     2,277
* Credo Technology Group Holding Ltd. 102,461     2,207
* Diodes Inc.  31,679     2,154
* DigitalOcean Holdings Inc.  56,587     2,146
  Progress Software Corp.  38,877     2,074
* Plexus Corp.  21,712     2,050
*,1 C3.ai Inc. Class A  55,404     2,048
* Perficient Inc.  30,668     1,989
* PagerDuty Inc.  80,914     1,955
* Cargurus Inc.  87,386     1,935
  Kulicke & Soffa Industries Inc.  34,829     1,659
* Verint Systems Inc.  51,846     1,639
  CSG Systems International Inc.  28,291     1,544
* Upwork Inc. 111,578     1,462
* Sitime Corp.  15,536     1,437
* Asana Inc. Class A  72,735     1,433
  Clear Secure Inc. Class A  73,429     1,413
* Agilysys Inc.  17,928     1,395
* Parsons Corp.  16,841     1,358
* MaxLinear Inc.  67,837     1,319
* Zeta Global Holdings Corp. Class A 123,915     1,301
* Fastly Inc. Class A  90,242     1,283
* Appian Corp. Class A  36,719     1,280
* Rogers Corp.  11,319     1,269
* Schrodinger Inc.  48,672     1,239
* Sprinklr Inc. Class A  94,516     1,232
  CTS Corp.  27,615     1,231
* Ambarella Inc.  20,752     1,159
* Jamf Holding Corp.  63,250     1,138
  Shutterstock Inc.  21,999     1,073
* AvePoint Inc. 132,976     1,064
* Everbridge Inc.  36,405     1,029
* PROS Holdings Inc.  28,601     1,022
* Intapp Inc.  24,794       973
* Zuora Inc. Class A 119,074       962
  Adeia Inc.  83,586       948
 
69

 

Russell 2000 Growth Index Fund
    Shares Market
Value

($000)
* PDF Solutions Inc.  27,431       932
*,1 SoundHound AI Inc. Class A 123,611       917
* Alkami Technology Inc.  35,796       893
* Couchbase Inc.  31,080       873
  Sapiens International Corp. NV  27,469       845
  A10 Networks Inc.  63,220       841
* Model N Inc.  33,862       832
* indie Semiconductor Inc. Class A 125,412       776
* N-Able Inc.  56,313       759
* TechTarget Inc.  22,768       722
* Amplitude Inc. Class A  60,521       718
* Ziff Davis Inc.   9,578       659
* Magnite Inc.  51,141       615
  Simulations Plus Inc.  14,156       587
* Yext Inc.  95,459       565
* Grid Dynamics Holdings Inc.  40,669       549
* NerdWallet Inc. Class A  30,307       511
  Hackett Group Inc.  20,467       506
* BigCommerce Holdings Inc. Series 1  60,008       465
* Squarespace Inc. Class A  13,726       457
* Digimarc Corp.  12,650       443
* Mitek Systems Inc.  36,666       426
* CEVA Inc.  18,292       414
* Aehr Test Systems  24,547       399
*,1 MicroVision Inc. 168,829       398
* Weave Communications Inc.  29,771       373
* SEMrush Holdings Inc. Class A  28,143       351
* Eventbrite Inc. Class A  62,291       349
* Mediaalpha Inc. Class A  16,697       346
* Domo Inc. Class B  28,541       328
* OneSpan Inc.  33,226       319
  NVE Corp.   3,770       315
* Olo Inc. Class A  52,903       308
* Planet Labs PBC 140,859       308
*,1 Applied Digital Corp.  73,753       306
* Grindr Inc.  36,873       305
* MeridianLink Inc.  15,954       302
* Enfusion Inc. Class A  33,449       290
* Synaptics Inc.   2,861       286
* EverQuote Inc. Class A  17,730       284
* Cleanspark Inc.  16,613       278
* Thoughtworks Holding Inc.  82,915       259
  American Software Inc. Class A  22,759       255
*,1 IonQ Inc.  22,561       234
* ACM Research Inc. Class A   6,859       212
* SMART Global Holdings Inc.   9,288       198
* NextNav Inc.  45,954       197
* SkyWater Technology Inc.  16,655       193
* Red Violet Inc.   9,934       177
* Nextdoor Holdings Inc.  77,890       171
* Innodata Inc.  22,929       170
* Sanmina Corp.   2,638       167
* EverCommerce Inc.  16,276       159
* Consensus Cloud Solutions Inc.   9,804       156
* Rimini Street Inc.  45,825       148
* PubMatic Inc. Class A   6,949       145
* Definitive Healthcare Corp.  14,036       134
* Transphorm Inc.  25,834       124
    Shares Market
Value

($000)
* inTEST Corp.  10,550       123
* Viant Technology Inc. Class A  13,292       121
* eGain Corp.  18,866       116
* Kimball Electronics Inc.   5,062       114
* ePlus Inc.   1,333       110
* Expensify Inc. Class A  50,337       105
* Bandwidth Inc. Class A   5,015       103
* Navitas Semiconductor Corp.  15,682        96
* Atomera Inc.  14,480        91
* LivePerson Inc.  70,192        89
* Vimeo Inc.  17,929        86
* CoreCard Corp.   6,620        84
*,1 BigBear.ai Holdings Inc.  24,812        83
* PAR Technology Corp.   1,854        81
* Digital Turbine Inc.  22,524        71
* Tucows Inc. Class A   3,554        67
* Xometry Inc. Class A   3,419        67
* Veritone Inc.  23,555        54
* Vivid Seats Inc. Class A   6,980        42
* Asure Software Inc.   3,840        36
* Bit Digital Inc.  12,467        32
* FiscalNote Holdings Inc.  11,248        19
* Cipher Mining Inc.   2,691         8
* CXApp Inc.   1,743         5
* Presto Automation Inc.   2,852         1
        246,128
Telecommunications (1.4%)
  InterDigital Inc.  23,604     2,526
  Cogent Communications Holdings Inc.  24,612     1,991
* Calix Inc.  52,690     1,837
* Viavi Solutions Inc. 163,059     1,557
* Extreme Networks Inc. 112,886     1,427
* Harmonic Inc.  98,298     1,291
* Infinera Corp. 178,509       896
* Globalstar Inc. 547,841       855
* Digi International Inc.  27,888       825
*,1 Lightwave Logic Inc. 104,328       439
* Anterix Inc.  10,490       417
* IDT Corp. Class B  10,410       387
* Clearfield Inc.  11,772       355
* 8x8 Inc. 107,001       303
*,1 AST SpaceMobile Inc.  71,262       226
* Ooma Inc.  21,657       221
* CommScope Holding Co. Inc. 185,672       216
* Kaltura Inc.  73,867        98
* Cambium Networks Corp.  11,061        47
* Gogo Inc.   5,395        44
* Akoustis Technologies Inc.  61,954        39
  Bel Fuse Inc. Class B     717        37
* Consolidated Communications Holdings Inc.   7,015        30
         16,064
Utilities (1.5%)
* Casella Waste Systems Inc. Class A  50,450     4,546
  American States Water Co.  33,161     2,368
  Ormat Technologies Inc. (XNYS)  30,678     1,999
  New Jersey Resources Corp.  45,498     1,893
  Chesapeake Utilities Corp.  12,255     1,250
  MGE Energy Inc.  16,614     1,050
 
70

 

Russell 2000 Growth Index Fund
    Shares Market
Value

($000)
  Middlesex Water Co.  15,641       796
  California Water Service Group  16,273       747
  York Water Co.  12,698       450
  Brookfield Infrastructure Corp. Class A (XTSE)  11,611       385
* Sunnova Energy International Inc.  46,219       336
  PNM Resources Inc.   8,113       296
  Unitil Corp.   4,085       208
  Artesian Resources Corp. Class A   5,911       204
  Excelerate Energy Inc. Class A  12,527       197
* Pure Cycle Corp.  17,402       173
  Genie Energy Ltd. Class B   9,180       167
*,1 NuScale Power Corp.  48,736       151
  Global Water Resources Inc.  10,348       134
  Consolidated Water Co. Ltd.   3,786       112
* Cadiz Inc.  35,816       104
* Vertex Energy Inc.  57,640        78
  Aris Water Solutions Inc. Class A   1,810        22
  RGC Resources Inc.     481         9
         17,675
Total Common Stocks (Cost $930,302) 1,152,343
Warrant (0.0%)
* Cassava Sciences Inc. Exp. 11/15/24 (Cost$—)       1          
Temporary Cash Investments (1.4%)
Money Market Fund (1.4%)
5,6 Vanguard Market Liquidity Fund, 5.400% (Cost $16,315) 163,200          16,318
Total Investments (101.3%) (Cost $946,617) 1,168,661
Other Assets and Liabilities—Net (-1.3%) (14,570)
Net Assets (100%) 1,154,091
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 $14,743,000.
2 Security value determined using significant unobservable inputs.
3 Restricted securities totaling $18,000, representing 0.0% of net assets.
4 “Other” represents securities that are not classified by the fund’s benchmark index.
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 $15,250,000 was received for securities on loan, of which $15,133,000 is held in Vanguard Market Liquidity Fund and $117,000 is held in cash.
  CVR—Contingent Value Rights.
  REIT—Real Estate Investment Trust.
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Russell 2000 Growth 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 2024 18 1,852 29
  
See accompanying Notes, which are an integral part of the Financial Statements.
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Russell 2000 Growth Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $930,302) 1,152,343
Affiliated Issuers (Cost $16,315) 16,318
Total Investments in Securities 1,168,661
Investment in Vanguard 34
Cash 4,377
Cash Collateral Pledged—Futures Contracts 120
Receivables for Investment Securities Sold 4
Receivables for Accrued Income 454
Receivables for Capital Shares Issued 22
Variation Margin Receivable—Futures Contracts 13
Total Assets 1,173,685
Liabilities  
Payables for Investment Securities Purchased 4,256
Collateral for Securities on Loan 15,250
Payables for Capital Shares Redeemed 27
Payables to Vanguard 61
Total Liabilities 19,594
Net Assets 1,154,091
1 Includes $14,743,000 of securities on loan.  
At February 29, 2024, net assets consisted of:  
   
Paid-in Capital 1,301,720
Total Distributable Earnings (Loss) (147,629)
Net Assets 1,154,091
 
ETF Shares—Net Assets  
Applicable to 4,750,393 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
912,540
Net Asset Value Per Share—ETF Shares $192.10
 
Institutional Shares—Net Assets  
Applicable to 659,989 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
241,551
Net Asset Value Per Share—Institutional Shares $365.99
  
See accompanying Notes, which are an integral part of the Financial Statements.
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Russell 2000 Growth Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends1 3,163
Interest2 26
Securities Lending—Net 786
Total Income 3,975
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 11
Management and Administrative—ETF Shares 498
Management and Administrative—Institutional Shares 72
Marketing and Distribution—ETF Shares 20
Marketing and Distribution—Institutional Shares 4
Custodian Fees 26
Shareholders’ Reports—ETF Shares 25
Shareholders’ Reports—Institutional Shares 4
Trustees’ Fees and Expenses
Other Expenses 9
Total Expenses 669
Expenses Paid Indirectly (1)
Net Expenses 668
Net Investment Income 3,307
Realized Net Gain (Loss)  
Investment Securities Sold2,3 13,749
Futures Contracts 90
Realized Net Gain (Loss) 13,839
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 91,481
Futures Contracts 22
Change in Unrealized Appreciation (Depreciation) 91,503
Net Increase (Decrease) in Net Assets Resulting from Operations 108,649
1 Dividends are net of foreign withholding taxes of $3,000.
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 $23,000, $1,000, less than $1,000, and ($3,000), respectively. Purchases and sales are for temporary cash investment purposes.
3 Includes $12,981,000 of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
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Russell 2000 Growth Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 3,307   8,774
Realized Net Gain (Loss) 13,839   (2,797)
Change in Unrealized Appreciation (Depreciation) 91,503   56,561
Net Increase (Decrease) in Net Assets Resulting from Operations 108,649   62,538
Distributions      
ETF Shares (3,792)   (6,440)
Institutional Shares (1,182)   (2,474)
Total Distributions (4,974)   (8,914)
Capital Share Transactions      
ETF Shares 45,842   87,971
Institutional Shares (13,961)   (35,435)
Net Increase (Decrease) from Capital Share Transactions 31,881   52,536
Total Increase (Decrease) 135,556   106,160
Net Assets      
Beginning of Period 1,018,535   912,375
End of Period 1,154,091   1,018,535
  
See accompanying Notes, which are an integral part of the Financial Statements.
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Russell 2000 Growth Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $175.15 $165.45 $222.64 $164.83 $141.63 $160.12
Investment Operations            
Net Investment Income1 .553 1.499 1.137 .839 1.097 .971
Net Realized and Unrealized Gain (Loss) on Investments 17.252 9.702 (57.266) 57.852 23.237 (18.527)
Total from Investment Operations 17.805 11.201 (56.129) 58.691 24.334 (17.556)
Distributions            
Dividends from Net Investment Income (.855) (1.501) (1.061) (.881) (1.134) (.934)
Distributions from Realized Capital Gains
Total Distributions (.855) (1.501) (1.061) (.881) (1.134) (.934)
Net Asset Value, End of Period $192.10 $175.15 $165.45 $222.64 $164.83 $141.63
Total Return 10.22% 6.87% -25.28% 35.67% 17.32% -10.97%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $913 $784 $658 $735 $371 $301
Ratio of Total Expenses to Average Net Assets 0.15%2 0.15%2 0.15% 0.15% 0.15% 0.15%
Ratio of Net Investment Income to Average Net Assets 0.62% 0.90% 0.61% 0.40% 0.75% 0.68%
Portfolio Turnover Rate3 4% 32% 33% 47% 38% 28%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.15%.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
  
See accompanying Notes, which are an integral part of the Financial Statements.
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Russell 2000 Growth Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $333.70 $315.20 $424.16 $314.01 $269.76 $305.04
Investment Operations            
Net Investment Income1 1.167 3.090 2.706 1.912 2.275 2.021
Net Realized and Unrealized Gain (Loss) on Investments 32.862 18.463 (109.390) 110.162 44.269 (35.267)
Total from Investment Operations 34.029 21.553 (106.684) 112.074 46.544 (33.246)
Distributions            
Dividends from Net Investment Income (1.739) (3.053) (2.276) (1.924) (2.294) (2.034)
Distributions from Realized Capital Gains
Total Distributions (1.739) (3.053) (2.276) (1.924) (2.294) (2.034)
Net Asset Value, End of Period $365.99 $333.70 $315.20 $424.16 $314.01 $269.76
Total Return 10.26% 6.94% -25.24% 35.77% 17.42% -10.91%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $242 $235 $255 $752 $500 $472
Ratio of Total Expenses to Average Net Assets 0.08%2 0.08%2 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 0.69% 0.98% 0.72% 0.48% 0.82% 0.75%
Portfolio Turnover Rate3 4% 32% 33% 47% 38% 28%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
  
See accompanying Notes, which are an integral part of the Financial Statements.
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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.
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 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 valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 
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.
During the six months ended February 29, 2024, 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 virtually 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,
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Russell 2000 Growth Index Fund
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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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
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Russell 2000 Growth 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 29, 2024, 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 29, 2024, the fund had contributed to Vanguard capital in the amount of $34,000, 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. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2024, custodian fee offset arrangements reduced the fund’s expenses by $1,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments 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.
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Russell 2000 Growth Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2024, based on the inputs used to value them:
  Level 1
($000)
Level 2
($000)
Level 3
($000)
Total
($000)
Investments        
Assets        
Common Stocks 1,152,305 18 20 1,152,343
Warrant
Temporary Cash Investments 16,318 16,318
Total 1,168,623 18 20 1,168,661
Derivative Financial Instruments        
Assets        
Futures Contracts1 29 29
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.
The tax character of distributions paid was as follows:
E. As of February 29, 2024, 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 952,979
Gross Unrealized Appreciation 330,456
Gross Unrealized Depreciation (114,745)
Net Unrealized Appreciation (Depreciation) 215,711
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, 2023, the fund had available capital losses totaling $377,765,000 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, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2024, the fund purchased $39,687,000 of investment securities and sold $52,775,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $79,246,000 and $37,833,000, 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 29, 2024, such purchases were $3,368,000 and sales were $3,927,000, resulting in net realized loss of $270,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
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Russell 2000 Growth Index Fund
G. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 83,707 500   268,511 1,575
Issued in Lieu of Cash Distributions  
Redeemed (37,865) (225)   (180,540) (1,075)
Net Increase (Decrease)—ETF Shares 45,842 275   87,971 500
Institutional Shares          
Issued 8,209 26   49,602 158
Issued in Lieu of Cash Distributions 1,141 3   2,350 8
Redeemed (23,311) (72)   (87,387) (271)
Net Increase (Decrease)—Institutional Shares (13,961) (43)   (35,435) (105)
H. Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I. Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
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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.
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Q18512 042024

Semiannual Report   |   February 29, 2024
Vanguard Russell 3000 Index Fund
See the inside front cover for important information about your fund’s annual and semiannual shareholder reports.

 

Important information about shareholder reports
Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
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 29, 2024      
  Beginning
Account Value
8/31/2023
Ending
Account Value
2/29/2024
Expenses
Paid During
Period
Based on Actual Fund Return      
Russell 3000 Index Fund      
ETF Shares $1,000.00 $1,137.40 $0.53
Institutional Shares 1,000.00 1,137.50 0.43
Based on Hypothetical 5% Yearly Return      
Russell 3000 Index Fund      
ETF Shares $1,000.00 $1,024.37 $0.50
Institutional Shares 1,000.00 1,024.47 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 (182/366).
2

 

Russell 3000 Index Fund
Fund Allocation
As of February 29, 2024
Basic Materials 1.9%
Consumer Discretionary 14.5
Consumer Staples 4.5
Energy 3.9
Financials 10.9
Health Care 12.0
Industrials 13.1
Real Estate 2.7
Technology 32.1
Telecommunications 2.0
Utilities 2.4
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 29, 2024
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 (99.7%)
Basic Materials (1.9%)
  Linde plc    33,430    15,004
  Ecolab Inc.    17,166     3,860
  Freeport-McMoRan Inc.    98,384     3,720
  Air Products and Chemicals Inc.    15,338     3,590
  Nucor Corp.    17,209     3,309
  Fastenal Co.    39,283     2,868
  Dow Inc.    48,628     2,717
  Newmont Corp. (XNYS)    79,401     2,481
  LyondellBasell Industries NV Class A    17,745     1,779
  Steel Dynamics Inc.    10,700     1,432
  International Flavors & Fragrances Inc.    17,500     1,321
  Reliance Steel & Aluminum Co.     3,966     1,274
  Avery Dennison Corp.     5,559     1,204
  Albemarle Corp.     8,049     1,110
  CF Industries Holdings Inc.    13,239     1,069
  Celanese Corp.     6,992     1,063
  International Paper Co.    23,877       844
  United States Steel Corp.    15,094       715
* Cleveland-Cliffs Inc.    34,134       710
  Eastman Chemical Co.     8,070       708
  Mosaic Co.    22,716       708
* RBC Bearings Inc.     1,947       531
  FMC Corp.     8,561       483
  UFP Industries Inc.     4,149       476
  Southern Copper Corp.     5,846       473
  Royal Gold Inc.     4,463       458
  Olin Corp.     8,340       449
  Commercial Metals Co.     8,076       436
  Hexcel Corp.     5,746       428
* Valvoline Inc.     9,742       415
  Mueller Industries Inc.     7,554       388
* Arcadium Lithium plc    70,558       387
  Element Solutions Inc.    15,863       373
  Boise Cascade Co.     2,676       364
  Timken Co.     4,317       363
  Balchem Corp.     2,268       356
  Alcoa Corp.    12,294       335
  Cabot Corp.     3,847       327
  Westlake Corp.     2,267       314
  Ashland Inc.     3,342       313
  Huntsman Corp.    11,669       299
  NewMarket Corp.       443       284
  Avient Corp.     6,628       268
    Shares Market
Value

($000)
  Innospec Inc.     1,815       226
  Carpenter Technology Corp.     3,466       224
  Sensient Technologies Corp.     2,992       200
  Chemours Co.    10,070       198
  Quaker Chemical Corp.       988       198
  Materion Corp.     1,465       197
  Scotts Miracle-Gro Co.     3,004       197
* Uranium Energy Corp.    26,725       173
  Minerals Technologies Inc.     2,377       172
* Constellium SE     8,664       168
  Hecla Mining Co.    44,332       157
  Sylvamo Corp.     2,522       152
  Stepan Co.     1,574       140
* MP Materials Corp.     7,738       118
  Tronox Holdings plc     7,671       113
* Ingevity Corp.     2,453       112
  Hawkins Inc.     1,123        79
  Koppers Holdings Inc.     1,349        76
  Kaiser Aluminum Corp.     1,011        73
  Orion SA     3,183        72
* Energy Fuels Inc.    10,793        68
* Worthington Steel Inc.     2,065        65
* US Silica Holdings Inc.     5,508        63
  SSR Mining Inc. (XTSE)    14,116        61
  Ryerson Holding Corp.     1,906        60
  Mativ Holdings Inc.     3,389        59
* Perimeter Solutions SA     9,714        59
* Coeur Mining Inc.    22,496        58
* Ecovyst Inc.     5,959        57
  Haynes International Inc.       884        53
  Compass Minerals International Inc.     2,156        49
* TimkenSteel Corp.     2,235        49
  AdvanSix Inc.     1,645        46
  Olympic Steel Inc.       670        46
* Novagold Resources Inc.    17,074        42
* Encore Energy Corp.    10,589        41
* Clearwater Paper Corp.       994        39
* Century Aluminum Co.     3,243        34
  Radius Recycling Inc.     1,716        34
* Ivanhoe Electric Inc.     4,338        32
* LSB Industries Inc.     3,521        26
* Northwest Pipe Co.       774        23
  American Vanguard Corp.     1,972        21
  GrafTech International Ltd.    11,855        21
* Rayonier Advanced Materials Inc.     4,611        16
* Piedmont Lithium Inc.     1,095        16
4

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
* i-80 Gold Corp.    12,037        15
  Omega Flex Inc.       208        14
* Intrepid Potash Inc.       553        12
  FutureFuel Corp.     1,670        10
  Caledonia Mining Corp. plc     1,021        10
* Contango ORE Inc.       589        10
  Tredegar Corp.     2,137         9
* Perpetua Resources Corp.     2,379         7
* Dakota Gold Corp.     3,098         7
* Origin Materials Inc.     7,576         4
* LanzaTech Global Inc.     1,173         4
* 5e Advanced Materials Inc.     1,816         3
         64,294
Consumer Discretionary (14.4%)
* Amazon.com Inc.   621,762   109,903
* Tesla Inc.   190,438    38,446
  Home Depot Inc.    69,012    26,267
  Costco Wholesale Corp.    30,567    22,738
* Netflix Inc.    29,802    17,968
  Walmart Inc.   295,260    17,305
  McDonald's Corp.    50,301    14,702
  Walt Disney Co.   126,243    14,086
* Uber Technologies Inc.   135,925    10,806
  Lowe's Cos. Inc.    39,874     9,596
* Booking Holdings Inc.     2,464     8,547
  NIKE Inc. Class B    82,167     8,540
  TJX Cos. Inc.    79,429     7,875
  Starbucks Corp.    77,929     7,395
* Chipotle Mexican Grill Inc.     1,897     5,101
  Target Corp.    31,817     4,865
* O'Reilly Automotive Inc.     4,086     4,443
* Airbnb Inc. Class A    27,928     4,398
  Marriott International Inc. Class A    16,786     4,194
  General Motors Co.    94,847     3,887
* AutoZone Inc.     1,216     3,655
* Lululemon Athletica Inc.     7,664     3,580
  Hilton Worldwide Holdings Inc.    17,244     3,523
  Ross Stores Inc.    23,093     3,440
  Ford Motor Co.   269,909     3,358
  DR Horton Inc.    21,407     3,199
* Copart Inc.    59,298     3,152
  Lennar Corp. Class A    17,384     2,756
  Yum! Brands Inc.    19,294     2,671
* Trade Desk Inc. Class A    30,536     2,609
  Electronic Arts Inc.    18,693     2,607
* Spotify Technology SA     9,691     2,485
  Estee Lauder Cos. Inc. Class A    16,002     2,378
  Dollar General Corp.    15,044     2,186
* Dollar Tree Inc.    14,463     2,121
* Royal Caribbean Cruises Ltd.    16,064     1,981
  Tractor Supply Co.     7,511     1,910
  Delta Air Lines Inc.    44,236     1,870
* Ulta Beauty Inc.     3,381     1,855
  eBay Inc.    36,621     1,731
* Take-Two Interactive Software Inc.    11,394     1,674
* Deckers Outdoor Corp.     1,799     1,611
  PulteGroup Inc.    14,640     1,587
* NVR Inc.       202     1,540
* Aptiv plc    18,568     1,476
  Garmin Ltd.    10,538     1,447
  Genuine Parts Co.     9,611     1,435
  Darden Restaurants Inc.     8,299     1,417
    Shares Market
Value

($000)
  Southwest Airlines Co.    40,824     1,399
* Coupang Inc.    75,219     1,393
  Las Vegas Sands Corp.    25,253     1,377
* Warner Bros Discovery Inc.   151,165     1,329
* Expedia Group Inc.     9,458     1,294
* Roblox Corp. Class A    31,821     1,270
* DraftKings Inc. Class A    28,599     1,239
  Omnicom Group Inc.    13,693     1,210
  Domino's Pizza Inc.     2,410     1,081
  Best Buy Co. Inc.    13,354     1,080
* Carnival Corp.    68,062     1,079
* Liberty Media Corp.-Liberty Formula One Class C    14,775     1,075
  Pool Corp.     2,670     1,063
* Live Nation Entertainment Inc.    10,719     1,040
  Williams-Sonoma Inc.     4,368     1,029
* United Airlines Holdings Inc.    22,498     1,023
  LKQ Corp.    18,413       963
  RB Global Inc. (XTSE)    12,425       943
* Burlington Stores Inc.     4,423       907
* Floor & Decor Holdings Inc. Class A     7,127       863
* CarMax Inc.    10,821       855
  Toll Brothers Inc.     7,308       838
* MGM Resorts International    19,340       837
  Interpublic Group of Cos. Inc.    26,338       827
  Rollins Inc.    17,483       770
* e.l.f. Beauty Inc.     3,647       760
* Five Below Inc.     3,756       754
  News Corp. Class A    27,959       752
  Wynn Resorts Ltd.     7,100       747
  Tapestry Inc.    15,671       745
  Service Corp. International    10,052       736
  Dick's Sporting Goods Inc.     4,118       733
  Wingstop Inc.     2,062       724
  Bath & Body Works Inc.    15,690       717
* American Airlines Group Inc.    44,677       701
  Texas Roadhouse Inc.     4,677       699
* BJ's Wholesale Club Holdings Inc.     9,133       667
* Light & Wonder Inc.     6,199       623
  Tempur Sealy International Inc.    11,433       623
* Caesars Entertainment Inc.    14,061       611
* Etsy Inc.     8,396       602
  Vail Resorts Inc.     2,596       598
  Churchill Downs Inc.     4,891       596
  Gentex Corp.    16,302       596
  Fox Corp. Class A    18,954       565
  PVH Corp.     4,126       564
* Skechers USA Inc. Class A     9,110       563
* Norwegian Cruise Line Holdings Ltd.    28,862       560
  Lithia Motors Inc.     1,851       554
  Murphy USA Inc.     1,321       551
  Lear Corp.     3,924       539
* Crocs Inc.     4,254       520
* Rivian Automotive Inc. Class A    45,711       517
* SiteOne Landscape Supply Inc.     3,051       514
  Ralph Lauren Corp.     2,706       503
  BorgWarner Inc. (XNYS)    15,811       492
 
5

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
  New York Times Co. Class A    11,036       489
* Carvana Co.     6,419       487
  H&R Block Inc.     9,901       485
  U-Haul Holding Co.     7,585       482
  Aramark    15,868       481
* Duolingo Inc.     1,996       477
* Mattel Inc.    23,815       469
* Bright Horizons Family Solutions Inc.     3,986       458
  Hyatt Hotels Corp. Class A     2,976       457
  Hasbro Inc.     9,054       455
  Thor Industries Inc.     3,475       445
* Abercrombie & Fitch Co. Class A     3,376       431
  Wyndham Hotels & Resorts Inc.     5,532       423
  Paramount Global Class B    37,690       416
  Whirlpool Corp.     3,712       399
  Nexstar Media Group Inc.     2,377       395
* Taylor Morrison Home Corp.     6,938       393
  VF Corp.    23,933       391
  Meritage Homes Corp.     2,447       386
  Academy Sports & Outdoors Inc.     5,116       382
* Lyft Inc. Class A    23,325       370
* Capri Holdings Ltd.     7,901       364
* Planet Fitness Inc. Class A     5,813       361
  TKO Group Holdings Inc.     4,260       357
* Ollie's Bargain Outlet Holdings Inc.     4,344       348
  Polaris Inc.     3,739       347
* Wayfair Inc. Class A     5,773       344
* Coty Inc. Class A    26,718       336
* Alaska Air Group Inc.     8,881       332
  Boyd Gaming Corp.     5,012       331
  Macy's Inc.    18,913       330
  KB Home     4,933       328
  Harley-Davidson Inc.     9,012       327
* Liberty Media Corp.-Liberty SiriusXM Class C    11,032       320
  Signet Jewelers Ltd.     3,114       317
* AutoNation Inc.     2,007       301
* RH     1,098       301
* Asbury Automotive Group Inc.     1,429       298
* Skyline Champion Corp.     3,522       295
  American Eagle Outfitters Inc.    12,289       292
  Advance Auto Parts Inc.     4,271       288
* Grand Canyon Education Inc.     2,091       282
* Shake Shack Inc. Class A     2,653       282
  MDC Holdings Inc.     4,302       270
  Gap Inc.    13,763       261
  Group 1 Automotive Inc.       963       261
* GameStop Corp. Class A    18,199       260
* Hilton Grand Vacations Inc.     5,745       258
* YETI Holdings Inc.     6,087       250
* Madison Square Garden Sports Corp.     1,308       246
* Tri Pointe Homes Inc.     6,840       242
  Marriott Vacations Worldwide Corp.     2,575       240
* M/I Homes Inc.     1,873       238
* Cavco Industries Inc.       635       237
    Shares Market
Value

($000)
  Choice Hotels International Inc.     2,092       234
  Kontoor Brands Inc.     3,962       234
  Steven Madden Ltd.     5,409       232
  Travel & Leisure Co.     5,137       230
* Goodyear Tire & Rubber Co.    19,003       226
* Visteon Corp.     1,970       223
* Adient plc     6,584       223
  LCI Industries     1,739       219
  Kohl's Corp.     7,804       217
  Penske Automotive Group Inc.     1,412       217
  Wendy's Co.    11,927       216
  International Game Technology plc     7,689       209
  Newell Brands Inc.    27,700       208
* TripAdvisor Inc.     7,770       208
  Carter's Inc.     2,539       206
  Columbia Sportswear Co.     2,485       205
  Foot Locker Inc.     5,961       205
* Helen of Troy Ltd.     1,635       204
  Rush Enterprises Inc. Class A     4,122       201
* Boot Barn Holdings Inc.     2,156       199
  TEGNA Inc.    14,206       199
  Red Rock Resorts Inc. Class A     3,394       197
  Inter Parfums Inc.     1,322       194
* Penn Entertainment Inc.    10,530       193
  Fox Corp. Class B     6,961       191
  Leggett & Platt Inc.     9,245       189
* SkyWest Inc.     2,892       186
* Urban Outfitters Inc.     4,482       186
  Graham Holdings Co. Class B       258       181
* Stride Inc.     3,032       181
* Dorman Products Inc.     1,915       180
* frontdoor Inc.     5,731       180
  Strategic Education Inc.     1,621       180
  Century Communities Inc.     2,073       179
*,1 Lucid Group Inc.    53,566       177
* Liberty Media Corp.-Liberty SiriusXM Class A     6,090       177
  News Corp. Class B     6,183       173
  Bloomin' Brands Inc.     6,244       170
* Sonos Inc.     8,952       170
  Nordstrom Inc.     8,081       169
  Papa John's International Inc.     2,337       168
* LGI Homes Inc.     1,460       167
* ACV Auctions Inc. Class A     9,161       163
  MillerKnoll Inc.     5,292       162
* JetBlue Airways Corp.    24,346       158
  PriceSmart Inc.     1,862       157
* Fox Factory Holding Corp.     3,058       155
* QuantumScape Corp.    24,163       151
* Topgolf Callaway Brands Corp.    10,530       150
* Victoria's Secret & Co.     5,242       150
  Avis Budget Group Inc.     1,375       149
* Dave & Buster's Entertainment Inc.     2,383       147
  HNI Corp.     3,285       147
  Winnebago Industries Inc.     2,049       147
* Coursera Inc.     9,113       146
* Adtalem Global Education Inc.     2,838       140
 
6

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
  Acushnet Holdings Corp.     2,153       139
* SeaWorld Entertainment Inc.     2,693       138
* Liberty Media Corp.-Liberty Live Class C     3,466       138
* Brinker International Inc.     2,950       137
1 Sirius XM Holdings Inc.    30,947       137
* Cinemark Holdings Inc.     7,701       134
  Worthington Enterprises Inc.     2,109       131
* Under Armour Inc. Class C    15,266       130
* ODP Corp.     2,277       129
* OPENLANE Inc.     8,318       127
  Upbound Group Inc.     3,697       125
* Hanesbrands Inc.    22,780       123
* Gentherm Inc.     2,139       122
* National Vision Holdings Inc.     5,197       122
* Six Flags Entertainment Corp.     4,770       121
* Vista Outdoor Inc.     3,773       118
  Dana Inc.     9,374       117
  Laureate Education Inc.     8,761       117
  Cheesecake Factory Inc.     3,265       116
* Atlanta Braves Holdings Inc. Class C     2,939       115
* Peloton Interactive Inc. Class A    24,281       110
  Phinia Inc.     3,215       110
* Knowles Corp.     6,672       109
  Oxford Industries Inc.     1,072       109
  La-Z-Boy Inc.     2,827       107
* Under Armour Inc. Class A    11,865       106
* Madison Square Garden Entertainment Corp.     2,710       104
* Central Garden & Pet Co.     2,334       102
* Green Brick Partners Inc.     1,726       101
*,1 Birkenstock Holding plc     2,018       101
* Leslie's Inc.    12,617       100
  Dillard's Inc. Class A       231        96
  Jack in the Box Inc.     1,316        96
* Beyond Inc.     2,871        96
  Cracker Barrel Old Country Store Inc.     1,437        95
  Caleres Inc.     2,348        91
* Sally Beauty Holdings Inc.     7,225        91
* PROG Holdings Inc.     2,939        91
* G-III Apparel Group Ltd.     2,639        88
  Steelcase Inc. Class A     6,429        88
* Cars.com Inc.     4,677        86
  Buckle Inc.     2,079        85
* XPEL Inc.     1,613        85
  John Wiley & Sons Inc. Class A     2,432        81
* PowerSchool Holdings Inc. Class A     3,854        80
  Perdoceo Education Corp.     4,446        79
  Allegiant Travel Co.     1,072        78
  Krispy Kreme Inc.     5,999        78
* Sweetgreen Inc. Class A     6,162        78
  Monro Inc.     2,308        77
* Sphere Entertainment Co.     1,766        76
  Scholastic Corp.     1,844        73
* OneSpaWorld Holdings Ltd.     5,585        73
  Camping World Holdings Inc. Class A     2,682        72
  Winmark Corp.       188        71
    Shares Market
Value

($000)
* Chegg Inc.     7,864        70
* Lions Gate Entertainment Corp. Class B     7,683        70
* Central Garden & Pet Co. Class A     1,811        68
  Hibbett Inc.       833        68
* Udemy Inc.     5,983        68
  Monarch Casino & Resort Inc.       948        67
* Hertz Global Holdings Inc.     8,596        67
* Arlo Technologies Inc.     6,268        65
* Everi Holdings Inc.     5,418        64
* Revolve Group Inc.     2,894        63
* Cava Group Inc.     1,076        63
  Interface Inc.     3,745        59
* Beazer Homes USA Inc.     1,865        58
* Sabre Corp.    21,826        58
* Dream Finders Homes Inc. Class A     1,493        58
* AMC Entertainment Holdings Inc. Class A    13,382        58
* BJ's Restaurants Inc.     1,588        56
* Malibu Boats Inc. Class A     1,277        56
* QuinStreet Inc.     3,737        55
  Sonic Automotive Inc. Class A     1,051        55
* Driven Brands Holdings Inc.     3,968        55
  Matthews International Corp. Class A     1,878        54
* Viad Corp.     1,450        54
* Liberty Media Corp.-Liberty Live Class A     1,401        54
* Lions Gate Entertainment Corp. Class A     5,490        53
* IMAX Corp.     3,088        53
* Vizio Holding Corp. Class A     4,695        52
  Sturm Ruger & Co. Inc.     1,188        51
  Ethan Allen Interiors Inc.     1,506        50
  Guess? Inc.     1,987        50
  Wolverine World Wide Inc.     4,831        49
  Dine Brands Global Inc.       989        48
* MarineMax Inc.     1,432        48
  Spirit Airlines Inc.     7,418        48
1 Paramount Global Class A     2,262        48
* Hovnanian Enterprises Inc. Class A       303        47
* Clear Channel Outdoor Holdings Inc.    26,649        46
* Hawaiian Holdings Inc.     3,192        45
  Standard Motor Products Inc.     1,431        45
* Thryv Holdings Inc.     2,146        45
* Mister Car Wash Inc.     5,452        45
* American Axle & Manufacturing Holdings Inc.     6,329        44
* Accel Entertainment Inc.     3,852        44
* Portillo's Inc. Class A     3,052        44
  Lennar Corp. Class B       290        43
  Smith & Wesson Brands Inc.     3,140        43
* Figs Inc. Class A     8,046        42
* Life Time Group Holdings Inc.     3,077        42
  Rush Enterprises Inc. Class B       819        41
*,1 Luminar Technologies Inc.    17,288        41
 
7

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
* First Watch Restaurant Group Inc.     1,594        40
* Chuy's Holdings Inc.     1,161        39
  Golden Entertainment Inc.     1,060        39
  Global Industrial Co.       894        39
* Kura Sushi USA Inc. Class A       395        38
  Shoe Carnival Inc.     1,121        37
* Sun Country Airlines Holdings Inc.     2,384        36
  Gray Television Inc.     5,995        35
* Savers Value Village Inc.     1,713        35
* Daily Journal Corp.        99        34
* Corsair Gaming Inc.     2,541        33
  Arko Corp.     5,043        33
* Integral Ad Science Holding Corp.     3,156        33
  Sinclair Inc.     2,213        33
* Denny's Corp.     3,480        32
* Stoneridge Inc.     1,831        32
* Clean Energy Fuels Corp.    10,556        31
  Haverty Furniture Cos. Inc.       893        31
  RCI Hospitality Holdings Inc.       554        31
* Instructure Holdings Inc.     1,365        31
* Universal Technical Institute Inc.     1,991        30
  A-Mark Precious Metals Inc.     1,154        30
* European Wax Center Inc. Class A     2,107        30
* America's Car-Mart Inc.       427        29
  Designer Brands Inc. Class A     2,614        28
* AMC Networks Inc. Class A     2,202        28
* Stagwell Inc.     5,219        28
* Super Group SGHC Ltd.     8,455        28
  Marcus Corp.     1,834        27
  Movado Group Inc.       932        27
* Atlanta Braves Holdings Inc. Class A       653        27
* Boston Omaha Corp. Class A     1,587        26
* Liquidity Services Inc.     1,393        25
* MasterCraft Boat Holdings Inc.     1,121        25
* Genesco Inc.       731        23
* Sleep Number Corp.     1,417        23
* Bally's Corp.     2,084        23
  Carrols Restaurant Group Inc.     2,303        22
* Potbelly Corp.     1,596        22
* Zumiez Inc.     1,223        22
* OneWater Marine Inc. Class A       854        22
* iRobot Corp.     1,869        21
* Lovesac Co.       911        21
* PlayAGS Inc.     2,270        21
* Legacy Housing Corp.       798        21
* Rush Street Interactive Inc.     3,653        21
* Stitch Fix Inc. Class A     6,173        20
* Landsea Homes Corp.     1,466        20
  Carriage Services Inc.       768        19
* GoPro Inc. Class A     8,192        19
  Johnson Outdoors Inc. Class A       413        19
    Shares Market
Value

($000)
* Lindblad Expeditions Holdings Inc.     2,047        19
  Alta Equipment Group Inc.     1,627        19
* Cardlytics Inc.     2,222        18
  Entravision Communications Corp. Class A     4,758        18
* EW Scripps Co. Class A     4,477        18
* iHeartMedia Inc. Class A     6,426        18
* Gannett Co. Inc.     8,375        18
  Build-A-Bear Workshop Inc.       765        18
* Eastman Kodak Co.     3,188        17
* 1-800-Flowers.com Inc. Class A     1,608        17
  Climb Global Solutions Inc.       252        17
* Inspired Entertainment Inc.     1,641        16
* AMMO Inc.     6,813        16
* Xponential Fitness Inc. Class A     1,539        16
* Cooper-Standard Holdings Inc.     1,054        15
* El Pollo Loco Holdings Inc.     1,665        15
  Hooker Furnishings Corp.       597        15
  Aaron's Co. Inc.     1,892        15
* Frontier Group Holdings Inc.     2,210        15
* JAKKS Pacific Inc.       432        15
* Holley Inc.     3,560        15
* Funko Inc. Class A     2,050        14
* Turtle Beach Corp.     1,352        14
* Lincoln Educational Services Corp.     1,410        14
  Cricut Inc. Class A     2,993        14
* SES AI Corp.     7,730        14
* Children's Place Inc.       692        13
* Tile Shop Holdings Inc.     1,892        13
* Selectquote Inc.     6,723        13
* Destination XL Group Inc.     3,357        13
* Petco Health & Wellness Co. Inc.     4,881        13
* BARK Inc.    10,652        13
* Gambling.com Group Ltd.     1,396        13
*,1 Livewire Group Inc.     1,406        13
  Clarus Corp.     2,124        12
* Vera Bradley Inc.     1,521        12
* Sportsman's Warehouse Holdings Inc.     3,203        12
* Playtika Holding Corp.     1,583        12
* Outbrain Inc.     3,144        12
* Playstudios Inc.     5,032        12
1 Bowlero Corp. Class A       969        12
  Nathan's Famous Inc.       158        11
* Blink Charging Co.     3,333        11
* ThredUP Inc. Class A     5,564        11
* ContextLogic Inc. Class A     1,765        11
  Weyco Group Inc.       309        10
* WW International Inc.     3,267        10
* Nerdy Inc.     3,366        10
  Escalade Inc.       574         9
  Rocky Brands Inc.       352         9
  Purple Innovation Inc.     4,588         9
  Marine Products Corp.       786         9
* CarParts.com Inc.     3,721         9
* Full House Resorts Inc.     1,743         9
*,1 Fisker Inc.    12,295         9
* Latham Group Inc.     2,536         9
* Snap One Holdings Corp.     1,146         9
 
8

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
  Big Lots Inc.     1,538         8
* Emerald Holding Inc.     1,517         8
* J Jill Inc.       326         8
  Cato Corp. Class A     1,059         7
* Century Casinos Inc.     2,301         7
* Red Robin Gourmet Burgers Inc.       989         7
* VOXX International Corp.       839         7
  Townsquare Media Inc. Class A       703         7
* ONE Group Hospitality Inc.     1,914         7
* Traeger Inc.     3,150         7
* Reservoir Media Inc.     1,024         7
* Allbirds Inc. Class A     7,898         7
* Biglari Holdings Inc. Class B        37         6
* Mondee Holdings Inc.     2,844         6
  Big 5 Sporting Goods Corp.     1,099         5
* Vuzix Corp.     3,223         5
* Duluth Holdings Inc. Class B       760         4
* Fossil Group Inc.     3,598         4
* Lazydays Holdings Inc.       759         3
* Torrid Holdings Inc.       617         3
* 2U Inc.     4,423         2
* Smith Douglas Homes Corp.        67         2
* Loop Media Inc.     2,276         1
        492,665
Consumer Staples (4.5%)
  Procter & Gamble Co.   162,328    25,800
  Coca-Cola Co.   268,743    16,130
  PepsiCo Inc.    95,121    15,727
  Philip Morris International Inc.   107,216     9,645
  Mondelez International Inc. Class A    93,864     6,859
  CVS Health Corp.    88,420     6,576
  Altria Group Inc.   123,183     5,039
  Colgate-Palmolive Co.    56,627     4,899
  McKesson Corp.     9,361     4,881
* Monster Beverage Corp.    51,236     3,028
  Sysco Corp.    35,072     2,840
  Kimberly-Clark Corp.    23,174     2,808
  Constellation Brands Inc. Class A    11,030     2,741
  Cencora Inc.    11,137     2,624
  Corteva Inc.    49,002     2,623
  General Mills Inc.    40,113     2,574
  Kenvue Inc.   119,405     2,269
  Kroger Co.    44,895     2,227
  Keurig Dr Pepper Inc.    65,317     1,954
  Archer-Daniels-Midland Co.    36,752     1,952
  Hershey Co.    10,354     1,946
  Kraft Heinz Co.    55,138     1,945
  Church & Dwight Co. Inc.    16,751     1,677
  Clorox Co.     8,499     1,303
  McCormick & Co. Inc.    17,278     1,190
  Walgreens Boots Alliance Inc.    49,318     1,048
  Tyson Foods Inc. Class A    18,958     1,028
  Lamb Weston Holdings Inc.     9,980     1,020
  Kellanova    17,764       980
  Bunge Global SA     9,899       934
  Conagra Brands Inc.    32,612       916
  J M Smucker Co.     7,019       843
    Shares Market
Value

($000)
* Performance Food Group Co.    10,501       806
* Celsius Holdings Inc.     9,825       802
* US Foods Holding Corp.    15,514       788
  Casey's General Stores Inc.     2,571       783
  Brown-Forman Corp. Class B    12,502       753
  Molson Coors Beverage Co. Class B    11,985       748
  Hormel Foods Corp.    19,905       703
  Albertsons Cos. Inc. Class A    28,851       585
  Campbell Soup Co.    13,082       558
  Ingredion Inc.     4,464       525
* BellRing Brands Inc.     8,864       505
* Darling Ingredients Inc.    10,842       459
* Sprouts Farmers Market Inc.     7,156       447
* Post Holdings Inc.     3,614       376
* Freshpet Inc.     3,095       350
  Flowers Foods Inc.    13,561       304
  Lancaster Colony Corp.     1,401       290
  Coca-Cola Consolidated Inc.       342       288
  WD-40 Co.       948       254
* Simply Good Foods Co.     6,447       229
  Brown-Forman Corp. Class A     3,548       213
* Boston Beer Co. Inc. Class A       671       207
  Spectrum Brands Holdings Inc.     2,513       202
  Primo Water Corp.    11,327       184
* Grocery Outlet Holding Corp.     6,904       178
  J & J Snack Foods Corp.     1,126       163
  Cal-Maine Foods Inc.     2,743       158
  Energizer Holdings Inc.     5,148       147
* TreeHouse Foods Inc.     3,807       136
  Edgewell Personal Care Co.     3,521       134
  Vector Group Ltd.    10,842       121
  Reynolds Consumer Products Inc.     4,004       118
  Andersons Inc.     2,097       116
* Pilgrim's Pride Corp.     2,893        92
  Universal Corp.     1,926        92
* Chefs' Warehouse Inc.     2,394        91
  MGP Ingredients Inc.     1,016        87
* National Beverage Corp.     1,635        86
* Sovos Brands Inc.     3,728        85
  Utz Brands Inc.     4,706        83
  Ingles Markets Inc. Class A       909        70
  Weis Markets Inc.     1,056        69
* Hain Celestial Group Inc.     6,327        63
  John B Sanfilippo & Son Inc.       612        63
  WK Kellogg Co.     4,215        62
* Herbalife Ltd.     6,785        60
  B&G Foods Inc.     5,124        59
* United Natural Foods Inc.     3,759        59
  Fresh Del Monte Produce Inc.     2,124        51
* Vita Coco Co. Inc.     1,938        51
  SpartanNash Co.     2,338        49
* SunOpta Inc.     6,889        48
  Seaboard Corp.        14        46
  Dole plc     3,735        44
 
9

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
*,1 Beyond Meat Inc.     3,829        41
  Nu Skin Enterprises Inc. Class A     3,132        39
* USANA Health Sciences Inc.       790        38
* Vital Farms Inc.     1,875        34
  ACCO Brands Corp.     5,861        33
  Calavo Growers Inc.     1,120        32
* Mission Produce Inc.     2,930        31
* Duckhorn Portfolio Inc.     3,128        30
  Medifast Inc.       693        28
  Turning Point Brands Inc.     1,062        27
  Oil-Dri Corp. of America       301        21
  Limoneira Co.     1,084        20
* Beauty Health Co.     5,520        18
*,1 Westrock Coffee Co.     1,786        18
* Waldencast plc Class A     2,485        17
* Seneca Foods Corp. Class A       320        16
* Olaplex Holdings Inc.     8,126        15
  Village Super Market Inc. Class A       470        13
* Nature's Sunshine Products Inc.       687        12
* HF Foods Group Inc.     2,849        11
  Alico Inc.       381        11
* Brookfield Realty Capital Corp. Class A     2,584        11
* GrowGeneration Corp.     4,609        10
  Natural Grocers by Vitamin Cottage Inc.       575         9
  PetMed Express Inc.     1,610         8
* Forafric Global plc       599         6
* Benson Hill Inc.    12,664         3
        152,618
Energy (3.9%)
  Exxon Mobil Corp.   279,399    29,203
  Chevron Corp.   118,750    18,051
  ConocoPhillips    82,770     9,315
  Schlumberger NV    98,178     4,745
  EOG Resources Inc.    40,649     4,653
  Marathon Petroleum Corp.    26,222     4,438
  Phillips 66    30,746     4,382
  Pioneer Natural Resources Co.    16,080     3,782
  Valero Energy Corp.    23,365     3,305
  ONEOK Inc.    40,276     3,025
  Williams Cos. Inc.    84,127     3,023
  Occidental Petroleum Corp.    47,553     2,882
  Hess Corp.    19,135     2,789
  Cheniere Energy Inc.    16,511     2,562
  Kinder Morgan Inc.   134,666     2,342
  Diamondback Energy Inc.    12,241     2,234
  Halliburton Co.    61,673     2,163
  Baker Hughes Co.    69,685     2,062
  Devon Energy Corp.    43,957     1,937
  Targa Resources Corp.    15,202     1,493
  Coterra Energy Inc.    51,138     1,318
* Enphase Energy Inc.     9,114     1,158
* First Solar Inc.     7,285     1,121
  Marathon Oil Corp.    41,656     1,010
  EQT Corp.    24,748       919
  Ovintiv Inc. (XNYS)    17,629       871
  Chesapeake Energy Corp.     8,668       718
  Texas Pacific Land Corp.       430       677
  TechnipFMC plc    29,682       644
  APA Corp.    21,063       627
    Shares Market
Value

($000)
  HF Sinclair Corp.     9,924       551
* Southwestern Energy Co.    74,809       521
  Range Resources Corp.    15,975       505
* Antero Resources Corp.    19,630       504
* Weatherford International plc     4,801       493
  Matador Resources Co.     7,695       486
* NEXTracker Inc. Class A     8,462       476
  Chord Energy Corp.     2,888       469
  NOV Inc.    27,273       461
  ChampionX Corp.    13,155       409
  Permian resources Corp.    26,176       407
  Murphy Oil Corp.    10,070       399
  DTE Midstream LLC     6,742       389
  Civitas Resources Inc.     5,428       373
  PBF Energy Inc. Class A     7,785       364
  SM Energy Co.     8,287       363
  Antero Midstream Corp.    23,887       320
  Noble Corp. plc     7,552       316
  Equitrans Midstream Corp.    29,144       312
  Alpha Metallurgical Resources Inc.       804       303
  Magnolia Oil & Gas Corp. Class A    12,769       290
  Patterson-UTI Energy Inc.    25,012       289
  Arcosa Inc.     3,392       282
  Helmerich & Payne Inc.     6,989       268
* Valaris Ltd.     4,227       266
  California Resources Corp.     4,997       261
  Liberty Energy Inc.    10,917       233
* Tidewater Inc.     3,292       231
  Northern Oil & Gas Inc.     6,269       224
* CNX Resources Corp.    10,619       222
  Cactus Inc. Class A     4,679       215
  Warrior Met Coal Inc.     3,593       205
  Arch Resources Inc.     1,243       205
* Kosmos Energy Ltd.    33,101       203
  Peabody Energy Corp.     8,041       199
  CONSOL Energy Inc.     2,161       185
  Archrock Inc.     9,838       180
  New Fortress Energy Inc.     4,722       166
* Shoals Technologies Group Inc. Class A    12,236       157
* Seadrill Ltd.     3,533       149
* Array Technologies Inc.    10,772       147
  Golar LNG Ltd.     7,214       146
* Oceaneering International Inc.     7,282       144
*,1 Plug Power Inc.    37,293       132
* Par Pacific Holdings Inc.     3,618       131
* Callon Petroleum Co.     4,095       128
* Talos Energy Inc.     9,614       127
  Sitio Royalties Corp. Class A     5,241       120
  Delek US Holdings Inc.     4,551       116
* Gulfport Energy Corp.       781       111
* Expro Group Holdings NV     5,953       106
* DNOW Inc.     6,970        99
  Borr Drilling Ltd.    14,480        87
* Helix Energy Solutions Group Inc.     9,598        86
  World Kinect Corp.     3,489        85
* Green Plains Inc.     3,953        84
* Vital Energy Inc.     1,568        79
* Diamond Offshore Drilling Inc.     6,904        77
  CVR Energy Inc.     1,957        65
 
10

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
* MRC Global Inc.     5,259        61
* Fluence Energy Inc.     3,943        60
  SunCoke Energy Inc.     5,545        59
  Crescent Energy Co. Class A     5,325        59
  Comstock Resources Inc.     6,156        53
  RPC Inc.     7,190        53
* Dril-Quip Inc.     2,296        52
* ProPetro Holding Corp.     6,740        50
* Nabors Industries Ltd. (XNYS)       622        49
* Ameresco Inc. Class A     2,173        46
* REX American Resources Corp.     1,037        46
  Select Water Solutions Inc.     5,314        45
  Core Laboratories Inc.     2,925        44
  Kinetik Holdings Inc.     1,169        41
* ChargePoint Holdings Inc.    19,853        41
* SilverBow Resources Inc.     1,427        40
* Bristow Group Inc.     1,474        40
* FuelCell Energy Inc.    31,959        38
  Vitesse Energy Inc.     1,609        37
  Berry Corp.     4,683        33
* Newpark Resources Inc.     5,019        32
* Centrus Energy Corp. Class A       768        31
* TETRA Technologies Inc.     7,987        31
  VAALCO Energy Inc.     7,002        31
  SandRidge Energy Inc.     2,266        30
*,1 Tellurian Inc.    33,460        27
  Kodiak Gas Services Inc.     1,029        26
* NextDecade Corp.     5,484        25
* Montauk Renewables Inc.     4,337        25
* Stem Inc.     9,025        24
* Oil States International Inc.     4,101        22
* EVgo Inc.     6,999        21
* DMC Global Inc.     1,215        20
  Atlas Energy Solutions Inc.       985        19
* SunPower Corp.     5,687        18
  Granite Ridge Resources Inc.     2,861        18
  Ramaco Resources Inc. Class A     1,002        18
  W&T Offshore Inc.     5,569        17
* SEACOR Marine Holdings Inc.     1,488        16
  Solaris Oilfield Infrastructure Inc. Class A     1,951        16
*,1 Solid Power Inc.     9,314        15
* Amplify Energy Corp.     2,289        14
* ProFrac Holding Corp. Class A     1,689        14
* Gevo Inc.    14,728        13
* Ring Energy Inc.     8,850        13
  Riley Exploration Permian Inc.       553        13
* Forum Energy Technologies Inc.       602        12
  Evolution Petroleum Corp.     1,919        11
* Hallador Energy Co.     1,420        11
  HighPeak Energy Inc.       644        11
  Ranger Energy Services Inc.       935        10
* Energy Vault Holdings Inc.     6,124        10
* Maxeon Solar Technologies Ltd.     2,078         8
* TPI Composites Inc.     2,617         7
    Shares Market
Value

($000)
* PrimeEnergy Resources Corp.        70         7
  Ramaco Resources Inc. Class B       551         7
* KLX Energy Services Holdings Inc.       802         6
* Empire Petroleum Corp.     1,016         6
* Mammoth Energy Services Inc.     1,431         5
* FTC Solar Inc.     4,875         2
* Enviva Inc.     1,918         1
        133,980
Financials (10.8%)
* Berkshire Hathaway Inc. Class B   126,290    51,703
  JPMorgan Chase & Co.   199,110    37,046
  Bank of America Corp.   475,661    16,420
  Wells Fargo & Co.   253,250    14,078
  S&P Global Inc.    22,132     9,481
  Goldman Sachs Group Inc.    22,032     8,572
  BlackRock Inc.    10,270     8,332
  Progressive Corp.    40,330     7,645
  Citigroup Inc.   131,987     7,324
  Morgan Stanley    83,116     7,151
  Chubb Ltd.    27,999     7,046
  Marsh & McLennan Cos. Inc.    34,142     6,906
  Charles Schwab Corp.   102,375     6,837
  Blackstone Inc.    49,286     6,300
  CME Group Inc.    24,782     5,461
  Intercontinental Exchange Inc.    39,075     5,409
  US Bancorp   107,856     4,526
  KKR & Co. Inc.    45,695     4,490
  Aon plc Class A (XNYS)    13,696     4,328
  Moody's Corp.    10,964     4,160
  PNC Financial Services Group Inc.    27,534     4,053
  Apollo Global Management Inc.    36,104     4,036
  American International Group Inc.    49,153     3,583
  Arthur J Gallagher & Co.    14,567     3,553
  Travelers Cos. Inc.    15,733     3,476
  Aflac Inc.    40,737     3,289
  Truist Financial Corp.    91,182     3,190
  MetLife Inc.    43,558     3,038
  Bank of New York Mellon Corp.    53,222     2,985
  MSCI Inc.     5,289     2,967
  Allstate Corp.    18,049     2,879
  Ameriprise Financial Inc.     7,046     2,870
  Prudential Financial Inc.    24,910     2,715
* Coinbase Global Inc. Class A    11,645     2,370
* Arch Capital Group Ltd.    24,550     2,150
  Discover Financial Services    17,139     2,069
  Hartford Financial Services Group Inc.    20,264     1,942
  Willis Towers Watson plc     7,082     1,931
* NU Holdings Ltd. Class A   160,271     1,776
  T Rowe Price Group Inc.    15,143     1,716
  Broadridge Financial Solutions Inc.     8,030     1,635
  Fifth Third Bancorp    46,458     1,595
  M&T Bank Corp.    11,341     1,585
 
11

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
  Raymond James Financial Inc.    12,979     1,562
  State Street Corp.    21,151     1,559
  Ares Management Corp. Class A    11,259     1,493
  LPL Financial Holdings Inc.     5,180     1,388
  Cboe Global Markets Inc.     7,206     1,384
* Markel Group Inc.       919     1,372
  Brown & Brown Inc.    16,237     1,367
  Principal Financial Group Inc.    16,534     1,337
  Nasdaq Inc.    23,507     1,321
  Huntington Bancshares Inc.    98,026     1,278
  FactSet Research Systems Inc.     2,650     1,226
  Cincinnati Financial Corp.    10,534     1,201
  Regions Financial Corp.    64,086     1,194
  First Citizens BancShares Inc. Class A       746     1,174
  Northern Trust Corp.    14,105     1,158
  W R Berkley Corp.    13,750     1,149
  Everest Group Ltd.     2,941     1,085
  Citizens Financial Group Inc.    31,875     1,001
  Loews Corp.    12,612       948
  KeyCorp    63,527       907
  Fidelity National Financial Inc.    17,803       900
  Tradeweb Markets Inc. Class A     7,867       832
  Equitable Holdings Inc.    23,655       810
  Reinsurance Group of America Inc.     4,576       809
  Kinsale Capital Group Inc.     1,502       775
  RenaissanceRe Holdings Ltd.     3,446       775
  Interactive Brokers Group Inc. Class A     7,086       770
  Globe Life Inc.     6,021       764
* Robinhood Markets Inc. Class A    45,874       748
  East West Bancorp Inc.     9,609       700
  Ally Financial Inc.    18,562       687
  Unum Group    13,659       675
  Carlyle Group Inc.    14,576       668
  Assurant Inc.     3,614       656
  Annaly Capital Management Inc.    34,034       650
  American Financial Group Inc.     4,987       637
  Primerica Inc.     2,421       594
* SoFi Technologies Inc.    63,774       573
  Blue Owl Capital Inc.    31,024       557
  Webster Financial Corp.    11,603       553
  MarketAxess Holdings Inc.     2,528       539
  Franklin Resources Inc.    19,587       538
  First Horizon Corp.    37,739       532
  Morningstar Inc.     1,752       523
  XP Inc. Class A    22,118       523
  Old Republic International Corp.    17,996       521
  Jefferies Financial Group Inc.    12,306       515
  Stifel Financial Corp.     6,746       512
  SEI Investments Co.     6,872       462
  Evercore Inc. Class A     2,446       458
  Voya Financial Inc.     6,663       455
    Shares Market
Value

($000)
  Houlihan Lokey Inc.     3,511       452
  Comerica Inc.     8,938       441
  Cullen/Frost Bankers Inc.     4,013       435
  Selective Insurance Group Inc.     4,166       435
  AGNC Investment Corp.    44,937       430
  Commerce Bancshares Inc.     8,162       425
  Western Alliance Bancorp     7,342       424
  Pinnacle Financial Partners Inc.     5,104       422
  SouthState Corp.     5,012       421
  RLI Corp.     2,851       418
  Starwood Property Trust Inc.    20,515       418
  Popular Inc.     4,893       409
  First American Financial Corp.     6,834       399
  Corebridge Financial Inc.    15,933       396
  Wintrust Financial Corp.     4,060       391
  Invesco Ltd.    25,350       391
  Zions Bancorp NA     9,876       389
  Essent Group Ltd.     7,246       388
  Affiliated Managers Group Inc.     2,405       376
  Synovus Financial Corp.     9,780       371
  Assured Guaranty Ltd.     4,032       369
  MGIC Investment Corp.    18,516       368
* Marathon Digital Holdings Inc.    14,209       368
  Prosperity Bancshares Inc.     5,871       366
  Rithm Capital Corp.    33,189       360
  OneMain Holdings Inc.     7,573       358
* Ryan Specialty Holdings Inc.     6,746       353
  Axis Capital Holdings Ltd.     5,514       345
  Cadence Bank    12,269       340
  FNB Corp.    24,790       331
  Hanover Insurance Group Inc.     2,512       330
  SLM Corp.    15,822       330
* Mr Cooper Group Inc.     4,554       325
  Lincoln National Corp.    11,650       321
  Old National Bancorp    19,538       321
  Radian Group Inc.    10,980       320
  White Mountains Insurance Group Ltd.       180       318
  Bank OZK     7,188       315
  United Bankshares Inc.     9,094       315
  Home BancShares Inc.    13,189       309
  Jackson Financial Inc. Class A     5,506       303
  FirstCash Holdings Inc.     2,609       299
  Lazard Inc.     7,752       299
  Glacier Bancorp Inc.     7,858       294
  Janus Henderson Group plc     9,397       293
* American Equity Investment Life Holding Co.     5,233       291
  First Financial Bankshares Inc.     9,398       291
  Hamilton Lane Inc. Class A     2,497       287
  Hancock Whitney Corp.     6,121       267
  Columbia Banking System Inc.    14,234       258
  UMB Financial Corp.     3,138       256
  Moelis & Co. Class A     4,693       254
 
12

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
  Blackstone Mortgage Trust Inc. Class A    12,425       253
* Credit Acceptance Corp.       448       248
  Kemper Corp.     4,327       248
* Enstar Group Ltd.       806       248
  Valley National Bancorp    29,841       244
  Piper Sandler Cos.     1,262       238
  New York Community Bancorp Inc.    49,476       237
  TPG Inc.     5,229       232
  ServisFirst Bancshares Inc.     3,587       227
* Brighthouse Financial Inc.     4,784       223
  Associated Banc-Corp.    10,639       222
  Ameris Bancorp     4,761       221
  United Community Banks Inc.     8,388       218
  Walker & Dunlop Inc.     2,262       216
  CNO Financial Group Inc.     7,872       210
  First BanCorp (XNYS)    12,348       210
* Genworth Financial Inc. Class A    33,169       204
  International Bancshares Corp.     3,869       201
* Texas Capital Bancshares Inc.     3,401       199
  Cathay General Bancorp     5,082       198
* Axos Financial Inc.     3,698       193
  First Hawaiian Inc.     9,169       192
  WSFS Financial Corp.     4,476       190
* Riot Platforms Inc.    13,364       189
  Atlantic Union Bankshares Corp.     5,539       184
  Artisan Partners Asset Management Inc. Class A     4,253       183
  Fulton Financial Corp.    11,681       180
* NMI Holdings Inc. Class A     5,957       179
  BGC Group Inc. Class A    25,524       177
1 Arbor Realty Trust Inc.    13,146       176
* Oscar Health Inc. Class A    10,824       176
  PJT Partners Inc. Class A     1,661       175
  Community Bank System Inc.     3,791       172
  Simmons First National Corp. Class A     8,968       172
  Bank of Hawaii Corp.     2,785       168
  Independent Bank Corp. (XNGS)     3,179       166
  CVB Financial Corp.     9,572       163
  First Interstate BancSystem Inc. Class A     6,121       161
  BOK Financial Corp.     1,869       159
  PennyMac Financial Services Inc.     1,858       158
  Pacific Premier Bancorp Inc.     6,830       156
  First Financial Bancorp     6,907       150
  First Merchants Corp.     4,498       149
* Bancorp Inc.     3,301       147
  Seacoast Banking Corp. of Florida     6,109       147
  Towne Bank     5,346       145
  BankUnited Inc.     5,382       144
  Eastern Bankshares Inc.    11,042       143
  BancFirst Corp.     1,611       141
  Park National Corp.     1,083       139
  Cohen & Steers Inc.     1,880       138
  WaFd Inc.     4,960       135
    Shares Market
Value

($000)
  Apollo Commercial Real Estate Finance Inc.    11,922       134
  Renasant Corp.     4,235       134
* Upstart Holdings Inc.     5,153       133
  WesBanco Inc.     4,457       129
* Palomar Holdings Inc.     1,656       126
* Enova International Inc.     1,972       125
  Horace Mann Educators Corp.     3,413       124
* StoneX Group Inc.     1,792       124
  Trustmark Corp.     4,578       123
  StepStone Group Inc. Class A     3,548       123
  Banc of California Inc.     8,239       121
  Compass Diversified Holdings     5,239       120
  Federal Agricultural Mortgage Corp. Class C       654       117
  Stewart Information Services Corp.     1,820       115
  NBT Bancorp Inc.     3,314       114
  OFG Bancorp     3,153       114
* BRP Group Inc. Class A     4,098       114
  Independent Bank Group Inc.     2,568       112
  Virtu Financial Inc. Class A     6,167       111
  Banner Corp.     2,520       110
  First Bancorp (XNGS)     3,207       109
* Goosehead Insurance Inc. Class A     1,446       109
  Heartland Financial USA Inc.     3,219       109
* Triumph Financial Inc.     1,444       108
  Lakeland Financial Corp.     1,660       106
  Ready Capital Corp.    11,972       106
  Virtus Investment Partners Inc.       457       106
* Customers Bancorp Inc.     1,924       104
* Cannae Holdings Inc.     4,700       103
  Stock Yards Bancorp Inc.     2,238       103
  City Holding Co.     1,002       101
* Rocket Cos. Inc. Class A     7,966       100
  Employers Holdings Inc.     2,132        97
  Enterprise Financial Services Corp.     2,396        96
  Northwest Bancshares Inc.     8,355        96
  Bank of NT Butterfield & Son Ltd.     3,146        94
  Hilltop Holdings Inc.     3,010        93
  Nelnet Inc. Class A     1,073        92
  Live Oak Bancshares Inc.     2,268        90
  Mercury General Corp.     1,843        90
  First Commonwealth Financial Corp.     6,671        87
  Pathward Financial Inc.     1,716        87
  CNA Financial Corp.     1,950        86
  Hope Bancorp Inc.     7,853        86
  Provident Financial Services Inc.     5,705        86
  National Bank Holdings Corp. Class A     2,467        83
  Navient Corp.     5,112        83
  PennyMac Mortgage Investment Trust     5,883        83
  Two Harbors Investment Corp.     6,559        83
* Encore Capital Group Inc.     1,713        82
  S&T Bancorp Inc.     2,574        80
 
13

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
  Westamerica BanCorp     1,756        80
  Ladder Capital Corp.     7,313        79
  FB Financial Corp.     2,203        78
  Safety Insurance Group Inc.       935        77
  WisdomTree Inc.     9,555        77
  First Busey Corp.     3,314        76
* Trupanion Inc.     2,718        73
  MFA Financial Inc. REIT     6,487        73
  National Western Life Group Inc. Class A       147        71
* PRA Group Inc.     2,693        69
  AMERISAFE Inc.     1,294        68
  Nicolet Bankshares Inc.       859        68
  TriCo Bancshares     2,026        68
  Franklin BSP Realty Trust Inc. REIT     5,261        68
  Chimera Investment Corp.    15,351        67
  Preferred Bank       898        65
  Berkshire Hills Bancorp Inc.     2,960        64
  Peoples Bancorp Inc.     2,292        64
  QCR Holdings Inc.     1,113        63
  Brightspire Capital Inc.     9,028        62
  Claros Mortgage Trust Inc.     6,364        62
  Stellar Bancorp Inc.     2,573        61
  OceanFirst Financial Corp.     3,921        60
* LendingClub Corp.     7,291        59
  Origin Bancorp Inc.     1,976        59
* Skyward Specialty Insurance Group Inc.     1,602        59
  1st Source Corp.     1,173        58
  Southside Bancshares Inc.     2,021        58
* SiriusPoint Ltd.     4,725        58
  Bank First Corp.       655        57
  Patria Investments Ltd. Class A     3,815        57
* Assetmark Financial Holdings Inc.     1,571        56
  Victory Capital Holdings Inc. Class A     1,464        56
  Brookline Bancorp Inc.     5,483        54
  Veritex Holdings Inc.     2,773        54
*,1 Lemonade Inc.     3,319        54
  Banco Latinoamericano de Comercio Exterior SA Class E     1,901        53
  Enact Holdings Inc.     1,914        53
  First Bancshares Inc.     2,050        51
  Capitol Federal Financial Inc.     8,703        50
  Ellington Financial Inc.     4,457        50
  German American Bancorp Inc.     1,590        50
  Brightsphere Investment Group Inc.     2,186        50
  Byline Bancorp Inc.     2,329        49
  ARMOUR Residential REIT Inc.     2,463        49
  Dynex Capital Inc.     3,906        48
  First Mid Bancshares Inc.     1,575        48
  Lakeland Bancorp Inc.     4,088        48
* Open Lending Corp. Class A     6,603        48
  F&G Annuities & Life Inc.     1,281        48
* Ambac Financial Group Inc.     2,808        46
  ConnectOne Bancorp Inc.     2,339        46
  Redwood Trust Inc.     7,538        46
  TFS Financial Corp.     3,581        46
    Shares Market
Value

($000)
  Premier Financial Corp.     2,385        46
  Great Southern Bancorp Inc.       868        45
  Heritage Financial Corp.     2,471        45
  Sandy Spring Bancorp Inc.     2,030        45
  Eagle Bancorp Inc.     1,837        44
  Univest Financial Corp.     2,187        44
  Dime Community Bancshares Inc.     2,343        44
  New York Mortgage Trust Inc.     6,157        44
  Merchants Bancorp       997        43
  ProAssurance Corp.     3,457        43
  HCI Group Inc.       435        42
  Midland States Bancorp Inc.     1,718        42
* CrossFirst Bankshares Inc.     3,276        42
  Community Trust Bancorp Inc.     1,034        41
  Mercantile Bank Corp.     1,124        41
  Perella Weinberg Partners     3,034        41
  First Community Bankshares Inc.     1,205        40
  KKR Real Estate Finance Trust Inc.     4,048        39
  Horizon Bancorp Inc.     3,118        38
  Republic Bancorp Inc. Class A       774        38
  Business First Bancshares Inc.     1,666        37
  Old Second Bancorp Inc.     2,752        37
  TPG RE Finance Trust Inc.     4,907        37
  UWM Holdings Corp.     5,734        37
  Amerant Bancorp Inc.     1,698        36
  Brookfield Business Corp. Class A     1,586        36
  Independent Bank Corp.     1,446        35
  United Fire Group Inc.     1,498        35
  Cambridge Bancorp       528        33
  Camden National Corp.     1,040        33
  Central Pacific Financial Corp.     1,744        33
* World Acceptance Corp.       274        33
* Columbia Financial Inc.     1,926        32
  First Financial Corp.       853        32
  Hanmi Financial Corp.     2,136        32
  Tompkins Financial Corp.       664        32
  First Foundation Inc.     3,967        31
  Heritage Commerce Corp.     3,766        31
* Coastal Financial Corp.       801        31
  American National Bankshares Inc.       658        30
  Farmers National Banc Corp.     2,219        30
  Amalgamated Financial Corp.     1,283        30
  TrustCo Bank Corp. NY     1,112        30
  Diamond Hill Investment Group Inc.       198        29
  Equity Bancshares Inc. Class A       867        28
  HarborOne Bancorp Inc.     2,781        28
* LendingTree Inc.       711        28
  Northfield Bancorp Inc.     2,767        28
  Universal Insurance Holdings Inc.     1,385        28
  Alerus Financial Corp.     1,281        28
1 B Riley Financial Inc.     1,478        27
 
14

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
  Bar Harbor Bankshares     1,058        27
  Capital City Bank Group Inc.       954        27
  Southern Missouri Bancorp Inc.       619        27
  CNB Financial Corp.     1,305        26
  Tiptree Inc.     1,513        26
  Washington Trust Bancorp Inc.     1,021        26
  Kearny Financial Corp.     3,943        25
* Metropolitan Bank Holding Corp.       631        25
  MidWestOne Financial Group Inc.     1,027        24
  Northeast Bank       457        24
  Peapack-Gladstone Financial Corp.       998        24
  James River Group Holdings Ltd.     2,391        24
  GCM Grosvenor Inc. Class A     2,814        24
  P10 Inc. Class A     2,574        24
  Invesco Mortgage Capital Inc. REIT     2,621        24
  Arrow Financial Corp.       959        23
  HomeTrust Bancshares Inc.       892        23
  Shore Bancshares Inc.     1,990        23
* Greenlight Capital Re Ltd. Class A     1,800        23
  Citizens & Northern Corp.     1,172        22
  RBB Bancorp     1,256        22
  Esquire Financial Holdings Inc.       443        22
  Burke & Herbert Financial Services Corp.       397        22
  First Bank     1,598        21
  Flushing Financial Corp.     1,658        21
  Home Bancorp Inc.       569        21
* MBIA Inc.     3,232        21
  Peoples Financial Services Corp.       513        21
* Southern First Bancshares Inc.       624        21
  Financial Institutions Inc.     1,084        20
  HomeStreet Inc.     1,444        20
  Summit Financial Group Inc.       747        20
* American Coastal Insurance Corp. Class C     1,455        20
  Capstar Financial Holdings Inc.     1,088        20
* Carter Bankshares Inc.     1,543        20
* Third Coast Bancshares Inc.     1,027        20
  Bank of Marin Bancorp     1,117        19
* Bridgewater Bancshares Inc.     1,592        19
  Farmers & Merchants Bancorp Inc.       957        19
  First Bancorp Inc. (XNGS)       822        19
  Guaranty Bancshares Inc.       672        19
  SmartFinancial Inc.       900        19
  West BanCorp Inc.     1,089        19
  Mid Penn Bancorp Inc.       888        19
  Metrocity Bankshares Inc.       784        19
  South Plains Financial Inc.       706        19
  Red River Bancshares Inc.       373        19
  Five Star Bancorp       802        19
    Shares Market
Value

($000)
  First of Long Island Corp.     1,596        18
  Granite Point Mortgage Trust Inc.     3,708        18
  HBT Financial Inc.       942        18
  Civista Bancshares Inc.     1,128        17
* FVCBankcorp Inc.     1,374        17
  ACNB Corp.       478        17
  NewtekOne Inc.     1,454        17
  Donegal Group Inc. Class A     1,136        16
  First Business Financial Services Inc.       444        16
  Northrim BanCorp Inc.       326        16
  Timberland Bancorp Inc.       615        16
  Primis Financial Corp.     1,278        16
* Blue Foundry Bancorp     1,711        16
  Chicago Atlantic Real Estate Finance Inc.       976        16
  John Marshall Bancorp Inc.       924        16
* eHealth Inc.     2,270        15
  Enterprise Bancorp Inc.       556        15
  Orrstown Financial Services Inc.       547        15
  Macatawa Bank Corp.     1,484        15
  Capital Bancorp Inc.       706        15
  Ames National Corp.       785        15
* Fidelis Insurance Holdings Ltd.       998        15
  Hingham Institution for Savings        83        14
  Sierra Bancorp       752        14
  Waterstone Financial Inc.     1,100        14
  Orange County Bancorp Inc.       298        14
* Forge Global Holdings Inc.     6,863        14
  BCB Bancorp Inc.     1,278        13
  BayCom Corp.       639        13
  MVB Financial Corp.       603        13
  Fidelity D&D Bancorp Inc.       269        13
  FS Bancorp Inc.       353        12
  Norwood Financial Corp.       423        12
  Greene County Bancorp Inc.       436        12
  Colony Bankcorp Inc.     1,100        12
  NexPoint Diversified Real Estate Trust     1,890        12
  Citizens Financial Services Inc.       262        12
  Codorus Valley Bancorp Inc.       476        11
  ESSA Bancorp Inc.       624        11
  Middlefield Banc Corp.       448        11
  Plumas Bancorp       319        11
  AFC Gamma Inc.       979        11
  Northeast Community Bancorp Inc.       722        11
  C&F Financial Corp.       186        10
  Central Valley Community Bancorp       562        10
  Crawford & Co. Class A       861        10
  Investors Title Co.        63        10
  National Bankshares Inc.       321        10
  PCB Bancorp       605        10
  Regional Management Corp.       447        10
  Unity Bancorp Inc.       361        10
  ChoiceOne Financial Services Inc.       384        10
* Ocwen Financial Corp.       403        10
 
15

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
  Southern States Bancshares Inc.       397        10
  Orchid Island Capital Inc.     1,109        10
* Hippo Holdings Inc.       685        10
  Parke Bancorp Inc.       518         9
  Oak Valley Bancorp       375         9
  Silvercrest Asset Management Group Inc. Class A       521         9
  Angel Oak Mortgage REIT Inc.       891         9
* Ponce Financial Group Inc.     1,061         9
  Evans Bancorp Inc.       268         8
  LCNB Corp.       557         8
* Sterling Bancorp Inc.     1,575         8
  Bank7 Corp.       277         8
  Princeton Bancorp Inc.       261         8
* AlTi Global Inc.     1,317         8
  Bankwell Financial Group Inc.       288         7
  Chemung Financial Corp.       172         7
  Penns Woods Bancorp Inc.       360         7
* Maiden Holdings Ltd.     5,350         7
  MainStreet Bancshares Inc.       366         7
* Pioneer Bancorp Inc.       748         7
* Security National Financial Corp. Class A       810         7
  Virginia National Bankshares Corp.       244         7
* Kingsway Financial Services Inc.       775         7
  First Community Corp.       378         6
* Consumer Portfolio Services Inc.       721         6
  USCB Financial Holdings Inc.       564         6
* SWK Holdings Corp.       300         5
* GoHealth Inc. Class A       342         5
* Finance of America Cos. Inc. Class A     3,215         3
  MarketWise Inc.     1,554         3
* Bakkt Holdings Inc.     4,913         3
        369,957
Health Care (12.0%)
  Eli Lilly & Co.    58,399    44,014
  UnitedHealth Group Inc.    64,131    31,655
  Johnson & Johnson   166,232    26,827
  Merck & Co. Inc.   175,227    22,280
  AbbVie Inc.   121,695    21,424
  Thermo Fisher Scientific Inc.    26,642    15,191
  Abbott Laboratories   119,406    14,166
  Danaher Corp.    45,464    11,509
  Pfizer Inc.   390,111    10,361
  Amgen Inc.    36,853    10,091
* Intuitive Surgical Inc.    24,129     9,304
  Stryker Corp.    24,523     8,560
  Elevance Health Inc.    16,355     8,198
  Medtronic plc    91,633     7,639
* Vertex Pharmaceuticals Inc.    17,773     7,478
  Bristol-Myers Squibb Co.   140,529     7,132
* Regeneron Pharmaceuticals Inc.     7,068     6,828
  Cigna Group    20,162     6,777
* Boston Scientific Corp.   100,986     6,686
  Zoetis Inc.    31,976     6,342
    Shares Market
Value

($000)
  Gilead Sciences Inc.    86,246     6,218
  Becton Dickinson & Co.    20,007     4,713
  HCA Healthcare Inc.    13,685     4,266
* Edwards Lifesciences Corp.    41,467     3,519
* IDEXX Laboratories Inc.     5,700     3,279
* IQVIA Holdings Inc.    12,531     3,097
* DexCom Inc.    26,754     3,079
  Humana Inc.     8,602     3,013
* Centene Corp.    36,853     2,890
  Agilent Technologies Inc.    20,117     2,763
  GE Healthcare Inc.    27,790     2,537
* Veeva Systems Inc. Class A     9,939     2,241
* Biogen Inc.     9,850     2,137
* Moderna Inc.    22,920     2,114
  Cardinal Health Inc.    16,952     1,898
  West Pharmaceutical Services Inc.     5,099     1,827
  Zimmer Biomet Holdings Inc.    14,503     1,804
* ICON plc     5,608     1,798
  ResMed Inc.    10,053     1,746
* Align Technology Inc.     5,233     1,583
  STERIS plc     6,793     1,582
* Molina Healthcare Inc.     3,948     1,555
* Illumina Inc.    10,973     1,534
  Baxter International Inc.    34,585     1,415
* Alnylam Pharmaceuticals Inc.     8,509     1,286
  Laboratory Corp. of America Holdings     5,794     1,251
  Cooper Cos. Inc.    13,364     1,251
* Hologic Inc.    16,791     1,239
* Avantor Inc.    46,337     1,142
* BioMarin Pharmaceutical Inc.    12,824     1,106
  Viatris Inc.    82,544     1,021
  Quest Diagnostics Inc.     7,657       956
  Revvity Inc.     8,539       936
* Charles River Laboratories International Inc.     3,480       885
* Neurocrine Biosciences Inc.     6,573       857
* Sarepta Therapeutics Inc.     6,260       801
  Bio-Techne Corp.    10,690       786
* Karuna Therapeutics Inc.     2,498       784
* Insulet Corp.     4,740       777
  Royalty Pharma plc Class A    25,549       775
* Repligen Corp.     3,810       739
* Incyte Corp.    12,595       735
  Teleflex Inc.     3,200       713
* Catalent Inc.    12,275       704
* Exact Sciences Corp.    12,175       700
* United Therapeutics Corp.     3,086       696
  Universal Health Services Inc. Class B     4,095       684
* Henry Schein Inc.     8,888       680
* Shockwave Medical Inc.     2,549       665
* Qiagen NV    15,373       658
* Tenet Healthcare Corp.     6,963       648
  Chemed Corp.     1,013       634
* Medpace Holdings Inc.     1,593       633
* Natera Inc.     7,292       631
  Bruker Corp.     7,267       629
* Penumbra Inc.     2,509       589
* Vaxcyte Inc.     7,180       530
 
16

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
* Elanco Animal Health Inc. (XNYS)    33,309       529
* Acadia Healthcare Co. Inc.     6,284       524
* Viking Therapeutics Inc.     6,727       518
  Encompass Health Corp.     6,719       500
* Jazz Pharmaceuticals plc     4,199       499
* HealthEquity Inc.     5,869       485
  DENTSPLY SIRONA Inc.    14,590       477
* DaVita Inc.     3,681       467
* Exelixis Inc.    21,335       467
* Cytokinetics Inc.     6,410       463
* Bio-Rad Laboratories Inc. Class A     1,415       461
  Ensign Group Inc.     3,672       459
* Ionis Pharmaceuticals Inc.    10,055       455
* Intra-Cellular Therapies Inc.     6,309       439
* Apellis Pharmaceuticals Inc.     7,060       438
* Globus Medical Inc. Class A     8,094       437
* Blueprint Medicines Corp.     4,243       397
* Masimo Corp.     2,941       378
* Option Care Health Inc.    11,473       370
* Inspire Medical Systems Inc.     2,025       363
* Alkermes plc    11,786       350
* Halozyme Therapeutics Inc.     8,774       349
  Organon & Co.    18,196       317
* Lantheus Holdings Inc.     4,767       312
* REVOLUTION Medicines Inc.    10,201       301
* Ultragenyx Pharmaceutical Inc.     5,730       296
* Glaukos Corp.     3,326       295
* 10X Genomics Inc. Class A     6,248       291
* Merit Medical Systems Inc.     3,774       288
* Roivant Sciences Ltd.    24,892       285
* Azenta Inc.     4,236       276
* Insmed Inc.     9,965       276
* Amicus Therapeutics Inc.    20,646       265
* Bridgebio Pharma Inc.     7,701       263
* iRhythm Technologies Inc.     2,200       261
* Cymabay Therapeutics Inc.     8,060       259
* Evolent Health Inc. Class A     7,649       259
* Integer Holdings Corp.     2,329       257
  Perrigo Co. plc     9,792       257
* Haemonetics Corp.     3,492       255
* Krystal Biotech Inc.     1,600       255
* Arrowhead Pharmaceuticals Inc.     7,911       254
* Prestige Consumer Healthcare Inc.     3,655       254
* Madrigal Pharmaceuticals Inc.     1,065       252
* Iovance Biotherapeutics Inc.    15,656       249
* Neogen Corp.    14,455       248
* Envista Holdings Corp.    11,731       242
* Axonics Inc.     3,549       241
* SpringWorks Therapeutics Inc.     4,902       241
* Doximity Inc. Class A     8,505       240
* Fortrea Holdings Inc.     6,369       239
* Biohaven Ltd.     4,865       234
* Enovis Corp.     3,684       220
* LivaNova plc     3,947       216
* Axsome Therapeutics Inc.     2,563       209
* Progyny Inc.     5,732       209
    Shares Market
Value

($000)
* Beam Therapeutics Inc.     5,277       208
* ACADIA Pharmaceuticals Inc.     8,714       203
* Amedisys Inc.     2,186       203
  Select Medical Holdings Corp.     7,471       203
* Cerevel Therapeutics Holdings Inc.     4,942       203
* Intellia Therapeutics Inc.     6,301       202
* Crinetics Pharmaceuticals Inc.     4,584       188
* Teladoc Health Inc.    12,127       183
* Ideaya Biosciences Inc.     4,088       183
* Integra LifeSciences Holdings Corp.     4,919       182
  Premier Inc. Class A     8,716       182
* TransMedics Group Inc.     2,232       182
* Privia Health Group Inc.     7,973       178
* Inari Medical Inc.     3,799       175
* QuidelOrtho Corp.     3,824       174
* TG Therapeutics Inc.     9,877       170
* Ginkgo Bioworks Holdings Inc.   112,132       170
* Arcellx Inc.     2,587       170
  CONMED Corp.     2,096       168
  Patterson Cos. Inc.     6,144       166
* RadNet Inc.     4,335       164
* Surgery Partners Inc.     5,276       164
* Vericel Corp.     3,557       163
* Rhythm Pharmaceuticals Inc.     3,732       162
* CorVel Corp.       639       156
* Arvinas Inc.     3,371       155
* ICU Medical Inc.     1,419       155
* Celldex Therapeutics Inc.     3,162       152
* Denali Therapeutics Inc.     7,701       152
* Twist Bioscience Corp.     3,848       151
* Nuvalent Inc. Class A     1,800       151
* Guardant Health Inc.     7,909       150
* Ardelyx Inc.    15,998       149
* PTC Therapeutics Inc.     5,220       147
* Certara Inc.     8,474       143
* R1 RCM Inc.    10,151       143
* Agios Pharmaceuticals Inc.     4,379       142
* NeoGenomics Inc.     8,868       138
* Corcept Therapeutics Inc.     5,736       135
* Immunovant Inc.     3,812       135
*,1 PROCEPT BioRobotics Corp.     2,727       132
* Apollo Medical Holdings Inc.     2,909       131
* Amphastar Pharmaceuticals Inc.     2,719       127
* agilon health Inc.    20,789       127
* Recursion Pharmaceuticals Inc. Class A     9,346       126
* Rocket Pharmaceuticals Inc.     4,246       124
* Owens & Minor Inc.     5,000       122
* Protagonist Therapeutics Inc.     3,793       115
* Inmode Ltd.     5,249       115
* Addus HomeCare Corp.     1,230       114
* Myriad Genetics Inc.     5,469       114
* Tandem Diabetes Care Inc.     4,186       111
* Hims & Hers Health Inc.     8,515       111
* Veracyte Inc.     4,655       110
 
17

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
* Catalyst Pharmaceuticals Inc.     6,789       109
* Novocure Ltd.     7,116       109
* Dynavax Technologies Corp.     8,548       108
* Syndax Pharmaceuticals Inc.     4,590       108
* RxSight Inc.     1,930       105
* Ironwood Pharmaceuticals Inc.    11,060       104
* STAAR Surgical Co.     3,325       104
  US Physical Therapy Inc.       971       103
* AtriCure Inc.     2,916       102
* Kura Oncology Inc.     4,789       101
* Kymera Therapeutics Inc.     2,371       101
* Sotera Health Co.     6,711       101
* Vera Therapeutics Inc.     2,121       100
* UFP Technologies Inc.       473        99
* Pacific Biosciences of California Inc.    17,588        97
  LeMaitre Vascular Inc.     1,367        96
* Supernus Pharmaceuticals Inc.     3,227        96
* Keros Therapeutics Inc.     1,403        95
* Morphic Holding Inc.     2,558        95
* Ligand Pharmaceuticals Inc.     1,161        92
* Pacira BioSciences Inc.     3,052        91
* Akero Therapeutics Inc.     3,346        90
* Xencor Inc.     3,894        89
* Inhibrx Inc.     2,400        88
* Dyne Therapeutics Inc.     3,257        88
* Collegium Pharmaceutical Inc.     2,380        87
* Phreesia Inc.     3,465        86
* Avidity Biosciences Inc.     4,653        85
* Alphatec Holdings Inc.     6,280        84
  National HealthCare Corp.       841        83
* ADMA Biologics Inc.    15,111        81
* MacroGenics Inc.     4,439        80
* Omnicell Inc.     3,009        79
* Sage Therapeutics Inc.     3,694        79
* Prothena Corp. plc     2,815        78
* Tarsus Pharmaceuticals Inc.     1,977        76
* Warby Parker Inc. Class A     5,875        75
* Brookdale Senior Living Inc.    12,946        74
* MannKind Corp.    18,096        74
* 4D Molecular Therapeutics Inc.     2,601        73
* BioCryst Pharmaceuticals Inc.    12,698        72
* Harmony Biosciences Holdings Inc.     2,234        72
* Geron Corp. (XNGS)    35,256        71
* Arcutis Biotherapeutics Inc.     6,925        71
* Day One Biopharmaceuticals Inc.     4,213        71
* Alpine Immune Sciences Inc.     1,983        70
* Arcus Biosciences Inc.     3,550        68
* ANI Pharmaceuticals Inc.       964        65
* AdaptHealth Corp.     6,319        65
* Verve Therapeutics Inc.     3,786        65
* Pliant Therapeutics Inc.     4,037        64
*,1 Cassava Sciences Inc.     2,747        63
* MiMedx Group Inc.     7,645        62
    Shares Market
Value

($000)
* Cytek Biosciences Inc.     8,004        62
* Avanos Medical Inc.     3,258        61
* Deciphera Pharmaceuticals Inc.     3,639        61
* Arcturus Therapeutics Holdings Inc.     1,579        61
* Healthcare Services Group Inc.     4,674        60
* Amylyx Pharmaceuticals Inc.     3,174        60
* Relay Therapeutics Inc.     5,880        59
* Vir Biotechnology Inc.     5,238        59
* Scholar Rock Holding Corp.     3,742        58
* Editas Medicine Inc.     5,671        57
* Zentalis Pharmaceuticals Inc.     3,847        57
  Embecta Corp.     3,987        57
* Sana Biotechnology Inc.     5,543        56
* LifeStance Health Group Inc.     6,664        56
* Quanterix Corp.     2,285        55
* Maravai LifeSciences Holdings Inc. Class A     6,984        54
* Aurinia Pharmaceuticals Inc.     9,330        53
* Artivion Inc.     2,719        52
* Pediatrix Medical Group Inc.     5,704        52
* Ocular Therapeutix Inc.     5,132        52
* Cabaletta Bio Inc.     2,272        52
* Janux Therapeutics Inc.     1,071        52
* REGENXBIO Inc.     2,859        50
* Viridian Therapeutics Inc.     2,652        50
* Mirum Pharmaceuticals Inc.     1,673        48
* SI-BONE Inc.     2,732        47
  HealthStream Inc.     1,701        46
* Innoviva Inc.     3,021        46
* Kiniksa Pharmaceuticals Ltd. Class A     2,187        46
* Edgewise Therapeutics Inc.     2,838        46
* Varex Imaging Corp.     2,642        45
* Liquidia Corp.     3,158        45
* 89bio Inc.     3,891        45
* Apogee Therapeutics Inc.     1,298        45
* Accolade Inc.     4,330        44
* EyePoint Pharmaceuticals Inc.     1,593        43
* Amneal Pharmaceuticals Inc.     7,570        42
* Silk Road Medical Inc.     2,360        42
*,1 ImmunityBio Inc.     8,944        42
* Disc Medicine Inc.       614        42
* Fate Therapeutics Inc.     5,747        41
* Caribou Biosciences Inc.     5,119        41
* CareDx Inc.     3,803        40
* Mersana Therapeutics Inc.     7,272        40
  National Research Corp.       995        40
* Zymeworks Inc.     3,333        40
* Y-mAbs Therapeutics Inc.     2,309        39
* Pennant Group Inc.     2,075        39
* Nurix Therapeutics Inc.     3,153        39
* OmniAb Inc.     6,631        39
* OraSure Technologies Inc.     5,230        38
* Revance Therapeutics Inc.     5,351        38
* Cogent Biosciences Inc.     5,448        38
* Treace Medical Concepts Inc.     2,852        38
 
18

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
* Altimmune Inc.     3,066        37
* BioLife Solutions Inc.     2,110        36
* PetIQ Inc.     1,998        36
* Alignment Healthcare Inc.     5,921        36
* Evolus Inc.     2,392        35
*,1 Nano-X Imaging Ltd.     3,096        35
* AnaptysBio Inc.     1,347        34
* Savara Inc.     6,646        34
* UroGen Pharma Ltd.     1,875        34
* Travere Therapeutics Inc.     4,556        34
* HilleVax Inc.     1,889        34
* Summit Therapeutics Inc. (XNMS)     7,283        33
* Lyell Immunopharma Inc.    11,179        33
* Paragon 28 Inc.     2,670        33
* Nevro Corp.     2,196        32
* Castle Biosciences Inc.     1,764        32
  Atrion Corp.        85        31
* Replimune Group Inc.     3,597        31
* Alector Inc.     4,381        31
* ORIC Pharmaceuticals Inc.     2,444        31
* Tango Therapeutics Inc.     2,811        31
* Avid Bioservices Inc.     3,853        30
* Health Catalyst Inc.     3,653        30
* Novavax Inc.     6,067        30
* Theravance Biopharma Inc.     3,202        30
* Marinus Pharmaceuticals Inc.     3,127        30
* Adaptive Biotechnologies Corp.     6,967        29
* Allogene Therapeutics Inc.     5,833        29
* Orthofix Medical Inc.     2,198        29
* Fulgent Genetics Inc.     1,297        29
* Avita Medical Inc.     1,580        29
* Astria Therapeutics Inc.     2,049        29
* Enhabit Inc.     3,201        29
* OrthoPediatrics Corp.     1,025        28
* Multiplan Corp.    24,915        28
* Zimvie Inc.     1,622        28
* Arbutus Biopharma Corp.     9,636        27
* Inozyme Pharma Inc.     4,210        27
* Nkarta Inc.     2,230        27
* Anika Therapeutics Inc.     1,066        26
* Axogen Inc.     2,452        26
* Surmodics Inc.       821        26
* KalVista Pharmaceuticals Inc.     1,804        25
* OPKO Health Inc.    25,212        25
* Cullinan Oncology Inc.     1,349        25
* Anavex Life Sciences Corp.     4,597        24
* ALX Oncology Holdings Inc.     1,628        24
* MaxCyte Inc.     5,264        24
* ModivCare Inc.       863        24
* Xeris Biopharma Holdings Inc.     7,859        24
* Cerus Corp.    10,325        23
* Community Health Systems Inc.     8,373        23
* Pulmonx Corp.     2,489        23
* Atea Pharmaceuticals Inc.     5,308        23
* Enliven Therapeutics Inc.     1,464        23
* Codexis Inc.     4,706        22
* Harrow Inc.     2,067        22
* Heron Therapeutics Inc.     8,276        22
* Larimar Therapeutics Inc.     1,954        22
    Shares Market
Value

($000)
* Phathom Pharmaceuticals Inc.     2,096        22
* Longboard Pharmaceuticals Inc.       976        22
* Biomea Fusion Inc.     1,250        22
  iRadimed Corp.       504        21
* Tactile Systems Technology Inc.     1,389        21
* Olema Pharmaceuticals Inc.     1,676        21
* Taro Pharmaceutical Industries Ltd.       493        21
* Nuvation Bio Inc.    11,056        21
* Humacyte Inc.     4,936        21
* Ventyx Biosciences Inc.     2,937        21
* DocGo Inc.     5,115        21
* Prime Medicine Inc.     2,469        21
* Enanta Pharmaceuticals Inc.     1,388        20
* Sutro Biopharma Inc.     4,045        20
* Organogenesis Holdings Inc.     5,493        20
* Terns Pharmaceuticals Inc.     2,691        20
* Tenaya Therapeutics Inc.     3,378        20
* iTeos Therapeutics Inc.     1,783        19
* American Well Corp. Class A    17,265        19
* Agiliti Inc.     1,954        19
* Aerovate Therapeutics Inc.       835        19
* Acelyrin Inc.     2,190        19
* WaVe Life Sciences Ltd.     3,693        18
* Rapt Therapeutics Inc.     2,156        18
* Viemed Healthcare Inc.     2,115        18
* Entrada Therapeutics Inc.     1,340        18
* 2seventy bio Inc.     3,394        18
* Neumora Therapeutics Inc.     1,041        18
* Omeros Corp.     3,823        17
  Phibro Animal Health Corp. Class A     1,323        17
* Vanda Pharmaceuticals Inc.     3,703        17
* Voyager Therapeutics Inc.     1,989        17
* Precigen Inc.    11,314        17
* Celcuity Inc.     1,065        17
* Poseida Therapeutics Inc.     4,233        17
* Sharecare Inc.    18,064        17
* Coherus Biosciences Inc.     7,172        16
* CorMedix Inc.     4,500        16
* FibroGen Inc.     9,441        16
  SIGA Technologies Inc.     3,123        16
  Utah Medical Products Inc.       224        16
* Annexon Inc.     2,844        16
* Aura Biosciences Inc.     1,740        16
* Accuray Inc.     5,917        15
  Agenus Inc.    23,047        15
* Gritstone bio Inc.     5,496        15
* Kodiak Sciences Inc.     2,453        15
* Rigel Pharmaceuticals Inc.     9,581        15
* Monte Rosa Therapeutics Inc.     2,381        15
* Semler Scientific Inc.       316        15
* Tyra Biosciences Inc.       746        15
* Mineralys Therapeutics Inc.       945        15
* Lexicon Pharmaceuticals Inc.     5,760        14
* OptimizeRx Corp.       904        14
* Sangamo Therapeutics Inc.    12,115        14
* Actinium Pharmaceuticals Inc.     1,639        14
 
19

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
* Zevra Therapeutics Inc.     2,148        14
* CVRx Inc.       707        14
* Zynex Inc.       989        13
*,1 IGM Biosciences Inc.     1,031        13
* Ovid therapeutics Inc.     3,730        13
* ARS Pharmaceuticals Inc.     1,508        13
* Quantum-Si Inc.     7,775        13
* AngioDynamics Inc.     2,187        12
* Stoke Therapeutics Inc.     1,608        12
* PDS Biotechnology Corp.     1,758        12
* Butterfly Network Inc.     9,649        12
* Erasca Inc.     4,924        12
* Aldeyra Therapeutics Inc.     2,922        11
* Harvard Bioscience Inc.     2,448        11
* Inogen Inc.     1,612        11
* XOMA Corp.       452        11
* Pulse Biosciences Inc.     1,117        11
* MeiraGTx Holdings plc     1,738        11
* scPharmaceuticals Inc.     1,809        11
* Fennec Pharmaceuticals Inc.     1,155        11
* 908 Devices Inc.     1,472        11
* Akoya Biosciences Inc.     1,907        11
* 23andMe Holding Co. Class A    18,973        11
* Quipt Home Medical Corp.     2,507        11
* Emergent BioSolutions Inc.     3,133        10
* Optinose Inc.     5,697        10
* InfuSystem Holdings Inc.     1,102        10
* Outset Medical Inc.     3,044        10
* Compass Therapeutics Inc.     5,698        10
* PepGen Inc.       617        10
* Third Harmonic Bio Inc.       949        10
*,2 Scilex Holding Co. (Acquired 1/6/23, Cost $51)     4,893        10
* Bluebird Bio Inc.     6,227         9
* Computer Programs and Systems Inc.     1,064         9
* ClearPoint Neuro Inc.     1,460         9
* Sanara Medtech Inc.       243         9
* Aveanna Healthcare Holdings Inc.     3,702         9
* Genelux Corp.     1,222         9
* Joint Corp.       826         8
* Lineage Cell Therapeutics Inc.     7,878         8
* Outlook Therapeutics Inc.    17,600         8
* X4 Pharmaceuticals Inc.     7,756         8
* Seer Inc.     4,572         8
* Graphite Bio Inc.     2,370         8
* Immuneering Corp. Class A     1,273         8
* Trevi Therapeutics Inc.     2,569         8
* Orchestra BioMed Holdings Inc.     1,257         8
* Seres Therapeutics Inc.     6,113         7
* Verrica Pharmaceuticals Inc.     1,312         7
* Generation Bio Co.     2,696         7
* Tela Bio Inc.     1,028         7
* BioAtla Inc.     2,751         7
* Century Therapeutics Inc.     1,931         7
* Nautilus Biotechnology Inc.     2,441         7
* Biote Corp. Class A     1,095         7
* Aclaris Therapeutics Inc.     4,691         6
* Allakos Inc.     4,153         6
* Atara Biotherapeutics Inc.     7,597         6
    Shares Market
Value

($000)
* Protalix BioTherapeutics Inc.     3,534         6
* Citius Pharmaceuticals Inc.     7,653         6
* Design Therapeutics Inc.     2,331         6
* Eyenovia Inc.     2,701         6
* Omega Therapeutics Inc.     1,539         6
* AirSculpt Technologies Inc.       912         6
* Mural Oncology plc     1,097         6
* American Healthcare REIT Inc.       447         6
  Cartesian Therapeutics Inc. (XNMS)     7,231         5
* Vor BioPharma Inc.     2,318         5
* Assertio Holdings Inc.     5,938         5
* ProKidney Corp.     3,019         5
* Cargo Therapeutics Inc.       193         5
*,1 Bioxcel Therapeutics Inc.     1,261         4
* NGM Biopharmaceuticals Inc.     2,868         4
* Kezar Life Sciences Inc.     4,176         4
*,3 Tobira Therapeutics Inc. CVR       937         4
* Rallybio Corp.     1,916         4
* Sight Sciences Inc.     1,077         4
* Vigil Neuroscience Inc.     1,012         4
  Carisma Therapeutics Inc.     1,666         4
* CG oncology Inc.        84         4
* P3 Health Partners Inc.     2,505         3
* Acrivon Therapeutics Inc.       699         3
* BrightSpring Health Services Inc.       341         3
* Cutera Inc.       954         2
* Allovir Inc.     2,948         2
* Bright Green Corp.     7,238         2
* Zura Bio Ltd.       583         2
* Fractyl Health Inc.       171         2
* CareMax Inc.       167         1
* Kyverna Therapeutics Inc.        52         1
* Metagenomi Inc.        82         1
*,3 Synergy Pharmaceuticals LLC    12,927        —
*,3 OmniAb Inc. 12.5 Earnout       408        —
*,3 OmniAb Inc. 15 Earnout       408        —
        409,755
Industrials (13.1%)
  Visa Inc. Class A   110,015    31,095
  Mastercard Inc. Class A    57,262    27,186
  Accenture plc Class A    43,629    16,351
  Caterpillar Inc.    35,242    11,769
  General Electric Co.    74,899    11,751
  Union Pacific Corp.    42,048    10,667
  Honeywell International Inc.    45,965     9,135
  RTX Corp.    99,297     8,904
  American Express Co.    40,100     8,799
  Eaton Corp. plc    27,514     7,952
* Boeing Co.    38,515     7,846
  United Parcel Service Inc. Class B (XNYS)    49,996     7,412
  Automatic Data Processing Inc.    28,535     7,166
  Deere & Co.    18,309     6,684
  Lockheed Martin Corp.    15,292     6,549
* Fiserv Inc.    41,253     6,158
  Sherwin-Williams Co.    16,438     5,458
  Illinois Tool Works Inc.    20,636     5,410
  CSX Corp.   136,137     5,165
 
20

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
  Parker-Hannifin Corp.     8,797     4,710
  General Dynamics Corp.    16,903     4,619
* PayPal Holdings Inc.    75,606     4,562
  Northrop Grumman Corp.     9,892     4,560
  Trane Technologies plc    15,677     4,420
  TransDigm Group Inc.     3,646     4,294
  Emerson Electric Co.    39,296     4,199
  FedEx Corp.    16,019     3,988
  Norfolk Southern Corp.    15,627     3,960
  PACCAR Inc.    35,408     3,926
  Cintas Corp.     5,967     3,751
  Capital One Financial Corp.    26,131     3,596
  3M Co.    37,845     3,486
  United Rentals Inc.     4,680     3,245
  Carrier Global Corp.    57,660     3,205
  Old Dominion Freight Line Inc.     6,798     3,008
* Block Inc. (XNYS)    37,559     2,985
  Ferguson plc    14,046     2,970
  WW Grainger Inc.     3,047     2,966
  AMETEK Inc.    15,836     2,853
  Fidelity National Information Services Inc.    40,766     2,821
  Johnson Controls International plc    46,798     2,774
  L3Harris Technologies Inc.    13,087     2,770
  Paychex Inc.    22,171     2,719
  Otis Worldwide Corp.    28,424     2,709
  Cummins Inc.     9,740     2,616
  Ingersoll Rand Inc. (XYNS)    28,050     2,562
  Martin Marietta Materials Inc.     4,240     2,450
  Vulcan Materials Co.     9,146     2,431
  Quanta Services Inc.     9,879     2,386
  Verisk Analytics Inc.     9,816     2,374
  Global Payments Inc.    17,882     2,319
  Equifax Inc.     8,402     2,299
  PPG Industries Inc.    16,128     2,284
  Rockwell Automation Inc.     7,922     2,258
  DuPont de Nemours Inc.    31,542     2,182
* Fair Isaac Corp.     1,670     2,121
  Xylem Inc.    16,253     2,065
  Fortive Corp.    24,245     2,064
* Keysight Technologies Inc.    12,283     1,895
* Mettler-Toledo International Inc.     1,515     1,890
  Howmet Aerospace Inc.    25,925     1,725
  Westinghouse Air Brake Technologies Corp.    12,199     1,724
* Builders FirstSource Inc.     8,434     1,646
  Dover Corp.     9,549     1,579
* Axon Enterprise Inc.     4,833     1,486
  Hubbell Inc.     3,725     1,418
* FleetCor Technologies Inc.     4,930     1,377
* Waters Corp.     4,043     1,364
* Teledyne Technologies Inc.     3,189     1,363
  Ball Corp.    21,148     1,354
  Veralto Corp.    15,061     1,302
  Booz Allen Hamilton Holding Corp.     8,800     1,300
  Jacobs Solutions Inc.     8,623     1,265
  IDEX Corp.     5,196     1,226
  Expeditors International of Washington Inc.    10,102     1,208
  Textron Inc.    13,440     1,197
  Masco Corp.    15,520     1,191
  Carlisle Cos. Inc.     3,366     1,178
    Shares Market
Value

($000)
  Synchrony Financial    28,396     1,173
  JB Hunt Transport Services Inc.     5,647     1,165
  Packaging Corp. of America     6,085     1,103
  Nordson Corp.     3,950     1,049
  Graco Inc.    11,431     1,043
* Saia Inc.     1,813     1,043
* Trimble Inc.    17,012     1,041
  Lennox International Inc.     2,203     1,038
  TransUnion    13,213     1,026
  RPM International Inc.     8,745     1,009
  EMCOR Group Inc.     3,172       994
  Snap-on Inc.     3,578       986
  Lincoln Electric Holdings Inc.     3,831       983
* Zebra Technologies Corp. Class A     3,500       978
* XPO Inc.     7,783       936
  Stanley Black & Decker Inc.    10,464       934
  Owens Corning     6,123       917
  Watsco Inc.     2,291       903
  Amcor plc    98,978       897
* TopBuild Corp.     2,182       878
  Pentair plc    11,225       873
  Jack Henry & Associates Inc.     4,971       864
  HEICO Corp.     4,348       841
  CNH Industrial NV    67,047       801
  AECOM     8,977       797
  Westrock Co.    17,305       784
  Huntington Ingalls Industries Inc.     2,679       781
  Allegion plc     6,110       781
  Regal Rexnord Corp.     4,543       779
  Advanced Drainage Systems Inc.     4,676       763
  nVent Electric plc    11,231       756
  Comfort Systems USA Inc.     2,384       729
  ITT Inc.     5,616       708
  Fortune Brands Innovations Inc.     8,619       701
  A O Smith Corp.     8,431       699
* Trex Co. Inc.     7,416       681
  Toro Co.     7,157       661
  Tetra Tech Inc.     3,616       641
* WEX Inc.     2,914       640
  HEICO Corp. Class A     4,065       632
  BWX Technologies Inc.     6,216       627
* WillScot Mobile Mini Holdings Corp.    13,120       626
  AptarGroup Inc.     4,449       625
  Curtiss-Wright Corp.     2,595       613
  Eagle Materials Inc.     2,401       609
  Simpson Manufacturing Co. Inc.     2,912       608
  Knight-Swift Transportation Holdings Inc.    10,701       603
  Donaldson Co. Inc.     8,403       602
  CH Robinson Worldwide Inc.     7,863       583
  Woodward Inc.     4,082       578
* Affirm Holdings Inc.    15,391       577
  Crown Holdings Inc.     7,490       574
  MKS Instruments Inc.     4,677       574
  Robert Half Inc.     7,037       566
* Middleby Corp.     3,648       555
 
21

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
  Acuity Brands Inc.     2,174       546
* Core & Main Inc. Class A    11,392       544
  Graphic Packaging Holding Co.    20,728       538
* API Group Corp.    14,677       514
  Applied Industrial Technologies Inc.     2,674       508
  Oshkosh Corp.     4,448       493
* Axalta Coating Systems Ltd.    15,009       491
* Paylocity Holding Corp.     2,904       490
  MSA Safety Inc.     2,594       478
  Berry Global Group Inc.     8,188       477
* Generac Holdings Inc.     4,214       474
  Cognex Corp.    11,922       470
  Landstar System Inc.     2,471       470
* FTI Consulting Inc.     2,268       469
  AGCO Corp.     4,273       469
  Vontier Corp.    10,839       466
  Atkore Inc.     2,700       457
  Allison Transmission Holdings Inc.     5,996       452
  WESCO International Inc.     3,018       451
* Bill Holdings Inc.     7,000       443
* ATI Inc.     8,977       441
* AZEK Co. Inc.     9,152       440
* Mohawk Industries Inc.     3,675       436
* Chart Industries Inc.     2,977       425
* GXO Logistics Inc.     8,118       420
  Genpact Ltd.    12,281       418
  Brunswick Corp.     4,697       411
  Crane Co.     3,332       405
  AAON Inc.     4,744       398
  Installed Building Products Inc.     1,647       394
  Littelfuse Inc.     1,649       393
  Esab Corp.     3,961       393
  Flowserve Corp.     9,264       392
  FTAI Aviation Ltd.     6,899       388
  Sonoco Products Co.     6,778       384
* Beacon Roofing Supply Inc.     4,391       377
  Watts Water Technologies Inc. Class A     1,840       375
  Armstrong World Industries Inc.     3,068       370
* SPX Technologies Inc.     3,114       365
* Fluor Corp.     9,756       359
* Euronet Worldwide Inc.     3,261       357
  Maximus Inc.     4,258       356
* Summit Materials Inc. Class A     8,343       356
  Sealed Air Corp.    10,105       352
* Kirby Corp.     4,000       351
  Ryder System Inc.     3,077       351
  Sensata Technologies Holding plc    10,195       351
  Federal Signal Corp.     4,220       346
  Western Union Co.    25,455       341
* ExlService Holdings Inc.    10,892       339
* StoneCo. Ltd. Class A    19,662       338
* ASGN Inc.     3,346       332
* MasTec Inc.     4,354       329
  Franklin Electric Co. Inc.     3,149       327
  GATX Corp.     2,563       325
  Louisiana-Pacific Corp.     4,334       321
* Modine Manufacturing Co.     3,582       321
    Shares Market
Value

($000)
  MSC Industrial Direct Co. Inc. Class A     3,145       317
  Zurn Elkay Water Solutions Corp.     9,980       317
  Herc Holdings Inc.     1,991       316
  Valmont Industries Inc.     1,475       313
  Badger Meter Inc.     1,950       309
* Shift4 Payments Inc. Class A     3,764       309
  Moog Inc. Class A     2,016       302
  HB Fuller Co.     3,782       301
* Knife River Corp.     4,006       297
  MDU Resources Group Inc.    13,581       294
  Air Lease Corp.     7,194       288
  Exponent Inc.     3,554       287
* TriNet Group Inc.     2,230       285
* Itron Inc.     3,040       282
  Kadant Inc.       824       278
  EnerSys     2,949       271
  Matson Inc.     2,441       271
  Brink's Co.     3,264       270
* GMS Inc.     2,985       267
  Terex Corp.     4,635       266
* CBIZ Inc.     3,483       263
  Otter Tail Corp.     2,871       260
  Silgan Holdings Inc.     5,917       260
  Belden Inc.     3,000       256
* Dycom Industries Inc.     2,027       256
  Encore Wire Corp.     1,058       255
  Insperity Inc.     2,504       255
  ManpowerGroup Inc.     3,526       254
  CSW Industrials Inc.     1,091       251
* ACI Worldwide Inc.     7,535       248
* Alight Inc. Class A    27,553       248
  ArcBest Corp.     1,693       242
  Korn Ferry     3,776       240
  Hillenbrand Inc.     4,974       237
* Resideo Technologies Inc.    10,400       232
  Enpro Inc.     1,483       231
* Sterling Infrastructure Inc.     2,139       228
  John Bean Technologies Corp.     2,238       227
  Scorpio Tankers Inc.     3,343       224
* Marqeta Inc. Class A    34,049       222
* Flywire Corp.     7,686       218
  McGrath RentCorp.     1,735       216
* AeroVironment Inc.     1,695       215
  Griffon Corp.     3,006       215
* Verra Mobility Corp.     9,841       213
  Albany International Corp. Class A     2,261       212
* Masonite International Corp.     1,601       209
  ICF International Inc.     1,336       207
  Crane NXT Co.     3,503       205
* Spirit AeroSystems Holdings Inc. Class A     6,941       199
  ABM Industries Inc.     4,741       196
* PagSeguro Digital Ltd. Class A    13,942       194
* Remitly Global Inc.     9,427       194
  ESCO Technologies Inc.     1,894       193
* Hub Group Inc. Class A     4,496       191
* MYR Group Inc.     1,160       188
  Werner Enterprises Inc.     4,588       184
  UniFirst Corp.     1,080       182
 
22

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
  Patrick Industries Inc.     1,503       180
* RXO Inc.     8,262       178
  Mueller Water Products Inc. Class A    11,370       177
* O-I Glass Inc.    10,348       175
* Gibraltar Industries Inc.     2,240       173
  EVERTEC Inc.     4,761       172
* Kratos Defense & Security Solutions Inc.     9,307       170
* AAR Corp.     2,519       168
* PGT Innovations Inc.     3,948       165
* Masterbrand Inc.     9,484       164
  Granite Construction Inc.     3,055       157
  Vestis Corp.     8,354       157
  Alamo Group Inc.       759       154
  Kennametal Inc.     6,055       153
* OSI Systems Inc.     1,168       153
  Tennant Co.     1,340       152
* AMN Healthcare Services Inc.     2,703       152
  Trinity Industries Inc.     5,952       151
  Standex International Corp.       841       146
* Hillman Solutions Corp.    14,813       144
* Mirion Technologies Inc.    14,696       144
  Enerpac Tool Group Corp.     4,126       139
* Huron Consulting Group Inc.     1,407       138
  International Seaways Inc.     2,569       136
  Primoris Services Corp.     3,417       135
  Textainer Group Holdings Ltd.     2,670       133
* Hayward Holdings Inc.     8,968       133
* AvidXchange Holdings Inc.     9,949       132
* Construction Partners Inc. Class A     2,715       131
  Bread Financial Holdings Inc.     3,361       129
  H&E Equipment Services Inc.     2,153       122
  AZZ Inc.     1,637       119
* CoreCivic Inc.     7,842       119
* Cimpress plc     1,213       119
* Bloom Energy Corp. Class A    13,458       118
* Mercury Systems Inc.     3,962       118
* Gates Industrial Corp. plc     7,712       114
  Barnes Group Inc.     3,221       113
* Joby Aviation Inc.    19,913       112
  Golden Ocean Group Ltd.     8,549       110
  Powell Industries Inc.       582       108
  Greif Inc. Class A     1,644       106
* JELD-WEN Holding Inc.     5,768       105
  ADT Inc.    14,452       105
* Leonardo DRS Inc.     4,631       105
* Donnelley Financial Solutions Inc.     1,610       104
  SFL Corp. Ltd.     7,821       104
  Greenbrier Cos. Inc.     1,995       103
  DHT Holdings Inc.     9,381       102
  Napco Security Technologies Inc.     2,245       101
  Helios Technologies Inc.     2,253        99
* Legalzoom.com Inc.     7,952        99
* NCR Atleos Corp.     4,533        99
* American Woodmark Corp.       964        97
* NV5 Global Inc.       922        94
  Kforce Inc.     1,298        90
  Lindsay Corp.       736        88
    Shares Market
Value

($000)
  Teekay Tankers Ltd. Class A     1,592        87
* Rocket Lab USA Inc.    19,000        87
* Payoneer Global Inc.    17,751        86
  Kaman Corp.     1,859        85
  Schneider National Inc. Class B     3,513        83
  Wabash National Corp.     3,024        83
  Dorian LPG Ltd.     2,301        83
* Montrose Environmental Group Inc.     1,970        82
* Enovix Corp.     8,402        82
  Columbus McKinnon Corp.     1,935        81
* Janus International Group Inc.     5,453        78
  Marten Transport Ltd.     4,057        76
  Apogee Enterprises Inc.     1,214        69
* BlueLinx Holdings Inc.       545        69
  TriMas Corp.     2,877        68
* IES Holdings Inc.       583        64
  VSE Corp.       870        64
  Quanex Building Products Corp.     1,813        63
  Astec Industries Inc.     1,539        62
* Thermon Group Holdings Inc.     2,274        62
  Genco Shipping & Trading Ltd.     3,052        62
* Energy Recovery Inc.     3,882        61
  Forward Air Corp.     1,634        61
* Proto Labs Inc.     1,684        61
  Gorman-Rupp Co.     1,617        60
* Transcat Inc.       560        59
  First Advantage Corp.     3,750        59
  Barrett Business Services Inc.       475        58
* Blue Bird Corp.     1,720        58
* ZipRecruiter Inc. Class A     4,593        58
  CRA International Inc.       429        57
  Deluxe Corp.     2,958        57
* SP Plus Corp.     1,083        56
* Triumph Group Inc.     4,050        56
* Aurora Innovation Inc.    21,959        56
* Aspen Aerogels Inc.     3,116        54
  Nordic American Tankers Ltd.    12,940        53
* Vicor Corp.     1,389        52
  Flex LNG Ltd.     2,043        52
  Cadre Holdings Inc.     1,392        50
* CryoPort Inc.     2,772        49
  Ardmore Shipping Corp.     3,012        49
* Archer Aviation Inc. Class A    10,055        49
  Ennis Inc.     2,349        48
* Repay Holdings Corp.     5,478        48
  Heidrick & Struggles International Inc.     1,388        47
  Kelly Services Inc. Class A     1,922        47
* Hudson Technologies Inc.     3,145        46
  Pitney Bowes Inc.    11,314        46
* Air Transport Services Group Inc.     3,715        45
  Myers Industries Inc.     2,324        45
  Insteel Industries Inc.     1,172        43
  REV Group Inc.     2,082        43
*,1 PureCycle Technologies Inc.     7,371        43
* CECO Environmental Corp.     1,835        42
  Cass Information Systems Inc.       864        42
* Titan International Inc.     3,265        42
 
23

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
  Argan Inc.       868        41
  Heartland Express Inc.     3,236        41
* Cross Country Healthcare Inc.     2,216        40
* Ducommun Inc.       829        40
  Hyster-Yale Materials Handling Inc.       679        40
* International Money Express Inc.     1,971        39
* Virgin Galactic Holdings Inc.    22,313        39
  Eagle Bulk Shipping Inc.       629        39
* Conduent Inc.    11,184        38
* Tutor Perini Corp.     3,300        37
  Pactiv Evergreen Inc.     2,495        37
* Sterling Check Corp.     2,383        37
* Astronics Corp.     1,888        36
* Great Lakes Dredge & Dock Corp.     3,998        36
  Douglas Dynamics Inc.     1,389        35
  Mesa Laboratories Inc.       319        35
* Titan Machinery Inc.     1,371        35
* I3 Verticals Inc. Class A     1,578        34
  United States Lime & Minerals Inc.       134        34
* Evolv Technologies Holdings Inc.     7,089        34
* Paysafe Ltd.     2,353        34
  Costamare Inc.     2,899        33
* Franklin Covey Co.       826        32
* Vishay Precision Group Inc.       928        32
  Ardagh Metal Packaging SA     9,888        32
  Miller Industries Inc.       679        31
  Resources Connection Inc.     2,215        31
  Covenant Logistics Group Inc.       616        30
* DXP Enterprises Inc.       844        30
* FARO Technologies Inc.     1,357        30
* Manitowoc Co. Inc.     2,112        29
  Greif Inc. Class B       437        28
  National Presto Industries Inc.       367        28
* Teekay Corp.     3,706        28
* Limbach Holdings Inc.       576        28
* Nikola Corp.    37,327        28
* Cantaloupe Inc.     4,230        28
  FTAI Infrastructure Inc.     6,138        28
* V2X Inc.       707        27
* Custom Truck One Source Inc.     4,028        26
* Atmus Filtration Technologies Inc.     1,096        26
* Advantage Solutions Inc.     6,500        25
  Allient Inc.       828        24
* Green Dot Corp. Class A     2,762        23
  LSI Industries Inc.     1,614        23
* TrueBlue Inc.     1,922        23
* Distribution Solutions Group Inc.       697        22
  Overseas Shipholding Group Inc. Class A     3,578        22
  Preformed Line Products Co.       161        22
* BrightView Holdings Inc.     2,467        21
* Daseke Inc.     2,552        21
* Target Hospitality Corp.     2,207        21
  Shyft Group Inc.     1,995        21
    Shares Market
Value

($000)
  TTEC Holdings Inc.     1,162        20
  Safe Bulkers Inc.     4,305        20
* Hyliion Holdings Corp.    10,961        20
* Bowman Consulting Group Ltd.       626        20
  Luxfer Holdings plc     1,767        18
  Pangaea Logistics Solutions Ltd.     2,203        18
  Karat Packaging Inc.       611        18
  Himalaya Shipping Ltd.     2,120        17
  Park Aerospace Corp.     1,034        16
* Ranpak Holdings Corp.     3,411        16
* Blade Air Mobility Inc.     4,858        15
* Forrester Research Inc.       688        14
* Iteris Inc.     2,617        14
  Universal Logistics Holdings Inc.       411        14
* Willdan Group Inc.       671        14
* Luna Innovations Inc.     2,002        14
* Aersale Corp.     1,555        14
* Hireright Holdings Corp.     1,008        14
* Commercial Vehicle Group Inc.     1,955        13
  Park-Ohio Holdings Corp.       499        13
* Radiant Logistics Inc.     2,268        13
*,1 Microvast Holdings Inc.    15,051        13
*,1 Ispire Technology Inc.     1,245        13
* Concrete Pumping Holdings Inc.     1,463        12
* SoundThinking Inc.       693        12
*,1 Desktop Metal Inc. Class A    18,973        12
* Performant Financial Corp.     4,180        12
* Global Business Travel Group I     1,974        12
* Mistras Group Inc.     1,253        11
  Quad/Graphics Inc.     1,804        11
* IBEX Holdings Ltd.       659        11
* CS Disco Inc.     1,646        11
* Gencor Industries Inc.       618        10
* BlackSky Technology Inc.     7,353        10
* Acacia Research Corp.     2,318         9
* Core Molding Technologies Inc.       472         9
  Trinseo plc     2,072         9
  Information Services Group Inc.     1,830         8
* Paysign Inc.     2,701         8
* Willis Lease Finance Corp.       157         8
* Mayville Engineering Co. Inc.       676         8
* Danimer Scientific Inc.     6,206         8
* PAM Transportation Services Inc.       385         7
* DHI Group Inc.     2,151         6
  EVI Industries Inc.       295         6
  Ardagh Group SA       848         6
*,1 Eos Energy Enterprises Inc.     6,780         6
* Eve Holding Inc.     1,141         6
*,3 Tingo Group Inc.     7,712         5
* CPI Card Group Inc.       267         5
* CompoSecure Inc.       993         5
* Terran Orbital Corp.     4,983         5
* SKYX Platforms Corp.     3,581         5
* 374Water Inc.     3,713         5
* Babcock & Wilcox Enterprises Inc.     3,348         4
* Workhorse Group Inc.    13,365         4
 
24

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
  Hirequest Inc.       327         4
* INNOVATE Corp.     4,291         3
* Velo3D Inc.     6,622         2
        446,579
Other (0.0%)4
*,3 Aduro Biotech Inc. CVR       656        —
*,3 Empire Resorts Inc.       229        —
             —
Real Estate (2.7%)
  Prologis Inc.    63,780     8,500
  American Tower Corp.    32,157     6,395
  Equinix Inc.     6,447     5,730
  Welltower Inc.    36,923     3,403
  Simon Property Group Inc.    22,422     3,322
  Crown Castle Inc.    29,912     3,289
  Public Storage    10,836     3,076
  Digital Realty Trust Inc.    20,784     3,051
  Realty Income Corp.    57,539     2,998
* CoStar Group Inc.    28,012     2,438
  VICI Properties Inc.    71,058     2,127
  Extra Space Storage Inc.    14,470     2,040
* CBRE Group Inc. Class A    20,833     1,914
  Weyerhaeuser Co.    50,302     1,729
  AvalonBay Communities Inc.     9,692     1,716
  Iron Mountain Inc.    19,834     1,560
  SBA Communications Corp.     7,376     1,543
  Equity Residential    25,493     1,535
  Alexandria Real Estate Equities Inc.    11,757     1,466
  Invitation Homes Inc.    41,857     1,426
  Ventas Inc.    27,480     1,162
  Sun Communities Inc.     8,440     1,129
  Essex Property Trust Inc.     4,388     1,015
  Host Hotels & Resorts Inc.    48,494     1,006
  Mid-America Apartment Communities Inc.     7,983     1,003
  Kimco Realty Corp.    45,039       890
  American Homes 4 Rent Class A    23,285       862
  Equity LifeStyle Properties Inc.    12,234       824
  WP Carey Inc.    14,585       822
  UDR Inc.    23,093       820
  Gaming and Leisure Properties Inc.    17,528       797
  Regency Centers Corp.    12,357       766
  Rexford Industrial Realty Inc.    14,373       731
  Boston Properties Inc.    10,824       701
  Camden Property Trust     7,078       669
  CubeSmart    15,298       667
  Lamar Advertising Co. Class A     5,923       655
  Healthpeak Properties Inc.    37,405       627
* Jones Lang LaSalle Inc.     3,237       616
* Zillow Group Inc. Class C    10,029       563
  Federal Realty Investment Trust     5,454       550
  EastGroup Properties Inc.     3,082       541
  Omega Healthcare Investors Inc.    16,621       517
  NNN REIT Inc.    12,498       509
  Ryman Hospitality Properties Inc.     4,038       478
    Shares Market
Value

($000)
  First Industrial Realty Trust Inc.     8,924       473
  Americold Realty Trust Inc.    18,431       466
  Brixmor Property Group Inc.    20,412       461
  STAG Industrial Inc.    12,295       457
  Agree Realty Corp.     6,974       383
  Healthcare Realty Trust Inc.    26,636       367
  Terreno Realty Corp.     5,565       358
  Rayonier Inc.     9,850       339
  Vornado Realty Trust    12,380       326
  Kite Realty Group Trust    14,925       320
  Kilroy Realty Corp.     8,253       313
  Apartment Income REIT Corp.    10,172       308
  Phillips Edison & Co. Inc.     7,804       279
  Essential Properties Realty Trust Inc.    11,158       267
  Macerich Co.    15,474       254
  PotlatchDeltic Corp.     5,588       253
  Park Hotels & Resorts Inc.    15,130       251
  Cousins Properties Inc.    10,837       247
  Apple Hospitality REIT Inc.    14,913       240
* Zillow Group Inc. Class A     4,347       235
  Independence Realty Trust Inc.    15,986       234
  SL Green Realty Corp.     4,548       220
  DigitalBridge Group Inc.    11,624       214
  Sabra Health Care REIT Inc.    15,349       213
  EPR Properties     5,008       206
  Tanger Inc.     7,164       206
  National Storage Affiliates Trust     5,717       205
  Broadstone Net Lease Inc.    13,533       202
  COPT Defense Properties     8,221       199
* Howard Hughes Holdings Inc.     2,549       195
  Innovative Industrial Properties Inc.     1,969       193
  Hannon Armstrong Sustainable Infrastructure Capital Inc.     7,562       190
  Physicians Realty Trust    16,872       189
  SITE Centers Corp.    13,865       188
  Highwoods Properties Inc.     7,543       184
  LXP Industrial Trust    21,178       183
  Medical Properties Trust Inc.    42,910       181
  National Health Investors Inc.     3,000       172
  Sunstone Hotel Investors Inc.    15,018       168
  Four Corners Property Trust Inc.     6,526       158
  CareTrust REIT Inc.     6,966       157
  Douglas Emmett Inc.    11,616       154
  Outfront Media Inc.    10,613       152
  Urban Edge Properties     8,318       141
  St. Joe Co.     2,536       137
* Equity Commonwealth     6,882       130
  InvenTrust Properties Corp.     5,163       130
  DiamondRock Hospitality Co.    13,697       129
  JBG SMITH Properties     7,632       127
* Opendoor Technologies Inc.    39,839       123
  Pebblebrook Hotel Trust     7,671       121
  RLJ Lodging Trust    10,177       121
 
25

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
  Retail Opportunity Investments Corp.     9,034       117
  Acadia Realty Trust     7,088       116
  Xenia Hotels & Resorts Inc.     7,243       111
* Cushman & Wakefield plc    10,939       109
  Global Net Lease Inc.    14,522       105
* GEO Group Inc.     8,251       101
  Newmark Group Inc. Class A     9,377       101
  Uniti Group Inc.    16,350        96
  Getty Realty Corp.     3,585        94
  LTC Properties Inc.     2,909        92
  Empire State Realty Trust Inc. Class A     8,744        87
  Elme Communities     6,080        78
  Easterly Government Properties Inc.     6,507        77
  Veris Residential Inc.     5,244        77
* Compass Inc. Class A    18,894        75
  NETSTREIT Corp.     4,415        74
  American Assets Trust Inc.     3,293        71
  Service Properties Trust    10,444        71
* Apartment Investment and Management Co. Class A     9,545        70
  Alexander & Baldwin Inc.     4,215        69
  Kennedy-Wilson Holdings Inc.     7,734        68
  Safehold Inc.     3,356        68
  Plymouth Industrial REIT Inc.     3,078        66
  eXp World Holdings Inc.     4,774        63
  Hudson Pacific Properties Inc.     9,239        59
  UMH Properties Inc.     3,736        58
  Marcus & Millichap Inc.     1,519        56
  Paramount Group Inc.    12,686        56
  Diversified Healthcare Trust    16,657        55
* Redfin Corp.     7,618        54
  Centerspace       961        53
  Piedmont Office Realty Trust Inc. Class A     7,992        50
  Community Healthcare Trust Inc.     1,756        48
  Armada Hoffler Properties Inc.     4,640        47
  Brandywine Realty Trust    10,781        46
  Summit Hotel Properties Inc.     7,101        46
* Anywhere Real Estate Inc.     7,081        44
  NexPoint Residential Trust Inc.     1,423        42
  Whitestone REIT     3,328        41
* Forestar Group Inc.     1,192        40
  CBL & Associates Properties Inc.     1,753        40
  Gladstone Commercial Corp.     2,971        37
  Farmland Partners Inc.     2,872        34
  Alexander's Inc.       148        33
  Chatham Lodging Trust     3,272        33
  Global Medical REIT Inc.     3,729        33
  Peakstone Realty Trust REIT     2,370        33
  Universal Health Realty Income Trust       833        32
  Gladstone Land Corp.     2,242        29
    Shares Market
Value

($000)
  Ares Commercial Real Estate Corp.     3,316        25
* FRP Holdings Inc.       413        25
  Saul Centers Inc.       696        25
  RMR Group Inc. Class A       942        23
  Postal Realty Trust Inc. Class A     1,613        23
  NET Lease Office Properties       948        23
  One Liberty Properties Inc.     1,066        22
* Tejon Ranch Co.     1,292        21
  CTO Realty Growth Inc.     1,042        18
  Alpine Income Property Trust Inc.     1,042        16
  City Office REIT Inc.     3,154        14
  Orion Office REIT Inc.     3,807        13
* Star Holdings     1,044        13
  BRT Apartments Corp.       726        11
  Douglas Elliman Inc.     5,968        11
  Braemar Hotels & Resorts Inc.     4,387        10
  RE/MAX Holdings Inc. Class A     1,114         9
* Maui Land & Pineapple Co. Inc.       466         9
  Office Properties Income Trust     3,078         8
* Stratus Properties Inc.       305         7
  Clipper Realty Inc.     1,258         6
* Transcontinental Realty Investors Inc.       137         5
         93,789
Technology (32.0%)
  Microsoft Corp.   513,560   212,429
  Apple Inc. 1,017,599   183,931
  NVIDIA Corp.   163,971   129,721
  Meta Platforms Inc. Class A   152,650    74,818
* Alphabet Inc. Class A   409,501    56,700
* Alphabet Inc. Class C   346,932    48,494
  Broadcom Inc.    29,750    38,690
* Advanced Micro Devices Inc.   110,635    21,301
* Salesforce Inc.    65,331    20,176
* Adobe Inc.    31,625    17,719
  Intel Corp.   291,227    12,537
  Intuit Inc.    18,863    12,504
  QUALCOMM Inc.    76,979    12,147
  Oracle Corp.   106,505    11,894
  Applied Materials Inc.    57,669    11,627
  International Business Machines Corp.    62,691    11,600
* ServiceNow Inc.    14,062    10,847
  Texas Instruments Inc.    62,583    10,472
  Lam Research Corp.     9,082     8,521
  Micron Technology Inc.    75,424     6,834
  Analog Devices Inc.    34,349     6,589
  KLA Corp.     9,475     6,465
* Palo Alto Networks Inc.    20,812     6,463
* Synopsys Inc.    10,493     6,020
* Cadence Design Systems Inc.    18,680     5,686
* Crowdstrike Holdings Inc. Class A    14,698     4,764
  Amphenol Corp. Class A    40,203     4,392
  Marvell Technology Inc.    58,813     4,215
* Snowflake Inc. Class A    21,638     4,074
 
26

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
* Workday Inc. Class A    13,817     4,071
  Roper Technologies Inc.     7,279     3,965
* Autodesk Inc.    14,799     3,821
* Palantir Technologies Inc. Class A   131,725     3,304
* Fortinet Inc.    45,229     3,126
  Microchip Technology Inc.    36,991     3,112
  Cognizant Technology Solutions Corp. Class A    34,915     2,759
* Super Micro Computer Inc.     3,176     2,751
* DoorDash Inc. Class A    21,203     2,641
* Datadog Inc. Class A    18,895     2,484
* Gartner Inc.     5,286     2,461
* ON Semiconductor Corp.    29,837     2,355
  CDW Corp.     9,281     2,285
  Monolithic Power Systems Inc.     3,161     2,276
* Atlassian Corp. Ltd. Class A    10,729     2,225
* MongoDB Inc.     4,592     2,055
* ANSYS Inc.     5,977     1,997
* Cloudflare Inc. Class A    19,918     1,963
* HubSpot Inc.     3,140     1,943
  Corning Inc.    52,559     1,694
  HP Inc.    59,333     1,681
* Splunk Inc.    10,674     1,667
  Vertiv Holdings Co. Class A    23,512     1,590
* Pinterest Inc. Class A    40,129     1,473
* Zscaler Inc.     6,058     1,466
* PTC Inc.     7,828     1,433
  Entegris Inc.    10,211     1,372
  Hewlett Packard Enterprise Co.    87,866     1,338
* Western Digital Corp.    22,347     1,329
  NetApp Inc.    14,399     1,283
* Tyler Technologies Inc.     2,854     1,248
* Zoom Video Communications Inc. Class A    17,431     1,233
  Jabil Inc.     8,529     1,229
  Leidos Holdings Inc.     9,415     1,204
* VeriSign Inc.     6,117     1,195
* EPAM Systems Inc.     3,831     1,166
  Skyworks Solutions Inc.    11,047     1,159
* GoDaddy Inc. Class A    10,069     1,149
* Akamai Technologies Inc.    10,239     1,136
* Okta Inc.    10,485     1,125
  Teradyne Inc.    10,590     1,097
* Manhattan Associates Inc.     4,243     1,075
* Nutanix Inc. Class A    16,645     1,051
* Pure Storage Inc. Class A    19,485     1,026
  SS&C Technologies Holdings Inc.    14,909       951
* MicroStrategy Inc. Class A       844       863
* AppLovin Corp. Class A    14,376       859
  Gen Digital Inc. (XNGS)    38,023       817
* Dynatrace Inc.    16,467       816
* Qorvo Inc.     6,705       768
* F5 Inc.     4,020       753
* DocuSign Inc.    13,857       738
  Amdocs Ltd.     8,003       730
* Elastic NV     5,431       727
* Lattice Semiconductor Corp.     9,344       716
* Ceridian HCM Holding Inc.    10,207       712
* Twilio Inc. Class A    11,584       690
* Match Group Inc.    19,095       688
    Shares Market
Value

($000)
  Bentley Systems Inc. Class B    13,322       684
* Guidewire Software Inc.     5,550       662
  Paycom Software Inc.     3,523       643
* Globant SA     2,817       629
* UiPath Inc. Class A    26,014       618
* Onto Innovation Inc.     3,311       610
* Unity Software Inc.    19,923       584
* CACI International Inc. Class A     1,498       562
  Universal Display Corp.     3,215       561
  KBR Inc.     9,252       555
* Toast Inc. Class A    24,128       555
* Fabrinet     2,480       535
* Coherent Corp.     8,836       526
  Science Applications International Corp.     3,575       500
* SPS Commerce Inc.     2,554       473
* SentinelOne Inc. Class A    16,315       460
* Arrow Electronics Inc.     3,841       451
* Confluent Inc. Class A    13,083       443
* Rambus Inc.     7,367       436
* Procore Technologies Inc.     5,572       435
* Qualys Inc.     2,498       429
* Gitlab Inc. Class A     5,955       429
* Dropbox Inc. Class A    17,874       428
* Novanta Inc.     2,424       419
  TD SYNNEX Corp.     3,928       408
* Tenable Holdings Inc.     7,947       383
* Varonis Systems Inc.     7,407       376
* Smartsheet Inc. Class A     8,839       373
* Aspen Technology Inc.     1,890       366
* Insight Enterprises Inc.     1,908       359
* Cirrus Logic Inc.     3,870       355
* Kyndryl Holdings Inc.    15,959       351
* ZoomInfo Technologies Inc.    20,444       343
  Dolby Laboratories Inc. Class A     4,142       335
* Appfolio Inc. Class A     1,371       332
* MACOM Technology Solutions Holdings Inc.     3,684       325
* Altair Engineering Inc. Class A     3,790       322
* DXC Technology Co.    14,449       316
*,1 GLOBALFOUNDRIES Inc.     5,593       306
* Silicon Laboratories Inc.     2,216       305
* IAC Inc.     5,274       300
* CommVault Systems Inc.     3,104       297
* Five9 Inc.     4,850       296
* Workiva Inc.     3,408       293
* DoubleVerify Holdings Inc.     9,497       293
  Avnet Inc.     6,096       284
* Synaptics Inc.     2,765       277
  Power Integrations Inc.     3,840       274
  Advanced Energy Industries Inc.     2,658       269
* Alarm.com Holdings Inc.     3,391       257
* Box Inc. Class A     9,928       256
* Sanmina Corp.     4,017       254
* Axcelis Technologies Inc.     2,242       253
* Teradata Corp.     6,651       250
* Rapid7 Inc.     4,247       249
* FormFactor Inc.     5,456       235
* Freshworks Inc. Class A    11,508       235
  Amkor Technology Inc.     7,501       233
* Blackline Inc.     4,081       232
* Ziff Davis Inc.     3,343       230
 
27

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
*,1 Clarivate plc    31,896       229
* Wolfspeed Inc.     8,704       226
* Parsons Corp.     2,786       225
  Concentrix Corp.     3,080       223
* Diodes Inc.     3,168       215
* Sprout Social Inc. Class A     3,439       213
*,1 C3.ai Inc. Class A     5,724       212
* Alteryx Inc. Class A     4,390       211
* Blackbaud Inc.     3,051       211
  Dun & Bradstreet Holdings Inc.    19,636       207
* Braze Inc. Class A     3,641       207
  Vishay Intertechnology Inc.     9,342       203
* RingCentral Inc. Class A     5,992       200
  Pegasystems Inc.     2,960       193
  Kulicke & Soffa Industries Inc.     3,968       189
* Plexus Corp.     1,982       187
* Envestnet Inc.     3,579       184
* Q2 Holdings Inc.     3,990       184
* Yelp Inc.     4,776       184
* IPG Photonics Corp.     2,118       183
* Impinj Inc.     1,671       182
* HashiCorp Inc. Class A     6,995       182
* CCC Intelligent Solutions Holdings Inc.    14,571       171
* DigitalOcean Holdings Inc.     4,488       170
* Cleanspark Inc.    10,136       169
* LiveRamp Holdings Inc.     4,792       168
* Credo Technology Group Holding Ltd.     7,788       168
* Allegro MicroSystems Inc.     5,310       167
* ePlus Inc.     1,980       163
  Progress Software Corp.     3,017       161
* PagerDuty Inc.     6,546       158
* Perficient Inc.     2,433       158
  Xerox Holdings Corp.     8,124       152
* Cargurus Inc.     6,839       151
* Ambarella Inc.     2,696       151
* nCino Inc.     5,020       150
* Rogers Corp.     1,253       140
* NCR Voyix Corp.     9,180       134
* Verint Systems Inc.     4,222       133
* Veeco Instruments Inc.     3,459       125
  CSG Systems International Inc.     2,258       123
* Ultra Clean Holdings Inc.     2,844       123
* Fastly Inc. Class A     8,430       120
* Photronics Inc.     4,172       120
* IonQ Inc.    11,274       117
* Cohu Inc.     3,546       114
* Squarespace Inc. Class A     3,415       114
* Sitime Corp.     1,219       113
  Clear Secure Inc. Class A     5,893       113
* Magnite Inc.     9,249       111
* Appian Corp. Class A     3,141       109
* PROS Holdings Inc.     3,021       108
* Upwork Inc.     8,081       106
* Asana Inc. Class A     5,355       105
* TTM Technologies Inc.     6,911       103
* NetScout Systems Inc.     4,666       101
* Agilysys Inc.     1,258        98
* Zeta Global Holdings Corp. Class A     9,325        98
* MaxLinear Inc.     4,928        96
* Informatica Inc. Class A     2,927        95
* ACM Research Inc. Class A     3,037        94
    Shares Market
Value

($000)
* Paycor HCM Inc.     4,438        94
* Schrodinger Inc.     3,657        93
* Semtech Corp.     4,251        90
  CTS Corp.     1,997        89
* Sprinklr Inc. Class A     6,779        88
* Ichor Holdings Ltd.     1,951        83
* Jamf Holding Corp.     4,624        83
  Adeia Inc.     7,331        83
* Everbridge Inc.     2,855        81
* PAR Technology Corp.     1,780        78
  Shutterstock Inc.     1,587        77
* AvePoint Inc.     9,615        77
* Bumble Inc. Class A     6,544        75
* Intapp Inc.     1,878        74
* PDF Solutions Inc.     2,144        73
* ScanSource Inc.     1,646        71
* Zuora Inc. Class A     8,666        70
* Alkami Technology Inc.     2,787        70
* Couchbase Inc.     2,474        69
* N-Able Inc.     4,959        67
* Model N Inc.     2,689        66
* SMART Global Holdings Inc.     3,068        65
*,1 SoundHound AI Inc. Class A     8,818        65
  Benchmark Electronics Inc.     2,042        63
* indie Semiconductor Inc. Class A    10,225        63
  Sapiens International Corp. NV     1,989        61
  A10 Networks Inc.     4,476        60
* Amplitude Inc. Class A     4,831        57
* PubMatic Inc. Class A     2,696        56
  PC Connection Inc.       793        53
* TechTarget Inc.     1,656        53
* Grid Dynamics Holdings Inc.     3,906        53
* Vimeo Inc.    10,464        50
* Maplebear Inc.     1,496        49
  Methode Electronics Inc.     2,229        47
* E2open Parent Holdings Inc.    10,838        46
* Navitas Semiconductor Corp.     7,306        45
* nLight Inc.     3,246        43
  Simulations Plus Inc.     1,036        43
* Xometry Inc. Class A     2,220        43
* SolarWinds Corp.     3,526        42
  Hackett Group Inc.     1,626        40
* Yext Inc.     6,542        39
* 3D Systems Corp.     9,178        38
* Cerence Inc.     2,531        38
* CEVA Inc.     1,626        37
* Mediaalpha Inc. Class A     1,762        37
* Olo Inc. Class A     6,442        37
* BigCommerce Holdings Inc. Series 1     4,595        36
* NerdWallet Inc. Class A     2,127        36
* Bandwidth Inc. Class A     1,703        35
* Kimball Electronics Inc.     1,555        35
* Matterport Inc.    15,700        33
* SmartRent Inc.    11,550        33
* Mitek Systems Inc.     2,750        32
* Alpha & Omega Semiconductor Ltd.     1,406        31
* Aehr Test Systems     1,923        31
* Digimarc Corp.       851        30
 
28

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
* Eventbrite Inc. Class A     5,327        30
* MeridianLink Inc.     1,606        30
* EverQuote Inc. Class A     1,754        28
* Definitive Healthcare Corp.     2,800        27
  American Software Inc. Class A     2,322        26
*,1 MicroVision Inc.    11,180        26
  NVE Corp.       294        25
* OneSpan Inc.     2,627        25
* Weave Communications Inc.     2,002        25
* Planet Labs PBC    11,578        25
* SEMrush Holdings Inc. Class A     1,941        24
* Applied Digital Corp.     5,532        23
* Domo Inc. Class B     1,888        22
* Unisys Corp.     4,230        22
* Enfusion Inc. Class A     2,534        22
* Daktronics Inc.     2,427        21
* TrueCar Inc.     5,914        21
* Grindr Inc.     2,516        21
* Nextdoor Holdings Inc.     8,922        20
* Digital Turbine Inc.     5,920        19
* Bit Digital Inc.     7,171        19
* Consensus Cloud Solutions Inc.     1,173        19
* Thoughtworks Holding Inc.     5,432        17
* Terawulf Inc.     9,041        17
* Red Violet Inc.       895        16
  ON24 Inc.     2,209        15
* NextNav Inc.     3,566        15
* Viant Technology Inc. Class A     1,513        14
* EverCommerce Inc.     1,398        14
* Transphorm Inc.     2,954        14
  Immersion Corp.     1,921        13
* Rimini Street Inc.     3,927        13
* Tucows Inc. Class A       649        12
* Innodata Inc.     1,584        12
* Asure Software Inc.     1,181        11
* SkyWater Technology Inc.       962        11
* Cipher Mining Inc.     3,610        11
* Rackspace Technology Inc.     4,643        10
* BigBear.ai Holdings Inc.     2,825         9
* inTEST Corp.       679         8
* Vivid Seats Inc. Class A     1,407         8
* Intevac Inc.     1,761         7
* LivePerson Inc.     5,315         7
* Expensify Inc. Class A     3,439         7
* eGain Corp.     1,020         6
* CoreCard Corp.       435         6
* Atomera Inc.     1,030         6
  Richardson Electronics Ltd.       731         6
* FiscalNote Holdings Inc.     3,899         6
* Brightcove Inc.     2,465         5
* Aeva Technologies Inc.     5,329         5
      1,093,567
Telecommunications (2.0%)
  Cisco Systems Inc.   279,406    13,515
  Comcast Corp. Class A   275,473    11,804
  Verizon Communications Inc.   290,243    11,616
  AT&T Inc.   493,637     8,357
  T-Mobile US Inc.    36,085     5,893
* Arista Networks Inc.    17,318     4,806
  Motorola Solutions Inc.    11,416     3,772
    Shares Market
Value

($000)
* Charter Communications Inc. Class A     6,941     2,040
  Juniper Networks Inc.    22,013       815
* Ciena Corp.    10,179       580
* Roku Inc.     8,443       533
* Liberty Broadband Corp. Class C     7,301       439
* Frontier Communications Parent Inc.    17,145       406
  Cogent Communications Holdings Inc.     3,137       254
  Iridium Communications Inc.     8,734       253
* Lumentum Holdings Inc.     4,763       231
  InterDigital Inc.     1,692       181
  Cable One Inc.       395       180
* ViaSat Inc.     8,480       166
* Viavi Solutions Inc.    16,457       157
* Calix Inc.     4,138       144
* Extreme Networks Inc.     9,150       116
* Lumen Technologies Inc.    71,767       116
  Telephone and Data Systems Inc.     7,190       110
* Liberty Broadband Corp. Class A     1,809       109
* EchoStar Corp. Class A     7,619       100
* Harmonic Inc.     7,628       100
* Globalstar Inc.    47,867        75
* Digi International Inc.     2,498        74
* Infinera Corp.    13,774        69
  Shenandoah Telecommunications Co.     3,241        61
* Liberty Latin America Ltd. Class C     8,683        57
* IDT Corp. Class B     1,131        42
* fuboTV Inc.    18,700        39
* Xperi Inc.     3,264        36
* Anterix Inc.       881        35
  Bel Fuse Inc. Class B       655        34
* Gogo Inc.     4,112        34
* NETGEAR Inc.     2,068        31
  Ubiquiti Inc.       259        30
* Lightwave Logic Inc.     7,102        30
  Adtran Holdings Inc.     4,742        27
* Clearfield Inc.       861        26
* Liberty Latin America Ltd. Class A     4,092        26
* Consolidated Communications Holdings Inc.     5,712        25
  ATN International Inc.       729        24
* Aviat Networks Inc.       681        24
* 8x8 Inc.     7,672        22
  Spok Holdings Inc.     1,081        19
* Ooma Inc.     1,790        18
* Ribbon Communications Inc.     6,111        18
* AST SpaceMobile Inc.     5,626        18
* CommScope Holding Co. Inc.    12,795        15
* Comtech Telecommunications Corp.     2,022        14
* WideOpenWest Inc.     3,435        14
* Kaltura Inc.     5,162         7
* KVH Industries Inc.     1,109         5
* Cambium Networks Corp.       952         4
* Akoustis Technologies Inc.     4,997         3
 
29

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
* DZS Inc.     1,615         2
*,3 GCI Liberty Inc.     5,064        —
         67,751
Utilities (2.4%)
  NextEra Energy Inc.   139,902     7,721
  Waste Management Inc.    28,055     5,769
  Southern Co.    75,213     5,058
  Duke Energy Corp.    53,227     4,888
  Constellation Energy Corp.    22,148     3,731
  Sempra    43,530     3,073
  American Electric Power Co. Inc.    35,416     3,017
  Dominion Energy Inc.    57,542     2,752
  Republic Services Inc.    14,165     2,601
  Exelon Corp.    68,391     2,451
  PG&E Corp.   140,359     2,343
  Public Service Enterprise Group Inc.    34,608     2,160
  Consolidated Edison Inc.    23,900     2,084
  Xcel Energy Inc.    37,819     1,993
  Edison International    25,885     1,761
  WEC Energy Group Inc.    21,625     1,697
  American Water Works Co. Inc.    13,382     1,586
  DTE Energy Co.    14,127     1,531
  Entergy Corp.    14,492     1,472
  Eversource Energy    24,021     1,410
  FirstEnergy Corp.    37,322     1,366
  Vistra Corp.    24,858     1,356
  PPL Corp.    50,727     1,338
  Ameren Corp.    17,949     1,278
  CenterPoint Energy Inc.    43,077     1,185
  CMS Energy Corp.    19,887     1,141
  Atmos Energy Corp.    10,052     1,135
  NRG Energy Inc.    15,505       858
  Alliant Energy Corp.    17,597       840
  Evergy Inc.    15,692       777
  NiSource Inc.    28,465       742
  AES Corp.    45,975       699
* Clean Harbors Inc.     3,453       629
  Essential Utilities Inc.    16,477       573
  Pinnacle West Capital Corp.     7,764       530
  OGE Energy Corp.    13,382       440
  UGI Corp.    14,719       360
* Stericycle Inc.     6,480       352
* Casella Waste Systems Inc. Class A     3,888       350
  IDACORP Inc.     3,523       310
  Southwest Gas Holdings Inc.     4,310       294
  National Fuel Gas Co.     5,918       288
  New Jersey Resources Corp.     6,731       280
  Brookfield Infrastructure Corp. Class A (XTSE)     8,394       278
  Portland General Electric Co.     6,814       274
  Black Hills Corp.     4,845       252
  Ormat Technologies Inc. (XNYS)     3,827       249
  ALLETE Inc.     4,155       235
1 Brookfield Renewable Corp. Class A     9,507       225
  Spire Inc.     3,717       220
  ONE Gas Inc.     3,588       214
  Northwestern Energy Group Inc.     4,403       211
    Shares Market
Value

($000)
  PNM Resources Inc.     5,657       207
  American States Water Co.     2,668       191
  Avista Corp.     5,572       185
  California Water Service Group     3,859       177
  MGE Energy Inc.     2,694       170
* Sunrun Inc.    13,985       168
  Chesapeake Utilities Corp.     1,526       156
  Avangrid Inc.     4,793       149
  SJW Group     2,377       131
  Clearway Energy Inc. Class C     4,534        99
  Northwest Natural Holding Co.     2,660        98
  Hawaiian Electric Industries Inc.     7,531        92
  Clearway Energy Inc. Class A     4,129        84
  Unitil Corp.     1,134        58
  Middlesex Water Co.     1,075        55
* Sunnova Energy International Inc.     6,850        50
  York Water Co.     1,387        49
* Enviri Corp.     5,539        44
  Consolidated Water Co. Ltd.       964        28
* Altus Power Inc.     3,603        25
  Genie Energy Ltd. Class B     1,253        23
  Aris Water Solutions Inc. Class A     1,895        23
  Artesian Resources Corp. Class A       649        22
  Excelerate Energy Inc. Class A     1,070        17
* Pure Cycle Corp.     1,166        12
  RGC Resources Inc.       516        10
*,1 NuScale Power Corp.     3,353        10
* Cadiz Inc.     2,631         8
* Vertex Energy Inc.     4,210         6
* Li-Cycle Holdings Corp.     9,005         3
         80,727
Total Common Stocks (Cost $2,399,647) 3,405,682
 
30

 

Russell 3000 Index Fund
    Shares Market
Value

($000)
Temporary Cash Investments (0.2%)
Money Market Fund (0.2%)
5,6 Vanguard Market Liquidity Fund, 5.400% (Cost $7,546)    75,479          7,547
Total Investments (99.9%) (Cost $2,407,193) 3,413,229
Other Assets and Liabilities—Net (0.1%) 2,573
Net Assets (100%) 3,415,802
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 $1,758,000.
2 Restricted securities totaling $10,000, representing 0.0% of net assets.
3 Security value determined using significant unobservable inputs.
4 “Other” represents securities that are not classified by the fund’s benchmark index.
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 $1,890,000 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 2024 13 1,337 14
E-mini S&P 500 Index March 2024 34 8,676 109
        123
  
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 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value1  
Unaffiliated Issuers (Cost $2,399,647) 3,405,682
Affiliated Issuers (Cost $7,546) 7,547
Total Investments in Securities 3,413,229
Investment in Vanguard 101
Cash 157
Cash Collateral Pledged—Futures Contracts 490
Receivables for Investment Securities Sold 51
Receivables for Accrued Income 4,447
Receivables for Capital Shares Issued 21
Variation Margin Receivable—Futures Contracts 48
Total Assets 3,418,544
Liabilities  
Payables for Investment Securities Purchased 197
Collateral for Securities on Loan 1,890
Payables for Capital Shares Redeemed 534
Payables to Vanguard 121
Total Liabilities 2,742
Net Assets 3,415,802
1 Includes $1,758,000 of securities on loan.  
At February 29, 2024, net assets consisted of:  
   
Paid-in Capital 2,522,180
Total Distributable Earnings (Loss) 893,622
Net Assets 3,415,802
 
ETF Shares—Net Assets  
Applicable to 9,950,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
2,253,853
Net Asset Value Per Share—ETF Shares $226.52
 
Institutional Shares—Net Assets  
Applicable to 2,649,953 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
1,161,949
Net Asset Value Per Share—Institutional Shares $438.48
  
See accompanying Notes, which are an integral part of the Financial Statements.
32

 

Russell 3000 Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Dividends1 22,228
Interest2 188
Securities Lending—Net 181
Total Income 22,597
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 32
Management and Administrative—ETF Shares 808
Management and Administrative—Institutional Shares 375
Marketing and Distribution—ETF Shares 51
Marketing and Distribution—Institutional Shares 21
Custodian Fees 54
Shareholders’ Reports—ETF Shares 20
Shareholders’ Reports—Institutional Shares 2
Trustees’ Fees and Expenses 1
Other Expenses 9
Total Expenses 1,373
Expenses Paid Indirectly (2)
Net Expenses 1,371
Net Investment Income 21,226
Realized Net Gain (Loss)  
Investment Securities Sold2,3 44,611
Futures Contracts 575
Realized Net Gain (Loss) 45,186
Change in Unrealized Appreciation (Depreciation)  
Investment Securities2 339,816
Futures Contracts 111
Change in Unrealized Appreciation (Depreciation) 339,927
Net Increase (Decrease) in Net Assets Resulting from Operations 406,339
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 $176,000, 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 $46,601,000 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 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 21,226   46,918
Realized Net Gain (Loss) 45,186   51,317
Change in Unrealized Appreciation (Depreciation) 339,927   334,616
Net Increase (Decrease) in Net Assets Resulting from Operations 406,339   432,851
Distributions      
ETF Shares (14,712)   (23,996)
Institutional Shares (8,863)   (21,655)
Total Distributions (23,575)   (45,651)
Capital Share Transactions      
ETF Shares 204,982   368,504
Institutional Shares (35,314)   (556,884)
Net Increase (Decrease) from Capital Share Transactions 169,668   (188,380)
Total Increase (Decrease) 552,432   198,820
Net Assets      
Beginning of Period 2,863,370   2,664,550
End of Period 3,415,802   2,863,370
  
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 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $200.77 $177.97 $208.13 $158.71 $133.26 $133.98
Investment Operations            
Net Investment Income1 1.452 2.897 2.662 2.385 2.416 2.312
Net Realized and Unrealized Gain (Loss) on Investments 25.938 22.832 (30.247) 49.386 25.494 (.730)
Total from Investment Operations 27.390 25.729 (27.585) 51.771 27.910 1.582
Distributions            
Dividends from Net Investment Income (1.640) (2.929) (2.575) (2.351) (2.460) (2.302)
Distributions from Realized Capital Gains
Total Distributions (1.640) (2.929) (2.575) (2.351) (2.460) (2.302)
Net Asset Value, End of Period $226.52 $200.77 $177.97 $208.13 $158.71 $133.26
Total Return 13.74% 14.68% -13.36% 32.90% 21.31% 1.25%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,254 $1,802 $1,219 $1,124 $710 $463
Ratio of Total Expenses to Average Net Assets 0.10%2 0.10%2 0.10% 0.10% 0.10% 0.10%
Ratio of Net Investment Income to Average Net Assets 1.41% 1.58% 1.36% 1.31% 1.74% 1.79%
Portfolio Turnover Rate3 4% 11% 8% 10% 8% 10%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
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.
35

 

Russell 3000 Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period 
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $388.63 $344.48 $402.86 $307.19 $257.87 $259.33
Investment Operations            
Net Investment Income1 2.856 5.690 5.323 4.689 4.739 4.499
Net Realized and Unrealized Gain (Loss) on Investments 50.206 44.177 (58.648) 95.580 49.347 (1.394)
Total from Investment Operations 53.062 49.867 (53.325) 100.269 54.086 3.105
Distributions            
Dividends from Net Investment Income (3.212) (5.717) (5.055) (4.599) (4.766) (4.565)
Distributions from Realized Capital Gains
Total Distributions (3.212) (5.717) (5.055) (4.599) (4.766) (4.565)
Net Asset Value, End of Period $438.48 $388.63 $344.48 $402.86 $307.19 $257.87
Total Return 13.75% 14.70% -13.34% 32.94% 21.38% 1.27%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,162 $1,061 $1,445 $1,154 $1,018 $871
Ratio of Total Expenses to Average Net Assets 0.08%2 0.08%2 0.08% 0.08% 0.08% 0.08%
Ratio of Net Investment Income to Average Net Assets 1.43% 1.62% 1.40% 1.34% 1.76% 1.81%
Portfolio Turnover Rate3 4% 11% 8% 10% 8% 10%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.08%.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
  
See accompanying Notes, which are an integral part of the Financial Statements.
36

 

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.
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 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 valuation designee to represent fair value and subject to oversight by the board of trustees. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. 
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.
During the six months ended February 29, 2024, 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 virtually 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,
37

 

Russell 3000 Index Fund
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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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
38

 

Russell 3000 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 29, 2024, 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 29, 2024, the fund had contributed to Vanguard capital in the amount of $101,000, representing less than 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2024, custodian fee offset arrangements reduced the fund’s expenses by $2,000 (an annual rate of less than 0.01% of average net assets).
D. Various inputs may be used to determine the value of the fund’s investments 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.
39

 

Russell 3000 Index Fund
The following table summarizes the market value of the fund’s investments and derivatives as of February 29, 2024, based on the inputs used to value them:
  Level 1
($000)
Level 2
($000)
Level 3
($000)
Total
($000)
Investments        
Assets        
Common Stocks 3,405,657 16 9 3,405,682
Temporary Cash Investments 7,547 7,547
Total 3,413,204 16 9 3,413,229
Derivative Financial Instruments        
Assets        
Futures Contracts1 123 123
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.
E. As of February 29, 2024, 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 2,417,878
Gross Unrealized Appreciation 1,101,005
Gross Unrealized Depreciation (105,531)
Net Unrealized Appreciation (Depreciation) 995,474
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, 2023, the fund had available capital losses totaling $155,817,000 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, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F. During the six months ended February 29, 2024, the fund purchased $110,456,000 of investment securities and sold $152,519,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $290,664,000 and $85,782,000, 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 29, 2024, such purchases were $12,745,000 and sales were $3,509,000, resulting in net realized loss of $317,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.
40

 

Russell 3000 Index Fund
G. Capital share transactions for each class of shares were:
    
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 290,773 1,400   652,179 3,700
Issued in Lieu of Cash Distributions  
Redeemed (85,791) (425)   (283,675) (1,575)
Net Increase (Decrease)—ETF Shares 204,982 975   368,504 2,125
Institutional Shares          
Issued 101,262 259   296,740 834
Issued in Lieu of Cash Distributions 7,830 20   19,707 58
Redeemed (144,406) (360)   (873,331) (2,357)
Net Increase (Decrease)—Institutional Shares (35,314) (81)   (556,884) (1,465)
H. Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I. Management has determined that no events or transactions occurred subsequent to February 29, 2024, 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

 

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© 2024 The Vanguard Group, Inc.
All rights reserved.
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Q18542 042024

Semiannual Report  |  February 29, 2024
Vanguard Treasury Index Funds
Vanguard Short-Term Treasury Index Fund
Vanguard Intermediate-Term Treasury Index Fund
Vanguard Long-Term Treasury Index Fund
See the inside front cover for important information about your fund’s annual and semiannual shareholder reports.

 

Important information about shareholder reports
Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

 

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 29, 2024      
  Beginning
Account Value
8/31/2023
Ending
Account Value
2/29/2024
Expenses
Paid During
Period
Based on Actual Fund Return      
Short-Term Treasury Index Fund      
ETF Shares $1,000.00 $1,024.40 $0.20
Admiral™ Shares 1,000.00 1,023.90 0.35
Institutional Shares 1,000.00 1,024.40 0.25
Intermediate-Term Treasury Index Fund      
ETF Shares $1,000.00 $1,018.70 $0.20
Admiral Shares 1,000.00 1,018.10 0.35
Institutional Shares 1,000.00 1,018.60 0.25
Long-Term Treasury Index Fund      
ETF Shares $1,000.00 $998.30 $0.20
Admiral Shares 1,000.00 998.20 0.35
Institutional Shares 1,000.00 998.30 0.25
Based on Hypothetical 5% Yearly Return      
Short-Term Treasury Index Fund      
ETF Shares $1,000.00 $1,024.66 $0.20
Admiral Shares 1,000.00 1,024.51 0.35
Institutional Shares 1,000.00 1,024.61 0.25
Intermediate-Term Treasury Index Fund      
ETF Shares $1,000.00 $1,024.66 $0.20
Admiral Shares 1,000.00 1,024.51 0.35
Institutional Shares 1,000.00 1,024.61 0.25
Long-Term Treasury Index Fund      
ETF Shares $1,000.00 $1,024.66 $0.20
Admiral Shares 1,000.00 1,024.51 0.35
Institutional Shares 1,000.00 1,024.61 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; and for the Long-Term Treasury 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 (182/366).
2

 

Short-Term Treasury Index Fund
Distribution by Stated Maturity
As of February 29, 2024
1 - 2 Years 56.6%
2 - 3 Years 43.4
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.
3

 

Short-Term Treasury Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (99.2%)
U.S. Government Securities (99.2%)
  United States Treasury Note/Bond 1.750%  3/15/25   280,621    271,282
  United States Treasury Note/Bond 0.500%  3/31/25   227,294    216,604
  United States Treasury Note/Bond 2.625%  3/31/25    84,818     82,698
  United States Treasury Note/Bond 3.875%  3/31/25   244,199    241,261
  United States Treasury Note/Bond 2.625%  4/15/25   340,704    331,920
  United States Treasury Note/Bond 0.375%  4/30/25   294,238    279,112
  United States Treasury Note/Bond 2.875%  4/30/25   167,395    163,446
  United States Treasury Note/Bond 3.875%  4/30/25   290,965    287,419
  United States Treasury Note/Bond 2.125%  5/15/25   342,178    330,950
  United States Treasury Note/Bond 2.750%  5/15/25   310,752    302,838
  United States Treasury Note/Bond 0.250%  5/31/25   271,197    255,942
  United States Treasury Note/Bond 2.875%  5/31/25   120,807    117,825
  United States Treasury Note/Bond 4.250%  5/31/25   230,077    228,172
  United States Treasury Note/Bond 2.875%  6/15/25   317,450    309,415
  United States Treasury Note/Bond 0.250%  6/30/25   309,617    291,330
  United States Treasury Note/Bond 2.750%  6/30/25    97,986     95,337
  United States Treasury Note/Bond 4.625%  6/30/25   292,167    291,208
  United States Treasury Note/Bond 3.000%  7/15/25   298,904    291,572
  United States Treasury Note/Bond 0.250%  7/31/25   313,046    293,530
  United States Treasury Note/Bond 2.875%  7/31/25   146,515    142,577
  United States Treasury Note/Bond 4.750%  7/31/25   271,639    271,299
  United States Treasury Note/Bond 2.000%  8/15/25   369,481    354,875
  United States Treasury Note/Bond 3.125%  8/15/25   294,733    287,733
  United States Treasury Note/Bond 6.875%  8/15/25    10,715     11,018
  United States Treasury Note/Bond 0.250%  8/31/25   309,518    289,254
  United States Treasury Note/Bond 2.750%  8/31/25   142,077    137,815
  United States Treasury Note/Bond 5.000%  8/31/25   282,826    283,577
  United States Treasury Note/Bond 3.500%  9/15/25   285,793    280,300
  United States Treasury Note/Bond 0.250%  9/30/25   356,639    332,232
  United States Treasury Note/Bond 3.000%  9/30/25   150,613    146,542
  United States Treasury Note/Bond 5.000%  9/30/25   326,424    327,444
  United States Treasury Note/Bond 4.250% 10/15/25   274,120    271,893
  United States Treasury Note/Bond 0.250% 10/31/25   377,761    350,786
  United States Treasury Note/Bond 3.000% 10/31/25   157,873    153,433
  United States Treasury Note/Bond 5.000% 10/31/25   294,425    295,575
  United States Treasury Note/Bond 2.250% 11/15/25   402,121    385,848
  United States Treasury Note/Bond 4.500% 11/15/25   279,600    278,508
  United States Treasury Note/Bond 0.375% 11/30/25   348,613    323,393
  United States Treasury Note/Bond 2.875% 11/30/25   160,190    155,259
  United States Treasury Note/Bond 4.875% 11/30/25   306,897    307,664
  United States Treasury Note/Bond 4.000% 12/15/25   297,960    294,329
  United States Treasury Note/Bond 0.375% 12/31/25   302,307    279,634
  United States Treasury Note/Bond 2.625% 12/31/25   150,283    144,882
  United States Treasury Note/Bond 4.250% 12/31/25   289,894    287,629
  United States Treasury Note/Bond 3.875%  1/15/26   278,596    274,635
4

 

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

($000)
  United States Treasury Note/Bond 0.375%  1/31/26   417,563    385,006
  United States Treasury Note/Bond 2.625%  1/31/26   155,542    149,806
  United States Treasury Note/Bond 4.250%  1/31/26   349,995    347,425
  United States Treasury Note/Bond 1.625%  2/15/26   348,529    328,979
  United States Treasury Note/Bond 4.000%  2/15/26   303,056    299,410
  United States Treasury Note/Bond 6.000%  2/15/26    39,733     40,683
  United States Treasury Note/Bond 0.500%  2/28/26   418,405    385,717
  United States Treasury Note/Bond 2.500%  2/28/26   171,682    164,761
  United States Treasury Note/Bond 4.625%  2/28/26   359,256    359,256
  United States Treasury Note/Bond 4.625%  3/15/26   270,113    270,113
  United States Treasury Note/Bond 0.750%  3/31/26   331,470    306,454
  United States Treasury Note/Bond 2.250%  3/31/26   148,790    141,908
  United States Treasury Note/Bond 3.750%  4/15/26   252,591    248,329
  United States Treasury Note/Bond 0.750%  4/30/26   378,288    348,616
  United States Treasury Note/Bond 2.375%  4/30/26   100,652     96,091
  United States Treasury Note/Bond 1.625%  5/15/26   356,222    334,348
  United States Treasury Note/Bond 3.625%  5/15/26   279,387    273,887
  United States Treasury Note/Bond 0.750%  5/31/26   409,511    376,430
  United States Treasury Note/Bond 2.125%  5/31/26   158,794    150,606
  United States Treasury Note/Bond 4.125%  6/15/26   278,041    275,434
  United States Treasury Note/Bond 0.875%  6/30/26   353,283    325,020
  United States Treasury Note/Bond 1.875%  6/30/26   162,592    153,192
  United States Treasury Note/Bond 4.500%  7/15/26   275,626    275,411
  United States Treasury Note/Bond 0.625%  7/31/26   388,413    354,063
  United States Treasury Note/Bond 1.875%  7/31/26   166,612    156,589
  United States Treasury Note/Bond 1.500%  8/15/26   370,476    344,658
  United States Treasury Note/Bond 4.375%  8/15/26   264,001    263,135
  United States Treasury Note/Bond 6.750%  8/15/26    24,587     25,786
  United States Treasury Note/Bond 0.750%  8/31/26   399,241    364,120
  United States Treasury Note/Bond 1.375%  8/31/26   159,277    147,580
  United States Treasury Note/Bond 4.625%  9/15/26   301,882    302,731
  United States Treasury Note/Bond 0.875%  9/30/26   385,259    351,790
  United States Treasury Note/Bond 1.625%  9/30/26   120,818    112,512
  United States Treasury Note/Bond 4.625% 10/15/26   311,880    312,903
  United States Treasury Note/Bond 1.125% 10/31/26   372,697    341,600
  United States Treasury Note/Bond 1.625% 10/31/26   156,556    145,401
  United States Treasury Note/Bond 2.000% 11/15/26   307,718    288,486
  United States Treasury Note/Bond 4.625% 11/15/26   322,209    323,417
  United States Treasury Note/Bond 6.500% 11/15/26    15,499     16,255
  United States Treasury Note/Bond 1.250% 11/30/26   399,236    366,361
  United States Treasury Note/Bond 1.625% 11/30/26   154,078    142,907
  United States Treasury Note/Bond 4.375% 12/15/26   344,023    343,324
  United States Treasury Note/Bond 1.250% 12/31/26   354,611    324,912
  United States Treasury Note/Bond 1.750% 12/31/26   140,935    130,937
  United States Treasury Note/Bond 4.000%  1/15/27   344,015    339,984
  United States Treasury Note/Bond 1.500%  1/31/27   507,790    467,405
  United States Treasury Note/Bond 2.250%  2/15/27   289,473    272,105
  United States Treasury Note/Bond 4.125%  2/15/27   355,598    352,709
  United States Treasury Note/Bond 1.125%  2/28/27    90,078     81,830
  United States Treasury Note/Bond 1.875%  2/28/27   349,032    324,273
Total U.S. Government and Agency Obligations (Cost $24,583,328) 24,384,650
5

 

Short-Term Treasury Index Fund
      Coupon   Shares Market
Value

($000)
Temporary Cash Investments (0.4%)
Money Market Fund (0.4%)
1 Vanguard Market Liquidity Fund
(Cost $100,864)
5.400%          1,008,771           100,867
Total Investments (99.6%) (Cost $24,684,192)   24,485,517
Other Assets and Liabilities—Net (0.4%)   103,068
Net Assets (100%)   24,588,585
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.
6

 

Short-Term Treasury Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $24,583,328) 24,384,650
Affiliated Issuers (Cost $100,864) 100,867
Total Investments in Securities 24,485,517
Investment in Vanguard 845
Receivables for Investment Securities Sold 2,068,548
Receivables for Accrued Income 137,311
Receivables for Capital Shares Issued 5,168
Total Assets 26,697,389
Liabilities  
Due to Custodian 5
Payables for Investment Securities Purchased 2,090,522
Payables for Capital Shares Redeemed 15,677
Payables for Distributions 2,179
Payables to Vanguard 421
Total Liabilities 2,108,804
Net Assets 24,588,585

At February 29, 2024, net assets consisted of:

   
Paid-in Capital 25,530,390
Total Distributable Earnings (Loss) (941,805)
Net Assets 24,588,585
 
ETF Shares—Net Assets  
Applicable to 348,615,498 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
20,236,999
Net Asset Value Per Share—ETF Shares $58.05
 
Admiral Shares—Net Assets  
Applicable to 141,335,430 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
2,728,101
Net Asset Value Per Share—Admiral Shares $19.30
 
Institutional Shares—Net Assets  
Applicable to 66,949,685 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
1,623,485
Net Asset Value Per Share—Institutional Shares $24.25
See accompanying Notes, which are an integral part of the Financial Statements.
7

 

Short-Term Treasury Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Interest1 517,802
Total Income 517,802
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 274
Management and Administrative—ETF Shares 3,266
Management and Administrative—Admiral Shares 846
Management and Administrative—Institutional Shares 330
Marketing and Distribution—ETF Shares 597
Marketing and Distribution—Admiral Shares 76
Marketing and Distribution—Institutional Shares 32
Custodian Fees 40
Shareholders’ Reports—ETF Shares 256
Shareholders’ Reports—Admiral Shares 15
Shareholders’ Reports—Institutional Shares 12
Trustees’ Fees and Expenses 10
Other Expenses 7
Total Expenses 5,761
Net Investment Income 512,041
Realized Net Gain (Loss) on Investment Securities Sold1,2 (178,159)
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 304,123
Net Increase (Decrease) in Net Assets Resulting from Operations 638,005
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 $1,343,000, $43,000, $1,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes ($12,436,000) of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
8

 

Short-Term Treasury Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 512,041   667,991
Realized Net Gain (Loss) (178,159)   (493,042)
Change in Unrealized Appreciation (Depreciation) 304,123   152,410
Net Increase (Decrease) in Net Assets Resulting from Operations 638,005   327,359
Distributions      
ETF Shares (428,201)   (497,478)
Admiral Shares (53,932)   (79,631)
Institutional Shares (30,979)   (38,287)
Total Distributions (513,112)   (615,396)
Capital Share Transactions      
ETF Shares (2,357,239)   7,152,585
Admiral Shares (209,110)   457,577
Institutional Shares 31,356   513,042
Net Increase (Decrease) from Capital Share Transactions (2,534,993)   8,123,204
Total Increase (Decrease) (2,410,100)   7,835,167
Net Assets      
Beginning of Period 26,998,685   19,163,518
End of Period 24,588,585   26,998,685
See accompanying Notes, which are an integral part of the Financial Statements.
9

 

Short-Term Treasury Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $57.77 $58.51 $61.50 $62.13 $61.12 $59.89
Investment Operations            
Net Investment Income1 1.121 1.625 .368 .288 .956 1.430
Net Realized and Unrealized Gain (Loss) on Investments .276 (.919) (2.860) (.220) 1.115 1.165
Total from Investment Operations 1.397 .706 (2.492) .068 2.071 2.595
Distributions            
Dividends from Net Investment Income (1.117) (1.446) (.310) (.325) (1.061) (1.365)
Distributions from Realized Capital Gains (.188) (.373)
Total Distributions (1.117) (1.446) (.498) (.698) (1.061) (1.365)
Net Asset Value, End of Period $58.05 $57.77 $58.51 $61.50 $62.13 $61.12
Total Return 2.44% 1.23% -4.07% 0.11% 3.43% 4.39%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $20,237 $22,488 $15,565 $13,394 $9,140 $5,334
Ratio of Total Expenses to Average Net Assets 0.04% 0.04%2 0.04%2 0.04% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 3.89% 2.81% 0.61% 0.47% 1.55% 2.37%
Portfolio Turnover Rate3 44% 81% 59% 66% 67% 55%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%.
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.
10

 

Short-Term Treasury Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $19.22 $19.50 $20.51 $20.71 $20.35 $19.95
Investment Operations            
Net Investment Income1 .371 .529 .114 .095 .312 .472
Net Realized and Unrealized Gain (Loss) on Investments .085 (.294) (.949) (.078) .375 .384
Total from Investment Operations .456 .235 (.835) .017 .687 .856
Distributions            
Dividends from Net Investment Income (.376) (.515) (.112) (.093) (.327) (.456)
Distributions from Realized Capital Gains (.063) (.124)
Total Distributions (.376) (.515) (.175) (.217) (.327) (.456)
Net Asset Value, End of Period $19.30 $19.22 $19.50 $20.51 $20.71 $20.35
Total Return2 2.39% 1.22% -4.09% 0.08% 3.41% 4.34%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,728 $2,925 $2,506 $2,430 $2,748 $1,596
Ratio of Total Expenses to Average Net Assets 0.07% 0.07%3 0.07%3 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 3.86% 2.74% 0.57% 0.46% 1.52% 2.35%
Portfolio Turnover Rate4 44% 81% 59% 66% 67% 55%
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 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%.
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.
11

 

Short-Term Treasury Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $24.14 $24.50 $25.77 $26.02 $25.57 $25.06
Investment Operations            
Net Investment Income1 .469 .680 .145 .120 .421 .598
Net Realized and Unrealized Gain (Loss) on Investments .116 (.389) (1.191) (.092) .445 .490
Total from Investment Operations .585 .291 (1.046) .028 .866 1.088
Distributions            
Dividends from Net Investment Income (.475) (.651) (.145) (.122) (.416) (.578)
Distributions from Realized Capital Gains (.079) (.156)
Total Distributions (.475) (.651) (.224) (.278) (.416) (.578)
Net Asset Value, End of Period $24.25 $24.14 $24.50 $25.77 $26.02 $25.57
Total Return 2.44% 1.21% -4.08% 0.11% 3.42% 4.40%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,623 $1,586 $1,092 $1,138 $1,104 $974
Ratio of Total Expenses to Average Net Assets 0.05% 0.05%2 0.05%2 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 3.89% 2.80% 0.58% 0.47% 1.63% 2.37%
Portfolio Turnover Rate3 44% 81% 59% 66% 67% 55%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%.
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.
12

 

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.
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 other 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 valuation designee to represent fair value and subject to oversight by the board of trustees.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually 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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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
13

 

Short-Term Treasury Index Fund
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 29, 2024, 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 29, 2024, the fund had contributed to Vanguard capital in the amount of $845,000, representing less than 0.01% of the fund’s net assets and 0.34% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
14

 

Short-Term Treasury Index Fund
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 29, 2024, 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 24,384,650 24,384,650
Temporary Cash Investments 100,867 100,867
Total 100,867 24,384,650 24,485,517
D.  As of February 29, 2024, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 24,685,502
Gross Unrealized Appreciation 16,448
Gross Unrealized Depreciation (216,433)
Net Unrealized Appreciation (Depreciation) (199,985)
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, 2023, the fund had available capital losses totaling $630,886,000 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, 2024; 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 29, 2024, the fund purchased $11,587,294,000 of investment securities and sold $11,950,930,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $3,132,418,000 and $5,495,681,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
15

 

Short-Term Treasury Index Fund
F.  Capital share transactions for each class of shares were:
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 3,193,998 55,066   10,084,732 173,852
Issued in Lieu of Cash Distributions  
Redeemed (5,551,237) (95,700)   (2,932,147) (50,650)
Net Increase (Decrease)—ETF Shares (2,357,239) (40,634)   7,152,585 123,202
Admiral Shares          
Issued 579,338 30,017   2,114,007 109,455
Issued in Lieu of Cash Distributions 41,695 2,161   60,002 3,110
Redeemed (830,143) (43,056)   (1,716,432) (88,878)
Net Increase (Decrease)—Admiral Shares (209,110) (10,878)   457,577 23,687
Institutional Shares          
Issued 238,017 9,802   1,023,295 42,143
Issued in Lieu of Cash Distributions 29,092 1,200   35,147 1,450
Redeemed (235,753) (9,737)   (545,400) (22,488)
Net Increase (Decrease)—Institutional Shares 31,356 1,265   513,042 21,105
G.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, acts of terrorism, or other events, can adversely affect local and global ‎markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
H.  Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
16

 

Intermediate-Term Treasury Index Fund
Distribution by Stated Maturity
As of February 29, 2024
2 - 4 Years 23.7%
4 - 6 Years 40.0
6 - 8 Years 22.0
8 - 10 Years 14.3
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.
17

 

Intermediate-Term Treasury Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (99.2%)
U.S. Government Securities (99.2%)
  United States Treasury Note/Bond 0.625%  3/31/27   141,626    126,379
  United States Treasury Note/Bond 2.500%  3/31/27   261,142    246,942
  United States Treasury Note/Bond 0.500%  4/30/27   197,906    175,301
  United States Treasury Note/Bond 2.750%  4/30/27   299,027    284,543
  United States Treasury Note/Bond 2.375%  5/15/27   337,490    317,188
  United States Treasury Note/Bond 0.500%  5/31/27   194,117    171,430
  United States Treasury Note/Bond 2.625%  5/31/27   292,502    276,871
  United States Treasury Note/Bond 0.500%  6/30/27   225,965    198,990
  United States Treasury Note/Bond 3.250%  6/30/27   284,753    274,787
  United States Treasury Note/Bond 0.375%  7/31/27   266,017    232,474
  United States Treasury Note/Bond 2.750%  7/31/27   292,905    277,848
  United States Treasury Note/Bond 2.250%  8/15/27   274,060    255,475
  United States Treasury Note/Bond 6.375%  8/15/27    31,790     33,707
  United States Treasury Note/Bond 0.500%  8/31/27   233,159    204,123
  United States Treasury Note/Bond 3.125%  8/31/27   279,688    268,413
  United States Treasury Note/Bond 0.375%  9/30/27   326,055    283,311
  United States Treasury Note/Bond 4.125%  9/30/27   272,421    270,208
  United States Treasury Note/Bond 0.500% 10/31/27   293,944    255,869
  United States Treasury Note/Bond 4.125% 10/31/27   248,796    246,775
  United States Treasury Note/Bond 2.250% 11/15/27   313,147    290,737
  United States Treasury Note/Bond 6.125% 11/15/27    45,156     47,760
  United States Treasury Note/Bond 0.625% 11/30/27   341,235    297,674
  United States Treasury Note/Bond 3.875% 11/30/27   270,831    266,345
  United States Treasury Note/Bond 0.625% 12/31/27   354,715    308,547
  United States Treasury Note/Bond 3.875% 12/31/27   269,127    264,628
  United States Treasury Note/Bond 0.750%  1/31/28   380,142    331,496
  United States Treasury Note/Bond 3.500%  1/31/28   250,178    242,673
  United States Treasury Note/Bond 2.750%  2/15/28   380,075    358,280
  United States Treasury Note/Bond 1.125%  2/29/28   422,871    373,514
  United States Treasury Note/Bond 4.000%  2/29/28   232,735    229,899
  United States Treasury Note/Bond 1.250%  3/31/28   352,269    312,088
  United States Treasury Note/Bond 3.625%  3/31/28   265,481    258,512
  United States Treasury Note/Bond 1.250%  4/30/28   379,758    335,671
  United States Treasury Note/Bond 3.500%  4/30/28   206,703    200,308
  United States Treasury Note/Bond 2.875%  5/15/28   433,236    409,273
  United States Treasury Note/Bond 1.250%  5/31/28   425,625    375,348
  United States Treasury Note/Bond 3.625%  5/31/28   173,427    168,820
  United States Treasury Note/Bond 1.250%  6/30/28   399,337    351,479
  United States Treasury Note/Bond 4.000%  6/30/28   189,170    186,894
18

 

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

($000)
  United States Treasury Note/Bond 1.000%  7/31/28   392,162    340,568
  United States Treasury Note/Bond 4.125%  7/31/28   237,080    235,413
  United States Treasury Note/Bond 2.875%  8/15/28   417,066    392,954
  United States Treasury Note/Bond 5.500%  8/15/28    44,984     47,135
  United States Treasury Note/Bond 1.125%  8/31/28   384,932    335,372
  United States Treasury Note/Bond 4.375%  8/31/28   258,737    259,546
  United States Treasury Note/Bond 1.250%  9/30/28   379,638    331,946
  United States Treasury Note/Bond 4.625%  9/30/28   233,487    236,661
  United States Treasury Note/Bond 1.375% 10/31/28   377,283    331,243
  United States Treasury Note/Bond 4.875% 10/31/28   274,620    281,314
  United States Treasury Note/Bond 3.125% 11/15/28   374,369    355,884
  United States Treasury Note/Bond 5.250% 11/15/28    53,185     55,246
  United States Treasury Note/Bond 1.500% 11/30/28   373,051    328,868
  United States Treasury Note/Bond 4.375% 11/30/28   318,564    319,908
  United States Treasury Note/Bond 1.375% 12/31/28   351,552    307,333
  United States Treasury Note/Bond 3.750% 12/31/28   267,982    261,869
  United States Treasury Note/Bond 1.750%  1/31/29   326,451    290,133
  United States Treasury Note/Bond 4.000%  1/31/29   310,517    306,927
  United States Treasury Note/Bond 2.625%  2/15/29   370,261    343,012
  United States Treasury Note/Bond 5.250%  2/15/29    31,475     32,719
  United States Treasury Note/Bond 1.875%  2/28/29   307,612    274,688
  United States Treasury Note/Bond 4.250%  2/28/29   301,834    301,881
  United States Treasury Note/Bond 2.375%  3/31/29   288,714    263,812
  United States Treasury Note/Bond 2.875%  4/30/29   295,119    276,121
  United States Treasury Note/Bond 2.375%  5/15/29   303,110    276,493
  United States Treasury Note/Bond 2.750%  5/31/29   279,794    259,859
  United States Treasury Note/Bond 3.250%  6/30/29   267,901    254,841
  United States Treasury Note/Bond 2.625%  7/31/29   255,109    235,019
  United States Treasury Note/Bond 1.625%  8/15/29   246,833    215,940
  United States Treasury Note/Bond 6.125%  8/15/29    32,110     34,864
  United States Treasury Note/Bond 3.125%  8/31/29   246,474    232,610
  United States Treasury Note/Bond 3.875%  9/30/29   247,659    242,745
  United States Treasury Note/Bond 4.000% 10/31/29   231,304    228,015
  United States Treasury Note/Bond 1.750% 11/15/29   186,643    163,663
  United States Treasury Note/Bond 3.875% 11/30/29   229,129    224,475
  United States Treasury Note/Bond 3.875% 12/31/29   238,596    233,675
  United States Treasury Note/Bond 3.500%  1/31/30   236,467    226,898
  United States Treasury Note/Bond 1.500%  2/15/30   364,888    312,207
  United States Treasury Note/Bond 4.000%  2/28/30   242,324    238,727
  United States Treasury Note/Bond 3.625%  3/31/30   216,152    208,620
  United States Treasury Note/Bond 3.500%  4/30/30   228,318    218,757
  United States Treasury Note/Bond 0.625%  5/15/30   521,514    418,678
  United States Treasury Note/Bond 6.250%  5/15/30    43,858     48,422
  United States Treasury Note/Bond 3.750%  5/31/30   249,852    242,591
  United States Treasury Note/Bond 3.750%  6/30/30   213,262    207,031
  United States Treasury Note/Bond 4.000%  7/31/30   213,883    210,575
  United States Treasury Note/Bond 0.625%  8/15/30   649,346    516,940
  United States Treasury Note/Bond 4.125%  8/31/30   230,319    228,268
  United States Treasury Note/Bond 4.625%  9/30/30   196,488    200,356
  United States Treasury Note/Bond 4.875% 10/31/30   221,340    228,879
  United States Treasury Note/Bond 0.875% 11/15/30   616,517    496,296
  United States Treasury Note/Bond 4.375% 11/30/30   268,044    269,510
  United States Treasury Note/Bond 3.750% 12/31/30   227,207    220,213
  United States Treasury Note/Bond 4.000%  1/31/31   218,282    214,803
  United States Treasury Note/Bond 1.125%  2/15/31   581,855    474,394
19

 

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

($000)
  United States Treasury Note/Bond 5.375%  2/15/31    21,121     22,573
  United States Treasury Note/Bond 4.250%  2/28/31   211,128    210,897
  United States Treasury Note/Bond 1.625%  5/15/31   615,493    515,860
  United States Treasury Note/Bond 1.250%  8/15/31   715,401    579,251
  United States Treasury Note/Bond 1.375% 11/15/31   710,071    576,489
  United States Treasury Note/Bond 1.875%  2/15/32   679,435    570,619
  United States Treasury Note/Bond 2.875%  5/15/32   655,866    592,944
  United States Treasury Note/Bond 2.750%  8/15/32   634,010    566,052
  United States Treasury Note/Bond 4.125% 11/15/32   629,061    622,377
  United States Treasury Note/Bond 3.500%  2/15/33   624,899    589,553
  United States Treasury Note/Bond 3.375%  5/15/33   614,829    573,712
  United States Treasury Note/Bond 3.875%  8/15/33   669,018    649,052
  United States Treasury Note/Bond 4.500% 11/15/33   618,609    630,402
  United States Treasury Note/Bond 4.000%  2/15/34   244,777    239,958
Total U.S. Government and Agency Obligations (Cost $32,402,162) 31,245,236
          Shares  
Temporary Cash Investments (0.5%)
Money Market Fund (0.5%)
1 Vanguard Market Liquidity Fund
(Cost $158,184)
5.400%          1,582,046           158,188
Total Investments (99.7%) (Cost $32,560,346)   31,403,424
Other Assets and Liabilities—Net (0.3%)   108,705
Net Assets (100%)   31,512,129
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.
20

 

Intermediate-Term Treasury Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $32,402,162) 31,245,236
Affiliated Issuers (Cost $158,184) 158,188
Total Investments in Securities 31,403,424
Investment in Vanguard 897
Cash 61
Receivables for Investment Securities Sold 1,239,880
Receivables for Accrued Income 167,557
Receivables for Capital Shares Issued 24,902
Total Assets 32,836,721
Liabilities  
Payables for Investment Securities Purchased 1,315,441
Payables for Capital Shares Redeemed 6,899
Payables for Distributions 1,745
Payables to Vanguard 507
Total Liabilities 1,324,592
Net Assets 31,512,129

At February 29, 2024, net assets consisted of:

   
Paid-in Capital 33,451,272
Total Distributable Earnings (Loss) (1,939,143)
Net Assets 31,512,129
 
ETF Shares—Net Assets  
Applicable to 432,831,284 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
25,258,044
Net Asset Value Per Share—ETF Shares $58.36
 
Admiral Shares—Net Assets  
Applicable to 193,979,082 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
3,814,493
Net Asset Value Per Share—Admiral Shares $19.66
 
Institutional Shares—Net Assets  
Applicable to 99,969,753 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
2,439,592
Net Asset Value Per Share—Institutional Shares $24.40
See accompanying Notes, which are an integral part of the Financial Statements.
21

 

Intermediate-Term Treasury Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Interest1 441,533
Total Income 441,533
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 275
Management and Administrative—ETF Shares 2,957
Management and Administrative—Admiral Shares 1,055
Management and Administrative—Institutional Shares 480
Marketing and Distribution—ETF Shares 558
Marketing and Distribution—Admiral Shares 96
Marketing and Distribution—Institutional Shares 46
Custodian Fees 64
Shareholders’ Reports—ETF Shares 277
Shareholders’ Reports—Admiral Shares 15
Shareholders’ Reports—Institutional Shares 15
Trustees’ Fees and Expenses 10
Other Expenses 7
Total Expenses 5,855
Net Investment Income 435,678
Realized Net Gain (Loss) on Investment Securities Sold1,2 (241,576)
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 394,068
Net Increase (Decrease) in Net Assets Resulting from Operations 588,170
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 $1,449,000, ($2,000), $1,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $36,012,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
22

 

Intermediate-Term Treasury Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 435,678   461,369
Realized Net Gain (Loss) (241,576)   (333,139)
Change in Unrealized Appreciation (Depreciation) 394,068   (331,014)
Net Increase (Decrease) in Net Assets Resulting from Operations 588,170   (202,784)
Distributions      
ETF Shares (317,871)   (317,690)
Admiral Shares (56,175)   (72,063)
Institutional Shares (37,116)   (49,079)
Total Distributions (411,162)   (438,832)
Capital Share Transactions      
ETF Shares 8,106,622   5,733,607
Admiral Shares 635,147   389,104
Institutional Shares 230,910   569,217
Net Increase (Decrease) from Capital Share Transactions 8,972,679   6,691,928
Total Increase (Decrease) 9,149,687   6,050,312
Net Assets      
Beginning of Period 22,362,442   16,312,130
End of Period 31,512,129   22,362,442
See accompanying Notes, which are an integral part of the Financial Statements.
23

 

Intermediate-Term Treasury Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $58.20 $60.34 $68.27 $70.46 $67.26 $62.67
Investment Operations            
Net Investment Income1 .965 1.473 .858 .809 1.239 1.515
Net Realized and Unrealized Gain (Loss) on Investments .111 (2.221) (7.617) (1.692) 3.248 4.552
Total from Investment Operations 1.076 (.748) (6.759) (.883) 4.487 6.067
Distributions            
Dividends from Net Investment Income (.916) (1.392) (.805) (.820) (1.287) (1.477)
Distributions from Realized Capital Gains (.366) (.487)
Total Distributions (.916) (1.392) (1.171) (1.307) (1.287) (1.477)
Net Asset Value, End of Period $58.36 $58.20 $60.34 $68.27 $70.46 $67.26
Total Return 1.87% -1.25% -10.01% -1.26% 6.76% 9.84%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $25,258 $16,995 $11,726 $8,147 $6,547 $4,353
Ratio of Total Expenses to Average Net Assets 0.04% 0.04%2 0.04%2 0.04% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 3.35% 2.50% 1.34% 1.18% 1.80% 2.36%
Portfolio Turnover Rate3 27% 36% 36% 33% 28% 29%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%.
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.
24

 

Intermediate-Term Treasury Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $19.62 $20.35 $23.04 $23.78 $22.68 $21.13
Investment Operations            
Net Investment Income1 .323 .490 .283 .267 .416 .507
Net Realized and Unrealized Gain (Loss) on Investments .028 (.741) (2.575) (.577) 1.101 1.540
Total from Investment Operations .351 (.251) (2.292) (.310) 1.517 2.047
Distributions            
Dividends from Net Investment Income (.311) (.479) (.274) (.265) (.417) (.497)
Distributions from Realized Capital Gains (.124) (.165)
Total Distributions (.311) (.479) (.398) (.430) (.417) (.497)
Net Asset Value, End of Period $19.66 $19.62 $20.35 $23.04 $23.78 $22.68
Total Return2 1.81% -1.24% -10.05% -1.31% 6.76% 9.83%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $3,814 $3,165 $2,886 $2,646 $2,740 $1,887
Ratio of Total Expenses to Average Net Assets 0.07% 0.07%3 0.07%3 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 3.31% 2.46% 1.31% 1.15% 1.79% 2.34%
Portfolio Turnover Rate4 27% 36% 36% 33% 28% 29%
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 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%.
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.
25

 

Intermediate-Term Treasury Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $24.34 $25.26 $28.60 $29.51 $28.15 $26.23
Investment Operations            
Net Investment Income1 .402 .615 .355 .337 .527 .634
Net Realized and Unrealized Gain (Loss) on Investments .047 (.935) (3.195) (.709) 1.355 1.908
Total from Investment Operations .449 (.320) (2.840) (.372) 1.882 2.542
Distributions            
Dividends from Net Investment Income (.389) (.600) (.346) (.334) (.522) (.622)
Distributions from Realized Capital Gains (.154) (.204)
Total Distributions (.389) (.600) (.500) (.538) (.522) (.622)
Net Asset Value, End of Period $24.40 $24.34 $25.26 $28.60 $29.51 $28.15
Total Return 1.86% -1.27% -10.03% -1.26% 6.76% 9.83%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,440 $2,203 $1,700 $1,725 $1,558 $1,183
Ratio of Total Expenses to Average Net Assets 0.05% 0.05%2 0.05%2 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 3.33% 2.49% 1.32% 1.17% 1.83% 2.36%
Portfolio Turnover Rate3 27% 36% 36% 33% 28% 29%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%.
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.
26

 

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.
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 other 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 valuation designee to represent fair value and subject to oversight by the board of trustees.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually 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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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
27

 

Intermediate-Term Treasury Index Fund
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 29, 2024, 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 29, 2024, the fund had contributed to Vanguard capital in the amount of $897,000, representing less than 0.01% of the fund’s net assets and 0.36% 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.
28

 

Intermediate-Term Treasury Index Fund
The following table summarizes the market value of the fund's investments as of February 29, 2024, 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 31,245,236 31,245,236
Temporary Cash Investments 158,188 158,188
Total 158,188 31,245,236 31,403,424
D.  As of February 29, 2024, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 32,581,263
Gross Unrealized Appreciation 101,795
Gross Unrealized Depreciation (1,279,634)
Net Unrealized Appreciation (Depreciation) (1,177,839)
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, 2023, the fund had available capital losses totaling $590,339,000 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, 2024; 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 29, 2024, the fund purchased $8,006,212,000 of investment securities and sold $7,250,853,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $9,340,711,000 and $1,310,982,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F.  Capital share transactions for each class of shares were:
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 9,429,342 163,623   9,621,840 163,663
Issued in Lieu of Cash Distributions  
Redeemed (1,322,720) (22,800)   (3,888,233) (66,000)
Net Increase (Decrease)—ETF Shares 8,106,622 140,823   5,733,607 97,663
29

 

Intermediate-Term Treasury Index Fund
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
Admiral Shares          
Issued 1,235,008 63,183   1,307,777 65,770
Issued in Lieu of Cash Distributions 48,653 2,481   64,124 3,227
Redeemed (648,514) (33,003)   (982,797) (49,462)
Net Increase (Decrease)—Admiral Shares 635,147 32,661   389,104 19,535
Institutional Shares          
Issued 453,504 18,646   846,843 34,426
Issued in Lieu of Cash Distributions 35,051 1,441   45,259 1,835
Redeemed (257,645) (10,589)   (322,885) (13,101)
Net Increase (Decrease)—Institutional Shares 230,910 9,498   569,217 23,160
G.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, acts of terrorism, or other events, can adversely affect local and global ‎markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
H.  Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
30

 

Long-Term Treasury Index Fund
Distribution by Stated Maturity
As of February 29, 2024
10 - 15 Years 1.5%
15 - 20 Years 40.0
20 - 25 Years 20.3
Over 25 Years 38.2
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.
31

 

Long-Term Treasury Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (99.1%)
U.S. Government Securities (99.1%)
  United States Treasury Note/Bond 4.500%  2/15/36    50,342     52,065
  United States Treasury Note/Bond 4.750%  2/15/37    30,366     32,046
  United States Treasury Note/Bond 5.000%  5/15/37    35,998     38,827
  United States Treasury Note/Bond 4.375%  2/15/38    38,854     39,285
  United States Treasury Note/Bond 4.500%  5/15/38    46,086     47,101
  United States Treasury Note/Bond 3.500%  2/15/39    44,155     40,140
  United States Treasury Note/Bond 4.250%  5/15/39    76,393     75,534
  United States Treasury Note/Bond 4.500%  8/15/39    83,304     84,605
  United States Treasury Note/Bond 4.375% 11/15/39    94,356     94,297
  United States Treasury Note/Bond 4.625%  2/15/40    99,609    102,255
  United States Treasury Note/Bond 1.125%  5/15/40   305,129    188,226
  United States Treasury Note/Bond 4.375%  5/15/40    97,889     97,461
  United States Treasury Note/Bond 1.125%  8/15/40   373,703    228,251
  United States Treasury Note/Bond 3.875%  8/15/40   103,910     97,124
  United States Treasury Note/Bond 1.375% 11/15/40   416,915    264,546
  United States Treasury Note/Bond 4.250% 11/15/40    96,203     93,993
  United States Treasury Note/Bond 1.875%  2/15/41   500,509    344,804
  United States Treasury Note/Bond 4.750%  2/15/41   100,145    103,806
  United States Treasury Note/Bond 2.250%  5/15/41   432,590    315,791
  United States Treasury Note/Bond 4.375%  5/15/41    95,697     94,621
  United States Treasury Note/Bond 1.750%  8/15/41   563,834    375,390
  United States Treasury Note/Bond 3.750%  8/15/41   104,372     95,174
  United States Treasury Note/Bond 2.000% 11/15/41   472,019    326,652
  United States Treasury Note/Bond 3.125% 11/15/41   102,191     85,042
  United States Treasury Note/Bond 2.375%  2/15/42   382,547    281,172
  United States Treasury Note/Bond 3.125%  2/15/42   106,690     88,436
  United States Treasury Note/Bond 3.000%  5/15/42   102,537     83,071
  United States Treasury Note/Bond 3.250%  5/15/42   341,376    287,076
  United States Treasury Note/Bond 2.750%  8/15/42   115,622     89,932
  United States Treasury Note/Bond 3.375%  8/15/42   293,569    251,002
  United States Treasury Note/Bond 2.750% 11/15/42   167,171    129,531
  United States Treasury Note/Bond 4.000% 11/15/42   289,618    270,386
  United States Treasury Note/Bond 3.125%  2/15/43   144,119    118,268
  United States Treasury Note/Bond 3.875%  2/15/43   295,484    270,645
  United States Treasury Note/Bond 2.875%  5/15/43   225,018    177,026
  United States Treasury Note/Bond 3.875%  5/15/43   290,340    265,480
  United States Treasury Note/Bond 3.625%  8/15/43   159,868    140,909
  United States Treasury Note/Bond 4.375%  8/15/43   305,486    299,185
  United States Treasury Note/Bond 3.750% 11/15/43   158,781    142,357
32

 

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

($000)
  United States Treasury Note/Bond 4.750% 11/15/43   303,987    312,869
  United States Treasury Note/Bond 3.625%  2/15/44   168,448    148,050
  United States Treasury Note/Bond 4.500%  2/15/44   105,023    105,023
  United States Treasury Note/Bond 3.375%  5/15/44   153,058    129,382
  United States Treasury Note/Bond 3.125%  8/15/44   198,977    161,420
  United States Treasury Note/Bond 3.000% 11/15/44   171,734    136,206
  United States Treasury Note/Bond 2.500%  2/15/45   230,412    166,977
  United States Treasury Note/Bond 3.000%  5/15/45   107,049     84,652
  United States Treasury Note/Bond 2.875%  8/15/45   152,241    117,535
  United States Treasury Note/Bond 3.000% 11/15/45    93,082     73,331
  United States Treasury Note/Bond 2.500%  2/15/46   186,514    133,824
  United States Treasury Note/Bond 2.500%  5/15/46   189,883    135,885
  United States Treasury Note/Bond 2.250%  8/15/46   236,420    160,544
  United States Treasury Note/Bond 2.875% 11/15/46   106,344     81,353
  United States Treasury Note/Bond 3.000%  2/15/47   210,376    164,389
  United States Treasury Note/Bond 3.000%  5/15/47   167,681    130,818
  United States Treasury Note/Bond 2.750%  8/15/47   241,090    179,235
  United States Treasury Note/Bond 2.750% 11/15/47   247,028    183,264
  United States Treasury Note/Bond 3.000%  2/15/48   281,996    219,119
  United States Treasury Note/Bond 3.125%  5/15/48   301,231    239,337
  United States Treasury Note/Bond 3.000%  8/15/48   329,148    255,347
  United States Treasury Note/Bond 3.375% 11/15/48   336,712    279,629
  United States Treasury Note/Bond 3.000%  2/15/49   354,366    274,578
  United States Treasury Note/Bond 2.875%  5/15/49   344,083    260,105
  United States Treasury Note/Bond 2.250%  8/15/49   320,164    212,109
  United States Treasury Note/Bond 2.375% 11/15/49   299,968    204,072
  United States Treasury Note/Bond 2.000%  2/15/50   378,188    235,422
  United States Treasury Note/Bond 1.250%  5/15/50   432,265    219,510
  United States Treasury Note/Bond 1.375%  8/15/50   489,934    257,139
  United States Treasury Note/Bond 1.625% 11/15/50   482,137    270,750
  United States Treasury Note/Bond 1.875%  2/15/51   546,500    327,217
  United States Treasury Note/Bond 2.375%  5/15/51   556,872    375,888
  United States Treasury Note/Bond 2.000%  8/15/51   544,907    335,714
  United States Treasury Note/Bond 1.875% 11/15/51   512,795    305,674
  United States Treasury Note/Bond 2.250%  2/15/52   463,349    303,204
  United States Treasury Note/Bond 2.875%  5/15/52   441,120    332,356
  United States Treasury Note/Bond 3.000%  8/15/52   420,137    324,950
  United States Treasury Note/Bond 4.000% 11/15/52   423,579    396,708
  United States Treasury Note/Bond 3.625%  2/15/53   419,065    366,485
  United States Treasury Note/Bond 3.625%  5/15/53   419,029    366,781
  United States Treasury Note/Bond 4.125%  8/15/53   459,939    440,607
  United States Treasury Note/Bond 4.750% 11/15/53   483,489    514,689
  United States Treasury Note/Bond 4.250%  2/15/54   183,862    180,472
Total U.S. Government and Agency Obligations (Cost $18,671,691) 16,314,131
33

 

Long-Term Treasury Index Fund
      Coupon   Shares Market
Value

($000)
Temporary Cash Investments (1.0%)
Money Market Fund (1.0%)
1 Vanguard Market Liquidity Fund
(Cost $164,512)
5.400%          1,645,308           164,514
Total Investments (100.1%) (Cost $18,836,203)   16,478,645
Other Assets and Liabilities—Net (-0.1%)   (13,903)
Net Assets (100%)   16,464,742
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.
34

 

Long-Term Treasury Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $18,671,691) 16,314,131
Affiliated Issuers (Cost $164,512) 164,514
Total Investments in Securities 16,478,645
Investment in Vanguard 487
Receivables for Investment Securities Sold 147,961
Receivables for Accrued Income 101,075
Receivables for Capital Shares Issued 2,159
Total Assets 16,730,327
Liabilities  
Payables for Investment Securities Purchased 263,418
Payables for Capital Shares Redeemed 1,086
Payables for Distributions 813
Payables to Vanguard 268
Total Liabilities 265,585
Net Assets 16,464,742

At February 29, 2024, net assets consisted of:

   
Paid-in Capital 20,002,857
Total Distributable Earnings (Loss) (3,538,115)
Net Assets 16,464,742
 
ETF Shares—Net Assets  
Applicable to 201,411,952 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
11,835,160
Net Asset Value Per Share—ETF Shares $58.76
 
Admiral Shares—Net Assets  
Applicable to 62,916,969 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
1,240,091
Net Asset Value Per Share—Admiral Shares $19.71
 
Institutional Shares—Net Assets  
Applicable to 135,493,705 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
3,389,491
Net Asset Value Per Share—Institutional Shares $25.02
See accompanying Notes, which are an integral part of the Financial Statements.
35

 

Long-Term Treasury Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Interest1 259,080
Total Income 259,080
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 139
Management and Administrative—ETF Shares 1,146
Management and Administrative—Admiral Shares 335
Management and Administrative—Institutional Shares 655
Marketing and Distribution—ETF Shares 248
Marketing and Distribution—Admiral Shares 31
Marketing and Distribution—Institutional Shares 61
Custodian Fees 35
Shareholders’ Reports—ETF Shares 263
Shareholders’ Reports—Admiral Shares 6
Shareholders’ Reports—Institutional Shares 1
Trustees’ Fees and Expenses 5
Other Expenses 7
Total Expenses 2,932
Net Investment Income 256,148
Realized Net Gain (Loss) on Investment Securities Sold1,2 (412,959)
Change in Unrealized Appreciation (Depreciation) of Investment Securities1 304,612
Net Increase (Decrease) in Net Assets Resulting from Operations 147,801
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 $1,174,000, ($12,000), less than $1,000, and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes $82,640,000 of net gain (loss) resulting from in-kind redemptions.
See accompanying Notes, which are an integral part of the Financial Statements.
36

 

Long-Term Treasury Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 256,148   279,046
Realized Net Gain (Loss) (412,959)   (525,315)
Change in Unrealized Appreciation (Depreciation) 304,612   (756,078)
Net Increase (Decrease) in Net Assets Resulting from Operations 147,801   (1,002,347)
Distributions      
ETF Shares (163,931)   (144,706)
Admiral Shares (21,073)   (34,189)
Institutional Shares (58,281)   (86,373)
Total Distributions (243,285)   (265,268)
Capital Share Transactions      
ETF Shares 4,532,081   4,221,359
Admiral Shares 167,782   (94,992)
Institutional Shares 422,579   810,730
Net Increase (Decrease) from Capital Share Transactions 5,122,442   4,937,097
Total Increase (Decrease) 5,026,958   3,669,482
Net Assets      
Beginning of Period 11,437,784   7,768,302
End of Period 16,464,742   11,437,784
See accompanying Notes, which are an integral part of the Financial Statements.
37

 

Long-Term Treasury Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $59.98 $68.45 $90.37 $98.93 $90.17 $74.33
Investment Operations            
Net Investment Income1 1.129 2.008 1.718 1.645 1.915 2.115
Net Realized and Unrealized Gain (Loss) on Investments (1.256) (8.567) (21.974) (8.289) 8.772 15.798
Total from Investment Operations (.127) (6.559) (20.256) (6.644) 10.687 17.913
Distributions            
Dividends from Net Investment Income (1.093) (1.911) (1.664) (1.625) (1.927) (2.073)
Distributions from Realized Capital Gains (.291)
Total Distributions (1.093) (1.911) (1.664) (1.916) (1.927) (2.073)
Net Asset Value, End of Period $58.76 $59.98 $68.45 $90.37 $98.93 $90.17
Total Return -0.17% -9.70% -22.69% -6.73% 12.02% 24.69%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $11,835 $7,322 $3,813 $2,366 $2,138 $1,282
Ratio of Total Expenses to Average Net Assets 0.04% 0.04%2 0.04%2 0.04% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 3.92% 3.19% 2.19% 1.81% 2.03% 2.75%
Portfolio Turnover Rate3 10% 20% 19% 22% 29% 16%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%.
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

 

Long-Term Treasury Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $20.12 $22.98 $30.35 $33.24 $30.28 $24.95
Investment Operations            
Net Investment Income1 .376 .659 .565 .545 .637 .706
Net Realized and Unrealized Gain (Loss) on Investments (.423) (2.873) (7.380) (2.799) 2.955 5.316
Total from Investment Operations (.047) (2.214) (6.815) (2.254) 3.592 6.022
Distributions            
Dividends from Net Investment Income (.363) (.646) (.555) (.538) (.632) (.692)
Distributions from Realized Capital Gains (.098)
Total Distributions (.363) (.646) (.555) (.636) (.632) (.692)
Net Asset Value, End of Period $19.71 $20.12 $22.98 $30.35 $33.24 $30.28
Total Return2 -0.18% -9.73% -22.69% -6.78% 12.00% 24.67%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,240 $1,089 $1,369 $1,947 $1,800 $1,053
Ratio of Total Expenses to Average Net Assets 0.07% 0.07%3 0.07%3 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 3.90% 3.10% 2.09% 1.79% 2.01% 2.73%
Portfolio Turnover Rate4 10% 20% 19% 22% 29% 16%
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 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%.
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.
39

 

Long-Term Treasury Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $25.54 $29.16 $38.52 $42.19 $38.43 $31.66
Investment Operations            
Net Investment Income1 .479 .847 .727 .699 .822 .902
Net Realized and Unrealized Gain (Loss) on Investments (.536) (3.641) (9.376) (3.554) 3.748 6.753
Total from Investment Operations (.057) (2.794) (8.649) (2.855) 4.570 7.655
Distributions            
Dividends from Net Investment Income (.463) (.826) (.711) (.691) (.810) (.885)
Distributions from Realized Capital Gains (.124)
Total Distributions (.463) (.826) (.711) (.815) (.810) (.885)
Net Asset Value, End of Period $25.02 $25.54 $29.16 $38.52 $42.19 $38.43
Total Return -0.17% -9.68% -22.69% -6.77% 12.03% 24.71%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $3,389 $3,026 $2,586 $2,038 $1,234 $1,054
Ratio of Total Expenses to Average Net Assets 0.05% 0.05%2 0.05%2 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 3.92% 3.14% 2.15% 1.82% 2.06% 2.75%
Portfolio Turnover Rate3 10% 20% 19% 22% 29% 16%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%.
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.
40

 

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.
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 other 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 valuation designee to represent fair value and subject to oversight by the board of trustees.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually 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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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
41

 

Long-Term Treasury Index Fund
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 29, 2024, 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 29, 2024, the fund had contributed to Vanguard capital in the amount of $487,000, 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.
42

 

Long-Term Treasury Index Fund
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 29, 2024, 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 16,314,131 16,314,131
Temporary Cash Investments 164,514 164,514
Total 164,514 16,314,131 16,478,645
D.  As of February 29, 2024, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 18,993,843
Gross Unrealized Appreciation 104,197
Gross Unrealized Depreciation (2,619,395)
Net Unrealized Appreciation (Depreciation) (2,515,198)
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, 2023, the fund had available capital losses totaling $705,491,000 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, 2024; 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 29, 2024, the fund purchased $1,953,976,000 of investment securities and sold $1,360,494,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $5,391,418,000 and $918,596,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
43

 

Long-Term Treasury Index Fund
F.  Capital share transactions for each class of shares were:
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 5,462,260 95,265   5,332,779 84,159
Issued in Lieu of Cash Distributions  
Redeemed (930,179) (15,925)   (1,111,420) (17,800)
Net Increase (Decrease)—ETF Shares 4,532,081 79,340   4,221,359 66,359
Admiral Shares          
Issued 376,288 19,565   586,170 27,686
Issued in Lieu of Cash Distributions 17,041 882   26,126 1,235
Redeemed (225,547) (11,669)   (707,288) (34,371)
Net Increase (Decrease)—Admiral Shares 167,782 8,778   (94,992) (5,450)
Institutional Shares          
Issued 584,484 23,653   1,131,496 41,642
Issued in Lieu of Cash Distributions 57,599 2,350   85,634 3,189
Redeemed (219,504) (9,017)   (406,400) (14,995)
Net Increase (Decrease)—Institutional Shares 422,579 16,986   810,730 29,836
G.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, acts of terrorism, or other events, can adversely affect local and global ‎markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
H.  Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
44

 

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Q16422 042024

Semiannual Report  |  February 29, 2024
Vanguard Corporate Bond Index Funds
Vanguard Short-Term Corporate Bond Index Fund
Vanguard Intermediate-Term Corporate Bond Index Fund
Vanguard Long-Term Corporate Bond Index Fund
See the inside front cover for important information about your fund’s annual and semiannual shareholder reports.

 

Important information about shareholder reports
Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.
Contents
About Your Fund's Expenses

1
Short-Term Corporate Bond Index Fund

3
Intermediate-Term Corporate Bond Index Fund

35
Long-Term Corporate Bond Index Fund

64

 

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 29, 2024      
  Beginning
Account Value
8/31/2023
Ending
Account Value
2/29/2024
Expenses
Paid During
Period
Based on Actual Fund Return
Short-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $1,034.40 $0.20
Admiral™ Shares 1,000.00 1,034.60 0.35
Institutional Shares 1,000.00 1,034.40 0.25
Intermediate-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $1,039.50 $0.20
Admiral Shares 1,000.00 1,039.30 0.35
Institutional Shares 1,000.00 1,039.40 0.25
Long-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $1,041.00 $0.20
Admiral Shares 1,000.00 1,040.60 0.36
Institutional Shares 1,000.00 1,041.10 0.25
Based on Hypothetical 5% Yearly Return
Short-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $1,024.66 $0.20
Admiral Shares 1,000.00 1,024.51 0.35
Institutional Shares 1,000.00 1,024.61 0.25
Intermediate-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $1,024.66 $0.20
Admiral Shares 1,000.00 1,024.51 0.35
Institutional Shares 1,000.00 1,024.61 0.25
Long-Term Corporate Bond Index Fund      
ETF Shares $1,000.00 $1,024.66 $0.20
Admiral Shares 1,000.00 1,024.51 0.35
Institutional Shares 1,000.00 1,024.61 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 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; and for the Long-Term Corporate Bond 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 (182/366).
2

 

Short-Term Corporate Bond Index Fund
Fund Allocation
As of February 29, 2024
Corporate Bonds – Communications 5.5%
Corporate Bonds – Consumer Discretionary 7.3
Corporate Bonds – Consumer Staples 5.7
Corporate Bonds – Energy 5.4
Corporate Bonds – Financials 40.9
Corporate Bonds – Health Care 8.2
Corporate Bonds – Industrials 6.5
Corporate Bonds – Materials 2.0
Corporate Bonds – Real Estate 3.8
Corporate Bonds – Technology 7.6
Corporate Bonds – Utilities 6.0
U.S. Government and Agency Obligations 1.1
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.
3

 

Short-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 4.625% 2/28/26   222,763    222,764
  United States Treasury Note/Bond 4.000% 1/31/29    30,730     30,374
  United States Treasury Note/Bond 4.250% 2/28/29   209,940    209,973
Total U.S. Government and Agency Obligations (Cost $462,853) 463,111
Corporate Bonds (97.7%)
Communications (5.4%)
  Alphabet Inc. 0.450% 8/15/25    11,127     10,462
  Alphabet Inc. 1.998% 8/15/26    31,350     29,442
  Alphabet Inc. 0.800% 8/15/27    11,789     10,415
  AT&T Inc. 3.875% 1/15/26    18,055     17,613
  AT&T Inc. 5.539% 2/20/26    19,924     19,898
  AT&T Inc. 1.700% 3/25/26    68,258     63,464
  AT&T Inc. 2.950% 7/15/26     1,413      1,343
  AT&T Inc. 3.800% 2/15/27     6,711      6,466
  AT&T Inc. 4.250% 3/1/27    25,414     24,772
  AT&T Inc. 2.300% 6/1/27    43,046     39,411
  AT&T Inc. 1.650% 2/1/28    33,079     29,110
1 AT&T Inc. 4.100% 2/15/28    30,248     29,163
  Baidu Inc. 3.075% 4/7/25    14,396     14,006
  Baidu Inc. 4.125% 6/30/25     2,840      2,786
  Baidu Inc. 1.720% 4/9/26     9,439      8,764
  Baidu Inc. 1.625% 2/23/27     3,420      3,089
  Baidu Inc. 3.625% 7/6/27     9,876      9,404
  Baidu Inc. 4.375% 3/29/28     8,391      8,187
  Booking Holdings Inc. 3.650% 3/15/25     8,794      8,648
  Booking Holdings Inc. 3.600% 6/1/26    16,330     15,826
  Booking Holdings Inc. 3.550% 3/15/28     9,935      9,454
  Charter Communications Operating LLC 4.908% 7/23/25    81,363     80,228
  Charter Communications Operating LLC 6.150% 11/10/26    14,655     14,800
  Charter Communications Operating LLC 3.750% 2/15/28    30,680     28,333
  Charter Communications Operating LLC 2.250% 1/15/29    20,620     17,394
  Comcast Corp. 3.375% 8/15/25    14,372     14,030
  Comcast Corp. 3.950% 10/15/25    61,699     60,630
  Comcast Corp. 3.150% 3/1/26    32,049     30,932
  Comcast Corp. 2.350% 1/15/27    32,461     30,262
  Comcast Corp. 3.300% 2/1/27    37,085     35,553
  Comcast Corp. 3.300% 4/1/27    13,399     12,782
  Comcast Corp. 5.350% 11/15/27    19,900     20,210
  Comcast Corp. 3.150% 2/15/28    19,807     18,575
  Comcast Corp. 3.550% 5/1/28    19,655     18,652
  Comcast Corp. 4.150% 10/15/28    66,478     64,532
  Comcast Corp. 4.550% 1/15/29     8,478      8,341
  Discovery Communications LLC 3.450% 3/15/25     9,077      8,864
  Discovery Communications LLC 3.950% 6/15/25     5,899      5,759
  Discovery Communications LLC 4.900% 3/11/26    10,364     10,204
  Discovery Communications LLC 3.950% 3/20/28    45,105     42,169
  Electronic Arts Inc. 4.800% 3/1/26    10,049      9,995
  Expedia Group Inc. 5.000% 2/15/26    20,956     20,815
  Expedia Group Inc. 4.625% 8/1/27    21,745     21,279
  FactSet Research Systems Inc. 2.900% 3/1/27     9,307      8,692
  Fox Corp. 3.050% 4/7/25    10,775     10,487
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Fox Corp. 4.709% 1/25/29    32,028     31,260
  Interpublic Group of Cos. Inc. 4.650% 10/1/28     6,276      6,146
2 KT Corp. 4.000% 8/8/25     6,037      5,919
  Meta Platforms Inc. 3.500% 8/15/27    49,756     47,705
  Meta Platforms Inc. 4.600% 5/15/28    25,098     24,999
  Netflix Inc. 4.375% 11/15/26    14,453     14,219
  Netflix Inc. 4.875% 4/15/28    24,198     24,158
  Netflix Inc. 5.875% 11/15/28    31,302     32,430
  Omnicom Group Inc. 3.600% 4/15/26    21,759     21,078
  Paramount Global 2.900% 1/15/27    17,205     15,501
  Paramount Global 3.375% 2/15/28     5,321      4,658
  Paramount Global 3.700% 6/1/28    11,697     10,199
  Rogers Communications Inc. 2.950% 3/15/25    14,905     14,509
  Rogers Communications Inc. 3.625% 12/15/25    14,006     13,573
  Rogers Communications Inc. 2.900% 11/15/26     3,787      3,564
  Rogers Communications Inc. 3.200% 3/15/27    15,828     14,903
  Rogers Communications Inc. 5.000% 2/15/29     7,553      7,483
  Sprint Capital Corp. 6.875% 11/15/28    41,073     43,777
  Sprint LLC 7.625% 3/1/26    21,051     21,754
  Take-Two Interactive Software Inc. 3.550% 4/14/25     5,977      5,855
  Take-Two Interactive Software Inc. 5.000% 3/28/26    13,935     13,859
  Take-Two Interactive Software Inc. 3.700% 4/14/27     8,193      7,833
  Take-Two Interactive Software Inc. 4.950% 3/28/28    14,475     14,354
  TCI Communications Inc. 7.875% 2/15/26     3,233      3,397
  Telefonica Emisiones SA 4.103% 3/8/27    26,819     25,973
  TELUS Corp. 2.800% 2/16/27     9,937      9,309
  Tencent Music Entertainment Group 1.375% 9/3/25     2,471      2,324
  Thomson Reuters Corp. 3.350% 5/15/26     8,290      7,951
  T-Mobile USA Inc. 3.500% 4/15/25    57,880     56,596
  T-Mobile USA Inc. 1.500% 2/15/26    20,191     18,773
  T-Mobile USA Inc. 2.250% 2/15/26    11,895     11,206
  T-Mobile USA Inc. 2.625% 4/15/26    28,930     27,408
  T-Mobile USA Inc. 3.750% 4/15/27    63,488     60,862
  T-Mobile USA Inc. 5.375% 4/15/27     8,335      8,324
  T-Mobile USA Inc. 4.750% 2/1/28    25,690     25,279
  T-Mobile USA Inc. 2.050% 2/15/28    54,471     48,523
  T-Mobile USA Inc. 4.950% 3/15/28     3,281      3,261
  T-Mobile USA Inc. 4.800% 7/15/28     8,828      8,710
  T-Mobile USA Inc. 2.625% 2/15/29    16,475     14,632
1 TWDC Enterprises 18 Corp. 3.150% 9/17/25    21,295     20,659
  TWDC Enterprises 18 Corp. 3.000% 2/13/26    19,233     18,517
1 TWDC Enterprises 18 Corp. 1.850% 7/30/26    18,734     17,413
1 TWDC Enterprises 18 Corp. 2.950% 6/15/27     6,460      6,118
  Verizon Communications Inc. 0.850% 11/20/25    36,283     33,672
  Verizon Communications Inc. 1.450% 3/20/26    37,054     34,358
  Verizon Communications Inc. 2.625% 8/15/26    29,975     28,267
  Verizon Communications Inc. 4.125% 3/16/27    52,839     51,388
  Verizon Communications Inc. 3.000% 3/22/27    24,270     22,835
  Verizon Communications Inc. 2.100% 3/22/28    63,838     56,839
  Verizon Communications Inc. 4.329% 9/21/28    64,932     63,035
  Vodafone Group plc 4.125% 5/30/25    20,460     20,126
  Vodafone Group plc 4.375% 5/30/28    15,670     15,401
  Walt Disney Co. 3.350% 3/24/25    30,941     30,320
  Walt Disney Co. 3.700% 10/15/25    14,567     14,236
  Walt Disney Co. 1.750% 1/13/26    24,725     23,310
  Walt Disney Co. 3.375% 11/15/26     2,191      2,108
  Walt Disney Co. 3.700% 3/23/27     6,170      5,975
  Walt Disney Co. 2.200% 1/13/28    10,785      9,839
4

 

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

($000)
  Warnermedia Holdings Inc. 3.638% 3/15/25    29,610     28,984
  Warnermedia Holdings Inc. 3.788% 3/15/25     7,420      7,274
  Warnermedia Holdings Inc. 3.755% 3/15/27    65,928     62,396
                               2,260,575
Consumer Discretionary (7.3%)
  Alibaba Group Holding Ltd. 3.400% 12/6/27    43,375     40,944
  Amazon.com Inc. 3.000% 4/13/25    14,580     14,247
  Amazon.com Inc. 0.800% 6/3/25    36,332     34,504
  Amazon.com Inc. 4.600% 12/1/25    10,805     10,755
  Amazon.com Inc. 5.200% 12/3/25     2,246      2,256
  Amazon.com Inc. 1.000% 5/12/26    47,552     43,766
  Amazon.com Inc. 3.300% 4/13/27    65,490     62,773
  Amazon.com Inc. 1.200% 6/3/27    23,867     21,339
  Amazon.com Inc. 3.150% 8/22/27    64,268     60,990
  Amazon.com Inc. 4.550% 12/1/27    36,668     36,545
  Amazon.com Inc. 1.650% 5/12/28    33,416     29,659
1 American Honda Finance Corp. 4.600% 4/17/25    15,588     15,482
1 American Honda Finance Corp. 1.200% 7/8/25     3,358      3,185
1 American Honda Finance Corp. 1.000% 9/10/25    11,078     10,411
1 American Honda Finance Corp. 5.800% 10/3/25    15,000     15,147
1 American Honda Finance Corp. 4.950% 1/9/26     8,837      8,810
1 American Honda Finance Corp. 5.250% 7/7/26    14,156     14,255
1 American Honda Finance Corp. 1.300% 9/9/26     9,966      9,099
1 American Honda Finance Corp. 2.300% 9/9/26    11,429     10,720
1 American Honda Finance Corp. 2.350% 1/8/27    25,287     23,591
1 American Honda Finance Corp. 3.500% 2/15/28     3,000      2,849
1 American Honda Finance Corp. 2.000% 3/24/28    17,327     15,520
1 American Honda Finance Corp. 5.125% 7/7/28    20,938     21,107
  American Honda Finance Corp. 5.650% 11/15/28    22,408     23,040
1 American Honda Finance Corp. 2.250% 1/12/29     5,000      4,440
  AutoNation Inc. 4.500% 10/1/25     7,072      6,942
  AutoNation Inc. 3.800% 11/15/27     5,043      4,692
  AutoZone Inc. 3.250% 4/15/25     4,303      4,200
  AutoZone Inc. 3.625% 4/15/25     7,306      7,173
  AutoZone Inc. 3.125% 4/21/26    12,488     11,962
  AutoZone Inc. 5.050% 7/15/26    11,814     11,785
  AutoZone Inc. 3.750% 6/1/27    13,399     12,868
  AutoZone Inc. 4.500% 2/1/28     9,980      9,776
  AutoZone Inc. 6.250% 11/1/28     5,750      5,982
  Block Financial LLC 5.250% 10/1/25     2,812      2,791
  Block Financial LLC 2.500% 7/15/28     5,614      4,945
  BorgWarner Inc. 2.650% 7/1/27    18,896     17,441
  Darden Restaurants Inc. 3.850% 5/1/27     8,518      8,180
  DR Horton Inc. 2.600% 10/15/25    15,319     14,658
  DR Horton Inc. 1.300% 10/15/26    10,048      9,093
  DR Horton Inc. 1.400% 10/15/27     6,448      5,688
  eBay Inc. 1.900% 3/11/25    21,825     21,060
  eBay Inc. 5.900% 11/22/25     4,164      4,197
  eBay Inc. 1.400% 5/10/26    20,233     18,657
  eBay Inc. 3.600% 6/5/27     9,309      8,891
  eBay Inc. 5.950% 11/22/27     3,924      4,032
  Ford Motor Co. 4.346% 12/8/26    15,000     14,569
  Ford Motor Credit Co. LLC 4.687% 6/9/25    10,155     10,008
  Ford Motor Credit Co. LLC 5.125% 6/16/25    20,092     19,894
  Ford Motor Credit Co. LLC 4.134% 8/4/25    23,475     22,908
  Ford Motor Credit Co. LLC 3.375% 11/13/25    39,670     38,069
1 Ford Motor Credit Co. LLC 4.389% 1/8/26     5,000      4,865
  Ford Motor Credit Co. LLC 6.950% 3/6/26     2,935      2,988
  Ford Motor Credit Co. LLC 6.950% 6/10/26     6,928      7,063
  Ford Motor Credit Co. LLC 4.542% 8/1/26    23,924     23,186
  Ford Motor Credit Co. LLC 2.700% 8/10/26    28,913     26,842
  Ford Motor Credit Co. LLC 4.271% 1/9/27    24,890     23,841
  Ford Motor Credit Co. LLC 4.950% 5/28/27    24,781     24,091
  Ford Motor Credit Co. LLC 4.125% 8/17/27    29,912     28,272
  Ford Motor Credit Co. LLC 3.815% 11/2/27    33,058     30,837
  Ford Motor Credit Co. LLC 7.350% 11/4/27    13,458     14,063
  Ford Motor Credit Co. LLC 2.900% 2/16/28    26,487     23,744
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Ford Motor Credit Co. LLC 6.800% 5/12/28    22,168     22,880
  Ford Motor Credit Co. LLC 6.798% 11/7/28    19,788     20,491
  Ford Motor Credit Co. LLC 5.113% 5/3/29    20,370     19,633
  Fortune Brands Innovations Inc. 4.000% 6/15/25     8,539      8,379
  General Motors Co. 4.000% 4/1/25    12,963     12,757
  General Motors Co. 6.125% 10/1/25    34,754     35,041
  General Motors Co. 4.200% 10/1/27     9,584      9,230
  General Motors Co. 6.800% 10/1/27    28,718     29,987
  General Motors Financial Co. Inc. 3.800% 4/7/25    12,843     12,589
  General Motors Financial Co. Inc. 4.350% 4/9/25    40,059     39,541
  General Motors Financial Co. Inc. 2.750% 6/20/25    28,499     27,505
  General Motors Financial Co. Inc. 4.300% 7/13/25     9,128      8,977
  General Motors Financial Co. Inc. 1.250% 1/8/26     9,678      8,968
  General Motors Financial Co. Inc. 5.250% 3/1/26    12,349     12,310
  General Motors Financial Co. Inc. 5.400% 4/6/26    23,155     23,166
  General Motors Financial Co. Inc. 1.500% 6/10/26     3,678      3,369
  General Motors Financial Co. Inc. 4.000% 10/6/26    10,384     10,039
  General Motors Financial Co. Inc. 4.350% 1/17/27    40,860     39,767
  General Motors Financial Co. Inc. 2.350% 2/26/27    13,862     12,709
  General Motors Financial Co. Inc. 5.000% 4/9/27    52,174     51,622
  General Motors Financial Co. Inc. 5.400% 5/8/27    20,000     20,022
  General Motors Financial Co. Inc. 2.700% 8/20/27     2,632      2,415
  General Motors Financial Co. Inc. 6.000% 1/9/28    23,442     23,956
  General Motors Financial Co. Inc. 5.800% 6/23/28    48,875     49,577
  General Motors Financial Co. Inc. 2.400% 10/15/28     2,267      1,992
  General Motors Financial Co. Inc. 5.800% 1/7/29    34,625     35,082
  GXO Logistics Inc. 1.650% 7/15/26     6,684      6,129
  Harley-Davidson Inc. 3.500% 7/28/25     9,490      9,212
  Hasbro Inc. 3.550% 11/19/26    11,448     10,856
  Home Depot Inc. 2.700% 4/15/25     1,588      1,547
  Home Depot Inc. 3.350% 9/15/25    11,528     11,246
  Home Depot Inc. 4.000% 9/15/25     7,329      7,214
  Home Depot Inc. 3.000% 4/1/26    23,316     22,461
  Home Depot Inc. 2.125% 9/15/26    19,100     17,849
  Home Depot Inc. 2.500% 4/15/27    36,408     33,911
  Home Depot Inc. 2.875% 4/15/27    17,969     16,955
  Home Depot Inc. 2.800% 9/14/27    28,381     26,594
  Home Depot Inc. 1.500% 9/15/28     9,264      8,071
  Home Depot Inc. 3.900% 12/6/28    15,548     15,045
  Home Depot Inc. 4.900% 4/15/29     4,940      4,958
  Honda Motor Co. Ltd. 2.271% 3/10/25    20,176     19,584
  Honda Motor Co. Ltd. 2.534% 3/10/27    32,203     30,089
  Hyatt Hotels Corp. 5.375% 4/23/25    12,395     12,369
  Hyatt Hotels Corp. 4.850% 3/15/26    11,391     11,258
  Hyatt Hotels Corp. 5.750% 1/30/27     3,645      3,689
  Hyatt Hotels Corp. 4.375% 9/15/28     5,225      5,015
  JD.com Inc. 3.875% 4/29/26     7,893      7,655
  Las Vegas Sands Corp. 3.500% 8/18/26    15,000     14,103
  Leggett & Platt Inc. 3.500% 11/15/27     7,737      7,220
  Leland Stanford Junior University 1.289% 6/1/27     7,459      6,694
  Lennar Corp. 4.750% 5/30/25     2,652      2,627
  Lennar Corp. 5.250% 6/1/26     3,190      3,182
  Lennar Corp. 5.000% 6/15/27     4,234      4,197
  Lennar Corp. 4.750% 11/29/27    10,871     10,697
  Lowe's Cos. Inc. 4.000% 4/15/25     7,289      7,184
  Lowe's Cos. Inc. 4.400% 9/8/25    18,048     17,828
  Lowe's Cos. Inc. 3.375% 9/15/25     9,365      9,110
  Lowe's Cos. Inc. 2.500% 4/15/26     9,025      8,567
  Lowe's Cos. Inc. 3.350% 4/1/27    19,321     18,409
  Lowe's Cos. Inc. 3.100% 5/3/27    40,086     37,882
  Lowe's Cos. Inc. 1.300% 4/15/28    16,754     14,519
  Lowe's Cos. Inc. 1.700% 9/15/28    18,924     16,443
  Magna International Inc. 4.150% 10/1/25     6,926      6,798
  Marriott International Inc. 3.750% 3/15/25     5,944      5,833
1 Marriott International Inc. 5.750% 5/1/25     6,115      6,137
  Marriott International Inc. 3.750% 10/1/25     2,021      1,969
1 Marriott International Inc. 3.125% 6/15/26     7,704      7,354
 
5

 

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

($000)
  Marriott International Inc. 5.000% 10/15/27    20,215     20,147
1 Marriott International Inc. 4.000% 4/15/28    10,915     10,447
  Marriott International Inc. 5.550% 10/15/28     8,225      8,368
  Marriott International Inc. 4.875% 5/15/29     6,000      5,920
  Masco Corp. 3.500% 11/15/27     5,558      5,224
  Masco Corp. 1.500% 2/15/28     9,278      8,057
1 McDonald's Corp. 3.375% 5/26/25    16,690     16,314
1 McDonald's Corp. 3.300% 7/1/25    20,646     20,156
1 McDonald's Corp. 1.450% 9/1/25     5,338      5,053
1 McDonald's Corp. 3.700% 1/30/26    32,326     31,592
1 McDonald's Corp. 3.500% 3/1/27    12,095     11,645
1 McDonald's Corp. 3.500% 7/1/27    13,080     12,516
1 McDonald's Corp. 3.800% 4/1/28    15,050     14,447
  McDonald's Corp. 4.800% 8/14/28     7,345      7,323
2 Mercedes-Benz Finance North America LLC 0.750% 3/1/24     5,000      5,000
  Mohawk Industries Inc. 5.850% 9/18/28    10,400     10,611
  NIKE Inc. 2.375% 11/1/26    18,728     17,618
  NIKE Inc. 2.750% 3/27/27    32,536     30,678
  O'Reilly Automotive Inc. 3.550% 3/15/26    16,837     16,292
  O'Reilly Automotive Inc. 5.750% 11/20/26     4,576      4,641
  O'Reilly Automotive Inc. 3.600% 9/1/27    20,371     19,406
  Owens Corning 3.400% 8/15/26     6,760      6,451
  PulteGroup Inc. 5.500% 3/1/26     9,895      9,914
  PulteGroup Inc. 5.000% 1/15/27     7,864      7,829
  PVH Corp. 4.625% 7/10/25     3,843      3,789
  Ralph Lauren Corp. 3.750% 9/15/25     5,580      5,453
  Ross Stores Inc. 4.600% 4/15/25    11,412     11,302
  Ross Stores Inc. 0.875% 4/15/26     5,884      5,381
  Sands China Ltd. 5.125% 8/8/25    26,915     26,507
  Sands China Ltd. 4.050% 1/8/26    11,280     10,815
  Sands China Ltd. 2.550% 3/8/27     9,235      8,293
  Sands China Ltd. 5.400% 8/8/28    32,015     31,119
  Snap-on Inc. 3.250% 3/1/27     2,223      2,128
  Stanley Black & Decker Inc. 3.400% 3/1/26     5,987      5,770
1 Stanley Black & Decker Inc. 4.000% 3/15/60    14,414     12,831
  Starbucks Corp. 3.800% 8/15/25    23,418     22,933
  Starbucks Corp. 4.750% 2/15/26    15,341     15,240
  Starbucks Corp. 2.450% 6/15/26    11,109     10,488
  Starbucks Corp. 4.850% 2/8/27    15,550     15,468
  Starbucks Corp. 2.000% 3/12/27     6,465      5,924
  Starbucks Corp. 3.500% 3/1/28    12,015     11,390
  Tapestry Inc. 7.050% 11/27/25     2,600      2,649
  Tapestry Inc. 7.000% 11/27/26     8,200      8,421
1 Tapestry Inc. 4.125% 7/15/27     5,692      5,406
  Tapestry Inc. 7.350% 11/27/28    20,791     21,756
  TJX Cos. Inc. 2.250% 9/15/26    12,319     11,572
  Toll Brothers Finance Corp. 4.875% 11/15/25     4,925      4,867
  Toll Brothers Finance Corp. 4.350% 2/15/28     7,365      7,075
  Toyota Motor Corp. 1.339% 3/25/26     7,576      7,033
  Toyota Motor Corp. 5.275% 7/13/26     7,270      7,321
  Toyota Motor Corp. 5.118% 7/13/28     8,955      9,125
  Toyota Motor Corp. 2.760% 7/2/29     7,158      6,592
1 Toyota Motor Credit Corp. 3.000% 4/1/25    30,948     30,238
1 Toyota Motor Credit Corp. 3.400% 4/14/25    15,180     14,877
  Toyota Motor Credit Corp. 3.950% 6/30/25    14,463     14,243
  Toyota Motor Credit Corp. 5.600% 9/11/25     9,467      9,547
1 Toyota Motor Credit Corp. 0.800% 10/16/25    15,015     14,034
  Toyota Motor Credit Corp. 5.400% 11/10/25    15,234     15,328
1 Toyota Motor Credit Corp. 4.800% 1/5/26     5,840      5,815
1 Toyota Motor Credit Corp. 0.800% 1/9/26     8,985      8,333
  Toyota Motor Credit Corp. 4.450% 5/18/26    20,029     19,818
1 Toyota Motor Credit Corp. 1.125% 6/18/26    28,385     26,047
1 Toyota Motor Credit Corp. 5.000% 8/14/26     6,950      6,949
  Toyota Motor Credit Corp. 5.400% 11/20/26    13,054     13,186
1 Toyota Motor Credit Corp. 3.200% 1/11/27    25,110     23,990
1 Toyota Motor Credit Corp. 1.900% 1/13/27    12,340     11,363
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
1 Toyota Motor Credit Corp. 3.050% 3/22/27    13,047     12,372
1 Toyota Motor Credit Corp. 1.150% 8/13/27     9,164      8,119
1 Toyota Motor Credit Corp. 4.550% 9/20/27    25,122     24,908
  Toyota Motor Credit Corp. 5.450% 11/10/27    16,317     16,640
  Toyota Motor Credit Corp. 4.625% 1/12/28     4,966      4,938
1 Toyota Motor Credit Corp. 1.900% 4/6/28    15,638     13,974
1 Toyota Motor Credit Corp. 5.250% 9/11/28    13,115     13,303
1 Toyota Motor Credit Corp. 4.650% 1/5/29     9,560      9,458
  Toyota Motor Credit Corp. 3.650% 1/8/29     8,930      8,450
  VF Corp. 2.400% 4/23/25     8,858      8,498
  VF Corp. 2.800% 4/23/27     9,057      8,212
  Whirlpool Corp. 3.700% 5/1/25     5,240      5,127
  Whirlpool Corp. 4.750% 2/26/29     5,785      5,649
1 Yale University 0.873% 4/15/25    10,331      9,854
                               3,041,718
Consumer Staples (5.6%)
  Altria Group Inc. 2.350% 5/6/25    14,768     14,254
  Altria Group Inc. 4.400% 2/14/26    18,627     18,329
  Altria Group Inc. 2.625% 9/16/26     7,701      7,235
  Altria Group Inc. 6.200% 11/1/28     9,465      9,827
  Altria Group Inc. 4.800% 2/14/29    32,175     31,603
1 Anheuser-Busch Cos. LLC 3.650% 2/1/26    36,330     35,421
  Anheuser-Busch InBev Worldwide Inc. 4.000% 4/13/28    47,320     45,872
  Anheuser-Busch InBev Worldwide Inc. 4.750% 1/23/29    75,578     75,067
  Archer-Daniels-Midland Co. 2.500% 8/11/26    15,479     14,574
  Avery Dennison Corp. 4.875% 12/6/28     9,982      9,882
  BAT Capital Corp. 2.789% 9/6/24     8,029      7,903
  BAT Capital Corp. 3.215% 9/6/26    20,050     18,995
  BAT Capital Corp. 4.700% 4/2/27    17,135     16,763
  BAT Capital Corp. 3.557% 8/15/27    19,446     18,362
  BAT Capital Corp. 2.259% 3/25/28    33,945     30,031
  BAT International Finance plc 1.668% 3/25/26    33,046     30,620
  BAT International Finance plc 4.448% 3/16/28    23,106     22,286
  BAT International Finance plc 5.931% 2/2/29     2,075      2,118
  Brown-Forman Corp. 3.500% 4/15/25     3,581      3,508
  Bunge Ltd. Finance Corp. 1.630% 8/17/25     9,706      9,188
  Bunge Ltd. Finance Corp. 3.250% 8/15/26    21,551     20,546
  Campbell Soup Co. 3.950% 3/15/25    22,987     22,618
  Campbell Soup Co. 3.300% 3/19/25     7,486      7,299
  Campbell Soup Co. 4.150% 3/15/28    24,390     23,526
  Church & Dwight Co. Inc. 3.150% 8/1/27     8,160      7,688
  Clorox Co. 3.100% 10/1/27     6,641      6,230
  Clorox Co. 4.400% 5/1/29     6,503      6,338
  Coca-Cola Co. 3.375% 3/25/27    22,409     21,588
  Coca-Cola Co. 2.900% 5/25/27     5,464      5,184
  Coca-Cola Co. 1.450% 6/1/27    32,898     29,765
  Coca-Cola Consolidated Inc. 3.800% 11/25/25     5,530      5,402
  Colgate-Palmolive Co. 4.800% 3/2/26     8,022      8,041
  Colgate-Palmolive Co. 3.100% 8/15/27    15,007     14,317
  Colgate-Palmolive Co. 4.600% 3/1/28     6,930      6,978
  Conagra Brands Inc. 4.600% 11/1/25    20,527     20,223
  Conagra Brands Inc. 1.375% 11/1/27    13,691     11,896
  Conagra Brands Inc. 4.850% 11/1/28    29,975     29,456
  Constellation Brands Inc. 4.400% 11/15/25     8,139      8,017
  Constellation Brands Inc. 4.750% 12/1/25     9,881      9,772
  Constellation Brands Inc. 5.000% 2/2/26     4,451      4,423
  Constellation Brands Inc. 3.700% 12/6/26     9,011      8,672
  Constellation Brands Inc. 3.500% 5/9/27    20,693     19,666
  Constellation Brands Inc. 4.350% 5/9/27     9,916      9,696
  Constellation Brands Inc. 3.600% 2/15/28     5,366      5,070
  Constellation Brands Inc. 4.650% 11/15/28    18,595     18,224
  Constellation Brands Inc. 4.800% 1/15/29     2,875      2,832
  Costco Wholesale Corp. 3.000% 5/18/27    17,744     16,926
  Costco Wholesale Corp. 1.375% 6/20/27    36,123     32,467
  Diageo Capital plc 1.375% 9/29/25    12,966     12,228
 
6

 

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

($000)
  Diageo Capital plc 5.300% 10/24/27    22,427     22,688
  Diageo Capital plc 3.875% 5/18/28     4,135      3,991
  Diageo Capital plc 2.375% 10/24/29     3,475      3,051
  Dollar General Corp. 4.150% 11/1/25     7,924      7,761
  Dollar General Corp. 3.875% 4/15/27    13,728     13,192
  Dollar General Corp. 4.625% 11/1/27    16,405     16,082
  Dollar General Corp. 4.125% 5/1/28     9,518      9,195
  Dollar General Corp. 5.200% 7/5/28     5,175      5,169
  Dollar Tree Inc. 4.000% 5/15/25    15,073     14,809
  Dollar Tree Inc. 4.200% 5/15/28    21,359     20,578
  Estee Lauder Cos. Inc. 3.150% 3/15/27     6,407      6,103
  Estee Lauder Cos. Inc. 4.375% 5/15/28     7,215      7,093
  Flowers Foods Inc. 3.500% 10/1/26     5,976      5,730
  General Mills Inc. 4.000% 4/17/25    16,805     16,538
  General Mills Inc. 4.700% 1/30/27     3,780      3,742
  General Mills Inc. 3.200% 2/10/27    14,510     13,792
  General Mills Inc. 4.200% 4/17/28    28,982     28,102
  General Mills Inc. 5.500% 10/17/28     1,569      1,595
  Haleon UK Capital plc 3.125% 3/24/25    23,196     22,626
  Haleon US Capital LLC 3.375% 3/24/27    34,115     32,431
  Haleon US Capital LLC 3.375% 3/24/29     4,968      4,590
  Hershey Co. 0.900% 6/1/25     3,293      3,129
  Hershey Co. 3.200% 8/21/25     1,765      1,722
  Hershey Co. 2.300% 8/15/26     5,154      4,864
  Hershey Co. 4.250% 5/4/28     8,691      8,546
  Hormel Foods Corp. 1.700% 6/3/28    12,509     11,042
  Ingredion Inc. 3.200% 10/1/26     8,424      8,033
  J M Smucker Co. 3.500% 3/15/25    10,359     10,151
  J M Smucker Co. 3.375% 12/15/27     6,371      6,008
  J M Smucker Co. 5.900% 11/15/28     9,120      9,388
  JBS USA LUX SA 2.500% 1/15/27    17,482     16,055
  JBS USA LUX SA 5.125% 2/1/28    11,824     11,580
  Kellanova 3.250% 4/1/26     5,995      5,762
  Kellanova 4.300% 5/15/28     7,593      7,374
  Kenvue Inc. 5.500% 3/22/25    13,240     13,273
  Kenvue Inc. 5.350% 3/22/26    12,085     12,164
  Kenvue Inc. 5.050% 3/22/28    23,435     23,582
  Keurig Dr Pepper Inc. 4.417% 5/25/25     4,784      4,732
  Keurig Dr Pepper Inc. 3.400% 11/15/25     8,138      7,882
  Keurig Dr Pepper Inc. 2.550% 9/15/26     8,069      7,567
  Keurig Dr Pepper Inc. 3.430% 6/15/27     3,924      3,735
  Keurig Dr Pepper Inc. 4.597% 5/25/28    24,024     23,665
  Kimberly-Clark Corp. 3.050% 8/15/25     5,635      5,479
  Kimberly-Clark Corp. 2.750% 2/15/26     1,119      1,077
  Kraft Heinz Foods Co. 3.000% 6/1/26    35,163     33,551
  Kraft Heinz Foods Co. 3.875% 5/15/27    31,044     29,963
  Kroger Co. 3.500% 2/1/26     4,750      4,604
  Kroger Co. 2.650% 10/15/26    21,739     20,426
  Kroger Co. 3.700% 8/1/27     4,828      4,631
  Kroger Co. 4.500% 1/15/29    11,110     10,859
  McCormick & Co. Inc. 0.900% 2/15/26     2,720      2,502
  McCormick & Co. Inc. 3.400% 8/15/27    13,373     12,649
  Mead Johnson Nutrition Co. 4.125% 11/15/25    20,764     20,372
  Molson Coors Beverage Co. 3.000% 7/15/26    35,269     33,591
  Mondelez International Inc. 1.500% 5/4/25    11,707     11,192
  Mondelez International Inc. 2.625% 3/17/27    16,876     15,736
  Mondelez International Inc. 4.125% 5/7/28       403        395
  PepsiCo Inc. 2.250% 3/19/25    21,763     21,135
  PepsiCo Inc. 2.750% 4/30/25    24,393     23,757
  PepsiCo Inc. 3.500% 7/17/25    12,966     12,701
  PepsiCo Inc. 5.250% 11/10/25     9,300      9,339
  PepsiCo Inc. 2.850% 2/24/26    19,139     18,406
  PepsiCo Inc. 2.375% 10/6/26    17,907     16,871
  PepsiCo Inc. 5.125% 11/10/26    11,581     11,657
  PepsiCo Inc. 2.625% 3/19/27    12,196     11,467
  PepsiCo Inc. 3.000% 10/15/27    24,568     23,160
  PepsiCo Inc. 3.600% 2/18/28    11,860     11,403
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  PepsiCo Inc. 4.450% 5/15/28     2,061      2,057
  Philip Morris International Inc. 2.875% 5/1/24    16,432     16,354
  Philip Morris International Inc. 1.500% 5/1/25     8,603      8,244
  Philip Morris International Inc. 3.375% 8/11/25    13,263     12,933
  Philip Morris International Inc. 5.000% 11/17/25    10,060     10,026
  Philip Morris International Inc. 4.875% 2/13/26    18,022     17,934
  Philip Morris International Inc. 2.750% 2/25/26    13,798     13,179
  Philip Morris International Inc. 0.875% 5/1/26    15,117     13,812
  Philip Morris International Inc. 4.750% 2/12/27    12,445     12,288
  Philip Morris International Inc. 5.125% 11/17/27    43,787     43,853
  Philip Morris International Inc. 4.875% 2/15/28    39,151     38,922
  Philip Morris International Inc. 4.875% 2/13/29    12,000     11,792
  Procter & Gamble Co. 0.550% 10/29/25    21,903     20,420
  Procter & Gamble Co. 2.700% 2/2/26    10,794     10,381
  Procter & Gamble Co. 2.450% 11/3/26    22,549     21,302
  Procter & Gamble Co. 1.900% 2/1/27    11,364     10,529
  Procter & Gamble Co. 2.800% 3/25/27     7,934      7,511
  Procter & Gamble Co. 2.850% 8/11/27    12,028     11,350
  Procter & Gamble Co. 3.950% 1/26/28     8,800      8,647
  Procter & Gamble Co. 4.350% 1/29/29    14,675     14,549
  Reynolds American Inc. 4.450% 6/12/25    35,316     34,778
  Sysco Corp. 3.750% 10/1/25    19,631     19,131
  Sysco Corp. 3.300% 7/15/26    22,963     22,046
  Sysco Corp. 3.250% 7/15/27     9,315      8,779
  Sysco Corp. 5.750% 1/17/29     9,022      9,238
  Target Corp. 2.250% 4/15/25    19,275     18,675
  Target Corp. 2.500% 4/15/26     9,484      9,058
  Target Corp. 1.950% 1/15/27    30,551     28,240
  Tyson Foods Inc. 4.000% 3/1/26     5,927      5,787
  Tyson Foods Inc. 3.550% 6/2/27    24,045     22,794
  Unilever Capital Corp. 2.600% 5/5/24    10,223     10,167
  Unilever Capital Corp. 3.375% 3/22/25     2,696      2,644
  Unilever Capital Corp. 3.100% 7/30/25     3,024      2,947
  Unilever Capital Corp. 2.000% 7/28/26    11,580     10,846
  Unilever Capital Corp. 2.900% 5/5/27    10,156      9,598
  Unilever Capital Corp. 3.500% 3/22/28    17,367     16,615
  Unilever Capital Corp. 4.875% 9/8/28    14,825     14,932
  Walmart Inc. 3.550% 6/26/25    14,332     14,102
  Walmart Inc. 3.900% 9/9/25    26,874     26,468
  Walmart Inc. 4.000% 4/15/26    11,094     10,923
  Walmart Inc. 3.050% 7/8/26    16,339     15,719
  Walmart Inc. 1.050% 9/17/26    28,674     26,202
  Walmart Inc. 3.950% 9/9/27    22,899     22,435
  Walmart Inc. 3.900% 4/15/28    13,699     13,366
  Walmart Inc. 3.700% 6/26/28    26,136     25,285
  Walmart Inc. 1.500% 9/22/28    18,897     16,590
                               2,366,409
Energy (5.3%)
  Apache Corp. 4.375% 10/15/28     3,075      2,881
  Baker Hughes Holdings LLC 2.061% 12/15/26     9,929      9,161
  Baker Hughes Holdings LLC 3.337% 12/15/27    22,931     21,624
  Boardwalk Pipelines LP 5.950% 6/1/26     7,627      7,682
  Boardwalk Pipelines LP 4.450% 7/15/27     4,399      4,288
  BP Capital Markets America Inc. 3.796% 9/21/25    15,215     14,925
  BP Capital Markets America Inc. 3.410% 2/11/26    21,194     20,554
1 BP Capital Markets America Inc. 3.119% 5/4/26    26,443     25,409
1 BP Capital Markets America Inc. 3.017% 1/16/27    13,934     13,238
  BP Capital Markets America Inc. 3.543% 4/6/27    14,624     14,027
1 BP Capital Markets America Inc. 3.588% 4/14/27    15,074     14,488
  BP Capital Markets America Inc. 3.937% 9/21/28    17,033     16,356
  BP Capital Markets America Inc. 4.234% 11/6/28    33,745     32,839
  BP Capital Markets America Inc. 4.699% 4/10/29     5,000      4,946
  BP Capital Markets plc 3.279% 9/19/27    16,407     15,534
  BP Capital Markets plc 3.723% 11/28/28    10,603     10,067
  Canadian Natural Resources Ltd. 2.050% 7/15/25    13,564     12,945
  Canadian Natural Resources Ltd. 3.850% 6/1/27    29,201     27,960
  Cenovus Energy Inc. 4.250% 4/15/27    14,675     14,211
 
7

 

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

($000)
  Cheniere Corpus Christi Holdings LLC 5.875% 3/31/25    34,816     34,805
  Cheniere Corpus Christi Holdings LLC 5.125% 6/30/27    20,389     20,291
  Cheniere Energy Inc. 4.625% 10/15/28    25,304     24,303
  Chevron Corp. 1.554% 5/11/25    48,373     46,415
  Chevron Corp. 3.326% 11/17/25    12,802     12,499
  Chevron Corp. 2.954% 5/16/26    30,937     29,714
  Chevron Corp. 1.995% 5/11/27    17,926     16,480
  Chevron USA Inc. 0.687% 8/12/25    21,393     20,123
  Chevron USA Inc. 1.018% 8/12/27     8,221      7,257
  Chevron USA Inc. 3.850% 1/15/28     4,995      4,859
  Columbia Pipeline Group Inc. 4.500% 6/1/25    16,570     16,328
  ConocoPhillips Co. 2.400% 3/7/25     1,843      1,791
  Continental Resources Inc. 4.375% 1/15/28    22,708     21,822
  Coterra Energy Inc. 3.900% 5/15/27    25,652     24,652
  DCP Midstream Operating LP 5.375% 7/15/25     5,720      5,710
  DCP Midstream Operating LP 5.625% 7/15/27     9,785      9,836
  Devon Energy Corp. 5.850% 12/15/25    10,412     10,461
  Devon Energy Corp. 5.875% 6/15/28        32         32
  Diamondback Energy Inc. 3.250% 12/1/26    15,154     14,484
  Enbridge Energy Partners LP 5.875% 10/15/25     1,878      1,889
  Enbridge Inc. 1.600% 10/4/26     5,516      5,042
  Enbridge Inc. 5.900% 11/15/26    23,494     23,935
  Enbridge Inc. 4.250% 12/1/26    20,849     20,394
  Enbridge Inc. 3.700% 7/15/27     5,625      5,371
  Enbridge Inc. 6.000% 11/15/28    11,365     11,768
  Energy Transfer LP 4.050% 3/15/25    25,597     25,194
  Energy Transfer LP 2.900% 5/15/25    24,519     23,735
  Energy Transfer LP 5.950% 12/1/25     2,748      2,763
  Energy Transfer LP 4.750% 1/15/26    14,259     14,097
  Energy Transfer LP 3.900% 7/15/26    10,270      9,930
  Energy Transfer LP 4.400% 3/15/27    17,800     17,336
  Energy Transfer LP 4.200% 4/15/27    17,472     16,936
1 Energy Transfer LP 5.500% 6/1/27    26,597     26,699
  Energy Transfer LP 4.000% 10/1/27     4,672      4,468
  Energy Transfer LP 5.550% 2/15/28    21,165     21,342
  Energy Transfer LP 4.950% 5/15/28    12,875     12,704
  Energy Transfer LP 4.950% 6/15/28    14,012     13,796
  Energy Transfer LP 6.100% 12/1/28     7,795      8,064
  Enterprise Products Operating LLC 5.050% 1/10/26     5,182      5,180
  Enterprise Products Operating LLC 3.700% 2/15/26    23,120     22,548
  Enterprise Products Operating LLC 3.950% 2/15/27    12,380     12,051
  Enterprise Products Operating LLC 4.150% 10/16/28    19,244     18,577
  Enterprise Products Operating LLC 3.125% 7/31/29     1,858      1,700
1 Enterprise Products Operating LLC 5.250% 8/16/77    17,881     17,000
1 Enterprise Products Operating LLC 5.375% 2/15/78    10,000      9,253
  EOG Resources Inc. 3.150% 4/1/25    11,452     11,194
  EOG Resources Inc. 4.150% 1/15/26    19,373     19,081
  EQT Corp. 3.900% 10/1/27    19,498     18,471
  EQT Corp. 5.700% 4/1/28     5,281      5,318
  EQT Corp. 5.000% 1/15/29        25         24
  Exxon Mobil Corp. 2.709% 3/6/25    28,411     27,729
  Exxon Mobil Corp. 2.992% 3/19/25    49,597     48,496
  Exxon Mobil Corp. 3.043% 3/1/26    41,276     39,864
  Exxon Mobil Corp. 2.275% 8/16/26    13,895     13,124
  Exxon Mobil Corp. 3.294% 3/19/27    11,425     11,002
  Halliburton Co. 3.800% 11/15/25     9,007      8,800
  Hess Corp. 4.300% 4/1/27    22,925     22,328
  HF Sinclair Corp. 5.875% 4/1/26    16,447     16,507
  Kinder Morgan Inc. 4.300% 6/1/25    21,858     21,538
  Kinder Morgan Inc. 1.750% 11/15/26     8,083      7,380
  Kinder Morgan Inc. 4.300% 3/1/28    18,900     18,326
  Magellan Midstream Partners LP 5.000% 3/1/26    16,468     16,351
  Marathon Oil Corp. 4.400% 7/15/27    17,121     16,626
  Marathon Petroleum Corp. 4.700% 5/1/25    22,002     21,789
  Marathon Petroleum Corp. 5.125% 12/15/26    14,433     14,409
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Marathon Petroleum Corp. 3.800% 4/1/28     6,906      6,575
  MPLX LP 4.875% 6/1/25    25,404     25,167
  MPLX LP 1.750% 3/1/26    20,606     19,222
  MPLX LP 4.125% 3/1/27    25,912     25,124
  MPLX LP 4.250% 12/1/27     2,993      2,894
  MPLX LP 4.000% 3/15/28    20,130     19,278
  MPLX LP 4.800% 2/15/29    12,100     11,862
  Northwest Pipeline LLC 4.000% 4/1/27     2,128      2,065
  Occidental Petroleum Corp. 5.875% 9/1/25    10,259     10,290
  Occidental Petroleum Corp. 5.500% 12/1/25     6,857      6,848
  Occidental Petroleum Corp. 5.550% 3/15/26    14,148     14,237
  Occidental Petroleum Corp. 8.500% 7/15/27     7,536      8,174
  Occidental Petroleum Corp. 6.375% 9/1/28     9,620      9,979
  ONEOK Inc. 2.200% 9/15/25       684        651
  ONEOK Inc. 5.850% 1/15/26    10,297     10,388
  ONEOK Inc. 5.550% 11/1/26    10,772     10,849
  ONEOK Inc. 4.000% 7/13/27    11,358     10,943
  ONEOK Inc. 4.550% 7/15/28    10,332     10,094
  ONEOK Inc. 5.650% 11/1/28    14,061     14,310
  ONEOK Partners LP 4.900% 3/15/25    17,280     17,150
  Ovintiv Inc. 5.375% 1/1/26    17,410     17,310
  Ovintiv Inc. 5.650% 5/15/28    11,997     12,103
  Patterson-UTI Energy Inc. 3.950% 2/1/28     8,480      7,928
  Phillips 66 3.850% 4/9/25    12,446     12,232
  Phillips 66 1.300% 2/15/26     2,777      2,571
  Phillips 66 3.900% 3/15/28    14,467     13,919
  Phillips 66 Co. 3.550% 10/1/26     7,771      7,461
  Phillips 66 Co. 4.950% 12/1/27    15,010     14,977
  Phillips 66 Co. 3.750% 3/1/28     6,945      6,624
  Pioneer Natural Resources Co. 1.125% 1/15/26    10,363      9,614
  Plains All American Pipeline LP 4.650% 10/15/25    16,141     15,921
  Plains All American Pipeline LP 4.500% 12/15/26    12,564     12,324
  Sabine Pass Liquefaction LLC 5.625% 3/1/25    52,932     52,867
  Sabine Pass Liquefaction LLC 5.875% 6/30/26    20,851     21,021
  Sabine Pass Liquefaction LLC 5.000% 3/15/27    28,785     28,580
  Sabine Pass Liquefaction LLC 4.200% 3/15/28    17,094     16,494
  Schlumberger Finance Canada Ltd. 1.400% 9/17/25     6,863      6,485
  Schlumberger Investment SA 4.500% 5/15/28     9,220      9,132
  Shell International Finance BV 3.250% 5/11/25    44,050     43,080
  Shell International Finance BV 2.875% 5/10/26    30,254     28,950
  Shell International Finance BV 2.500% 9/12/26    16,593     15,671
  Shell International Finance BV 3.875% 11/13/28    22,269     21,487
  Spectra Energy Partners LP 3.500% 3/15/25     9,163      8,983
  Spectra Energy Partners LP 3.375% 10/15/26    12,881     12,304
  Targa Resources Corp. 5.200% 7/1/27     9,246      9,194
  Targa Resources Corp. 6.150% 3/1/29     1,675      1,727
  Targa Resources Partners LP 6.500% 7/15/27    28,725     29,046
  Targa Resources Partners LP 5.000% 1/15/28    12,328     12,072
  TC PipeLines LP 4.375% 3/13/25     5,948      5,857
  TC PipeLines LP 3.900% 5/25/27     7,523      7,170
  Tennessee Gas Pipeline Co. LLC 7.000% 3/15/27     2,543      2,669
  Tennessee Gas Pipeline Co. LLC 7.000% 10/15/28     3,866      4,128
  TotalEnergies Capital International SA 3.455% 2/19/29    26,195     24,605
  TotalEnergies Capital SA 3.883% 10/11/28    11,532     11,107
  TransCanada PipeLines Ltd. 4.875% 1/15/26    18,046     17,889
  TransCanada PipeLines Ltd. 4.250% 5/15/28    26,059     25,097
  Transcontinental Gas Pipe Line Co. LLC 7.850% 2/1/26    11,604     12,053
  Transcontinental Gas Pipe Line Co. LLC 4.000% 3/15/28     4,566      4,381
  Valero Energy Corp. 2.150% 9/15/27     6,141      5,560
  Valero Energy Corp. 4.350% 6/1/28    11,479     11,176
  Valero Energy Partners LP 4.500% 3/15/28    14,932     14,521
  Western Midstream Operating LP 4.650% 7/1/26     1,946      1,902
  Western Midstream Operating LP 4.500% 3/1/28     5,416      5,187
  Western Midstream Operating LP 4.750% 8/15/28     5,363      5,185
 
8

 

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

($000)
  Western Midstream Operating LP 6.350% 1/15/29     9,600      9,912
  Williams Cos. Inc. 4.000% 9/15/25    16,498     16,177
  Williams Cos. Inc. 5.400% 3/2/26    10,495     10,519
  Williams Cos. Inc. 3.750% 6/15/27    32,337     30,931
  Williams Cos. Inc. 5.300% 8/15/28    14,327     14,418
                               2,241,747
Financials (40.4%)
1 Aegon Ltd. 5.500% 4/11/48    13,275     12,716
  AerCap Ireland Capital DAC 3.500% 1/15/25    25,080     24,601
  AerCap Ireland Capital DAC 6.500% 7/15/25    16,850     17,002
  AerCap Ireland Capital DAC 4.450% 10/1/25    12,472     12,233
  AerCap Ireland Capital DAC 1.750% 1/30/26     8,630      8,017
  AerCap Ireland Capital DAC 4.450% 4/3/26     2,152      2,108
  AerCap Ireland Capital DAC 2.450% 10/29/26    87,515     80,750
  AerCap Ireland Capital DAC 6.100% 1/15/27     5,830      5,905
2 AerCap Ireland Capital DAC 6.450% 4/15/27    11,220     11,487
  AerCap Ireland Capital DAC 3.650% 7/21/27    23,252     21,890
  AerCap Ireland Capital DAC 3.875% 1/23/28     9,392      8,844
  AerCap Ireland Capital DAC 5.750% 6/6/28    13,665     13,774
  AerCap Ireland Capital DAC 3.000% 10/29/28    79,610     71,530
  Affiliated Managers Group Inc. 3.500% 8/1/25    12,715     12,366
  Aflac Inc. 1.125% 3/15/26    12,794     11,818
  Air Lease Corp. 3.250% 3/1/25    13,765     13,440
  Air Lease Corp. 3.375% 7/1/25     5,648      5,488
1 Air Lease Corp. 2.875% 1/15/26    20,611     19,662
1 Air Lease Corp. 3.750% 6/1/26    13,266     12,784
  Air Lease Corp. 1.875% 8/15/26    26,096     23,966
  Air Lease Corp. 2.200% 1/15/27     8,284      7,588
  Air Lease Corp. 3.625% 4/1/27     4,889      4,642
  Air Lease Corp. 3.625% 12/1/27     8,480      7,939
  Air Lease Corp. 5.850% 12/15/27     8,315      8,406
  Air Lease Corp. 5.300% 2/1/28    11,673     11,603
  Air Lease Corp. 2.100% 9/1/28     8,017      6,962
  Air Lease Corp. 4.625% 10/1/28     2,805      2,709
  Aircastle Ltd. 4.250% 6/15/26    14,551     14,102
  Allied World Assurance Co. Holdings Ltd. 4.350% 10/29/25     3,805      3,696
  Allstate Corp. 0.750% 12/15/25    10,562      9,746
  Allstate Corp. 3.280% 12/15/26     5,206      4,957
  Ally Financial Inc. 4.625% 3/30/25    10,893     10,754
  Ally Financial Inc. 5.800% 5/1/25     4,997      4,988
  Ally Financial Inc. 4.750% 6/9/27     8,084      7,849
  Ally Financial Inc. 7.100% 11/15/27    16,175     16,839
  Ally Financial Inc. 2.200% 11/2/28    17,739     15,069
  Ally Financial Inc. 6.992% 6/13/29     8,555      8,788
  American Equity Investment Life Holding Co. 5.000% 6/15/27     7,913      7,623
  American Express Co. 2.250% 3/4/25    44,557     43,150
  American Express Co. 3.950% 8/1/25    30,728     30,188
  American Express Co. 4.200% 11/6/25     8,237      8,125
  American Express Co. 4.990% 5/1/26    16,220     16,127
  American Express Co. 3.125% 5/20/26     5,554      5,330
  American Express Co. 6.338% 10/30/26    10,745     10,908
  American Express Co. 1.650% 11/4/26    27,944     25,549
  American Express Co. 2.550% 3/4/27    40,359     37,495
  American Express Co. 3.300% 5/3/27    58,730     55,677
  American Express Co. 5.389% 7/28/27    17,867     17,916
  American Express Co. 5.850% 11/5/27    12,571     12,894
  American Express Co. 5.098% 2/16/28    19,962     19,882
  American Express Co. 5.282% 7/27/29    24,210     24,348
1 American Express Credit Corp. 3.300% 5/3/27     2,497      2,367
  American International Group Inc. 4.200% 4/1/28       401        389
1 American International Group Inc. 5.750% 4/1/48    12,130     11,908
  Ameriprise Financial Inc. 3.000% 4/2/25     8,314      8,096
  Ameriprise Financial Inc. 2.875% 9/15/26     9,704      9,206
  Ameriprise Financial Inc. 5.700% 12/15/28     5,910      6,077
1 Aon Corp. 8.205% 1/1/27     4,036      4,343
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Aon Corp. 2.850% 5/28/27     6,730      6,273
  Aon Global Ltd. 3.875% 12/15/25    18,071     17,619
3 Aon North America Inc. 5.125% 3/1/27     4,630      4,628
3 Aon North America Inc. 5.150% 3/1/29    11,040     11,042
  Arch Capital Finance LLC 4.011% 12/15/26     6,769      6,536
  Ares Capital Corp. 4.250% 3/1/25     6,262      6,138
  Ares Capital Corp. 3.250% 7/15/25    24,175     23,227
  Ares Capital Corp. 3.875% 1/15/26    27,511     26,394
  Ares Capital Corp. 2.150% 7/15/26    25,721     23,366
  Ares Capital Corp. 2.875% 6/15/27     7,363      6,688
  Ares Capital Corp. 2.875% 6/15/28    25,021     21,916
  Ares Capital Corp. 5.875% 3/1/29     7,200      7,041
  Ares Management Corp. 6.375% 11/10/28     5,910      6,134
  Assurant Inc. 4.900% 3/27/28     4,058      3,975
  Assured Guaranty US Holdings Inc. 6.125% 9/15/28     5,955      6,144
  Athene Holding Ltd. 4.125% 1/12/28    12,686     12,149
  Australia & New Zealand Banking Group Ltd. 5.375% 7/3/25    15,570     15,618
  Australia & New Zealand Banking Group Ltd. 5.671% 10/3/25    12,395     12,507
1 Australia & New Zealand Banking Group Ltd. 3.700% 11/16/25    11,866     11,605
  Australia & New Zealand Banking Group Ltd. 5.088% 12/8/25    19,610     19,619
1 Australia & New Zealand Banking Group Ltd. 4.750% 1/18/27     7,407      7,381
  AXIS Specialty Finance plc 4.000% 12/6/27     6,000      5,737
  Bain Capital Specialty Finance Inc. 2.950% 3/10/26     5,513      5,158
  Bain Capital Specialty Finance Inc. 2.550% 10/13/26     5,103      4,642
  Banco Bilbao Vizcaya Argentaria SA 1.125% 9/18/25    12,520     11,703
  Banco Bilbao Vizcaya Argentaria SA 5.862% 9/14/26    15,829     15,824
  Banco Bilbao Vizcaya Argentaria SA 6.138% 9/14/28    14,725     14,929
  Banco Santander SA 2.746% 5/28/25    46,964     45,309
  Banco Santander SA 5.147% 8/18/25    35,593     35,320
  Banco Santander SA 5.179% 11/19/25    13,982     13,787
  Banco Santander SA 1.849% 3/25/26    16,695     15,493
  Banco Santander SA 4.250% 4/11/27    21,177     20,405
  Banco Santander SA 5.294% 8/18/27    38,966     38,667
  Banco Santander SA 1.722% 9/14/27    25,650     23,198
  Banco Santander SA 6.527% 11/7/27    12,550     12,842
  Banco Santander SA 3.800% 2/23/28    11,062     10,419
  Banco Santander SA 4.175% 3/24/28    32,995     31,585
  Banco Santander SA 4.379% 4/12/28    15,120     14,528
  Banco Santander SA 5.588% 8/8/28    23,585     23,768
  Banco Santander SA 6.607% 11/7/28    18,805     19,759
1 Bank of America Corp. 3.950% 4/21/25    49,838     49,014
1 Bank of America Corp. 3.875% 8/1/25    20,292     19,968
1 Bank of America Corp. 4.450% 3/3/26    39,430     38,778
1 Bank of America Corp. 3.384% 4/2/26    48,094     46,965
1 Bank of America Corp. 3.500% 4/19/26    64,573     62,568
1 Bank of America Corp. 1.319% 6/19/26    46,534     44,057
1 Bank of America Corp. 4.827% 7/22/26    15,553     15,420
  Bank of America Corp. 6.220% 9/15/26     4,532      4,629
1 Bank of America Corp. 4.250% 10/22/26    17,108     16,731
1 Bank of America Corp. 1.197% 10/24/26    39,563     36,858
  Bank of America Corp. 5.080% 1/20/27    30,632     30,436
1 Bank of America Corp. 1.658% 3/11/27    66,131     61,397
1 Bank of America Corp. 3.559% 4/23/27    57,342     55,148
  Bank of America Corp. 1.734% 7/22/27   102,254     93,738
  Bank of America Corp. 5.933% 9/15/27    15,656     15,876
1 Bank of America Corp. 3.248% 10/21/27    17,927     16,934
1 Bank of America Corp. 4.183% 11/25/27    36,055     34,817
1 Bank of America Corp. 3.824% 1/20/28    25,668     24,660
1 Bank of America Corp. 2.551% 2/4/28    24,228     22,407
1 Bank of America Corp. 3.705% 4/24/28    15,107     14,388
  Bank of America Corp. 4.376% 4/27/28    48,214     46,927
1 Bank of America Corp. 3.593% 7/21/28    35,668     33,775
1 Bank of America Corp. 4.948% 7/22/28    82,567     81,736
 
9

 

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

($000)
  Bank of America Corp. 6.204% 11/10/28    34,988     36,072
1 Bank of America Corp. 3.419% 12/20/28   100,987     94,370
1 Bank of America Corp. 3.970% 3/5/29    44,829     42,644
  Bank of America Corp. 5.202% 4/25/29    67,460     67,078
1 Bank of America Corp. 2.087% 6/14/29    43,660     38,313
1 Bank of America Corp. 4.271% 7/23/29    48,407     46,507
  Bank of America Corp. 5.819% 9/15/29    52,255     53,270
1 Bank of America Corp. 3.974% 2/7/30    30,385     28,557
  Bank of America NA 5.650% 8/18/25    31,775     32,000
  Bank of America NA 5.526% 8/18/26    32,566     32,880
1 Bank of Montreal 1.850% 5/1/25    38,529     37,019
1 Bank of Montreal 3.700% 6/7/25    27,467     26,911
  Bank of Montreal 5.920% 9/25/25    10,115     10,219
  Bank of Montreal 5.300% 6/5/26    18,236     18,280
1 Bank of Montreal 1.250% 9/15/26    12,008     10,928
1 Bank of Montreal 0.949% 1/22/27     7,005      6,463
1 Bank of Montreal 2.650% 3/8/27    30,274     28,246
1 Bank of Montreal 4.700% 9/14/27    17,840     17,661
  Bank of Montreal 5.203% 2/1/28    21,549     21,629
  Bank of Montreal 5.717% 9/25/28    26,973     27,655
1 Bank of Montreal 3.803% 12/15/32    13,950     12,831
1 Bank of New York Mellon Corp. 3.250% 9/11/24       543        537
1 Bank of New York Mellon Corp. 1.600% 4/24/25    29,909     28,733
1 Bank of New York Mellon Corp. 3.950% 11/18/25    10,409     10,185
1 Bank of New York Mellon Corp. 0.750% 1/28/26     4,595      4,238
1 Bank of New York Mellon Corp. 2.800% 5/4/26    22,214     21,206
1 Bank of New York Mellon Corp. 5.148% 5/22/26    15,771     15,732
  Bank of New York Mellon Corp. 4.414% 7/24/26    19,182     18,919
1 Bank of New York Mellon Corp. 2.450% 8/17/26    18,128     17,043
1 Bank of New York Mellon Corp. 1.050% 10/15/26     3,084      2,786
1 Bank of New York Mellon Corp. 2.050% 1/26/27     8,466      7,812
  Bank of New York Mellon Corp. 4.947% 4/26/27    18,170     18,075
1 Bank of New York Mellon Corp. 3.250% 5/16/27    25,161     23,899
1 Bank of New York Mellon Corp. 3.400% 1/29/28     5,288      5,002
1 Bank of New York Mellon Corp. 3.442% 2/7/28    39,610     37,858
1 Bank of New York Mellon Corp. 3.850% 4/28/28     3,746      3,613
1 Bank of New York Mellon Corp. 3.992% 6/13/28     7,735      7,490
1 Bank of New York Mellon Corp. 1.650% 7/14/28    10,238      8,968
1 Bank of New York Mellon Corp. 5.802% 10/25/28    18,433     18,876
1 Bank of New York Mellon Corp. 3.000% 10/30/28    11,020     10,104
  Bank of New York Mellon Corp. 4.543% 2/1/29    15,014     14,739
1 Bank of New York Mellon Corp. 6.317% 10/25/29     8,778      9,197
1 Bank of Nova Scotia 3.450% 4/11/25    35,483     34,745
  Bank of Nova Scotia 1.300% 6/11/25    12,545     11,923
  Bank of Nova Scotia 5.450% 6/12/25    31,480     31,502
  Bank of Nova Scotia 4.500% 12/16/25    26,549     26,092
  Bank of Nova Scotia 4.750% 2/2/26     7,407      7,350
  Bank of Nova Scotia 1.050% 3/2/26     5,430      5,007
  Bank of Nova Scotia 1.350% 6/24/26    24,126     22,144
  Bank of Nova Scotia 2.700% 8/3/26    31,642     29,879
  Bank of Nova Scotia 1.300% 9/15/26    14,875     13,539
  Bank of Nova Scotia 1.950% 2/2/27    12,471     11,446
  Bank of Nova Scotia 2.951% 3/11/27     4,290      4,038
  Bank of Nova Scotia 5.250% 6/12/28    10,333     10,385
  BankUnited Inc. 4.875% 11/17/25     7,146      6,957
  Barclays plc 3.650% 3/16/25    52,625     51,527
  Barclays plc 4.375% 1/12/26    52,535     51,453
1 Barclays plc 2.852% 5/7/26    47,493     45,914
  Barclays plc 5.200% 5/12/26    31,442     31,061
  Barclays plc 5.304% 8/9/26    22,159     22,023
  Barclays plc 7.325% 11/2/26    11,678     11,961
  Barclays plc 5.829% 5/9/27    31,813     31,878
  Barclays plc 6.496% 9/13/27       620        631
  Barclays plc 2.279% 11/24/27    18,925     17,296
  Barclays plc 4.836% 5/9/28    43,875     42,235
  Barclays plc 5.501% 8/9/28    31,355     31,182
  Barclays plc 7.385% 11/2/28    37,423     39,550
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
1 Barclays plc 4.972% 5/16/29    23,646     22,990
  Barclays plc 6.490% 9/13/29    37,850     39,000
  Berkshire Hathaway Finance Corp. 2.300% 3/15/27    10,300      9,641
  Berkshire Hathaway Inc. 3.125% 3/15/26    47,704     46,113
  BGC Group Inc. 8.000% 5/25/28     9,465      9,994
  BlackRock Inc. 3.200% 3/15/27     9,097      8,700
  Blackstone Private Credit Fund 7.050% 9/29/25    13,212     13,381
  Blackstone Private Credit Fund 2.625% 12/15/26    20,565     18,576
  Blackstone Private Credit Fund 3.250% 3/15/27    23,338     21,337
2 Blackstone Private Credit Fund 7.300% 11/27/28     8,120      8,376
  Blackstone Private Credit Fund 4.000% 1/15/29     4,570      4,155
  Blackstone Secured Lending Fund 3.625% 1/15/26    15,019     14,321
  Blackstone Secured Lending Fund 2.750% 9/16/26    11,613     10,650
  Blackstone Secured Lending Fund 2.125% 2/15/27     9,380      8,391
  Blackstone Secured Lending Fund 2.850% 9/30/28     8,126      7,063
  Blue Owl Capital Corp. 4.000% 3/30/25     2,443      2,385
  Blue Owl Capital Corp. 3.750% 7/22/25       893        861
  Blue Owl Capital Corp. 4.250% 1/15/26     8,357      8,045
  Blue Owl Capital Corp. 3.400% 7/15/26    24,589     22,895
  Blue Owl Capital Corp. 2.625% 1/15/27     5,412      4,901
  Blue Owl Capital Corp. 2.875% 6/11/28    13,860     12,119
  Blue Owl Capital Corp. 5.950% 3/15/29     6,000      5,862
2 Blue Owl Capital Corp. II 8.450% 11/15/26     5,975      6,127
1 Blue Owl Credit Income Corp. 5.500% 3/21/25     8,456      8,380
1 Blue Owl Credit Income Corp. 3.125% 9/23/26     6,118      5,569
1 Blue Owl Credit Income Corp. 4.700% 2/8/27     8,201      7,723
1 Blue Owl Credit Income Corp. 7.750% 9/16/27     9,745      9,965
2 Blue Owl Credit Income Corp. 7.950% 6/13/28    10,565     10,887
2 Blue Owl Credit Income Corp. 7.750% 1/15/29     3,985      4,069
  Blue Owl Technology Finance Corp. 2.500% 1/15/27     5,168      4,552
2 BNP Paribas SA 2.819% 11/19/25     1,160      1,135
1 BPCE SA 3.375% 12/2/26     6,225      5,968
  Brighthouse Financial Inc. 3.700% 6/22/27     8,469      7,986
  Brookfield Finance Inc. 4.250% 6/2/26     9,622      9,447
  Brookfield Finance Inc. 3.900% 1/25/28    17,458     16,741
  Canadian Imperial Bank of Commerce 3.300% 4/7/25    18,199     17,778
  Canadian Imperial Bank of Commerce 5.144% 4/28/25    15,329     15,277
  Canadian Imperial Bank of Commerce 3.945% 8/4/25    26,747     26,224
  Canadian Imperial Bank of Commerce 1.250% 6/22/26     8,601      7,885
  Canadian Imperial Bank of Commerce 5.615% 7/17/26     3,732      3,768
  Canadian Imperial Bank of Commerce 5.926% 10/2/26    16,941     17,241
  Canadian Imperial Bank of Commerce 3.450% 4/7/27    18,469     17,603
  Canadian Imperial Bank of Commerce 5.001% 4/28/28    21,475     21,398
  Canadian Imperial Bank of Commerce 5.986% 10/3/28     9,290      9,623
  Capital One Financial Corp. 4.250% 4/30/25     5,946      5,866
  Capital One Financial Corp. 4.200% 10/29/25    23,575     23,044
  Capital One Financial Corp. 2.636% 3/3/26    11,400     11,058
  Capital One Financial Corp. 4.985% 7/24/26     5,882      5,827
  Capital One Financial Corp. 3.750% 7/28/26    27,255     26,158
  Capital One Financial Corp. 3.750% 3/9/27    31,252     29,832
  Capital One Financial Corp. 3.650% 5/11/27    38,967     37,093
  Capital One Financial Corp. 7.149% 10/29/27    10,004     10,372
  Capital One Financial Corp. 1.878% 11/2/27    29,201     26,496
  Capital One Financial Corp. 4.927% 5/10/28    29,123     28,487
  Capital One Financial Corp. 5.468% 2/1/29    34,351     34,125
  Capital One Financial Corp. 6.312% 6/8/29    14,224     14,567
  Cboe Global Markets Inc. 3.650% 1/12/27    10,898     10,546
  Charles Schwab Corp. 3.000% 3/10/25    10,702     10,449
  Charles Schwab Corp. 4.200% 3/24/25     6,886      6,810
 
10

 

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

($000)
  Charles Schwab Corp. 3.625% 4/1/25     9,025      8,852
  Charles Schwab Corp. 3.850% 5/21/25    20,820     20,431
  Charles Schwab Corp. 3.450% 2/13/26    11,685     11,310
  Charles Schwab Corp. 0.900% 3/11/26    13,665     12,530
  Charles Schwab Corp. 1.150% 5/13/26    26,568     24,375
  Charles Schwab Corp. 3.200% 3/2/27     5,200      4,935
  Charles Schwab Corp. 2.450% 3/3/27    33,066     30,639
  Charles Schwab Corp. 3.300% 4/1/27     9,783      9,293
  Charles Schwab Corp. 3.200% 1/25/28    16,453     15,404
  Charles Schwab Corp. 2.000% 3/20/28    18,542     16,438
  Charles Schwab Corp. 5.643% 5/19/29    18,454     18,687
  Charles Schwab Corp. 6.196% 11/17/29    19,280     19,911
  Chubb INA Holdings Inc. 3.350% 5/15/24         1          1
  Chubb INA Holdings Inc. 3.150% 3/15/25    20,863     20,396
  Chubb INA Holdings Inc. 3.350% 5/3/26    33,131     31,940
1 Cincinnati Financial Corp. 6.920% 5/15/28     6,500      6,923
  Citibank NA 5.864% 9/29/25    29,544     29,895
1 Citibank NA 5.488% 12/4/26    21,055     21,232
  Citibank NA 5.803% 9/29/28    39,876     41,075
  Citigroup Inc. 3.875% 3/26/25    33,721     33,076
  Citigroup Inc. 3.300% 4/27/25    21,838     21,354
  Citigroup Inc. 4.400% 6/10/25    51,897     51,142
  Citigroup Inc. 5.500% 9/13/25    21,277     21,226
  Citigroup Inc. 3.700% 1/12/26    34,467     33,556
  Citigroup Inc. 4.600% 3/9/26    28,648     28,177
1 Citigroup Inc. 3.106% 4/8/26    69,443     67,602
  Citigroup Inc. 3.400% 5/1/26    28,127     27,063
  Citigroup Inc. 5.610% 9/29/26    50,808     50,867
  Citigroup Inc. 3.200% 10/21/26    57,745     54,843
  Citigroup Inc. 4.300% 11/20/26     2,488      2,423
  Citigroup Inc. 1.122% 1/28/27    25,962     23,932
  Citigroup Inc. 1.462% 6/9/27    36,212     33,185
  Citigroup Inc. 4.450% 9/29/27    70,720     68,515
1 Citigroup Inc. 3.887% 1/10/28    35,440     34,055
1 Citigroup Inc. 3.070% 2/24/28    77,125     72,251
  Citigroup Inc. 4.658% 5/24/28    30,684     30,125
1 Citigroup Inc. 3.668% 7/24/28    54,607     51,764
  Citigroup Inc. 4.125% 7/25/28    22,770     21,610
1 Citigroup Inc. 3.520% 10/27/28    25,936     24,362
1 Citigroup Inc. 4.075% 4/23/29    28,401     27,099
  Citigroup Inc. 5.174% 2/13/30    30,800     30,487
1 Citizens Bank NA 2.250% 4/28/25     9,056      8,677
1 Citizens Bank NA 3.750% 2/18/26     3,574      3,434
  Citizens Bank NA 4.575% 8/9/28    18,210     17,342
  Citizens Financial Group Inc. 4.300% 12/3/25     4,477      4,362
  Citizens Financial Group Inc. 2.850% 7/27/26    11,638     10,875
  Citizens Financial Group Inc. 5.841% 1/23/30    16,560     16,361
  Citizens Financial Group Inc. 4.300% 2/11/31     2,336      1,993
  CME Group Inc. 3.000% 3/15/25    14,149     13,824
  CME Group Inc. 3.750% 6/15/28     7,195      6,941
  CNA Financial Corp. 4.500% 3/1/26     8,257      8,125
  CNA Financial Corp. 3.450% 8/15/27     8,182      7,744
  CNO Financial Group Inc. 5.250% 5/30/25     8,233      8,183
1 Comerica Bank 4.000% 7/27/25     1,495      1,449
  Comerica Inc. 4.000% 2/1/29     5,957      5,355
  Comerica Inc. 5.982% 1/30/30    15,930     15,645
  Commonwealth Bank of Australia 5.499% 9/12/25    13,240     13,311
1 Cooperatieve Rabobank UA 3.375% 5/21/25     9,566      9,368
1 Cooperatieve Rabobank UA 5.500% 7/18/25     7,041      7,073
  Cooperatieve Rabobank UA 4.375% 8/4/25    24,255     23,784
  Cooperatieve Rabobank UA 4.850% 1/9/26    24,745     24,630
1 Cooperatieve Rabobank UA 3.750% 7/21/26    32,721     31,363
  Cooperatieve Rabobank UA 5.500% 10/5/26    14,344     14,505
  Cooperatieve Rabobank UA 4.800% 1/9/29    10,700     10,599
  Corebridge Financial Inc. 3.650% 4/5/27    44,574     42,191
  Corebridge Financial Inc. 3.850% 4/5/29     2,575      2,388
  Corebridge Financial Inc. 6.875% 12/15/52    14,560     14,544
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Credit Suisse AG 2.950% 4/9/25    21,010     20,406
  Credit Suisse AG 1.250% 8/7/26    20,367     18,497
  Credit Suisse AG 5.000% 7/9/27    30,507     30,218
  Credit Suisse AG 7.500% 2/15/28    47,295     50,942
  Deutsche Bank AG 4.500% 4/1/25    29,731     29,161
  Deutsche Bank AG 4.100% 1/13/26     5,241      5,109
1 Deutsche Bank AG 4.100% 1/13/26    11,188     10,921
  Deutsche Bank AG 1.686% 3/19/26    13,270     12,365
  Deutsche Bank AG 6.119% 7/14/26    28,936     28,996
  Deutsche Bank AG 2.129% 11/24/26    19,567     18,346
  Deutsche Bank AG 7.146% 7/13/27    21,947     22,526
  Deutsche Bank AG 5.371% 9/9/27     6,750      6,756
  Deutsche Bank AG 2.311% 11/16/27    29,855     27,118
  Deutsche Bank AG 2.552% 1/7/28    20,812     18,956
  Deutsche Bank AG 5.706% 2/8/28    10,000      9,930
  Deutsche Bank AG 6.720% 1/18/29    29,491     30,292
  Deutsche Bank AG 6.819% 11/20/29    17,820     18,424
  Deutsche Bank AG 4.875% 12/1/32    19,228     17,782
1 Discover Bank 4.250% 3/13/26     3,575      3,472
1 Discover Bank 3.450% 7/27/26    26,678     25,298
1 Discover Bank 4.650% 9/13/28    11,146     10,642
  Discover Financial Services 3.750% 3/4/25     7,443      7,305
  Discover Financial Services 4.500% 1/30/26    12,374     12,159
  Discover Financial Services 4.100% 2/9/27    18,585     17,862
  Eaton Vance Corp. 3.500% 4/6/27     2,780      2,646
  Enstar Finance LLC 5.750% 9/1/40       324        310
  Enstar Finance LLC 5.500% 1/15/42    10,509      9,559
  Enstar Group Ltd. 4.950% 6/1/29     1,664      1,619
  Equitable Holdings Inc. 4.350% 4/20/28    26,299     25,338
  F&G Annuities & Life Inc. 7.400% 1/13/28     6,767      6,940
  Fairfax Financial Holdings Ltd. 4.850% 4/17/28    10,285     10,066
  Fidelity National Financial Inc. 4.500% 8/15/28     2,373      2,281
  Fifth Third Bancorp 2.550% 5/5/27    15,507     14,238
  Fifth Third Bancorp 1.707% 11/1/27     8,071      7,240
  Fifth Third Bancorp 4.055% 4/25/28     7,297      6,902
  Fifth Third Bancorp 6.361% 10/27/28    28,925     29,475
  Fifth Third Bancorp 6.339% 7/27/29    22,523     23,129
1 Fifth Third Bank NA 3.950% 7/28/25    11,237     10,987
1 Fifth Third Bank NA 3.850% 3/15/26    13,984     13,448
1 Fifth Third Bank NA 2.250% 2/1/27     7,747      7,103
  First Horizon Corp. 4.000% 5/26/25     2,371      2,308
  First-Citizens Bank & Trust Co. 6.125% 3/9/28     6,725      6,814
  Franklin Resources Inc. 2.850% 3/30/25     5,654      5,508
  FS KKR Capital Corp. 3.400% 1/15/26    33,006     31,219
  FS KKR Capital Corp. 2.625% 1/15/27     4,534      4,104
  FS KKR Capital Corp. 3.125% 10/12/28     8,837      7,631
  FS KKR Capital Corp. 7.875% 1/15/29     8,121      8,394
  GATX Corp. 3.250% 3/30/25     3,870      3,773
  GATX Corp. 3.250% 9/15/26     5,102      4,862
3 GATX Corp. 5.400% 3/15/27     5,600      5,610
  GATX Corp. 3.850% 3/30/27     4,466      4,284
  GATX Corp. 4.550% 11/7/28     9,179      8,963
  GE Capital Funding LLC 3.450% 5/15/25    25,503     24,906
  Global Payments Inc. 1.200% 3/1/26    27,846     25,635
  Global Payments Inc. 4.800% 4/1/26    21,838     21,549
  Global Payments Inc. 2.150% 1/15/27     9,589      8,800
  Global Payments Inc. 4.950% 8/15/27     7,874      7,797
  Globe Life Inc. 4.550% 9/15/28     9,801      9,552
  Goldman Sachs BDC Inc. 2.875% 1/15/26     7,349      6,989
  Goldman Sachs Group Inc. 3.500% 4/1/25    74,771     73,226
  Goldman Sachs Group Inc. 3.750% 5/22/25    38,575     37,832
  Goldman Sachs Group Inc. 4.250% 10/21/25    30,500     29,952
  Goldman Sachs Group Inc. 3.750% 2/25/26    32,609     31,794
  Goldman Sachs Group Inc. 5.798% 8/10/26    36,095     36,292
  Goldman Sachs Group Inc. 3.500% 11/16/26    44,120     42,319
1 Goldman Sachs Group Inc. 1.093% 12/9/26    25,833     23,936
  Goldman Sachs Group Inc. 5.950% 1/15/27    12,509     12,766
 
11

 

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

($000)
  Goldman Sachs Group Inc. 3.850% 1/26/27    50,490     48,784
  Goldman Sachs Group Inc. 1.431% 3/9/27    39,504     36,515
  Goldman Sachs Group Inc. 4.387% 6/15/27    13,143     12,900
  Goldman Sachs Group Inc. 1.542% 9/10/27    35,535     32,300
  Goldman Sachs Group Inc. 1.948% 10/21/27    76,949     70,464
  Goldman Sachs Group Inc. 2.640% 2/24/28    74,255     68,795
  Goldman Sachs Group Inc. 3.615% 3/15/28    55,838     53,244
1 Goldman Sachs Group Inc. 3.691% 6/5/28    38,038     36,283
  Goldman Sachs Group Inc. 4.482% 8/23/28    41,086     40,082
1 Goldman Sachs Group Inc. 3.814% 4/23/29    34,878     32,947
1 Goldman Sachs Group Inc. 4.223% 5/1/29    48,695     46,691
  Goldman Sachs Group Inc. 6.484% 10/24/29    27,585     28,913
  Golub Capital BDC Inc. 2.500% 8/24/26    13,944     12,699
  Golub Capital BDC Inc. 2.050% 2/15/27     4,761      4,189
  Golub Capital BDC Inc. 7.050% 12/5/28     8,325      8,482
  Hanover Insurance Group Inc. 4.500% 4/15/26     3,781      3,709
  Hercules Capital Inc. 2.625% 9/16/26     3,394      3,057
2 HPS Corporate Lending Fund 6.750% 1/30/29     6,260      6,201
  HSBC Holdings plc 4.250% 8/18/25    23,632     23,144
  HSBC Holdings plc 4.300% 3/8/26    48,032     46,997
  HSBC Holdings plc 2.999% 3/10/26    45,045     43,787
1 HSBC Holdings plc 1.645% 4/18/26    51,036     48,697
  HSBC Holdings plc 3.900% 5/25/26    31,883     30,895
1 HSBC Holdings plc 2.099% 6/4/26    27,439     26,242
1 HSBC Holdings plc 4.292% 9/12/26    59,920     58,754
  HSBC Holdings plc 7.336% 11/3/26    29,714     30,578
  HSBC Holdings plc 4.375% 11/23/26    24,538     23,868
  HSBC Holdings plc 1.589% 5/24/27    27,474     25,149
  HSBC Holdings plc 5.887% 8/14/27    34,660     34,874
  HSBC Holdings plc 2.251% 11/22/27    47,338     43,330
1 HSBC Holdings plc 4.041% 3/13/28    46,750     44,794
  HSBC Holdings plc 4.755% 6/9/28    29,853     29,148
  HSBC Holdings plc 5.210% 8/11/28    34,293     33,964
1 HSBC Holdings plc 2.013% 9/22/28    23,458     20,786
  HSBC Holdings plc 7.390% 11/3/28    41,382     43,811
  HSBC Holdings plc 6.161% 3/9/29    32,725     33,432
1 HSBC Holdings plc 4.583% 6/19/29    48,900     47,041
  HSBC Holdings plc 2.206% 8/17/29    32,040     27,816
3 HSBC USA Inc. 5.294% 3/4/27    16,000     16,013
  Huntington Bancshares Inc. 4.000% 5/15/25     8,084      7,938
  Huntington Bancshares Inc. 4.443% 8/4/28    17,105     16,426
  Huntington Bancshares Inc. 6.208% 8/21/29    19,875     20,215
  Huntington National Bank 4.552% 5/17/28    13,992     13,488
  ING Groep NV 3.869% 3/28/26    18,783     18,424
  ING Groep NV 3.950% 3/29/27    39,736     38,258
  ING Groep NV 1.726% 4/1/27     8,729      8,079
  ING Groep NV 4.017% 3/28/28    17,307     16,612
  ING Groep NV 4.550% 10/2/28    21,170     20,638
  Intercontinental Exchange Inc. 3.650% 5/23/25    29,423     28,848
  Intercontinental Exchange Inc. 3.750% 12/1/25    29,604     28,868
  Intercontinental Exchange Inc. 3.100% 9/15/27     7,584      7,122
  Intercontinental Exchange Inc. 4.000% 9/15/27    28,967     27,973
  Intercontinental Exchange Inc. 3.750% 9/21/28     1,653      1,578
  Intercontinental Exchange Inc. 4.350% 6/15/29     5,810      5,639
  Invesco Finance plc 3.750% 1/15/26     8,248      8,015
  Janus Henderson US Holdings Inc. 4.875% 8/1/25     1,363      1,347
  Jefferies Financial Group Inc. 4.850% 1/15/27     8,472      8,413
  Jefferies Financial Group Inc. 6.450% 6/8/27    10,122     10,433
  Jefferies Financial Group Inc. 5.875% 7/21/28    20,815     21,220
  JPMorgan Chase & Co. 3.900% 7/15/25    36,420     35,799
1 JPMorgan Chase & Co. 2.005% 3/13/26    61,552     59,330
  JPMorgan Chase & Co. 3.300% 4/1/26    35,441     34,181
1 JPMorgan Chase & Co. 2.083% 4/22/26    58,436     56,232
  JPMorgan Chase & Co. 4.080% 4/26/26    53,744     52,940
  JPMorgan Chase & Co. 3.200% 6/15/26    30,269     29,117
  JPMorgan Chase & Co. 2.950% 10/1/26    49,967     47,493
  JPMorgan Chase & Co. 7.625% 10/15/26     4,279      4,547
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  JPMorgan Chase & Co. 1.045% 11/19/26    39,574     36,815
  JPMorgan Chase & Co. 4.125% 12/15/26    35,671     34,820
1 JPMorgan Chase & Co. 3.960% 1/29/27    19,913     19,433
  JPMorgan Chase & Co. 1.040% 2/4/27    20,596     18,980
  JPMorgan Chase & Co. 1.578% 4/22/27    57,192     52,862
  JPMorgan Chase & Co. 8.000% 4/29/27    13,423     14,597
  JPMorgan Chase & Co. 1.470% 9/22/27    47,333     43,009
  JPMorgan Chase & Co. 4.250% 10/1/27    14,566     14,248
  JPMorgan Chase & Co. 6.070% 10/22/27    22,990     23,428
  JPMorgan Chase & Co. 5.040% 1/23/28    42,010     41,786
1 JPMorgan Chase & Co. 3.782% 2/1/28    43,864     42,110
  JPMorgan Chase & Co. 2.947% 2/24/28    27,244     25,512
  JPMorgan Chase & Co. 4.323% 4/26/28    57,605     56,222
1 JPMorgan Chase & Co. 3.540% 5/1/28    72,678     69,049
1 JPMorgan Chase & Co. 2.182% 6/1/28    10,669      9,717
  JPMorgan Chase & Co. 4.851% 7/25/28    72,572     71,766
1 JPMorgan Chase & Co. 3.509% 1/23/29    35,951     33,867
1 JPMorgan Chase & Co. 4.005% 4/23/29    48,643     46,442
  JPMorgan Chase & Co. 2.069% 6/1/29    31,519     27,753
1 JPMorgan Chase & Co. 4.203% 7/23/29    38,530     37,014
  JPMorgan Chase & Co. 5.299% 7/24/29    37,103     37,203
  JPMorgan Chase & Co. 6.087% 10/23/29    42,830     44,275
1 JPMorgan Chase & Co. 4.452% 12/5/29    11,270     10,899
  JPMorgan Chase & Co. 5.012% 1/23/30    56,855     56,257
  JPMorgan Chase Bank NA 5.110% 12/8/26    36,015     36,055
1 KeyBank NA 3.300% 6/1/25     8,917      8,574
1 KeyBank NA 4.150% 8/8/25    17,641     17,083
  KeyBank NA 4.700% 1/26/26     3,600      3,498
1 KeyBank NA 3.400% 5/20/26     8,919      8,383
1 KeyBank NA 5.850% 11/15/27    13,879     13,691
1 KeyBank NA 4.390% 12/14/27     8,231      7,708
1 KeyBank NA 6.950% 2/1/28     4,545      4,647
1 KeyCorp 4.150% 10/29/25    10,989     10,654
1 KeyCorp 2.250% 4/6/27    22,195     19,798
1 KeyCorp 4.100% 4/30/28    13,475     12,612
  Lazard Group LLC 3.625% 3/1/27     7,367      6,969
  Lazard Group LLC 4.500% 9/19/28     8,216      7,880
  Legg Mason Inc. 4.750% 3/15/26     2,535      2,517
  Lincoln National Corp. 3.350% 3/9/25     2,337      2,280
  Lincoln National Corp. 3.625% 12/12/26     5,319      5,078
  Lincoln National Corp. 3.800% 3/1/28     6,500      6,183
  Lloyds Bank plc 3.500% 5/14/25     4,254      4,154
  Lloyds Banking Group plc 4.450% 5/8/25    24,085     23,771
  Lloyds Banking Group plc 4.582% 12/10/25    37,871     37,106
  Lloyds Banking Group plc 3.511% 3/18/26     6,850      6,687
  Lloyds Banking Group plc 4.650% 3/24/26    15,147     14,841
  Lloyds Banking Group plc 4.716% 8/11/26    20,276     20,004
  Lloyds Banking Group plc 3.750% 1/11/27    18,001     17,270
  Lloyds Banking Group plc 1.627% 5/11/27     8,582      7,872
  Lloyds Banking Group plc 5.462% 1/5/28    16,459     16,394
  Lloyds Banking Group plc 3.750% 3/18/28    23,025     21,818
  Lloyds Banking Group plc 4.375% 3/22/28    36,402     35,157
  Lloyds Banking Group plc 4.550% 8/16/28     8,835      8,572
1 Lloyds Banking Group plc 3.574% 11/7/28    18,936     17,660
  Lloyds Banking Group plc 5.871% 3/6/29    32,462     32,778
  Loews Corp. 3.750% 4/1/26     8,680      8,439
  LPL Holdings Inc. 6.750% 11/17/28    12,257     12,789
  M&T Bank Corp. 4.553% 8/16/28     9,372      8,933
  M&T Bank Corp. 7.413% 10/30/29    11,110     11,654
  Main Street Capital Corp. 3.000% 7/14/26     9,871      9,109
  Main Street Capital Corp. 6.950% 3/1/29     3,500      3,511
  Manufacturers & Traders Trust Co. 5.400% 11/21/25    11,835     11,718
  Manufacturers & Traders Trust Co. 4.650% 1/27/26    22,009     21,429
1 Manufacturers & Traders Trust Co. 3.400% 8/17/27     9,810      8,946
  Manufacturers & Traders Trust Co. 4.700% 1/27/28    18,814     18,097
  Manulife Financial Corp. 4.150% 3/4/26    16,626     16,295
  Manulife Financial Corp. 2.484% 5/19/27    10,085      9,364
 
12

 

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

($000)
1 Manulife Financial Corp. 4.061% 2/24/32     9,382      8,942
  Markel Group Inc. 3.500% 11/1/27     5,114      4,817
  Marsh & McLennan Cos. Inc. 3.500% 3/10/25    17,420     17,110
  Marsh & McLennan Cos. Inc. 3.750% 3/14/26     9,627      9,392
  Mastercard Inc. 2.000% 3/3/25    20,931     20,286
  Mastercard Inc. 2.950% 11/21/26    12,291     11,724
  Mastercard Inc. 3.300% 3/26/27    14,366     13,766
  Mastercard Inc. 4.875% 3/9/28    20,291     20,518
  Mercury General Corp. 4.400% 3/15/27     6,900      6,589
  MetLife Inc. 3.000% 3/1/25    14,184     13,865
  MetLife Inc. 3.600% 11/13/25     8,038      7,842
  MGIC Investment Corp. 5.250% 8/15/28     1,950      1,884
  Mitsubishi UFJ Financial Group Inc. 3.777% 3/2/25     5,157      5,074
  Mitsubishi UFJ Financial Group Inc. 1.412% 7/17/25    28,184     26,703
  Mitsubishi UFJ Financial Group Inc. 3.850% 3/1/26    29,608     28,864
  Mitsubishi UFJ Financial Group Inc. 3.837% 4/17/26     1,486      1,457
  Mitsubishi UFJ Financial Group Inc. 5.541% 4/17/26     8,086      8,078
  Mitsubishi UFJ Financial Group Inc. 2.757% 9/13/26     4,746      4,474
  Mitsubishi UFJ Financial Group Inc. 3.677% 2/22/27    16,336     15,745
  Mitsubishi UFJ Financial Group Inc. 1.538% 7/20/27    71,332     65,265
  Mitsubishi UFJ Financial Group Inc. 3.287% 7/25/27    18,602     17,591
  Mitsubishi UFJ Financial Group Inc. 1.640% 10/13/27     6,922      6,305
  Mitsubishi UFJ Financial Group Inc. 2.341% 1/19/28    38,731     35,758
  Mitsubishi UFJ Financial Group Inc. 3.961% 3/2/28    11,817     11,382
  Mitsubishi UFJ Financial Group Inc. 4.080% 4/19/28     5,796      5,600
  Mitsubishi UFJ Financial Group Inc. 5.017% 7/20/28    22,293     22,133
  Mitsubishi UFJ Financial Group Inc. 4.050% 9/11/28     9,206      8,910
  Mitsubishi UFJ Financial Group Inc. 5.354% 9/13/28    19,944     19,994
  Mitsubishi UFJ Financial Group Inc. 5.422% 2/22/29    27,748     27,945
  Mitsubishi UFJ Financial Group Inc. 5.242% 4/19/29     9,420      9,440
  Mizuho Financial Group Inc. 2.651% 5/22/26     3,907      3,771
1 Mizuho Financial Group Inc. 2.226% 5/25/26    12,342     11,839
  Mizuho Financial Group Inc. 2.839% 9/13/26    13,638     12,850
  Mizuho Financial Group Inc. 3.663% 2/28/27     6,168      5,904
  Mizuho Financial Group Inc. 1.234% 5/22/27    25,567     23,359
  Mizuho Financial Group Inc. 1.554% 7/9/27    11,740     10,748
  Mizuho Financial Group Inc. 4.018% 3/5/28    27,115     26,068
  Mizuho Financial Group Inc. 5.414% 9/13/28    26,551     26,664
  Mizuho Financial Group Inc. 5.667% 5/27/29    13,604     13,786
  Mizuho Financial Group Inc. 5.778% 7/6/29    27,075     27,567
1 Mizuho Financial Group Inc. 4.254% 9/11/29    17,273     16,552
1 Morgan Stanley 4.000% 7/23/25    54,827     53,890
  Morgan Stanley 5.000% 11/24/25    27,701     27,537
1 Morgan Stanley 3.875% 1/27/26    70,340     68,630
1 Morgan Stanley 2.188% 4/28/26    50,569     48,667
  Morgan Stanley 4.679% 7/17/26    26,765     26,482
1 Morgan Stanley 3.125% 7/27/26    61,261     58,410
1 Morgan Stanley 6.250% 8/9/26     6,790      6,949
1 Morgan Stanley 4.350% 9/8/26    45,567     44,542
  Morgan Stanley 6.138% 10/16/26     4,977      5,036
  Morgan Stanley 0.985% 12/10/26    24,092     22,230
  Morgan Stanley 3.625% 1/20/27    56,036     54,026
  Morgan Stanley 5.050% 1/28/27    25,280     25,190
  Morgan Stanley 3.950% 4/23/27    33,986     32,711
  Morgan Stanley 1.593% 5/4/27    86,338     79,599
1 Morgan Stanley 1.512% 7/20/27    52,855     48,341
  Morgan Stanley 2.475% 1/21/28    20,627     19,080
  Morgan Stanley 4.210% 4/20/28    29,029     28,093
1 Morgan Stanley 3.591% 7/22/28    39,330     37,220
  Morgan Stanley 6.296% 10/18/28    39,546     40,876
1 Morgan Stanley 3.772% 1/24/29    39,028     36,886
  Morgan Stanley 5.123% 2/1/29    62,430     62,056
1 Morgan Stanley 5.164% 4/20/29    52,140     51,777
  Morgan Stanley 5.449% 7/20/29    34,093     34,234
  Morgan Stanley 6.407% 11/1/29    28,835     30,084
  Morgan Stanley 5.173% 1/16/30    52,070     51,746
1 Morgan Stanley 4.431% 1/23/30    40,510     38,901
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Morgan Stanley Bank NA 5.479% 7/16/25     9,990     10,030
1 Morgan Stanley Bank NA 4.754% 4/21/26    16,856     16,751
1 Morgan Stanley Bank NA 5.882% 10/30/26    30,650     31,211
1 Morgan Stanley Bank NA 4.952% 1/14/28    17,175     17,078
  Morgan Stanley Direct Lending Fund 4.500% 2/11/27     2,469      2,360
  Nasdaq Inc. 5.650% 6/28/25     6,832      6,854
  Nasdaq Inc. 3.850% 6/30/26    12,380     12,015
  Nasdaq Inc. 5.350% 6/28/28    20,585     20,791
  National Australia Bank Ltd. 5.200% 5/13/25    21,288     21,299
  National Australia Bank Ltd. 4.750% 12/10/25    12,830     12,769
  National Australia Bank Ltd. 4.966% 1/12/26    23,955     23,911
  National Australia Bank Ltd. 3.375% 1/14/26    14,633     14,195
1 National Australia Bank Ltd. 2.500% 7/12/26    18,788     17,725
  National Australia Bank Ltd. 3.905% 6/9/27    14,526     14,083
  National Australia Bank Ltd. 4.944% 1/12/28    18,738     18,730
  National Australia Bank Ltd. 4.900% 6/13/28    21,065     21,016
  National Australia Bank Ltd. 4.787% 1/10/29    13,460     13,371
  National Bank of Canada 5.600% 12/18/28    20,070     20,268
  NatWest Group plc 4.800% 4/5/26    29,105     28,745
  NatWest Group plc 7.472% 11/10/26    31,538     32,402
  NatWest Group plc 5.847% 3/2/27    16,686     16,752
  NatWest Group plc 1.642% 6/14/27    27,601     25,228
  NatWest Group plc 5.583% 3/1/28     5,000      5,004
1 NatWest Group plc 3.073% 5/22/28    14,896     13,826
  NatWest Group plc 5.516% 9/30/28    18,512     18,497
1 NatWest Group plc 4.892% 5/18/29    45,345     44,124
  NatWest Group plc 5.808% 9/13/29     7,345      7,419
1 NatWest Group plc 5.076% 1/27/30    20,040     19,592
  Nomura Holdings Inc. 5.099% 7/3/25    16,724     16,585
  Nomura Holdings Inc. 1.851% 7/16/25    32,512     30,869
  Nomura Holdings Inc. 5.709% 1/9/26     2,165      2,169
  Nomura Holdings Inc. 1.653% 7/14/26    18,018     16,477
  Nomura Holdings Inc. 2.329% 1/22/27    30,790     28,215
  Nomura Holdings Inc. 5.386% 7/6/27     2,312      2,307
  Nomura Holdings Inc. 6.070% 7/12/28    13,536     13,858
  Nomura Holdings Inc. 2.172% 7/14/28    17,173     14,969
  Northern Trust Corp. 3.950% 10/30/25     6,636      6,509
  Northern Trust Corp. 4.000% 5/10/27    21,556     20,935
  Northern Trust Corp. 3.650% 8/3/28     9,313      8,905
1 Northern Trust Corp. 3.375% 5/8/32     4,236      3,929
  Oaktree Specialty Lending Corp. 2.700% 1/15/27     5,708      5,095
2 Oaktree Strategic Credit Fund 8.400% 11/14/28     5,385      5,650
  Old Republic International Corp. 3.875% 8/26/26     9,200      8,901
  ORIX Corp. 3.700% 7/18/27     2,115      2,022
  ORIX Corp. 5.000% 9/13/27    12,185     12,172
  PayPal Holdings Inc. 1.650% 6/1/25    23,414     22,417
  PayPal Holdings Inc. 2.650% 10/1/26    30,454     28,716
1 PNC Bank NA 3.875% 4/10/25    13,796     13,533
1 PNC Bank NA 3.250% 6/1/25     3,738      3,638
1 PNC Bank NA 4.200% 11/1/25    10,285     10,043
1 PNC Bank NA 3.100% 10/25/27     8,584      7,974
1 PNC Bank NA 3.250% 1/22/28     5,581      5,183
1 PNC Bank NA 4.050% 7/26/28    19,697     18,629
  PNC Financial Services Group Inc. 5.812% 6/12/26    19,244     19,269
  PNC Financial Services Group Inc. 2.600% 7/23/26    23,707     22,288
  PNC Financial Services Group Inc. 1.150% 8/13/26    11,833     10,738
  PNC Financial Services Group Inc. 4.758% 1/26/27    10,484     10,358
  PNC Financial Services Group Inc. 3.150% 5/19/27     8,243      7,758
  PNC Financial Services Group Inc. 6.615% 10/20/27    17,971     18,451
  PNC Financial Services Group Inc. 5.300% 1/21/28    27,360     27,326
  PNC Financial Services Group Inc. 5.354% 12/2/28    12,463     12,457
  PNC Financial Services Group Inc. 5.582% 6/12/29    48,099     48,404
  Principal Financial Group Inc. 3.400% 5/15/25     7,207      7,039
  Principal Financial Group Inc. 3.100% 11/15/26     5,380      5,105
  Progressive Corp. 2.450% 1/15/27    15,651     14,604
  Progressive Corp. 2.500% 3/15/27    12,868     11,980
  Progressive Corp. 4.000% 3/1/29    11,213     10,786
 
13

 

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

($000)
  Prospect Capital Corp. 3.706% 1/22/26     6,649      6,267
  Prospect Capital Corp. 3.364% 11/15/26     5,113      4,613
  Prospect Capital Corp. 3.437% 10/15/28     5,015      4,269
1 Prudential Financial Inc. 1.500% 3/10/26     7,480      6,969
1 Prudential Financial Inc. 5.375% 5/15/45     7,440      7,326
1 Prudential Financial Inc. 4.500% 9/15/47    20,095     18,814
1 Prudential Financial Inc. 5.700% 9/15/48     8,644      8,444
3 Radian Group Inc. 6.200% 5/15/29     4,866      4,878
  Regions Financial Corp. 2.250% 5/18/25    12,690     12,151
  Regions Financial Corp. 1.800% 8/12/28    12,869     10,960
  Reinsurance Group of America Inc. 3.950% 9/15/26     3,745      3,662
  RenaissanceRe Finance Inc. 3.700% 4/1/25     4,975      4,873
  RenaissanceRe Finance Inc. 3.450% 7/1/27     5,142      4,837
  RenaissanceRe Holdings Ltd. 3.600% 4/15/29     1,533      1,413
  Royal Bank of Canada 3.375% 4/14/25    12,713     12,450
1 Royal Bank of Canada 4.950% 4/25/25    18,510     18,463
1 Royal Bank of Canada 1.150% 6/10/25    44,241     42,030
1 Royal Bank of Canada 0.875% 1/20/26    28,835     26,693
1 Royal Bank of Canada 4.650% 1/27/26    39,418     39,025
  Royal Bank of Canada 1.200% 4/27/26    42,777     39,365
1 Royal Bank of Canada 1.150% 7/14/26    18,578     16,972
1 Royal Bank of Canada 1.400% 11/2/26    13,917     12,647
1 Royal Bank of Canada 4.875% 1/19/27    11,125     11,070
1 Royal Bank of Canada 2.050% 1/21/27     8,554      7,894
  Royal Bank of Canada 3.625% 5/4/27    12,283     11,772
1 Royal Bank of Canada 4.240% 8/3/27    27,282     26,580
1 Royal Bank of Canada 6.000% 11/1/27    15,259     15,712
1 Royal Bank of Canada 4.900% 1/12/28    18,794     18,732
1 Royal Bank of Canada 5.200% 8/1/28    12,650     12,719
1 Royal Bank of Canada 4.950% 2/1/29     7,363      7,315
  Santander Holdings USA Inc. 3.450% 6/2/25    15,832     15,353
  Santander Holdings USA Inc. 4.500% 7/17/25    14,683     14,394
  Santander Holdings USA Inc. 5.807% 9/9/26     5,290      5,277
  Santander Holdings USA Inc. 3.244% 10/5/26    33,047     30,965
  Santander Holdings USA Inc. 4.400% 7/13/27    26,799     25,683
  Santander Holdings USA Inc. 2.490% 1/6/28    14,113     12,763
  Santander Holdings USA Inc. 6.499% 3/9/29    14,105     14,324
  Santander Holdings USA Inc. 6.174% 1/9/30    16,835     16,780
1 Santander UK Group Holdings plc 1.532% 8/21/26    10,857     10,170
  Santander UK Group Holdings plc 6.833% 11/21/26    19,410     19,696
  Santander UK Group Holdings plc 1.673% 6/14/27    16,812     15,283
  Santander UK Group Holdings plc 2.469% 1/11/28    25,832     23,524
1 Santander UK Group Holdings plc 3.823% 11/3/28    15,026     14,026
  Santander UK Group Holdings plc 6.534% 1/10/29    24,020     24,638
  Sixth Street Specialty Lending Inc. 2.500% 8/1/26     6,828      6,272
  Sixth Street Specialty Lending Inc. 6.950% 8/14/28     7,370      7,504
  Sixth Street Specialty Lending Inc. 6.125% 3/1/29     5,715      5,626
  State Street Corp. 3.550% 8/18/25    25,756     25,233
  State Street Corp. 2.901% 3/30/26    13,546     13,191
  State Street Corp. 5.104% 5/18/26    16,110     16,050
  State Street Corp. 2.650% 5/19/26    13,264     12,614
  State Street Corp. 5.272% 8/3/26    13,114     13,157
  State Street Corp. 5.751% 11/4/26    10,312     10,357
  State Street Corp. 2.203% 2/7/28    15,802     14,537
  State Street Corp. 5.820% 11/4/28     6,658      6,811
  State Street Corp. 5.684% 11/21/29    18,880     19,302
1 Sumitomo Mitsui Banking Corp. 3.650% 7/23/25       969        947
  Sumitomo Mitsui Financial Group Inc. 1.474% 7/8/25    60,094     57,123
  Sumitomo Mitsui Financial Group Inc. 0.948% 1/12/26    16,368     15,135
  Sumitomo Mitsui Financial Group Inc. 5.464% 1/13/26    13,937     13,980
  Sumitomo Mitsui Financial Group Inc. 3.784% 3/9/26     9,038      8,791
  Sumitomo Mitsui Financial Group Inc. 5.880% 7/13/26     3,095      3,141
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Sumitomo Mitsui Financial Group Inc. 2.632% 7/14/26    24,620     23,242
  Sumitomo Mitsui Financial Group Inc. 1.402% 9/17/26    62,400     56,844
  Sumitomo Mitsui Financial Group Inc. 3.010% 10/19/26    31,299     29,632
  Sumitomo Mitsui Financial Group Inc. 3.446% 1/11/27    29,094     27,863
  Sumitomo Mitsui Financial Group Inc. 2.174% 1/14/27     8,583      7,925
  Sumitomo Mitsui Financial Group Inc. 3.364% 7/12/27    15,956     15,122
  Sumitomo Mitsui Financial Group Inc. 5.520% 1/13/28    48,384     49,148
  Sumitomo Mitsui Financial Group Inc. 5.800% 7/13/28    14,614     15,010
  Sumitomo Mitsui Financial Group Inc. 3.944% 7/19/28     6,163      5,898
  Sumitomo Mitsui Financial Group Inc. 5.716% 9/14/28    12,201     12,473
  Sumitomo Mitsui Financial Group Inc. 1.902% 9/17/28    67,746     58,941
1 Synchrony Bank 5.400% 8/22/25     5,805      5,737
  Synchrony Bank 5.625% 8/23/27     9,945      9,676
  Synchrony Financial 4.500% 7/23/25    25,125     24,556
  Synchrony Financial 3.700% 8/4/26    13,258     12,511
  Synchrony Financial 3.950% 12/1/27    12,502     11,580
  Synovus Bank 5.625% 2/15/28     8,669      8,351
  Toronto-Dominion Bank 3.766% 6/6/25    37,673     37,001
1 Toronto-Dominion Bank 1.150% 6/12/25    33,293     31,602
1 Toronto-Dominion Bank 0.750% 9/11/25     9,424      8,830
1 Toronto-Dominion Bank 0.750% 1/6/26    20,379     18,850
1 Toronto-Dominion Bank 1.200% 6/3/26    26,975     24,748
1 Toronto-Dominion Bank 5.532% 7/17/26    11,498     11,600
1 Toronto-Dominion Bank 1.250% 9/10/26    36,144     32,931
1 Toronto-Dominion Bank 1.950% 1/12/27    15,157     13,950
1 Toronto-Dominion Bank 2.800% 3/10/27     9,421      8,835
  Toronto-Dominion Bank 4.108% 6/8/27    14,172     13,754
1 Toronto-Dominion Bank 4.693% 9/15/27    45,493     44,974
  Toronto-Dominion Bank 5.156% 1/10/28    19,613     19,672
1 Toronto-Dominion Bank 5.523% 7/17/28    17,040     17,313
1 Toronto-Dominion Bank 3.625% 9/15/31    28,778     27,464
  Trinity Acquisition plc 4.400% 3/15/26     9,236      9,050
1 Truist Bank 1.500% 3/10/25    25,861     24,849
1 Truist Bank 3.625% 9/16/25    28,421     27,573
1 Truist Bank 4.050% 11/3/25     7,186      7,032
1 Truist Bank 3.300% 5/15/26     9,611      9,153
1 Truist Bank 3.800% 10/30/26    13,100     12,511
  Truist Financial Corp. 4.000% 5/1/25    27,957     27,451
1 Truist Financial Corp. 3.700% 6/5/25    24,057     23,527
1 Truist Financial Corp. 1.200% 8/5/25     8,347      7,851
1 Truist Financial Corp. 4.260% 7/28/26    17,322     16,968
1 Truist Financial Corp. 5.900% 10/28/26    17,482     17,521
1 Truist Financial Corp. 1.267% 3/2/27     7,615      6,990
1 Truist Financial Corp. 6.047% 6/8/27    24,319     24,555
1 Truist Financial Corp. 1.125% 8/3/27     3,016      2,625
1 Truist Financial Corp. 4.123% 6/6/28    17,165     16,492
1 Truist Financial Corp. 4.873% 1/26/29    29,079     28,300
1 Truist Financial Corp. 1.887% 6/7/29    15,240     13,089
1 Truist Financial Corp. 7.161% 10/30/29    19,300     20,431
1 Truist Financial Corp. 5.435% 1/24/30    27,390     27,117
  UBS AG 5.800% 9/11/25    12,760     12,850
  UBS AG 5.650% 9/11/28    27,926     28,483
  UBS Group AG 3.750% 3/26/25    41,838     40,971
  UBS Group AG 4.550% 4/17/26    41,422     40,684
  US Bancorp 1.450% 5/12/25    20,041     19,177
1 US Bancorp 3.950% 11/17/25     4,804      4,700
1 US Bancorp 3.100% 4/27/26    23,646     22,578
 
14

 

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

($000)
1 US Bancorp 2.375% 7/22/26    20,890     19,576
  US Bancorp 5.727% 10/21/26    18,795     18,874
1 US Bancorp 3.150% 4/27/27    21,826     20,607
  US Bancorp 6.787% 10/26/27     9,123      9,423
1 US Bancorp 2.215% 1/27/28    11,579     10,606
1 US Bancorp 3.900% 4/26/28    21,452     20,533
1 US Bancorp 4.548% 7/22/28    27,072     26,431
  US Bancorp 4.653% 2/1/29    35,171     34,180
  US Bancorp 5.775% 6/12/29    27,060     27,337
  US Bancorp 5.384% 1/23/30    22,667     22,539
  Visa Inc. 3.150% 12/14/25    71,242     69,098
  Visa Inc. 1.900% 4/15/27    32,751     30,155
  Visa Inc. 0.750% 8/15/27     6,104      5,360
  Visa Inc. 2.750% 9/15/27     5,373      5,032
  Voya Financial Inc. 3.650% 6/15/26    12,633     12,146
1 Voya Financial Inc. 4.700% 1/23/48     6,515      5,477
  Wachovia Corp. 7.574% 8/1/26     2,858      2,997
1 Wells Fargo & Co. 3.550% 9/29/25    51,671     50,337
  Wells Fargo & Co. 3.000% 4/22/26    46,828     44,682
1 Wells Fargo & Co. 3.908% 4/25/26    54,670     53,615
1 Wells Fargo & Co. 2.188% 4/30/26    41,623     39,938
1 Wells Fargo & Co. 4.100% 6/3/26    24,982     24,322
1 Wells Fargo & Co. 4.540% 8/15/26    35,560     35,071
  Wells Fargo & Co. 3.000% 10/23/26    59,636     56,348
1 Wells Fargo & Co. 3.196% 6/17/27    29,974     28,530
1 Wells Fargo & Co. 4.300% 7/22/27    51,779     50,264
1 Wells Fargo & Co. 3.526% 3/24/28    75,561     71,643
1 Wells Fargo & Co. 3.584% 5/22/28    51,868     49,128
1 Wells Fargo & Co. 2.393% 6/2/28    46,024     41,981
1 Wells Fargo & Co. 4.808% 7/25/28    49,957     49,073
1 Wells Fargo & Co. 4.150% 1/24/29    40,338     38,608
1 Wells Fargo & Co. 5.574% 7/25/29    79,122     79,673
  Wells Fargo & Co. 6.303% 10/23/29    30,970     32,097
  Wells Fargo & Co. 5.198% 1/23/30    45,292     44,902
1 Wells Fargo Bank NA 5.550% 8/1/25    24,392     24,492
  Wells Fargo Bank NA 4.811% 1/15/26    16,705     16,617
1 Wells Fargo Bank NA 5.450% 8/7/26    35,957     36,274
  Wells Fargo Bank NA 5.254% 12/11/26    26,730     26,825
  Western Union Co. 1.350% 3/15/26     5,388      4,959
  Westpac Banking Corp. 5.512% 11/17/25    17,481     17,612
  Westpac Banking Corp. 2.850% 5/13/26    34,671     33,130
  Westpac Banking Corp. 1.150% 6/3/26    21,646     19,891
  Westpac Banking Corp. 2.700% 8/19/26    20,395     19,340
  Westpac Banking Corp. 3.350% 3/8/27    16,988     16,247
  Westpac Banking Corp. 5.457% 11/18/27    33,910     34,477
  Westpac Banking Corp. 5.535% 11/17/28    25,293     25,894
  Westpac Banking Corp. 1.953% 11/20/28    16,085     14,109
1 Westpac Banking Corp. 2.894% 2/4/30     6,466      6,269
1 Westpac Banking Corp. 4.322% 11/23/31    25,608     24,589
  Willis North America Inc. 4.650% 6/15/27    17,708     17,379
  Willis North America Inc. 4.500% 9/15/28     8,940      8,627
                              16,985,727
Health Care (8.1%)
  Abbott Laboratories 2.950% 3/15/25    10,888     10,653
  Abbott Laboratories 3.875% 9/15/25       836        823
4 Abbott Laboratories 3.750% 11/30/26    40,617     39,574
  Abbott Laboratories 1.150% 1/30/28     5,415      4,748
  AbbVie Inc. 3.800% 3/15/25    54,629     53,522
  AbbVie Inc. 3.600% 5/14/25    70,920     69,497
  AbbVie Inc. 3.200% 5/14/26    30,259     29,122
  AbbVie Inc. 2.950% 11/21/26    65,268     61,893
  AbbVie Inc. 4.800% 3/15/27    45,000     44,873
  AbbVie Inc. 4.250% 11/14/28    26,099     25,495
  AbbVie Inc. 4.800% 3/15/29    30,000     29,864
  Advocate Health & Hospitals Corp. 3.829% 8/15/28     6,579      6,316
  Agilent Technologies Inc. 3.050% 9/22/26     6,075      5,777
  Amgen Inc. 5.250% 3/2/25    43,716     43,633
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Amgen Inc. 3.125% 5/1/25     6,494      6,332
  Amgen Inc. 5.507% 3/2/26    15,175     15,160
  Amgen Inc. 2.600% 8/19/26    19,040     17,971
  Amgen Inc. 2.200% 2/21/27    25,138     23,162
  Amgen Inc. 3.200% 11/2/27    10,105      9,497
  Amgen Inc. 5.150% 3/2/28    87,318     87,491
  Amgen Inc. 1.650% 8/15/28    16,699     14,527
  AstraZeneca Finance LLC 1.200% 5/28/26    23,428     21,548
  AstraZeneca Finance LLC 4.800% 2/26/27    22,500     22,442
  AstraZeneca Finance LLC 4.875% 3/3/28    21,743     21,723
  AstraZeneca Finance LLC 1.750% 5/28/28    21,432     18,945
  AstraZeneca Finance LLC 4.850% 2/26/29    11,389     11,385
  AstraZeneca plc 3.375% 11/16/25    39,707     38,619
  AstraZeneca plc 0.700% 4/8/26    13,582     12,433
  AstraZeneca plc 3.125% 6/12/27    12,039     11,437
  AstraZeneca plc 4.000% 1/17/29    10,181      9,829
  Baxalta Inc. 4.000% 6/23/25    16,434     16,137
  Baxter International Inc. 2.600% 8/15/26    15,440     14,477
  Baxter International Inc. 1.915% 2/1/27    37,134     33,761
  Baxter International Inc. 2.272% 12/1/28     7,916      6,940
  Becton Dickinson & Co. 3.700% 6/6/27    29,931     28,700
  Becton Dickinson & Co. 4.693% 2/13/28    15,830     15,598
  Biogen Inc. 4.050% 9/15/25    12,681     12,431
  Bio-Rad Laboratories Inc. 3.300% 3/15/27     5,611      5,292
  Boston Scientific Corp. 1.900% 6/1/25    17,672     16,945
  Bristol-Myers Squibb Co. 0.750% 11/13/25     9,467      8,808
  Bristol-Myers Squibb Co. 4.950% 2/20/26    13,000     12,981
  Bristol-Myers Squibb Co. 3.200% 6/15/26    37,368     35,947
  Bristol-Myers Squibb Co. 4.900% 2/22/27     5,000      4,994
  Bristol-Myers Squibb Co. 3.250% 2/27/27     6,313      6,059
  Bristol-Myers Squibb Co. 1.125% 11/13/27     9,831      8,616
  Bristol-Myers Squibb Co. 3.450% 11/15/27    14,910     14,218
  Bristol-Myers Squibb Co. 3.900% 2/20/28    28,367     27,395
  Bristol-Myers Squibb Co. 4.900% 2/22/29    20,245     20,193
  Cardinal Health Inc. 3.750% 9/15/25     5,904      5,758
  Cardinal Health Inc. 3.410% 6/15/27    25,198     23,879
  Cencora Inc. 3.250% 3/1/25    12,117     11,851
  Cencora Inc. 3.450% 12/15/27     8,765      8,293
  Centene Corp. 4.250% 12/15/27    51,977     49,545
  Centene Corp. 2.450% 7/15/28    37,468     33,058
1 CHRISTUS Health 4.341% 7/1/28     2,073      2,017
1 Cigna Group 3.250% 4/15/25    13,495     13,172
1 Cigna Group 4.500% 2/25/26     8,682      8,566
  Cigna Group 1.250% 3/15/26     3,715      3,432
1 Cigna Group 3.400% 3/1/27    35,743     34,037
  Cigna Group 4.375% 10/15/28    60,363     58,622
  CommonSpirit Health 1.547% 10/1/25     6,380      5,993
  CommonSpirit Health 6.073% 11/1/27     6,050      6,200
  CVS Health Corp. 4.100% 3/25/25    15,375     15,185
  CVS Health Corp. 3.875% 7/20/25    49,857     48,845
  CVS Health Corp. 5.000% 2/20/26    32,988     32,841
  CVS Health Corp. 2.875% 6/1/26    30,559     29,044
  CVS Health Corp. 3.000% 8/15/26     8,767      8,325
  CVS Health Corp. 3.625% 4/1/27     7,997      7,667
  CVS Health Corp. 1.300% 8/21/27    26,745     23,506
  CVS Health Corp. 4.300% 3/25/28    98,258     95,396
  CVS Health Corp. 5.000% 1/30/29     7,065      7,036
  CVS Health Corp. 3.250% 8/15/29     4,425      4,026
  Danaher Corp. 3.350% 9/15/25     2,357      2,299
  Edwards Lifesciences Corp. 4.300% 6/15/28     9,995      9,700
  Elevance Health Inc. 5.350% 10/15/25     9,236      9,225
  Elevance Health Inc. 4.900% 2/8/26     6,752      6,704
  Elevance Health Inc. 1.500% 3/15/26    21,439     19,916
  Elevance Health Inc. 3.650% 12/1/27    22,348     21,371
  Elevance Health Inc. 4.101% 3/1/28    18,249     17,651
  Eli Lilly & Co. 2.750% 6/1/25    11,160     10,849
  Eli Lilly & Co. 4.500% 2/9/27    13,999     13,940
 
15

 

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

($000)
  Eli Lilly & Co. 5.500% 3/15/27     7,000      7,163
  Eli Lilly & Co. 4.500% 2/9/29    18,310     18,211
  GE HealthCare Technologies Inc. 5.600% 11/15/25    22,557     22,628
  GE HealthCare Technologies Inc. 5.650% 11/15/27    30,485     30,952
  Gilead Sciences Inc. 3.650% 3/1/26    45,316     44,012
  Gilead Sciences Inc. 2.950% 3/1/27    28,031     26,475
  Gilead Sciences Inc. 1.200% 10/1/27     9,580      8,427
  GlaxoSmithKline Capital Inc. 3.625% 5/15/25    17,095     16,797
  GlaxoSmithKline Capital Inc. 3.875% 5/15/28    30,622     29,608
  HCA Inc. 5.250% 4/15/25    34,124     33,972
  HCA Inc. 5.875% 2/15/26    19,866     19,954
  HCA Inc. 5.250% 6/15/26    14,168     14,081
  HCA Inc. 5.375% 9/1/26    16,966     16,917
  HCA Inc. 4.500% 2/15/27    24,139     23,638
  HCA Inc. 3.125% 3/15/27    45,269     42,543
  HCA Inc. 5.200% 6/1/28     7,507      7,476
  HCA Inc. 5.625% 9/1/28    20,146     20,295
  HCA Inc. 5.875% 2/1/29    10,385     10,570
  Humana Inc. 4.500% 4/1/25    17,835     17,650
  Humana Inc. 1.350% 2/3/27    14,831     13,306
  Humana Inc. 3.950% 3/15/27     7,401      7,138
  Humana Inc. 5.750% 3/1/28     7,964      8,114
  Illumina Inc. 5.800% 12/12/25     8,018      8,016
  Illumina Inc. 5.750% 12/13/27     7,810      7,866
  IQVIA Inc. 5.700% 5/15/28    12,350     12,446
  Johnson & Johnson 0.550% 9/1/25    13,114     12,300
  Johnson & Johnson 2.450% 3/1/26    47,637     45,583
  Johnson & Johnson 2.950% 3/3/27    21,527     20,576
  Johnson & Johnson 2.900% 1/15/28    22,747     21,513
  Kaiser Foundation Hospitals 3.150% 5/1/27     3,220      3,060
  Laboratory Corp. of America Holdings 1.550% 6/1/26     7,545      6,952
  McKesson Corp. 0.900% 12/3/25    15,939     14,800
  McKesson Corp. 5.250% 2/15/26     7,963      7,961
  McKesson Corp. 1.300% 8/15/26     6,265      5,717
  McKesson Corp. 3.950% 2/16/28     5,930      5,754
  McKesson Corp. 4.900% 7/15/28     5,039      5,040
  Medtronic Global Holdings SCA 4.250% 3/30/28    25,325     24,777
  Merck & Co. Inc. 0.750% 2/24/26    21,401     19,789
  Merck & Co. Inc. 1.700% 6/10/27    29,455     26,677
  Merck & Co. Inc. 4.050% 5/17/28     8,351      8,180
  Mylan Inc. 4.550% 4/15/28    22,032     21,247
  Novartis Capital Corp. 3.000% 11/20/25    28,963     28,059
  Novartis Capital Corp. 2.000% 2/14/27     8,131      7,536
  Novartis Capital Corp. 3.100% 5/17/27    21,545     20,500
1 PeaceHealth Obligated Group 1.375% 11/15/25     2,190      2,035
  Pfizer Inc. 0.800% 5/28/25    14,268     13,544
  Pfizer Inc. 2.750% 6/3/26    12,589     12,042
  Pfizer Inc. 3.000% 12/15/26    29,949     28,557
  Pfizer Inc. 3.600% 9/15/28    17,334     16,558
  Pfizer Investment Enterprises Pte. Ltd. 4.650% 5/19/25    49,933     49,624
  Pfizer Investment Enterprises Pte. Ltd. 4.450% 5/19/26    50,128     49,480
  Pfizer Investment Enterprises Pte. Ltd. 4.450% 5/19/28    65,758     64,493
  Pharmacia LLC 6.600% 12/1/28    10,675     11,431
1 Providence St. Joseph Health Obligated Group 2.746% 10/1/26     2,633      2,468
  Quest Diagnostics Inc. 3.500% 3/30/25    18,048     17,719
  Quest Diagnostics Inc. 3.450% 6/1/26    14,690     14,133
  Revvity Inc. 1.900% 9/15/28     7,945      6,864
  Royalty Pharma plc 1.200% 9/2/25    22,340     20,918
  Royalty Pharma plc 1.750% 9/2/27    19,153     17,027
  Sanofi SA 3.625% 6/19/28    16,674     16,087
  Shire Acquisitions Investments Ireland DAC 3.200% 9/23/26    49,818     47,467
2 Solventum Corp. 5.450% 2/25/27    18,175     18,209
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
1 SSM Health Care Corp. 3.823% 6/1/27     6,837      6,559
  SSM Health Care Corp. 4.894% 6/1/28     1,650      1,642
  Stryker Corp. 1.150% 6/15/25    11,192     10,617
  Stryker Corp. 3.375% 11/1/25    24,278     23,562
  Stryker Corp. 3.500% 3/15/26     5,392      5,228
  Stryker Corp. 3.650% 3/7/28    11,425     10,898
  Stryker Corp. 4.850% 12/8/28     9,040      9,009
1 Sutter Health 1.321% 8/15/25     1,639      1,542
1 Sutter Health 3.695% 8/15/28     5,575      5,304
  Takeda Pharmaceutical Co. Ltd. 5.000% 11/26/28    29,488     29,411
  Thermo Fisher Scientific Inc. 5.000% 12/5/26    19,525     19,580
  Thermo Fisher Scientific Inc. 4.800% 11/21/27    19,245     19,254
  Thermo Fisher Scientific Inc. 1.750% 10/15/28    12,873     11,297
  Thermo Fisher Scientific Inc. 5.000% 1/31/29    16,010     16,100
  UnitedHealth Group Inc. 3.750% 7/15/25    32,195     31,597
  UnitedHealth Group Inc. 5.150% 10/15/25    13,473     13,503
  UnitedHealth Group Inc. 3.700% 12/15/25     6,769      6,621
  UnitedHealth Group Inc. 1.250% 1/15/26     8,569      8,006
  UnitedHealth Group Inc. 3.100% 3/15/26    19,721     19,048
  UnitedHealth Group Inc. 1.150% 5/15/26    16,493     15,200
  UnitedHealth Group Inc. 3.450% 1/15/27    25,416     24,529
  UnitedHealth Group Inc. 3.375% 4/15/27    10,135      9,711
  UnitedHealth Group Inc. 3.700% 5/15/27     6,190      5,991
  UnitedHealth Group Inc. 2.950% 10/15/27     6,172      5,795
  UnitedHealth Group Inc. 5.250% 2/15/28    20,856     21,193
  UnitedHealth Group Inc. 3.850% 6/15/28    19,761     19,024
  UnitedHealth Group Inc. 3.875% 12/15/28    14,785     14,187
  UnitedHealth Group Inc. 4.250% 1/15/29    14,106     13,754
  Universal Health Services Inc. 1.650% 9/1/26    11,755     10,685
1 UPMC 3.600% 4/3/25     3,205      3,147
  Utah Acquisition Sub Inc. 3.950% 6/15/26    28,905     27,891
  Viatris Inc. 1.650% 6/22/25     9,748      9,249
  Viatris Inc. 2.300% 6/22/27    11,065     10,006
  Zimmer Biomet Holdings Inc. 3.550% 4/1/25    12,320     12,051
  Zimmer Biomet Holdings Inc. 3.050% 1/15/26    11,040     10,605
  Zimmer Biomet Holdings Inc. 5.350% 12/1/28     7,315      7,391
  Zoetis Inc. 4.500% 11/13/25    16,784     16,573
  Zoetis Inc. 5.400% 11/14/25    16,847     16,874
  Zoetis Inc. 3.900% 8/20/28     8,460      8,133
                               3,399,431
Industrials (6.4%)
1 3M Co. 3.000% 8/7/25     5,180      5,019
1 3M Co. 2.250% 9/19/26     7,900      7,359
  3M Co. 2.875% 10/15/27    14,261     13,205
1 3M Co. 3.625% 9/14/28     5,700      5,378
  Allegion US Holding Co. Inc. 3.550% 10/1/27     6,221      5,885
1 American Airlines Pass-Through Trust Class A Series 2015-1 3.375% 5/1/27     1,150      1,077
1 American Airlines Pass-Through Trust Class AA Series 2016-2 3.200% 6/15/28     6,391      5,847
1 American Airlines Pass-Through Trust Class AA Series 2016-3 3.000% 10/15/28     6,319      5,722
1 American Airlines Pass-Through Trust Class AA Series 2017-1 3.650% 2/15/29     8,186      7,571
  Amphenol Corp. 2.050% 3/1/25     2,503      2,419
1 BNSF Funding Trust I 6.613% 12/15/55     6,786      6,709
  Boeing Co. 4.875% 5/1/25    68,825     68,224
  Boeing Co. 2.600% 10/30/25     1,757      1,675
  Boeing Co. 2.750% 2/1/26    35,593     33,794
  Boeing Co. 2.196% 2/4/26   111,390    104,594
  Boeing Co. 3.100% 5/1/26    15,582     14,832
  Boeing Co. 2.250% 6/15/26     5,246      4,884
  Boeing Co. 2.700% 2/1/27    18,934     17,621
  Boeing Co. 2.800% 3/1/27    18,457     17,130
  Boeing Co. 5.040% 5/1/27    28,137     27,877
  Boeing Co. 3.250% 2/1/28    13,501     12,515
  Boeing Co. 3.450% 11/1/28       125        115
 
16

 

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

($000)
  Boeing Co. 3.200% 3/1/29     5,000      4,519
  Burlington Northern Santa Fe LLC 3.000% 4/1/25     8,157      7,971
  Burlington Northern Santa Fe LLC 3.650% 9/1/25    12,363     12,095
  Burlington Northern Santa Fe LLC 7.000% 12/15/25     3,740      3,867
  Burlington Northern Santa Fe LLC 3.250% 6/15/27     7,969      7,600
  Canadian National Railway Co. 2.750% 3/1/26     4,701      4,509
  Canadian Pacific Railway Co. 1.750% 12/2/26    30,210     27,697
  Carrier Global Corp. 5.800% 11/30/25     8,958      9,022
  Carrier Global Corp. 2.493% 2/15/27    22,631     21,031
1 Caterpillar Financial Services Corp. 2.850% 5/17/24    14,878     14,793
1 Caterpillar Financial Services Corp. 1.450% 5/15/25    19,776     18,913
  Caterpillar Financial Services Corp. 5.150% 8/11/25     6,554      6,553
1 Caterpillar Financial Services Corp. 3.650% 8/12/25    14,152     13,867
1 Caterpillar Financial Services Corp. 0.800% 11/13/25    13,188     12,293
  Caterpillar Financial Services Corp. 5.050% 2/27/26    15,000     15,006
  Caterpillar Financial Services Corp. 0.900% 3/2/26     7,051      6,509
1 Caterpillar Financial Services Corp. 4.350% 5/15/26    16,475     16,273
  Caterpillar Financial Services Corp. 2.400% 8/9/26     4,700      4,431
1 Caterpillar Financial Services Corp. 1.150% 9/14/26    16,352     14,906
1 Caterpillar Financial Services Corp. 1.700% 1/8/27     7,576      6,966
1 Caterpillar Financial Services Corp. 3.600% 8/12/27    20,513     19,747
  Caterpillar Financial Services Corp. 4.850% 2/27/29     9,900      9,908
  Caterpillar Inc. 3.400% 5/15/24    20,224     20,133
  CH Robinson Worldwide Inc. 4.200% 4/15/28    10,725     10,340
  CNH Industrial Capital LLC 5.450% 10/14/25     2,589      2,589
  CNH Industrial Capital LLC 1.875% 1/15/26    16,755     15,703
  CNH Industrial Capital LLC 1.450% 7/15/26     8,136      7,439
  CNH Industrial Capital LLC 4.550% 4/10/28    17,350     16,975
  CNH Industrial Capital LLC 5.500% 1/12/29     6,100      6,181
  CSX Corp. 3.350% 11/1/25     9,474      9,197
  CSX Corp. 2.600% 11/1/26    18,161     17,127
  CSX Corp. 3.250% 6/1/27    23,302     22,113
  CSX Corp. 3.800% 3/1/28     3,005      2,890
  Cummins Inc. 0.750% 9/1/25     3,998      3,750
  Cummins Inc. 4.900% 2/20/29    11,500     11,443
  Deere & Co. 2.750% 4/15/25    21,344     20,786
2 Delta Air Lines Inc. 4.750% 10/20/28    14,105     13,781
  Dover Corp. 3.150% 11/15/25     6,162      5,942
  Eaton Corp. 3.103% 9/15/27    11,006     10,402
  Emerson Electric Co. 3.150% 6/1/25     7,926      7,740
  Emerson Electric Co. 0.875% 10/15/26    16,563     14,970
  Emerson Electric Co. 1.800% 10/15/27     4,837      4,355
  Emerson Electric Co. 2.000% 12/21/28    22,655     19,983
  FedEx Corp. 3.250% 4/1/26     8,630      8,314
  FedEx Corp. 4.200% 10/17/28    13,860     13,350
  Fortive Corp. 3.150% 6/15/26    17,378     16,587
  General Dynamics Corp. 3.250% 4/1/25     6,993      6,847
  General Dynamics Corp. 3.500% 5/15/25    11,419     11,200
  General Dynamics Corp. 2.125% 8/15/26     9,995      9,352
  General Dynamics Corp. 3.500% 4/1/27    11,957     11,505
  General Dynamics Corp. 2.625% 11/15/27     7,285      6,738
  General Dynamics Corp. 3.750% 5/15/28    19,039     18,321
  HEICO Corp. 5.250% 8/1/28     7,397      7,444
  Hexcel Corp. 4.200% 2/15/27     4,753      4,525
  Honeywell International Inc. 1.350% 6/1/25    17,512     16,731
  Honeywell International Inc. 2.500% 11/1/26    29,269     27,583
  Honeywell International Inc. 1.100% 3/1/27    12,818     11,517
  Honeywell International Inc. 4.950% 2/15/28    10,025     10,131
  Honeywell International Inc. 4.250% 1/15/29     7,475      7,312
  Honeywell International Inc. 2.700% 8/15/29     9,975      8,974
  Howmet Aerospace Inc. 6.875% 5/1/25     7,000      7,071
  Howmet Aerospace Inc. 3.000% 1/15/29     8,383      7,514
  Huntington Ingalls Industries Inc. 3.483% 12/1/27     8,219      7,700
  Huntington Ingalls Industries Inc. 2.043% 8/16/28    10,704      9,306
  Illinois Tool Works Inc. 2.650% 11/15/26    17,897     17,015
  Ingersoll Rand Inc. 5.400% 8/14/28     8,340      8,403
  Jacobs Engineering Group Inc. 6.350% 8/18/28    10,530     10,845
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  JB Hunt Transport Services Inc. 3.875% 3/1/26    21,015     20,513
1 John Deere Capital Corp. 3.450% 3/13/25    10,810     10,617
1 John Deere Capital Corp. 3.400% 6/6/25    12,924     12,663
1 John Deere Capital Corp. 4.950% 6/6/25     6,752      6,742
1 John Deere Capital Corp. 4.050% 9/8/25    20,439     20,152
  John Deere Capital Corp. 5.300% 9/8/25     4,240      4,259
1 John Deere Capital Corp. 3.400% 9/11/25     5,311      5,186
1 John Deere Capital Corp. 0.700% 1/15/26    20,501     18,978
1 John Deere Capital Corp. 5.050% 3/3/26     7,322      7,340
1 John Deere Capital Corp. 4.750% 6/8/26    32,836     32,738
1 John Deere Capital Corp. 2.650% 6/10/26     6,404      6,104
1 John Deere Capital Corp. 1.050% 6/17/26     6,342      5,814
1 John Deere Capital Corp. 5.150% 9/8/26     4,785      4,815
1 John Deere Capital Corp. 2.250% 9/14/26    13,462     12,602
1 John Deere Capital Corp. 1.300% 10/13/26     4,021      3,674
1 John Deere Capital Corp. 1.700% 1/11/27     6,249      5,725
1 John Deere Capital Corp. 2.350% 3/8/27    19,891     18,534
1 John Deere Capital Corp. 1.750% 3/9/27    13,931     12,737
1 John Deere Capital Corp. 4.150% 9/15/27    46,584     45,653
1 John Deere Capital Corp. 4.750% 1/20/28    27,296     27,270
1 John Deere Capital Corp. 4.900% 3/3/28    18,692     18,783
1 John Deere Capital Corp. 4.950% 7/14/28    26,071     26,220
1 Johnson Controls International plc 3.900% 2/14/26    10,813     10,537
  Keysight Technologies Inc. 4.600% 4/6/27    18,710     18,411
  Kirby Corp. 4.200% 3/1/28     6,023      5,755
  L3Harris Technologies Inc. 3.950% 5/28/24     7,985      7,948
  L3Harris Technologies Inc. 3.832% 4/27/25    11,953     11,730
  L3Harris Technologies Inc. 3.850% 12/15/26     8,760      8,461
  L3Harris Technologies Inc. 5.400% 1/15/27    19,484     19,611
  L3Harris Technologies Inc. 4.400% 6/15/28    15,684     15,228
1 L3Harris Technologies Inc. 4.400% 6/15/28    20,598     20,008
  Lennox International Inc. 1.350% 8/1/25     2,942      2,774
  Lennox International Inc. 1.700% 8/1/27     6,975      6,252
  Lennox International Inc. 5.500% 9/15/28     7,735      7,807
  LKQ Corp. 5.750% 6/15/28    13,790     13,929
  Lockheed Martin Corp. 4.950% 10/15/25     7,978      7,967
  Lockheed Martin Corp. 3.550% 1/15/26    16,987     16,550
  Lockheed Martin Corp. 5.100% 11/15/27    17,623     17,811
  Lockheed Martin Corp. 4.450% 5/15/28    16,710     16,463
  Lockheed Martin Corp. 4.500% 2/15/29    13,350     13,116
2 Mileage Plus Holdings LLC 6.500% 6/20/27    11,989     12,012
  Nordson Corp. 5.600% 9/15/28     5,810      5,903
  Norfolk Southern Corp. 3.650% 8/1/25     2,436      2,383
  Norfolk Southern Corp. 2.900% 6/15/26    11,754     11,199
  Norfolk Southern Corp. 7.800% 5/15/27    11,621     12,594
  Norfolk Southern Corp. 3.150% 6/1/27     6,770      6,415
  Norfolk Southern Corp. 3.800% 8/1/28     6,617      6,330
  Northrop Grumman Corp. 3.200% 2/1/27    11,283     10,751
  Northrop Grumman Corp. 3.250% 1/15/28    44,558     41,782
  nVent Finance Sarl 4.550% 4/15/28     6,585      6,349
  Oshkosh Corp. 4.600% 5/15/28     5,155      5,013
  Otis Worldwide Corp. 2.056% 4/5/25    28,983     27,917
  Otis Worldwide Corp. 2.293% 4/5/27     7,809      7,216
  Otis Worldwide Corp. 5.250% 8/16/28    14,450     14,574
1 PACCAR Financial Corp. 5.050% 8/10/26     8,910      8,944
  PACCAR Financial Corp. 4.600% 1/10/28     9,585      9,535
1 PACCAR Financial Corp. 4.950% 8/10/28     6,034      6,075
1 PACCAR Financial Corp. 4.600% 1/31/29     8,767      8,682
  Parker-Hannifin Corp. 3.250% 3/1/27     5,049      4,803
  Parker-Hannifin Corp. 4.250% 9/15/27    39,403     38,521
  Parker-Hannifin Corp. 4.500% 9/15/29     6,803      6,653
  Precision Castparts Corp. 3.250% 6/15/25    24,503     23,946
2 Regal Rexnord Corp. 6.050% 2/15/26    18,758     18,845
2 Regal Rexnord Corp. 6.050% 4/15/28    20,168     20,285
  Republic Services Inc. 3.200% 3/15/25     7,879      7,693
  Republic Services Inc. 0.875% 11/15/25     6,700      6,214
  Republic Services Inc. 2.900% 7/1/26     6,040      5,768
 
17

 

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

($000)
  Republic Services Inc. 3.375% 11/15/27    11,664     11,059
  Republic Services Inc. 3.950% 5/15/28     9,342      8,987
  Rockwell Automation Inc. 2.875% 3/1/25     5,777      5,645
  RTX Corp. 3.950% 8/16/25    30,862     30,273
  RTX Corp. 5.000% 2/27/26     9,363      9,339
  RTX Corp. 2.650% 11/1/26     2,655      2,498
  RTX Corp. 5.750% 11/8/26     1,625      1,649
  RTX Corp. 3.500% 3/15/27    22,181     21,199
  RTX Corp. 3.125% 5/4/27    18,586     17,541
  RTX Corp. 4.125% 11/16/28    44,768     42,996
  RTX Corp. 5.750% 1/15/29    13,575     13,975
1 Ryder System Inc. 4.625% 6/1/25     2,022      2,003
1 Ryder System Inc. 3.350% 9/1/25    13,124     12,720
1 Ryder System Inc. 1.750% 9/1/26     4,976      4,571
1 Ryder System Inc. 2.900% 12/1/26     6,830      6,417
1 Ryder System Inc. 2.850% 3/1/27     7,881      7,370
1 Ryder System Inc. 5.300% 3/15/27     2,250      2,253
1 Ryder System Inc. 5.650% 3/1/28    12,049     12,249
1 Ryder System Inc. 5.250% 6/1/28    15,839     15,863
  Ryder System Inc. 6.300% 12/1/28     5,854      6,100
1 Ryder System Inc. 5.375% 3/15/29     1,150      1,149
  Southwest Airlines Co. 5.250% 5/4/25    27,729     27,650
  Southwest Airlines Co. 3.000% 11/15/26     4,428      4,179
  Southwest Airlines Co. 5.125% 6/15/27    28,268     28,172
  Southwest Airlines Co. 3.450% 11/16/27     5,379      5,057
  Teledyne Technologies Inc. 1.600% 4/1/26    13,915     12,903
  Teledyne Technologies Inc. 2.250% 4/1/28    15,370     13,772
  Textron Inc. 3.875% 3/1/25     4,922      4,845
  Textron Inc. 4.000% 3/15/26    12,447     12,109
  Textron Inc. 3.650% 3/15/27     5,493      5,256
  Trane Technologies Financing Ltd. 3.500% 3/21/26     7,238      6,994
  Trane Technologies Global Holding Co. Ltd. 3.750% 8/21/28     9,585      9,140
  Trimble Inc. 4.900% 6/15/28     9,831      9,743
  Tyco Electronics Group SA 4.500% 2/13/26     9,465      9,352
  Tyco Electronics Group SA 3.700% 2/15/26    10,496     10,217
  Tyco Electronics Group SA 3.125% 8/15/27    11,732     11,089
  Union Pacific Corp. 3.750% 7/15/25     4,689      4,602
  Union Pacific Corp. 3.250% 8/15/25    10,508     10,234
  Union Pacific Corp. 2.750% 3/1/26    13,746     13,160
  Union Pacific Corp. 3.950% 9/10/28    23,873     23,156
  Union Pacific Corp. 3.700% 3/1/29     7,450      7,101
1 United Airlines Pass-Through Trust Class A Series 2013-1 4.300% 8/15/25     6,034      5,883
1 United Airlines Pass-Through Trust Class A Series 2014-1 4.000% 4/11/26     5,874      5,649
1 United Airlines Pass-Through Trust Class A Series 2014-2 3.750% 9/3/26     3,058      2,932
1 United Airlines Pass-Through Trust Class A Series 2020-1 5.875% 10/15/27    29,442     29,619
1 United Airlines Pass-Through Trust Class B Series 2020-1 4.875% 1/15/26     5,490      5,408
  United Parcel Service Inc. 3.900% 4/1/25     2,218      2,188
  United Parcel Service Inc. 2.400% 11/15/26     3,744      3,524
  United Parcel Service Inc. 3.050% 11/15/27    18,732     17,605
  United Parcel Service Inc. 3.400% 3/15/29     4,385      4,138
2 Veralto Corp. 5.500% 9/18/26     8,185      8,221
2 Veralto Corp. 5.350% 9/18/28    14,125     14,221
  Vontier Corp. 1.800% 4/1/26     7,416      6,841
  Vontier Corp. 2.400% 4/1/28     2,000      1,751
  Waste Connections Inc. 4.250% 12/1/28     8,150      7,892
  Waste Management Inc. 0.750% 11/15/25    11,055     10,269
  Waste Management Inc. 3.150% 11/15/27    13,076     12,305
  Waste Management Inc. 4.875% 2/15/29    19,773     19,803
  Waste Management Inc. 2.000% 6/1/29     5,005      4,332
  Westinghouse Air Brake Technologies Corp. 3.200% 6/15/25     7,373      7,151
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Westinghouse Air Brake Technologies Corp. 3.450% 11/15/26    12,663     12,041
  Westinghouse Air Brake Technologies Corp. 4.700% 9/15/28    20,408     19,908
  Xylem Inc. 3.250% 11/1/26     8,319      7,942
  Xylem Inc. 1.950% 1/30/28     8,325      7,438
                               2,701,579
Materials (2.0%)
  Air Products and Chemicals Inc. 1.500% 10/15/25     6,600      6,240
  Air Products and Chemicals Inc. 1.850% 5/15/27     5,957      5,445
  Albemarle Corp. 4.650% 6/1/27     9,591      9,422
  Amcor Finance USA Inc. 3.625% 4/28/26     7,199      6,932
  Amcor Finance USA Inc. 4.500% 5/15/28     2,000      1,945
  Amcor Flexibles North America Inc. 4.000% 5/17/25     5,679      5,570
  AngloGold Ashanti Holdings plc 3.375% 11/1/28    12,361     11,073
  ArcelorMittal SA 4.550% 3/11/26     6,641      6,541
  ArcelorMittal SA 6.550% 11/29/27    25,256     26,283
  Berry Global Inc. 1.570% 1/15/26    22,511     20,971
  Berry Global Inc. 1.650% 1/15/27     6,083      5,497
2 Berry Global Inc. 5.500% 4/15/28     9,250      9,198
  BHP Billiton Finance USA Ltd. 4.875% 2/27/26    14,295     14,238
  BHP Billiton Finance USA Ltd. 6.420% 3/1/26     3,655      3,744
  BHP Billiton Finance USA Ltd. 5.250% 9/8/26    10,585     10,650
  BHP Billiton Finance USA Ltd. 4.750% 2/28/28    15,975     15,864
  BHP Billiton Finance USA Ltd. 5.100% 9/8/28     9,450      9,507
  Carlisle Cos. Inc. 3.750% 12/1/27    10,645     10,116
  Celanese US Holdings LLC 6.050% 3/15/25    11,349     11,375
  Celanese US Holdings LLC 1.400% 8/5/26     4,718      4,272
  Celanese US Holdings LLC 6.165% 7/15/27    36,584     37,145
  Celanese US Holdings LLC 6.350% 11/15/28    15,354     15,805
  Celulosa Arauco y Constitucion SA 3.875% 11/2/27     7,812      7,326
  Dow Chemical Co. 4.800% 11/30/28    10,675     10,593
  DuPont de Nemours Inc. 4.493% 11/15/25    28,884     28,548
  DuPont de Nemours Inc. 4.725% 11/15/28    35,750     35,562
  Eastman Chemical Co. 3.800% 3/15/25    11,610     11,401
  Eastman Chemical Co. 4.500% 12/1/28     7,390      7,173
  Ecolab Inc. 2.700% 11/1/26    13,452     12,750
  Ecolab Inc. 1.650% 2/1/27     5,045      4,611
  Ecolab Inc. 3.250% 12/1/27    11,751     11,127
  Ecolab Inc. 5.250% 1/15/28     8,598      8,722
  EIDP Inc. 1.700% 7/15/25     3,740      3,555
  EIDP Inc. 4.500% 5/15/26    11,365     11,191
  FMC Corp. 5.150% 5/18/26     7,341      7,245
  FMC Corp. 3.200% 10/1/26     8,924      8,363
  Freeport-McMoRan Inc. 5.000% 9/1/27    12,147     11,956
  Freeport-McMoRan Inc. 4.125% 3/1/28    10,054      9,542
  Freeport-McMoRan Inc. 4.375% 8/1/28     4,014      3,828
  Freeport-McMoRan Inc. 5.250% 9/1/29     1,841      1,832
2 Georgia-Pacific LLC 2.100% 4/30/27     3,760      3,436
  Kinross Gold Corp. 4.500% 7/15/27     8,346      8,111
  Linde Inc. 4.700% 12/5/25    10,180     10,133
  Linde Inc. 3.200% 1/30/26    16,297     15,796
  LYB International Finance II BV 3.500% 3/2/27     8,831      8,408
  LYB International Finance III LLC 1.250% 10/1/25     4,818      4,504
  Martin Marietta Materials Inc. 3.450% 6/1/27     5,257      5,013
  Martin Marietta Materials Inc. 3.500% 12/15/27     8,521      8,084
  Mosaic Co. 4.050% 11/15/27    17,470     16,786
  Mosaic Co. 5.375% 11/15/28     5,425      5,457
  Nucor Corp. 3.950% 5/23/25     4,283      4,216
  Nucor Corp. 2.000% 6/1/25    17,388     16,682
  Nucor Corp. 4.300% 5/23/27     6,688      6,535
  Nucor Corp. 3.950% 5/1/28     5,305      5,126
  Nutrien Ltd. 3.000% 4/1/25     7,227      7,029
  Nutrien Ltd. 5.950% 11/7/25     8,553      8,625
  Nutrien Ltd. 4.000% 12/15/26    12,493     12,102
  Nutrien Ltd. 4.900% 3/27/28    16,424     16,289
  Packaging Corp. of America 3.400% 12/15/27     8,348      7,891
 
18

 

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

($000)
  PPG Industries Inc. 1.200% 3/15/26    16,727     15,460
  PPG Industries Inc. 3.750% 3/15/28     7,630      7,307
  Reliance Inc. 1.300% 8/15/25     4,243      3,983
  Rio Tinto Finance USA Ltd. 7.125% 7/15/28    13,027     14,190
  RPM International Inc. 3.750% 3/15/27    12,657     12,077
  Sherwin-Williams Co. 3.450% 8/1/25     5,270      5,135
  Sherwin-Williams Co. 4.250% 8/8/25     2,315      2,279
  Sherwin-Williams Co. 3.450% 6/1/27    21,023     20,021
  Sonoco Products Co. 2.250% 2/1/27     4,973      4,564
  Southern Copper Corp. 3.875% 4/23/25     3,399      3,331
  Steel Dynamics Inc. 2.400% 6/15/25     8,328      8,000
  Steel Dynamics Inc. 5.000% 12/15/26     6,000      5,951
  Suzano Austria GmbH 2.500% 9/15/28    10,145      8,862
  Suzano Austria GmbH 6.000% 1/15/29    28,310     28,315
  Suzano International Finance BV 5.500% 1/17/27     8,828      8,816
  Vale Overseas Ltd. 6.250% 8/10/26     3,810      3,870
  Vulcan Materials Co. 4.500% 4/1/25     6,956      6,882
  Vulcan Materials Co. 3.900% 4/1/27     5,680      5,503
  Westlake Corp. 3.600% 8/15/26    18,643     17,941
  WRKCo Inc. 3.750% 3/15/25    22,005     21,552
  WRKCo Inc. 4.650% 3/15/26     6,798      6,709
  WRKCo Inc. 4.000% 3/15/28     8,798      8,398
  WRKCo Inc. 3.900% 6/1/28     9,933      9,415
                                 841,942
Real Estate (3.8%)
  Agree LP 2.000% 6/15/28     4,683      4,075
  Alexandria Real Estate Equities Inc. 3.450% 4/30/25    15,076     14,723
  Alexandria Real Estate Equities Inc. 4.300% 1/15/26     2,540      2,492
  Alexandria Real Estate Equities Inc. 3.800% 4/15/26     8,000      7,754
  Alexandria Real Estate Equities Inc. 3.950% 1/15/27     6,341      6,113
  Alexandria Real Estate Equities Inc. 3.950% 1/15/28     3,835      3,649
  American Homes 4 Rent LP 4.250% 2/15/28     9,258      8,893
  American Homes 4 Rent LP 4.900% 2/15/29     6,600      6,432
  American Tower Corp. 2.400% 3/15/25    12,156     11,758
  American Tower Corp. 4.000% 6/1/25    19,055     18,680
  American Tower Corp. 1.300% 9/15/25     5,217      4,906
  American Tower Corp. 4.400% 2/15/26     7,962      7,829
  American Tower Corp. 1.600% 4/15/26     5,355      4,957
  American Tower Corp. 1.450% 9/15/26     7,864      7,148
  American Tower Corp. 3.375% 10/15/26    25,340     24,164
  American Tower Corp. 2.750% 1/15/27    10,324      9,615
  American Tower Corp. 3.125% 1/15/27     5,557      5,241
  American Tower Corp. 3.650% 3/15/27     9,558      9,134
  American Tower Corp. 3.550% 7/15/27    21,361     20,249
  American Tower Corp. 3.600% 1/15/28     6,033      5,677
  American Tower Corp. 1.500% 1/31/28     3,382      2,937
  American Tower Corp. 5.500% 3/15/28    18,948     19,026
  American Tower Corp. 5.250% 7/15/28    12,024     11,987
  American Tower Corp. 5.800% 11/15/28    12,695     12,944
1 AvalonBay Communities Inc. 3.450% 6/1/25    14,120     13,804
1 AvalonBay Communities Inc. 3.500% 11/15/25     2,314      2,249
1 AvalonBay Communities Inc. 2.950% 5/11/26    10,166      9,711
1 AvalonBay Communities Inc. 2.900% 10/15/26     2,900      2,740
1 AvalonBay Communities Inc. 3.350% 5/15/27     4,557      4,322
1 AvalonBay Communities Inc. 3.200% 1/15/28     6,968      6,529
  Boston Properties LP 3.650% 2/1/26    18,309     17,607
  Boston Properties LP 2.750% 10/1/26    15,543     14,390
  Boston Properties LP 6.750% 12/1/27    14,285     14,756
  Boston Properties LP 4.500% 12/1/28    15,468     14,614
  Brixmor Operating Partnership LP 4.125% 6/15/26     9,461      9,158
  Brixmor Operating Partnership LP 3.900% 3/15/27     4,124      3,929
  Brixmor Operating Partnership LP 2.250% 4/1/28     3,617      3,199
  Brixmor Operating Partnership LP 4.125% 5/15/29       891        832
  Camden Property Trust 4.100% 10/15/28     6,099      5,873
  CBRE Services Inc. 4.875% 3/1/26    10,529     10,402
  CBRE Services Inc. 5.500% 4/1/29     3,400      3,401
  COPT Defense Properties LP 2.250% 3/15/26    11,116     10,395
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  COPT Defense Properties LP 2.000% 1/15/29     6,780      5,613
  Crown Castle Inc. 1.350% 7/15/25     5,554      5,255
  Crown Castle Inc. 4.450% 2/15/26    15,000     14,719
  Crown Castle Inc. 3.700% 6/15/26    10,217      9,846
  Crown Castle Inc. 1.050% 7/15/26    13,104     11,845
  Crown Castle Inc. 4.000% 3/1/27     2,492      2,399
  Crown Castle Inc. 2.900% 3/15/27    11,062     10,301
  Crown Castle Inc. 5.000% 1/11/28    37,125     36,581
  Crown Castle Inc. 3.800% 2/15/28    14,089     13,267
  Crown Castle Inc. 4.800% 9/1/28     7,234      7,054
  Crown Castle Inc. 4.300% 2/15/29    10,000      9,504
  CubeSmart LP 4.000% 11/15/25     5,471      5,327
  CubeSmart LP 3.125% 9/1/26     3,345      3,164
  CubeSmart LP 2.250% 12/15/28     8,977      7,808
  CubeSmart LP 4.375% 2/15/29     4,886      4,647
  Digital Realty Trust LP 3.700% 8/15/27    16,077     15,322
  Digital Realty Trust LP 5.550% 1/15/28    22,381     22,608
  Digital Realty Trust LP 4.450% 7/15/28     6,685      6,468
  EPR Properties 4.500% 4/1/25     4,944      4,857
  EPR Properties 4.500% 6/1/27    17,685     16,713
  EPR Properties 4.950% 4/15/28     3,550      3,365
  Equinix Inc. 1.250% 7/15/25     3,871      3,652
  Equinix Inc. 1.000% 9/15/25    11,488     10,740
  Equinix Inc. 1.450% 5/15/26    13,676     12,594
  Equinix Inc. 2.900% 11/18/26     4,140      3,898
  Equinix Inc. 1.800% 7/15/27     3,763      3,382
  Equinix Inc. 1.550% 3/15/28     9,794      8,525
  Equinix Inc. 2.000% 5/15/28     5,495      4,846
  ERP Operating LP 3.375% 6/1/25    12,016     11,718
  ERP Operating LP 2.850% 11/1/26     7,274      6,864
  ERP Operating LP 3.250% 8/1/27     2,421      2,273
  ERP Operating LP 4.150% 12/1/28    12,422     12,010
  Essex Portfolio LP 3.500% 4/1/25     8,187      8,012
  Essex Portfolio LP 3.375% 4/15/26     4,525      4,354
  Essex Portfolio LP 3.625% 5/1/27     8,247      7,834
  Essex Portfolio LP 1.700% 3/1/28     8,519      7,404
  Extra Space Storage LP 3.500% 7/1/26     9,761      9,346
  Extra Space Storage LP 5.700% 4/1/28    10,019     10,157
  Extra Space Storage LP 4.000% 6/15/29     1,807      1,696
  Federal Realty OP LP 1.250% 2/15/26     6,885      6,348
  Federal Realty OP LP 3.250% 7/15/27     9,130      8,529
  Federal Realty OP LP 5.375% 5/1/28     5,665      5,646
  GLP Capital LP 5.250% 6/1/25    14,215     14,099
  GLP Capital LP 5.375% 4/15/26    16,596     16,424
  GLP Capital LP 5.750% 6/1/28    13,105     13,011
  GLP Capital LP 5.300% 1/15/29     6,060      5,885
  Healthcare Realty Holdings LP 3.500% 8/1/26    13,129     12,524
  Healthcare Realty Holdings LP 3.750% 7/1/27     7,834      7,350
  Healthpeak OP LLC 4.000% 6/1/25     9,159      8,986
  Healthpeak OP LLC 3.250% 7/15/26     6,538      6,245
  Healthpeak OP LLC 1.350% 2/1/27     4,856      4,369
  Healthpeak OP LLC 2.125% 12/1/28     1,729      1,505
  Healthpeak OP LLC 3.500% 7/15/29     9,459      8,642
  Highwoods Realty LP 3.875% 3/1/27     5,941      5,577
  Highwoods Realty LP 4.125% 3/15/28     3,715      3,465
1 Host Hotels & Resorts LP 4.000% 6/15/25    12,759     12,498
1 Host Hotels & Resorts LP 4.500% 2/1/26    10,638     10,413
  Invitation Homes Operating Partnership LP 2.300% 11/15/28    10,125      8,858
  Kilroy Realty LP 3.450% 12/15/24     6,555      6,415
  Kilroy Realty LP 4.375% 10/1/25     6,743      6,572
  Kilroy Realty LP 4.750% 12/15/28     5,374      5,061
  Kimco Realty OP LLC 2.800% 10/1/26     6,173      5,784
  Kimco Realty OP LLC 3.800% 4/1/27     9,830      9,419
  Kimco Realty OP LLC 1.900% 3/1/28     7,366      6,453
  Kite Realty Group LP 4.000% 10/1/26     4,201      3,982
  Kite Realty Group Trust 4.000% 3/15/25     3,621      3,546
 
19

 

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

($000)
  LXP Industrial Trust 6.750% 11/15/28     5,305      5,463
  Mid-America Apartments LP 4.000% 11/15/25     9,865      9,653
  Mid-America Apartments LP 1.100% 9/15/26     4,011      3,625
  Mid-America Apartments LP 3.600% 6/1/27    14,597     13,947
  Mid-America Apartments LP 4.200% 6/15/28     5,060      4,896
  NNN REIT Inc. 4.000% 11/15/25    12,387     12,080
  NNN REIT Inc. 3.600% 12/15/26     5,550      5,292
  NNN REIT Inc. 3.500% 10/15/27     4,556      4,284
  NNN REIT Inc. 4.300% 10/15/28     5,408      5,192
  Omega Healthcare Investors Inc. 5.250% 1/15/26    11,330     11,225
  Omega Healthcare Investors Inc. 4.500% 4/1/27     8,895      8,556
  Omega Healthcare Investors Inc. 4.750% 1/15/28     9,878      9,477
  Physicians Realty LP 4.300% 3/15/27     7,009      6,811
  Physicians Realty LP 3.950% 1/15/28     3,389      3,224
  Piedmont Operating Partnership LP 9.250% 7/20/28     8,057      8,492
  Prologis LP 3.250% 6/30/26     7,317      7,028
  Prologis LP 3.250% 10/1/26     5,333      5,093
  Prologis LP 2.125% 4/15/27     9,832      9,022
  Prologis LP 3.375% 12/15/27     7,514      7,093
  Prologis LP 4.875% 6/15/28    14,212     14,192
  Prologis LP 3.875% 9/15/28     1,965      1,880
  Prologis LP 4.000% 9/15/28     7,775      7,485
  Public Storage Operating Co. 0.875% 2/15/26     7,320      6,755
  Public Storage Operating Co. 1.500% 11/9/26    14,571     13,308
  Public Storage Operating Co. 3.094% 9/15/27     5,321      5,009
  Public Storage Operating Co. 1.850% 5/1/28     6,095      5,388
  Public Storage Operating Co. 1.950% 11/9/28    12,201     10,718
  Public Storage Operating Co. 5.125% 1/15/29     6,990      7,062
  Realty Income Corp. 3.875% 4/15/25    13,362     13,135
  Realty Income Corp. 4.625% 11/1/25     8,570      8,469
  Realty Income Corp. 0.750% 3/15/26     3,052      2,785
  Realty Income Corp. 4.875% 6/1/26    14,446     14,327
  Realty Income Corp. 4.450% 9/15/26     4,665      4,541
  Realty Income Corp. 4.125% 10/15/26    10,395     10,113
  Realty Income Corp. 3.000% 1/15/27    12,435     11,722
  Realty Income Corp. 3.200% 1/15/27     1,999      1,886
  Realty Income Corp. 3.950% 8/15/27     8,407      8,119
  Realty Income Corp. 3.400% 1/15/28    17,449     16,376
  Realty Income Corp. 2.100% 3/15/28     4,279      3,794
  Realty Income Corp. 2.200% 6/15/28     8,050      7,145
  Realty Income Corp. 4.750% 2/15/29     7,075      6,924
  Regency Centers LP 3.600% 2/1/27     8,710      8,329
  Regency Centers LP 4.125% 3/15/28     3,081      2,942
  Rexford Industrial Realty LP 5.000% 6/15/28     3,337      3,300
  Sabra Health Care LP 5.125% 8/15/26    11,747     11,528
  Simon Property Group LP 3.500% 9/1/25    23,729     23,151
  Simon Property Group LP 3.300% 1/15/26    13,871     13,384
  Simon Property Group LP 3.250% 11/30/26    14,392     13,719
  Simon Property Group LP 1.375% 1/15/27     4,541      4,118
  Simon Property Group LP 3.375% 6/15/27     8,629      8,190
  Simon Property Group LP 3.375% 12/1/27    10,960     10,338
  Simon Property Group LP 1.750% 2/1/28    13,066     11,566
  SITE Centers Corp. 3.625% 2/1/25     7,188      7,074
  SITE Centers Corp. 4.250% 2/1/26     2,450      2,391
  SITE Centers Corp. 4.700% 6/1/27     8,191      8,050
  Store Capital LLC 4.500% 3/15/28     5,815      5,464
  Sun Communities Operating LP 2.300% 11/1/28     7,756      6,731
  Sun Communities Operating LP 5.500% 1/15/29    11,631     11,520
  Tanger Properties LP 3.125% 9/1/26     2,444      2,282
  Tanger Properties LP 3.875% 7/15/27     5,908      5,411
1 UDR Inc. 2.950% 9/1/26     5,253      4,953
1 UDR Inc. 4.400% 1/26/29     7,889      7,551
  Ventas Realty LP 4.125% 1/15/26    14,531     14,146
  Ventas Realty LP 3.250% 10/15/26     6,394      6,037
  Ventas Realty LP 3.850% 4/1/27     8,901      8,485
  Ventas Realty LP 4.000% 3/1/28     6,867      6,535
  Ventas Realty LP 4.400% 1/15/29    12,878     12,330
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  VICI Properties LP 4.375% 5/15/25    10,370     10,200
  VICI Properties LP 4.750% 2/15/28    20,995     20,340
  Welltower OP LLC 4.000% 6/1/25    20,909     20,525
  Welltower OP LLC 4.250% 4/1/26     9,199      9,019
  Welltower OP LLC 2.700% 2/15/27    10,553      9,855
  Welltower OP LLC 4.250% 4/15/28    12,595     12,182
  Weyerhaeuser Co. 4.750% 5/15/26    17,811     17,599
  WP Carey Inc. 4.250% 10/1/26     5,699      5,547
                               1,578,246
Technology (7.5%)
  Adobe Inc. 2.150% 2/1/27     7,258      6,756
  Analog Devices Inc. 2.950% 4/1/25     6,178      6,035
  Analog Devices Inc. 3.500% 12/5/26    12,340     11,918
  Analog Devices Inc. 3.450% 6/15/27    11,738     11,237
  Apple Inc. 1.125% 5/11/25    40,821     38,980
  Apple Inc. 3.200% 5/13/25    32,066     31,384
  Apple Inc. 0.550% 8/20/25    16,426     15,441
  Apple Inc. 0.700% 2/8/26    36,966     34,171
  Apple Inc. 3.250% 2/23/26    56,194     54,515
  Apple Inc. 2.450% 8/4/26    34,301     32,469
  Apple Inc. 2.050% 9/11/26    28,117     26,287
  Apple Inc. 3.350% 2/9/27    28,683     27,594
  Apple Inc. 3.200% 5/11/27    48,656     46,426
  Apple Inc. 3.000% 6/20/27    29,283     27,774
  Apple Inc. 2.900% 9/12/27    39,006     36,790
  Apple Inc. 3.000% 11/13/27    28,512     26,968
  Apple Inc. 1.200% 2/8/28    34,046     29,920
  Apple Inc. 4.000% 5/10/28    24,001     23,500
  Apple Inc. 1.400% 8/5/28    30,108     26,314
  Applied Materials Inc. 3.900% 10/1/25     8,075      7,933
  Applied Materials Inc. 3.300% 4/1/27    15,437     14,776
  Arrow Electronics Inc. 4.000% 4/1/25     5,895      5,792
  Arrow Electronics Inc. 3.875% 1/12/28    10,300      9,728
  Autodesk Inc. 4.375% 6/15/25     1,809      1,788
  Autodesk Inc. 3.500% 6/15/27     9,456      9,041
  Automatic Data Processing Inc. 3.375% 9/15/25    11,903     11,629
  Automatic Data Processing Inc. 1.700% 5/15/28    17,216     15,327
  Avnet Inc. 4.625% 4/15/26     5,001      4,894
  Avnet Inc. 6.250% 3/15/28     7,529      7,658
  Broadcom Corp. 3.875% 1/15/27    64,185     62,050
  Broadcom Corp. 3.500% 1/15/28    11,400     10,738
  Broadcom Inc. 3.150% 11/15/25    17,131     16,536
  Broadcom Inc. 3.459% 9/15/26    13,857     13,292
  Broadcom Inc. 4.110% 9/15/28    15,522     14,876
  Broadridge Financial Solutions Inc. 3.400% 6/27/26     7,519      7,187
  CDW LLC 4.125% 5/1/25    15,019     14,723
  CDW LLC 2.670% 12/1/26    16,939     15,722
  CDW LLC 3.276% 12/1/28     4,940      4,448
  CDW LLC 3.250% 2/15/29    11,000      9,805
  CGI Inc. 1.450% 9/14/26    10,108      9,166
  Cintas Corp. No. 2 3.700% 4/1/27    25,914     25,099
  Cisco Systems Inc. 3.500% 6/15/25     3,651      3,583
  Cisco Systems Inc. 4.900% 2/26/26    17,500     17,508
  Cisco Systems Inc. 2.950% 2/28/26    18,090     17,437
  Cisco Systems Inc. 2.500% 9/20/26    23,442     22,121
  Cisco Systems Inc. 4.800% 2/26/27    32,410     32,418
  Cisco Systems Inc. 4.850% 2/26/29    41,200     41,266
  Concentrix Corp. 6.650% 8/2/26    13,425     13,551
  Concentrix Corp. 6.600% 8/2/28    13,565     13,627
  Dell International LLC 5.850% 7/15/25     2,104      2,113
  Dell International LLC 6.020% 6/15/26    60,095     60,757
  Dell International LLC 4.900% 10/1/26    35,742     35,416
  Dell International LLC 6.100% 7/15/27     8,230      8,444
  Dell International LLC 5.250% 2/1/28    16,932     17,051
  DXC Technology Co. 1.800% 9/15/26    10,985      9,974
  DXC Technology Co. 2.375% 9/15/28    10,315      8,893
  Equifax Inc. 2.600% 12/15/25    13,024     12,409
 
20

 

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

($000)
  Equifax Inc. 5.100% 12/15/27     9,768      9,725
  Equifax Inc. 5.100% 6/1/28    18,204     18,092
  Fidelity National Information Services Inc. 4.500% 7/15/25    12,028     11,913
  Fidelity National Information Services Inc. 1.150% 3/1/26    26,941     24,918
  Fidelity National Information Services Inc. 4.700% 7/15/27     8,972      8,904
  Fidelity National Information Services Inc. 1.650% 3/1/28    12,543     11,054
  Fiserv Inc. 3.850% 6/1/25    10,841     10,624
  Fiserv Inc. 3.200% 7/1/26    39,760     37,972
  Fiserv Inc. 2.250% 6/1/27    20,101     18,393
  Fiserv Inc. 5.450% 3/2/28    15,014     15,137
  Fiserv Inc. 5.375% 8/21/28     6,321      6,360
  Fiserv Inc. 4.200% 10/1/28    12,830     12,307
  Flex Ltd. 4.750% 6/15/25    12,533     12,390
  Flex Ltd. 3.750% 2/1/26    18,673     18,056
  Fortinet Inc. 1.000% 3/15/26     9,240      8,479
  Harman International Industries Inc. 4.150% 5/15/25     3,640      3,575
  Hewlett Packard Enterprise Co. 4.900% 10/15/25    36,058     35,826
  Hewlett Packard Enterprise Co. 1.750% 4/1/26    18,629     17,314
  Hewlett Packard Enterprise Co. 5.250% 7/1/28    11,000     11,018
  HP Inc. 2.200% 6/17/25    24,079     23,115
  HP Inc. 1.450% 6/17/26    11,388     10,463
  HP Inc. 3.000% 6/17/27    19,712     18,415
  HP Inc. 4.750% 1/15/28    15,391     15,233
  Hubbell Inc. 3.350% 3/1/26    10,270      9,908
  Hubbell Inc. 3.150% 8/15/27     3,510      3,293
  Hubbell Inc. 3.500% 2/15/28     7,531      7,114
  IBM International Capital Pte. Ltd. 4.600% 2/5/29    16,000     15,693
  Intel Corp. 3.400% 3/25/25    33,643     32,993
  Intel Corp. 3.700% 7/29/25    46,621     45,662
  Intel Corp. 2.600% 5/19/26    15,010     14,277
  Intel Corp. 3.750% 3/25/27    19,622     18,979
  Intel Corp. 3.150% 5/11/27    26,539     25,149
  Intel Corp. 3.750% 8/5/27    13,187     12,710
  Intel Corp. 4.875% 2/10/28    42,038     41,921
  Intel Corp. 1.600% 8/12/28    12,660     11,012
  International Business Machines Corp. 4.000% 7/27/25    13,295     13,090
  International Business Machines Corp. 7.000% 10/30/25     9,003      9,293
  International Business Machines Corp. 4.500% 2/6/26    18,100     17,936
  International Business Machines Corp. 3.450% 2/19/26    16,570     16,074
  International Business Machines Corp. 3.300% 5/15/26    46,967     45,219
  International Business Machines Corp. 3.300% 1/27/27     7,545      7,208
  International Business Machines Corp. 1.700% 5/15/27    31,257     28,215
  International Business Machines Corp. 4.150% 7/27/27    10,107      9,848
  International Business Machines Corp. 6.220% 8/1/27     6,130      6,395
  International Business Machines Corp. 4.500% 2/6/28    22,935     22,623
  Intuit Inc. 0.950% 7/15/25     8,231      7,766
  Intuit Inc. 5.125% 9/15/28    15,025     15,206
  Jabil Inc. 1.700% 4/15/26     8,444      7,811
  Jabil Inc. 4.250% 5/15/27     7,130      6,885
  Jabil Inc. 5.450% 2/1/29     8,481      8,471
  Juniper Networks Inc. 1.200% 12/10/25    12,584     11,664
  Kyndryl Holdings Inc. 2.050% 10/15/26    11,300     10,322
  Lam Research Corp. 3.800% 3/15/25    14,323     14,113
  Lam Research Corp. 3.750% 3/15/26    13,094     12,779
  Leidos Inc. 3.625% 5/15/25     4,185      4,086
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Marvell Technology Inc. 1.650% 4/15/26     5,391      5,001
  Marvell Technology Inc. 2.450% 4/15/28    11,534     10,356
1 Marvell Technology Inc. 4.875% 6/22/28     8,712      8,558
  Marvell Technology Inc. 5.750% 2/15/29     3,000      3,057
  Microchip Technology Inc. 4.250% 9/1/25    25,520     25,053
  Micron Technology Inc. 4.975% 2/6/26     5,142      5,112
  Micron Technology Inc. 4.185% 2/15/27    12,248     11,901
  Micron Technology Inc. 5.375% 4/15/28    16,400     16,445
  Micron Technology Inc. 5.327% 2/6/29     5,735      5,741
  Microsoft Corp. 3.125% 11/3/25    49,228     47,851
  Microsoft Corp. 2.400% 8/8/26    68,182     64,543
2 Microsoft Corp. 3.400% 9/15/26    19,775     19,128
  Microsoft Corp. 3.300% 2/6/27    75,244     72,682
2 Microsoft Corp. 3.400% 6/15/27     4,633      4,446
  Moody's Corp. 3.750% 3/24/25     3,394      3,337
  Moody's Corp. 4.250% 2/1/29    12,963     12,556
  Motorola Solutions Inc. 4.600% 2/23/28     7,199      7,062
  NetApp Inc. 1.875% 6/22/25    10,972     10,462
  NetApp Inc. 2.375% 6/22/27    11,548     10,576
  Nokia OYJ 4.375% 6/12/27     7,965      7,634
  NVIDIA Corp. 3.200% 9/16/26    25,208     24,299
  NXP BV 2.700% 5/1/25     8,213      7,943
  NXP BV 5.350% 3/1/26     7,878      7,865
  NXP BV 3.875% 6/18/26    16,096     15,576
  NXP BV 3.150% 5/1/27    12,989     12,211
  NXP BV 4.400% 6/1/27     8,211      8,022
  Oracle Corp. 2.500% 4/1/25    72,542     70,259
  Oracle Corp. 2.950% 5/15/25    55,996     54,344
  Oracle Corp. 1.650% 3/25/26    57,070     53,006
  Oracle Corp. 2.650% 7/15/26    41,874     39,441
  Oracle Corp. 2.800% 4/1/27    33,083     30,857
  Oracle Corp. 3.250% 11/15/27    32,069     30,071
  Oracle Corp. 2.300% 3/25/28    54,658     48,968
  QUALCOMM Inc. 3.450% 5/20/25    22,669     22,200
  QUALCOMM Inc. 3.250% 5/20/27    41,727     39,784
  Roper Technologies Inc. 1.000% 9/15/25    15,155     14,192
  Roper Technologies Inc. 3.850% 12/15/25     1,590      1,551
  Roper Technologies Inc. 3.800% 12/15/26    15,444     14,928
  Roper Technologies Inc. 4.200% 9/15/28    14,355     13,871
  S&P Global Inc. 2.950% 1/22/27    11,315     10,722
  S&P Global Inc. 2.450% 3/1/27    18,941     17,656
  S&P Global Inc. 4.750% 8/1/28    12,435     12,385
  Salesforce Inc. 3.700% 4/11/28    33,262     32,095
  Salesforce Inc. 1.500% 7/15/28    19,206     16,801
  Skyworks Solutions Inc. 1.800% 6/1/26    22,957     21,234
  TD SYNNEX Corp. 1.750% 8/9/26    17,083     15,560
  Texas Instruments Inc. 1.375% 3/12/25    11,923     11,469
  Texas Instruments Inc. 1.125% 9/15/26     4,417      4,031
  Texas Instruments Inc. 4.600% 2/15/28     9,787      9,769
  Texas Instruments Inc. 2.250% 9/4/29     8,662      7,644
  TSMC Arizona Corp. 1.750% 10/25/26    30,798     28,285
  TSMC Arizona Corp. 3.875% 4/22/27     6,973      6,760
  Verisk Analytics Inc. 4.000% 6/15/25    18,648     18,319
  VMware LLC 4.500% 5/15/25    10,316     10,202
  VMware LLC 1.400% 8/15/26    29,384     26,715
  VMware LLC 4.650% 5/15/27     8,356      8,179
  VMware LLC 3.900% 8/21/27    33,603     32,039
  VMware LLC 1.800% 8/15/28     5,057      4,378
  Workday Inc. 3.500% 4/1/27    16,415     15,626
                               3,167,011
Utilities (5.9%)
  AEP Transmission Co. LLC 3.100% 12/1/26     8,036      7,650
  AES Corp. 1.375% 1/15/26     6,350      5,868
  AES Corp. 5.450% 6/1/28    14,153     14,105
  Alabama Power Co. 3.750% 9/1/27     6,775      6,501
  Ameren Corp. 3.650% 2/15/26     6,220      6,017
  Ameren Corp. 5.700% 12/1/26     6,783      6,862
 
21

 

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

($000)
  Ameren Corp. 1.950% 3/15/27    11,883     10,851
  Ameren Corp. 1.750% 3/15/28     3,421      3,006
  Ameren Illinois Co. 3.250% 3/1/25     3,337      3,275
1 American Electric Power Co. Inc. 1.000% 11/1/25     2,945      2,735
  American Electric Power Co. Inc. 5.750% 11/1/27     4,929      5,027
1 American Electric Power Co. Inc. 4.300% 12/1/28    20,220     19,462
  American Electric Power Co. Inc. 5.200% 1/15/29     8,354      8,344
  American Electric Power Co. Inc. 3.875% 2/15/62    14,394     12,829
  American Water Capital Corp. 3.400% 3/1/25     4,429      4,342
  American Water Capital Corp. 2.950% 9/1/27    12,385     11,547
  American Water Capital Corp. 3.750% 9/1/28     6,028      5,719
  Appalachian Power Co. 3.400% 6/1/25    13,995     13,656
1 Appalachian Power Co. 3.300% 6/1/27    12,226     11,491
  Arizona Public Service Co. 3.150% 5/15/25     2,194      2,131
  Atmos Energy Corp. 3.000% 6/15/27    17,264     16,237
  Avangrid Inc. 3.200% 4/15/25     5,982      5,819
  Baltimore Gas & Electric Co. 2.400% 8/15/26     5,280      4,976
  Berkshire Hathaway Energy Co. 4.050% 4/15/25    15,709     15,489
  Berkshire Hathaway Energy Co. 3.250% 4/15/28    12,490     11,702
  Black Hills Corp. 3.950% 1/15/26     4,889      4,750
  Black Hills Corp. 3.150% 1/15/27     8,399      7,921
  Black Hills Corp. 5.950% 3/15/28     6,289      6,465
1 CenterPoint Energy Houston Electric LLC 2.400% 9/1/26     6,458      6,086
1 CenterPoint Energy Houston Electric LLC 3.000% 2/1/27     4,794      4,547
  CenterPoint Energy Houston Electric LLC 5.200% 10/1/28    13,788     13,908
  CenterPoint Energy Inc. 1.450% 6/1/26     7,450      6,852
  CenterPoint Energy Inc. 5.250% 8/10/26     3,761      3,764
  CenterPoint Energy Resources Corp. 5.250% 3/1/28    15,585     15,697
  Cleco Corporate Holdings LLC 3.743% 5/1/26    12,698     12,209
  CMS Energy Corp. 3.000% 5/15/26    12,820     12,198
  Commonwealth Edison Co. 2.550% 6/15/26     2,889      2,733
  Commonwealth Edison Co. 3.700% 8/15/28     6,920      6,590
1 Connecticut Light & Power Co. 0.750% 12/1/25     5,978      5,543
1 Connecticut Light & Power Co. 3.200% 3/15/27    15,190     14,432
1 Consolidated Edison Co. of New York Inc. 3.125% 11/15/27     5,015      4,711
1 Consolidated Edison Co. of New York Inc. 4.000% 12/1/28    17,777     17,144
  Constellation Energy Generation LLC 3.250% 6/1/25    15,577     15,134
  Constellation Energy Generation LLC 5.600% 3/1/28    12,705     12,870
  Consumers Energy Co. 4.650% 3/1/28    12,860     12,774
  Consumers Energy Co. 4.900% 2/15/29     3,350      3,343
  Consumers Energy Co. 4.600% 5/30/29     8,560      8,413
1 Dominion Energy Inc. 3.300% 3/15/25     3,072      3,002
  Dominion Energy Inc. 3.900% 10/1/25    17,662     17,250
1 Dominion Energy Inc. 1.450% 4/15/26    14,069     12,988
1 Dominion Energy Inc. 2.850% 8/15/26     9,814      9,255
1 Dominion Energy Inc. 3.600% 3/15/27     3,840      3,668
  DTE Electric Co. 3.375% 3/1/25     8,516      8,357
  DTE Electric Co. 4.850% 12/1/26     8,200      8,185
1 DTE Electric Co. 1.900% 4/1/28     3,653      3,252
1 DTE Energy Co. 1.050% 6/1/25    16,747     15,864
  DTE Energy Co. 2.850% 10/1/26     9,648      9,092
  DTE Energy Co. 4.875% 6/1/28    15,471     15,266
  DTE Energy Co. 5.100% 3/1/29     7,600      7,541
1 DTE Energy Co. 3.400% 6/15/29     7,064      6,465
  Duke Energy Carolinas LLC 2.950% 12/1/26     6,657      6,339
  Duke Energy Carolinas LLC 2.450% 8/15/29    14,950     13,185
  Duke Energy Corp. 0.900% 9/15/25    11,987     11,215
  Duke Energy Corp. 5.000% 12/8/25     7,776      7,746
  Duke Energy Corp. 2.650% 9/1/26    33,368     31,405
  Duke Energy Corp. 5.000% 12/8/27    23,229     23,093
  Duke Energy Corp. 4.300% 3/15/28    10,946     10,629
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Duke Energy Corp. 3.250% 1/15/82     7,909      6,704
  Duke Energy Florida LLC 3.200% 1/15/27    23,743     22,667
  Duke Energy Progress LLC 3.250% 8/15/25     4,449      4,338
  Duke Energy Progress LLC 3.700% 9/1/28     9,784      9,323
  Duke Energy Progress LLC 3.450% 3/15/29     7,500      7,018
  Edison International 4.950% 4/15/25     5,443      5,396
  Edison International 5.750% 6/15/27    13,712     13,842
  Edison International 5.250% 11/15/28    10,988     10,930
  Emera US Finance LP 3.550% 6/15/26    18,966     18,175
  Enel Americas SA 4.000% 10/25/26     9,778      9,393
  Enel Chile SA 4.875% 6/12/28    16,918     16,458
  Entergy Arkansas LLC 3.500% 4/1/26    16,991     16,478
  Entergy Corp. 0.900% 9/15/25    18,689     17,477
  Entergy Corp. 2.950% 9/1/26    18,497     17,547
  Entergy Louisiana LLC 2.400% 10/1/26     3,806      3,554
  Evergy Kansas Central Inc. 2.550% 7/1/26    12,240     11,545
  Evergy Kansas Central Inc. 3.100% 4/1/27     3,708      3,502
  Evergy Metro Inc. 3.650% 8/15/25       365        356
1 Eversource Energy 0.800% 8/15/25     8,511      7,944
1 Eversource Energy 1.400% 8/15/26     2,932      2,662
  Eversource Energy 2.900% 3/1/27    18,125     16,959
  Eversource Energy 4.600% 7/1/27     9,455      9,246
1 Eversource Energy 3.300% 1/15/28     7,422      6,913
  Eversource Energy 5.450% 3/1/28    34,471     34,660
1 Exelon Corp. 3.950% 6/15/25    20,683     20,301
  Exelon Corp. 3.400% 4/15/26    10,385      9,999
  Exelon Corp. 2.750% 3/15/27    19,284     17,944
  Exelon Corp. 5.150% 3/15/28    27,321     27,262
  Exelon Corp. 5.150% 3/15/29     4,850      4,827
  Florida Power & Light Co. 2.850% 4/1/25    10,639     10,372
  Florida Power & Light Co. 3.125% 12/1/25     9,945      9,639
  Florida Power & Light Co. 4.450% 5/15/26     5,928      5,867
1 Florida Power & Light Co. 3.300% 5/30/27     6,803      6,441
  Florida Power & Light Co. 5.050% 4/1/28    16,931     17,054
  Florida Power & Light Co. 4.400% 5/15/28    28,703     28,200
  Fortis Inc. 3.055% 10/4/26    22,538     21,277
  Georgia Power Co. 3.250% 4/1/26    10,519     10,102
  Georgia Power Co. 5.004% 2/23/27     8,000      7,984
  Georgia Power Co. 3.250% 3/30/27    10,601     10,040
  Georgia Power Co. 4.650% 5/16/28    25,000     24,627
  Iberdrola International BV 5.810% 3/15/25     2,431      2,431
  Interstate Power & Light Co. 4.100% 9/26/28     9,135      8,752
  ITC Holdings Corp. 3.250% 6/30/26    14,194     13,556
  ITC Holdings Corp. 3.350% 11/15/27     9,857      9,246
1 Louisville Gas & Electric Co. 3.300% 10/1/25     2,386      2,317
  MidAmerican Energy Co. 3.100% 5/1/27     8,209      7,766
  Mississippi Power Co. 3.950% 3/30/28     2,811      2,696
  National Fuel Gas Co. 5.200% 7/15/25     1,975      1,959
  National Fuel Gas Co. 5.500% 1/15/26    15,194     15,147
  National Fuel Gas Co. 5.500% 10/1/26     2,655      2,647
  National Fuel Gas Co. 4.750% 9/1/28     4,750      4,590
  National Grid plc 5.602% 6/12/28    13,433     13,602
1 National Rural Utilities Cooperative Finance Corp. 3.450% 6/15/25     3,672      3,588
  National Rural Utilities Cooperative Finance Corp. 5.450% 10/30/25    13,815     13,851
1 National Rural Utilities Cooperative Finance Corp. 3.250% 11/1/25     7,621      7,386
1 National Rural Utilities Cooperative Finance Corp. 1.000% 6/15/26     6,996      6,385
1 National Rural Utilities Cooperative Finance Corp. 4.800% 2/5/27     3,935      3,915
  National Rural Utilities Cooperative Finance Corp. 3.050% 4/25/27    10,105      9,575
  National Rural Utilities Cooperative Finance Corp. 3.400% 2/7/28    16,098     15,206
  National Rural Utilities Cooperative Finance Corp. 4.800% 3/15/28    13,294     13,222
 
22

 

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

($000)
1 National Rural Utilities Cooperative Finance Corp. 5.050% 9/15/28    11,003     11,015
1 National Rural Utilities Cooperative Finance Corp. 4.850% 2/7/29    17,500     17,351
1 National Rural Utilities Cooperative Finance Corp. 5.250% 4/20/46     2,790      2,706
  NextEra Energy Capital Holdings Inc. 6.051% 3/1/25    15,792     15,856
  NextEra Energy Capital Holdings Inc. 4.450% 6/20/25    14,516     14,327
  NextEra Energy Capital Holdings Inc. 5.749% 9/1/25    28,382     28,532
  NextEra Energy Capital Holdings Inc. 1.875% 1/15/27    16,656     15,200
  NextEra Energy Capital Holdings Inc. 3.550% 5/1/27    39,744     37,812
  NextEra Energy Capital Holdings Inc. 4.625% 7/15/27    21,247     20,904
  NextEra Energy Capital Holdings Inc. 4.900% 2/28/28    28,993     28,752
  NextEra Energy Capital Holdings Inc. 1.900% 6/15/28    27,398     23,997
3 NextEra Energy Capital Holdings Inc. 6.700% 9/1/54     8,500      8,470
  NextEra Energy Capital Holdings Inc. 3.800% 3/15/82    19,777     17,618
  NiSource Inc. 0.950% 8/15/25    31,138     29,226
  NiSource Inc. 3.490% 5/15/27    23,474     22,318
  NiSource Inc. 5.250% 3/30/28    14,962     15,030
  NSTAR Electric Co. 3.200% 5/15/27    11,127     10,600
  Oncor Electric Delivery Co. LLC 2.950% 4/1/25     5,935      5,787
  Oncor Electric Delivery Co. LLC 0.550% 10/1/25     5,607      5,213
  Oncor Electric Delivery Co. LLC 4.300% 5/15/28    10,586     10,322
  ONE Gas Inc. 5.100% 4/1/29     3,245      3,253
  Pacific Gas & Electric Co. 4.950% 6/8/25     2,936      2,908
  Pacific Gas & Electric Co. 3.500% 6/15/25    13,270     12,880
  Pacific Gas & Electric Co. 3.450% 7/1/25    21,717     21,084
  Pacific Gas & Electric Co. 3.150% 1/1/26    43,810     41,892
  Pacific Gas & Electric Co. 2.100% 8/1/27    25,620     22,951
  Pacific Gas & Electric Co. 3.300% 12/1/27    16,306     15,064
  Pacific Gas & Electric Co. 3.750% 7/1/28    19,305     17,960
  Pacific Gas & Electric Co. 6.100% 1/15/29    23,806     24,365
  Pacific Gas & Electric Co. 5.550% 5/15/29    11,000     11,022
  PECO Energy Co. 3.150% 10/15/25     2,980      2,894
  Pinnacle West Capital Corp. 1.300% 6/15/25     3,623      3,438
  PPL Capital Funding Inc. 3.100% 5/15/26    16,218     15,444
1 Public Service Electric & Gas Co. 3.000% 5/15/25     2,628      2,561
1 Public Service Electric & Gas Co. 0.950% 3/15/26     5,961      5,516
1 Public Service Electric & Gas Co. 2.250% 9/15/26     7,346      6,865
1 Public Service Electric & Gas Co. 3.000% 5/15/27     8,087      7,644
1 Public Service Electric & Gas Co. 3.700% 5/1/28     1,495      1,429
1 Public Service Electric & Gas Co. 3.650% 9/1/28     4,078      3,883
  Public Service Enterprise Group Inc. 0.800% 8/15/25     6,269      5,870
  Public Service Enterprise Group Inc. 5.850% 11/15/27    11,905     12,188
  Public Service Enterprise Group Inc. 5.875% 10/15/28    14,430     14,809
  Puget Energy Inc. 3.650% 5/15/25     8,991      8,760
  Puget Energy Inc. 2.379% 6/15/28     7,977      7,073
  San Diego Gas & Electric Co. 2.500% 5/15/26     5,239      4,970
  San Diego Gas & Electric Co. 4.950% 8/15/28     9,937      9,934
  Sempra 3.300% 4/1/25    12,455     12,163
  Sempra 3.250% 6/15/27    11,241     10,572
  Sempra 3.400% 2/1/28    13,651     12,846
  Sempra 4.125% 4/1/52    16,536     15,183
  Sierra Pacific Power Co. 2.600% 5/1/26     2,989      2,831
1 Southern California Edison Co. 3.700% 8/1/25    18,807     18,370
1 Southern California Edison Co. 1.200% 2/1/26     9,480      8,793
3 Southern California Edison Co. 5.350% 3/1/26    10,485     10,492
  Southern California Edison Co. 4.875% 2/1/27     5,585      5,556
1 Southern California Edison Co. 4.700% 6/1/27    11,681     11,547
  Southern California Edison Co. 5.850% 11/1/27    19,630     20,103
  Southern California Edison Co. 5.300% 3/1/28    18,975     19,157
  Southern California Edison Co. 5.650% 10/1/28    18,357     18,796
3 Southern California Edison Co. 5.150% 6/1/29    12,200     12,209
  Southern California Gas Co. 3.200% 6/15/25     7,834      7,655
1 Southern California Gas Co. 2.600% 6/15/26     4,842      4,589
  Southern California Gas Co. 2.950% 4/15/27    11,707     11,015
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Southern Co. 5.150% 10/6/25     8,433      8,420
  Southern Co. 3.250% 7/1/26    33,850     32,380
  Southern Co. 4.850% 6/15/28    13,979     13,845
  Southern Co. 5.500% 3/15/29     7,500      7,598
1 Southern Co. 4.000% 1/15/51    17,903     17,212
1 Southern Co. 3.750% 9/15/51    16,082     15,091
  Southern Co. Gas Capital Corp. 3.250% 6/15/26    12,428     11,880
  Southern Power Co. 4.150% 12/1/25    16,849     16,558
  Southern Power Co. 0.900% 1/15/26     4,478      4,128
  Southwest Gas Corp. 5.800% 12/1/27     5,088      5,179
  Southwest Gas Corp. 5.450% 3/23/28    10,660     10,749
1 Southwestern Electric Power Co. 1.650% 3/15/26    10,528      9,792
1 Southwestern Electric Power Co. 2.750% 10/1/26     9,902      9,296
1 Southwestern Electric Power Co. 4.100% 9/15/28     8,167      7,829
  Tampa Electric Co. 4.900% 3/1/29     2,865      2,848
  Tucson Electric Power Co. 3.050% 3/15/25     3,883      3,789
  Union Electric Co. 2.950% 6/15/27    11,981     11,252
  United Utilities plc 6.875% 8/15/28     6,720      7,119
1 Virginia Electric & Power Co. 3.100% 5/15/25     5,328      5,189
1 Virginia Electric & Power Co. 3.150% 1/15/26    30,204     29,139
1 Virginia Electric & Power Co. 2.950% 11/15/26     3,162      2,995
1 Virginia Electric & Power Co. 3.500% 3/15/27    13,926     13,329
1 Virginia Electric & Power Co. 3.750% 5/15/27     7,636      7,347
1 Virginia Electric & Power Co. 3.800% 4/1/28     5,487      5,256
1 Virginia Electric & Power Co. 2.875% 7/15/29     4,450      4,025
  WEC Energy Group Inc. 3.550% 6/15/25     2,133      2,075
  WEC Energy Group Inc. 5.000% 9/27/25     3,484      3,467
  WEC Energy Group Inc. 4.750% 1/9/26    10,699     10,592
  WEC Energy Group Inc. 5.150% 10/1/27    16,211     16,186
  WEC Energy Group Inc. 4.750% 1/15/28    11,720     11,572
  WEC Energy Group Inc. 2.200% 12/15/28     4,338      3,809
  Wisconsin Power & Light Co. 3.050% 10/15/27     4,989      4,656
  Wisconsin Public Service Corp. 5.350% 11/10/25     3,985      3,991
  Xcel Energy Inc. 3.300% 6/1/25    15,511     15,082
  Xcel Energy Inc. 3.350% 12/1/26    10,205      9,649
  Xcel Energy Inc. 1.750% 3/15/27    14,905     13,455
  Xcel Energy Inc. 4.000% 6/15/28     6,954      6,646
                               2,493,377
Total Corporate Bonds (Cost $42,242,492) 41,077,762
          Shares  
Temporary Cash Investments (0.9%)
Money Market Fund (0.9%)
5 Vanguard Market Liquidity Fund
(Cost $381,410)
5.400%   3,814,546           381,417
Total Investments (99.7%) (Cost $43,086,755)   41,922,290
Other Assets and Liabilities—Net (0.3%)   141,762
Net Assets (100%)   42,064,052
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 29, 2024, the aggregate value was $206,633,000, representing 0.5% 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 29, 2024.
4 Securities with a value of $5,212,000 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.
  DAC—Designated Activity Company.
  REIT—Real Estate Investment Trust.
 
23

 

Short-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)
Long Futures Contracts
5-Year U.S. Treasury Note June 2024 658 70,344 (48)
    
Centrally Cleared Credit Default Swaps
Reference Entity Termination
Date
  Notional
Amount
(000)
Periodic
Premium
Received
(Paid)1
(%)
Value
($000)
Unrealized
Appreciation
(Depreciation)
($000)
Credit Protection Purchased
CDX-NA-IG-S41-V1 12/20/28 USD 125,000 (1.000) (2,814) (259)
1 Periodic premium received/paid quarterly.
USD—U.S. dollar.
  
See accompanying Notes, which are an integral part of the Financial Statements.
24

 

Short-Term Corporate Bond Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $42,705,345) 41,540,873
Affiliated Issuers (Cost $381,410) 381,417
Total Investments in Securities 41,922,290
Investment in Vanguard 1,343
Receivables for Investment Securities Sold 1,013,139
Receivables for Accrued Income 424,044
Receivables for Capital Shares Issued 6,937
Total Assets 43,367,753
Liabilities  
Due to Custodian 955
Payables for Investment Securities Purchased 1,294,544
Payables for Capital Shares Redeemed 5,233
Payables for Distributions 1,933
Payables to Vanguard 708
Variation Margin Payable—Futures Contracts 307
Variation Margin Payable—Centrally Cleared Swap Contracts 21
Total Liabilities 1,303,701
Net Assets 42,064,052

At February 29, 2024, net assets consisted of:

   
Paid-in Capital 44,239,249
Total Distributable Earnings (Loss) (2,175,197)
Net Assets 42,064,052
 
ETF Shares—Net Assets  
Applicable to 462,039,147 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
35,578,364
Net Asset Value Per Share—ETF Shares $77.00
 
Admiral Shares—Net Assets  
Applicable to 192,205,468 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
4,018,842
Net Asset Value Per Share—Admiral Shares $20.91
 
Institutional Shares—Net Assets  
Applicable to 96,376,039 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
2,466,846
Net Asset Value Per Share—Institutional Shares $25.60
  
See accompanying Notes, which are an integral part of the Financial Statements.
25

 

Short-Term Corporate Bond Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Interest1 747,086
Total Income 747,086
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 433
Management and Administrative—ETF Shares 5,329
Management and Administrative—Admiral Shares 1,209
Management and Administrative—Institutional Shares 511
Marketing and Distribution—ETF Shares 949
Marketing and Distribution—Admiral Shares 109
Marketing and Distribution—Institutional Shares 47
Custodian Fees 107
Shareholders’ Reports—ETF Shares 303
Shareholders’ Reports—Admiral Shares 23
Shareholders’ Reports—Institutional Shares 1
Trustees’ Fees and Expenses 16
Other Expenses 11
Total Expenses 9,048
Net Investment Income 738,038
Realized Net Gain (Loss)  
Investment Securities Sold1,2 (311,932)
Futures Contracts (589)
Swap Contracts (283)
Realized Net Gain (Loss) (312,804)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 941,288
Futures Contracts (227)
Swap Contracts 261
Change in Unrealized Appreciation (Depreciation) 941,322
Net Increase (Decrease) in Net Assets Resulting from Operations 1,366,556
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 $4,054,000, $56,000, $1,000, and $4,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes ($105,175,000) of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
26

 

Short-Term Corporate Bond Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 738,038   1,256,006
Realized Net Gain (Loss) (312,804)   (1,296,803)
Change in Unrealized Appreciation (Depreciation) 941,322   948,307
Net Increase (Decrease) in Net Assets Resulting from Operations 1,366,556   907,510
Distributions      
ETF Shares (623,137)   (1,047,846)
Admiral Shares (70,273)   (117,989)
Institutional Shares (41,891)   (66,109)
Total Distributions (735,301)   (1,231,944)
Capital Share Transactions      
ETF Shares (1,746,943)   (6,648,044)
Admiral Shares (104,681)   (555,646)
Institutional Shares (12,631)   216,450
Net Increase (Decrease) from Capital Share Transactions (1,864,255)   (6,987,240)
Total Increase (Decrease) (1,233,000)   (7,311,674)
Net Assets      
Beginning of Period 43,297,052   50,608,726
End of Period 42,064,052   43,297,052
  
See accompanying Notes, which are an integral part of the Financial Statements.
27

 

Short-Term Corporate Bond Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $75.75 $76.14 $82.67 $82.95 $81.18 $78.32
Investment Operations            
Net Investment Income1 1.343 2.094 1.319 1.433 2.127 2.311
Net Realized and Unrealized Gain (Loss) on Investments 1.240 (.441) (6.388) (.250) 1.815 2.826
Total from Investment Operations 2.583 1.653 (5.069) 1.183 3.942 5.137
Distributions            
Dividends from Net Investment Income (1.333) (2.043) (1.279) (1.463) (2.172) (2.277)
Distributions from Realized Capital Gains (.182)
Total Distributions (1.333) (2.043) (1.461) (1.463) (2.172) (2.277)
Net Asset Value, End of Period $77.00 $75.75 $76.14 $82.67 $82.95 $81.18
Total Return 3.44% 2.23% -6.19% 1.44% 4.95% 6.68%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $35,578 $36,793 $43,723 $41,569 $31,797 $24,537
Ratio of Total Expenses to Average Net Assets 0.04% 0.04%2 0.04%2 0.04% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 3.55% 2.78% 1.67% 1.73% 2.62% 2.92%
Portfolio Turnover Rate3 30% 63% 50% 42% 56% 51%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%.
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.
  
Admiral Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $20.57 $20.70 $22.49 $22.55 $22.06 $21.28
Investment Operations            
Net Investment Income1 .363 .566 .351 .385 .578 .625
Net Realized and Unrealized Gain (Loss) on Investments .342 (.126) (1.741) (.063) .485 .777
Total from Investment Operations .705 .440 (1.390) .322 1.063 1.402
Distributions            
Dividends from Net Investment Income (.365) (.570) (.350) (.382) (.573) (.622)
Distributions from Realized Capital Gains (.050)
Total Distributions (.365) (.570) (.400) (.382) (.573) (.622)
Net Asset Value, End of Period $20.91 $20.57 $20.70 $22.49 $22.55 $22.06
Total Return2 3.46% 2.17% -6.24% 1.44% 4.90% 6.70%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $4,019 $4,060 $4,647 $5,435 $4,703 $4,312
Ratio of Total Expenses to Average Net Assets 0.07% 0.07%3 0.07%3 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 3.52% 2.75% 1.63% 1.71% 2.61% 2.90%
Portfolio Turnover Rate4 30% 63% 50% 42% 56% 51%
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 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%.
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.
28

 

Short-Term Corporate Bond Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $25.19 $25.34 $27.53 $27.61 $27.00 $26.06
Investment Operations            
Net Investment Income1 .446 .702 .436 .473 .713 .768
Net Realized and Unrealized Gain (Loss) on Investments .414 (.149) (2.131) (.080) .604 .939
Total from Investment Operations .860 .553 (1.695) .393 1.317 1.707
Distributions            
Dividends from Net Investment Income (.450) (.703) (.434) (.473) (.707) (.767)
Distributions from Realized Capital Gains (.061)
Total Distributions (.450) (.703) (.495) (.473) (.707) (.767)
Net Asset Value, End of Period $25.60 $25.19 $25.34 $27.53 $27.61 $27.00
Total Return 3.44% 2.22% -6.21% 1.44% 4.96% 6.66%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $2,467 $2,444 $2,239 $2,258 $1,661 $1,633
Ratio of Total Expenses to Average Net Assets 0.05% 0.05%2 0.05%2 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 3.54% 2.79% 1.65% 1.72% 2.63% 2.92%
Portfolio Turnover Rate3 30% 63% 50% 42% 56% 51%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%.
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

 

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.
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 other 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 valuation designee to represent fair value and subject to oversight by the board of trustees.
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 29, 2024, 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 invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into centrally cleared credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. 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. To further mitigate counterparty risk, the fund trades with a diverse group of prequalified executing
30

 

Short-Term Corporate Bond Index Fund
brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. 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 the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
During the six months ended February 29, 2024, the fund's average amounts of investments in credit protection sold and credit protection purchased represented 0% and less than 1% of net assets, respectively, 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 virtually 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.
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. 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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
31

 

Short-Term Corporate Bond Index Fund
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 29, 2024, 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 29, 2024, the fund had contributed to Vanguard capital in the amount of $1,343,000, representing less than 0.01% of the fund’s net assets and 0.54% 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.
32

 

Short-Term Corporate Bond Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of February 29, 2024, 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 463,111 463,111
Corporate Bonds 41,077,762 41,077,762
Temporary Cash Investments 381,417 381,417
Total 381,417 41,540,873 41,922,290
Derivative Financial Instruments        
Liabilities        
Futures Contracts1 48 48
Swap Contracts 2591 259
Total 307 307
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.  At February 29, 2024, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
Statement of Assets and Liabilities Interest
Rate
Contracts
($000)
Credit
Contracts
($000)
Total
($000)
       
Unrealized Depreciation—Futures Contracts1 48 48
Unrealized Depreciation—Centrally Cleared Swap Contracts1 259 259
Total Liabilities 48 259 307
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.
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended February 29, 2024, were:
Realized Net Gain (Loss) on Derivatives Interest
Rate
Contracts
($000)
Credit
Contracts
($000)
Total
($000)
Futures Contracts (589) (589)
Swap Contracts (283) (283)
Realized Net Gain (Loss) on Derivatives (589) (283) (872)
 
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts (227) (227)
Swap Contracts 261 261
Change in Unrealized Appreciation (Depreciation) on Derivatives (227) 261 34
E.  As of February 29, 2024, 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 43,087,631
Gross Unrealized Appreciation 122,320
Gross Unrealized Depreciation (1,287,968)
Net Unrealized Appreciation (Depreciation) (1,165,648)
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, 2023, the fund had available capital losses totaling $796,238,000 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, 2024;
33

 

Short-Term Corporate Bond Index Fund
should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F.  During the six months ended February 29, 2024, the fund purchased $5,679,091,000 of investment securities and sold $5,986,134,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $6,847,804,000 and $6,569,116,000, respectively. In addition, the fund purchased and sold investment securities of $5,946,578,000 and $7,702,721,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G.  Capital share transactions for each class of shares were:
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 6,119,8681 79,9511   12,515,077 165,960
Issued in Lieu of Cash Distributions  
Redeemed (7,866,811)1 (103,600)1   (19,163,121) (254,500)
Net Increase (Decrease)—ETF Shares (1,746,943) (23,649)   (6,648,044) (88,540)
Admiral Shares          
Issued 506,382 24,360   1,301,379 63,432
Issued in Lieu of Cash Distributions 57,405 2,768   96,193 4,684
Redeemed (668,468) (32,250)   (1,953,218) (95,281)
Net Increase (Decrease)—Admiral Shares (104,681) (5,122)   (555,646) (27,165)
Institutional Shares          
Issued 377,828 14,847   811,976 32,436
Issued in Lieu of Cash Distributions 41,403 1,631   64,112 2,550
Redeemed (431,862) (17,141)   (659,638) (26,302)
Net Increase (Decrease)—Institutional Shares (12,631) (663)   216,450 8,684
1 Includes unsettled in-kind transactions as of February 29, 2024 for 1,700,000 issued shares and 3,600,000 redeemed shares valued at $275,562,000 and $126,985,000, respectively, which settled shortly afterwards. 
H.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, acts of terrorism, or other events, can adversely affect local and global ‎markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I.  Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
34

 

Intermediate-Term Corporate Bond Index Fund
Fund Allocation
As of February 29, 2024
Corporate Bonds – Communications 7.6%
Corporate Bonds – Consumer Discretionary 6.7
Corporate Bonds – Consumer Staples 6.9
Corporate Bonds – Energy 6.5
Corporate Bonds – Financials 31.6
Corporate Bonds – Health Care 9.3
Corporate Bonds – Industrials 6.0
Corporate Bonds – Materials 3.1
Corporate Bonds – Real Estate 5.8
Corporate Bonds – Technology 8.1
Corporate Bonds – Utilities 8.4
U.S. Government and Agency Obligations 0.0
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.
35

 

Intermediate-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (0.0%)
U.S. Government Securities (0.0%)
  United States Treasury Note/Bond
(Cost $5,830)
4.000% 2/15/34   5,971      5,854
Corporate Bonds (98.6%)
Communications (7.5%)
  Alphabet Inc. 1.100% 8/15/30  53,912     43,615
  America Movil SAB de CV 3.625% 4/22/29  21,592     20,057
  America Movil SAB de CV 2.875% 5/7/30  27,248     23,878
  America Movil SAB de CV 4.700% 7/21/32  22,055     21,156
  AT&T Inc. 4.350% 3/1/29  75,338     72,772
1 AT&T Inc. 4.300% 2/15/30  94,104     89,811
  AT&T Inc. 2.750% 6/1/31  72,281     61,549
  AT&T Inc. 2.250% 2/1/32  69,129     55,439
  AT&T Inc. 2.550% 12/1/33  72,146     56,890
  AT&T Inc. 5.400% 2/15/34  79,811     79,917
  Baidu Inc. 3.425% 4/7/30   8,653      7,837
  Baidu Inc. 2.375% 10/9/30   5,766      4,852
  Baidu Inc. 2.375% 8/23/31  21,413     17,663
  Bell Telephone Co. of Canada or Bell Canada 5.100% 5/11/33  26,176     25,899
  Bell Telephone Co. of Canada or Bell Canada 5.200% 2/15/34   2,935      2,896
  Booking Holdings Inc. 4.625% 4/13/30  49,048     48,199
  British Telecommunications plc 9.625% 12/15/30  74,084     90,601
  Charter Communications Operating LLC 5.050% 3/30/29  34,146     32,665
  Charter Communications Operating LLC 2.800% 4/1/31  43,092     34,765
  Charter Communications Operating LLC 2.300% 2/1/32  23,959     18,200
  Charter Communications Operating LLC 4.400% 4/1/33  26,356     23,018
  Charter Communications Operating LLC 6.650% 2/1/34  21,500     21,540
  Comcast Corp. 2.650% 2/1/30  33,203     29,222
  Comcast Corp. 3.400% 4/1/30  41,666     38,132
  Comcast Corp. 4.250% 10/15/30  39,893     38,125
  Comcast Corp. 1.950% 1/15/31  37,946     31,161
  Comcast Corp. 1.500% 2/15/31  49,460     39,410
  Comcast Corp. 5.500% 11/15/32  25,150     25,779
  Comcast Corp. 4.250% 1/15/33  43,277     40,536
  Comcast Corp. 4.650% 2/15/33  27,894     27,082
  Comcast Corp. 7.050% 3/15/33  15,409     17,320
  Comcast Corp. 4.800% 5/15/33  30,499     29,801
  Deutsche Telekom International Finance BV 8.750% 6/15/30  92,086    108,594
  Deutsche Telekom International Finance BV 9.250% 6/1/32  10,716     13,523
  Discovery Communications LLC 4.125% 5/15/29  22,427     20,725
  Discovery Communications LLC 3.625% 5/15/30  25,024     21,992
  Electronic Arts Inc. 1.850% 2/15/31  20,276     16,503
  Expedia Group Inc. 3.250% 2/15/30  27,152     24,195
  Expedia Group Inc. 2.950% 3/15/31  22,357     19,139
  FactSet Research Systems Inc. 3.450% 3/1/32  13,708     11,917
  Fox Corp. 3.500% 4/8/30  19,270     17,337
  Fox Corp. 6.500% 10/13/33  34,384     36,110
  Grupo Televisa SAB 8.500% 3/11/32   6,269      7,211
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Interpublic Group of Cos. Inc. 4.750% 3/30/30  22,950     22,320
  Interpublic Group of Cos. Inc. 2.400% 3/1/31   7,075      5,893
  Koninklijke KPN NV 8.375% 10/1/30  15,855     18,481
  Meta Platforms Inc. 4.800% 5/15/30  40,531     40,521
  Meta Platforms Inc. 3.850% 8/15/32  75,494     69,926
  Meta Platforms Inc. 4.950% 5/15/33  37,198     37,225
  Netflix Inc. 6.375% 5/15/29  23,147     24,600
  Omnicom Group Inc. 2.450% 4/30/30  14,818     12,672
  Omnicom Group Inc. 4.200% 6/1/30  15,268     14,444
  Omnicom Group Inc. 2.600% 8/1/31  16,982     14,255
  Orange SA 9.000% 3/1/31  67,617     81,710
  Paramount Global 4.200% 6/1/29  14,471     12,743
  Paramount Global 7.875% 7/30/30  25,440     25,972
  Paramount Global 4.950% 1/15/31  28,236     24,725
  Paramount Global 4.200% 5/19/32  25,191     20,530
  Paramount Global 5.500% 5/15/33  11,262      9,750
  Rogers Communications Inc. 3.800% 3/15/32  51,867     46,078
  Rogers Communications Inc. 5.300% 2/15/34  20,000     19,634
  Sprint Capital Corp. 8.750% 3/15/32  52,906     63,932
  Take-Two Interactive Software Inc. 4.000% 4/14/32  15,253     13,984
  Telefonica Europe BV 8.250% 9/15/30  26,764     30,378
  TELUS Corp. 3.400% 5/13/32  23,750     20,606
  Tencent Music Entertainment Group 2.000% 9/3/30  13,226     10,766
  Time Warner Cable Enterprises LLC 8.375% 7/15/33  26,697     29,607
  T-Mobile USA Inc. 2.400% 3/15/29  18,776     16,517
  T-Mobile USA Inc. 3.375% 4/15/29  45,145     41,465
  T-Mobile USA Inc. 3.875% 4/15/30 166,321    154,438
  T-Mobile USA Inc. 2.550% 2/15/31  64,771     54,579
  T-Mobile USA Inc. 2.875% 2/15/31  50,175     43,162
  T-Mobile USA Inc. 3.500% 4/15/31  71,264     63,771
  T-Mobile USA Inc. 2.250% 11/15/31  28,258     22,927
  T-Mobile USA Inc. 2.700% 3/15/32  38,438     31,944
  T-Mobile USA Inc. 5.200% 1/15/33  22,801     22,655
  T-Mobile USA Inc. 5.050% 7/15/33  83,735     81,910
1 TWDC Enterprises 18 Corp. 7.000% 3/1/32   9,980     11,291
  VeriSign Inc. 2.700% 6/15/31  20,300     16,874
  Verizon Communications Inc. 4.016% 12/3/29 110,528    104,910
  Verizon Communications Inc. 3.150% 3/22/30  38,877     34,803
  Verizon Communications Inc. 1.500% 9/18/30  15,123     12,133
  Verizon Communications Inc. 1.680% 10/30/30  31,193     25,101
  Verizon Communications Inc. 7.750% 12/1/30  17,189     19,610
  Verizon Communications Inc. 1.750% 1/20/31  61,127     49,020
  Verizon Communications Inc. 2.550% 3/21/31 107,861     90,870
  Verizon Communications Inc. 2.355% 3/15/32 111,035     89,932
  Verizon Communications Inc. 5.050% 5/9/33  35,540     35,185
  Verizon Communications Inc. 4.500% 8/10/33  65,790     61,996
  Vodafone Group plc 7.875% 2/15/30  18,089     20,510
  Vodafone Group plc 6.250% 11/30/32   9,774     10,376
  Walt Disney Co. 2.000% 9/1/29  51,649     44,526
  Walt Disney Co. 3.800% 3/22/30  35,364     33,367
  Walt Disney Co. 2.650% 1/13/31  63,050     54,772
  Walt Disney Co. 6.550% 3/15/33   7,098      7,915
  Warnermedia Holdings Inc. 4.054% 3/15/29  35,426     32,740
  Warnermedia Holdings Inc. 4.279% 3/15/32 128,711    113,593
  Weibo Corp. 3.375% 7/8/30  20,536     17,623
  WPP Finance 2010 3.750% 9/19/24       1          1
                             3,558,301
36

 

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

($000)
Consumer Discretionary (6.6%)
  Alibaba Group Holding Ltd. 2.125% 2/9/31  43,993     36,390
  Amazon.com Inc. 3.450% 4/13/29  27,493     26,041
  Amazon.com Inc. 4.650% 12/1/29  37,188     37,208
  Amazon.com Inc. 1.500% 6/3/30  61,785     51,085
  Amazon.com Inc. 2.100% 5/12/31  96,693     81,142
  Amazon.com Inc. 3.600% 4/13/32  57,109     52,645
  Amazon.com Inc. 4.700% 12/1/32  45,869     45,652
1 American Honda Finance Corp. 2.250% 1/12/29   5,391      4,787
  American Honda Finance Corp. 4.600% 4/17/30  15,471     15,152
1 American Honda Finance Corp. 4.900% 1/10/34  35,263     34,395
  Aptiv plc 4.350% 3/15/29   7,421      7,171
  Aptiv plc 3.250% 3/1/32  22,512     19,412
  AutoNation Inc. 4.750% 6/1/30  12,707     12,081
  AutoNation Inc. 2.400% 8/1/31  11,914      9,433
  AutoNation Inc. 3.850% 3/1/32  18,548     16,187
  AutoZone Inc. 3.750% 4/18/29  20,700     19,432
  AutoZone Inc. 4.000% 4/15/30  20,412     19,187
  AutoZone Inc. 1.650% 1/15/31  23,960     19,060
  AutoZone Inc. 4.750% 8/1/32  17,719     17,026
  AutoZone Inc. 4.750% 2/1/33  12,147     11,635
  AutoZone Inc. 5.200% 8/1/33   4,963      4,918
  AutoZone Inc. 6.550% 11/1/33  11,774     12,708
  Best Buy Co. Inc. 4.450% 10/1/28   6,353      6,222
  Best Buy Co. Inc. 1.950% 10/1/30  17,800     14,619
  Block Financial LLC 3.875% 8/15/30  17,236     15,539
  BorgWarner Inc. 3.375% 3/15/25       1          1
  BorgWarner Inc. 2.650% 7/1/27       1         —
  Brunswick Corp. 2.400% 8/18/31  14,747     11,604
  Brunswick Corp. 4.400% 9/15/32  11,606     10,352
  Choice Hotels International Inc. 3.700% 12/1/29  11,056      9,690
  Choice Hotels International Inc. 3.700% 1/15/31   6,457      5,548
  Darden Restaurants Inc. 6.300% 10/10/33  13,378     13,960
  Dick's Sporting Goods Inc. 3.150% 1/15/32  21,332     17,872
  eBay Inc. 2.700% 3/11/30  27,197     23,763
  eBay Inc. 2.600% 5/10/31  17,074     14,472
  eBay Inc. 6.300% 11/22/32  12,183     12,920
1 Emory University 2.143% 9/1/30  10,745      9,162
  Ford Motor Co. 9.625% 4/22/30  15,528     18,154
  Ford Motor Co. 7.450% 7/16/31  26,990     29,071
  Ford Motor Co. 3.250% 2/12/32  71,824     58,960
  Ford Motor Co. 6.100% 8/19/32  52,598     52,453
  Ford Motor Credit Co. LLC 5.113% 5/3/29  31,120     29,994
  Ford Motor Credit Co. LLC 7.350% 3/6/30  37,449     39,654
  Ford Motor Credit Co. LLC 7.200% 6/10/30  22,577     23,814
  Ford Motor Credit Co. LLC 4.000% 11/13/30  35,983     31,808
  Ford Motor Credit Co. LLC 6.050% 3/5/31  28,011     27,885
  Ford Motor Credit Co. LLC 3.625% 6/17/31  12,382     10,553
  Ford Motor Credit Co. LLC 7.122% 11/7/33  36,254     38,678
  Fortune Brands Innovations Inc. 3.250% 9/15/29  19,767     17,858
  Fortune Brands Innovations Inc. 4.000% 3/25/32   7,465      6,770
  Fortune Brands Innovations Inc. 5.875% 6/1/33  17,780     18,060
  General Motors Co. 5.400% 10/15/29  31,115     31,013
  General Motors Co. 5.600% 10/15/32  37,504     37,395
  General Motors Financial Co. Inc. 4.300% 4/6/29  34,431     32,655
  General Motors Financial Co. Inc. 5.850% 4/6/30  30,871     31,306
  General Motors Financial Co. Inc. 3.600% 6/21/30  29,236     26,220
  General Motors Financial Co. Inc. 2.350% 1/8/31  11,472      9,349
  General Motors Financial Co. Inc. 5.750% 2/8/31  18,000     17,948
  General Motors Financial Co. Inc. 2.700% 6/10/31  34,789     28,625
  General Motors Financial Co. Inc. 3.100% 1/12/32  36,228     30,257
  General Motors Financial Co. Inc. 6.400% 1/9/33  13,039     13,540
  General Motors Financial Co. Inc. 6.100% 1/7/34  39,955     40,360
  Genuine Parts Co. 1.875% 11/1/30  12,487     10,021
  Genuine Parts Co. 2.750% 2/1/32  10,327      8,487
  Genuine Parts Co. 6.875% 11/1/33   9,870     10,781
  GXO Logistics Inc. 2.650% 7/15/31   6,870      5,580
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Hasbro Inc. 3.900% 11/19/29  26,914     24,696
  Home Depot Inc. 4.900% 4/15/29  17,105     17,166
  Home Depot Inc. 2.950% 6/15/29  37,167     33,925
  Home Depot Inc. 2.700% 4/15/30  41,230     36,473
  Home Depot Inc. 1.375% 3/15/31  46,145     36,506
  Home Depot Inc. 1.875% 9/15/31  44,625     36,156
  Home Depot Inc. 3.250% 4/15/32  47,059     41,736
  Home Depot Inc. 4.500% 9/15/32  21,650     21,159
  Honda Motor Co. Ltd. 2.967% 3/10/32  17,931     15,744
  Hyatt Hotels Corp. 5.750% 4/23/30   9,667      9,851
  JD.com Inc. 3.375% 1/14/30  16,628     15,002
1 Johns Hopkins University 4.705% 7/1/32   7,945      7,990
  Lear Corp. 4.250% 5/15/29  11,709     11,142
  Lear Corp. 3.500% 5/30/30   9,171      8,196
  Lear Corp. 2.600% 1/15/32   3,838      3,124
  Leggett & Platt Inc. 4.400% 3/15/29  17,270     16,362
  Lowe's Cos. Inc. 3.650% 4/5/29  37,968     35,798
  Lowe's Cos. Inc. 4.500% 4/15/30  39,536     38,409
  Lowe's Cos. Inc. 1.700% 10/15/30  30,381     24,633
  Lowe's Cos. Inc. 2.625% 4/1/31  39,310     33,521
  Lowe's Cos. Inc. 3.750% 4/1/32  36,478     33,104
  Lowe's Cos. Inc. 5.000% 4/15/33  20,595     20,296
  Lowe's Cos. Inc. 5.150% 7/1/33  38,406     38,222
  Magna International Inc. 2.450% 6/15/30  19,051     16,386
  Magna International Inc. 5.500% 3/21/33  13,545     13,875
  Marriott International Inc. 4.900% 4/15/29  17,276     17,065
1 Marriott International Inc. 4.625% 6/15/30  22,140     21,424
1 Marriott International Inc. 2.850% 4/15/31  40,620     34,670
1 Marriott International Inc. 3.500% 10/15/32  37,940     33,092
1 Marriott International Inc. 2.750% 10/15/33   9,718      7,823
  Marriott International Inc. 5.300% 5/15/34   9,800      9,646
  Masco Corp. 2.000% 10/1/30   7,904      6,431
  Masco Corp. 2.000% 2/15/31  16,206     13,160
1 McDonald's Corp. 2.625% 9/1/29  25,613     22,911
1 McDonald's Corp. 2.125% 3/1/30  12,366     10,581
1 McDonald's Corp. 3.600% 7/1/30  28,773     26,645
1 McDonald's Corp. 4.600% 9/9/32  12,879     12,574
  McDonald's Corp. 4.950% 8/14/33  18,500     18,331
  MDC Holdings Inc. 3.850% 1/15/30   3,940      3,634
  MDC Holdings Inc. 2.500% 1/15/31  14,561     12,304
2 Mercedes-Benz Finance North America LLC 3.100% 8/15/29      37         34
  Mercedes-Benz Finance North America LLC 8.500% 1/18/31  42,263     51,281
2 Mercedes-Benz Finance North America LLC 2.450% 3/2/31     120        102
  Mohawk Industries Inc. 3.625% 5/15/30  12,251     11,148
  NIKE Inc. 2.850% 3/27/30  34,572     31,076
  NVR Inc. 3.000% 5/15/30  25,409     22,394
  O'Reilly Automotive Inc. 3.900% 6/1/29  13,383     12,694
  O'Reilly Automotive Inc. 4.200% 4/1/30  12,916     12,260
  O'Reilly Automotive Inc. 1.750% 3/15/31   4,465      3,579
  O'Reilly Automotive Inc. 4.700% 6/15/32  26,417     25,546
  Owens Corning 3.950% 8/15/29  13,557     12,789
  Owens Corning 3.875% 6/1/30   8,275      7,628
  Polaris Inc. 6.950% 3/15/29  10,000     10,544
  PulteGroup Inc. 7.875% 6/15/32   8,067      9,330
  PulteGroup Inc. 6.375% 5/15/33   8,775      9,278
  Ralph Lauren Corp. 2.950% 6/15/30  19,851     17,650
  Ross Stores Inc. 1.875% 4/15/31  12,983     10,545
  Sands China Ltd. 3.100% 3/8/29  17,395     14,984
  Sands China Ltd. 4.625% 6/18/30  16,365     14,886
  Sands China Ltd. 3.250% 8/8/31  15,195     12,605
  Stanley Black & Decker Inc. 2.300% 3/15/30  12,895     10,825
  Stanley Black & Decker Inc. 3.000% 5/15/32  10,191      8,606
  Starbucks Corp. 3.550% 8/15/29  26,665     24,997
  Starbucks Corp. 2.250% 3/12/30  23,897     20,436
 
37

 

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

($000)
  Starbucks Corp. 2.550% 11/15/30  44,409     38,122
  Starbucks Corp. 4.900% 2/15/31  10,000      9,880
  Starbucks Corp. 3.000% 2/14/32  27,959     24,223
  Starbucks Corp. 4.800% 2/15/33   9,922      9,783
  Starbucks Corp. 5.000% 2/15/34  10,000      9,841
  Tapestry Inc. 7.700% 11/27/30  21,380     22,713
1 Tapestry Inc. 3.050% 3/15/32  12,476     10,113
  Tapestry Inc. 7.850% 11/27/33  33,114     35,828
  TJX Cos. Inc. 3.875% 4/15/30   8,913      8,451
  TJX Cos. Inc. 1.600% 5/15/31   8,230      6,633
  Toll Brothers Finance Corp. 3.800% 11/1/29  10,782      9,912
  Toyota Motor Corp. 2.760% 7/2/29  14,342     13,208
  Toyota Motor Corp. 2.362% 3/25/31  12,471     10,745
  Toyota Motor Corp. 5.123% 7/13/33   3,643      3,818
  Toyota Motor Credit Corp. 3.650% 1/8/29      25         24
1 Toyota Motor Credit Corp. 4.450% 6/29/29  21,629     21,237
1 Toyota Motor Credit Corp. 2.150% 2/13/30  20,278     17,421
1 Toyota Motor Credit Corp. 3.375% 4/1/30  27,382     25,168
  Toyota Motor Credit Corp. 4.550% 5/17/30  24,197     23,692
  Toyota Motor Credit Corp. 5.550% 11/20/30  27,149     28,024
1 Toyota Motor Credit Corp. 1.650% 1/10/31  14,771     11,985
  Toyota Motor Credit Corp. 1.900% 9/12/31  13,386     10,876
1 Toyota Motor Credit Corp. 2.400% 1/13/32   4,953      4,143
  Toyota Motor Credit Corp. 4.700% 1/12/33  13,035     12,854
1 Toyota Motor Credit Corp. 4.800% 1/5/34  22,930     22,350
  Tractor Supply Co. 1.750% 11/1/30  17,688     14,242
  Tractor Supply Co. 5.250% 5/15/33  20,243     20,117
  VF Corp. 2.950% 4/23/30  20,498     16,909
  Whirlpool Corp. 4.750% 2/26/29     470        459
  Whirlpool Corp. 2.400% 5/15/31   3,507      2,876
  Whirlpool Corp. 4.700% 5/14/32   6,859      6,484
  Whirlpool Corp. 5.500% 3/1/33   9,540      9,459
  Whirlpool Corp. 5.750% 3/1/34   7,875      7,832
1 Yale University 1.482% 4/15/30  13,007     10,859
                             3,130,981
Consumer Staples (6.8%)
  Ahold Finance USA LLC 6.875% 5/1/29   7,108      7,711
  Altria Group Inc. 3.400% 5/6/30  13,079     11,771
  Altria Group Inc. 2.450% 2/4/32  51,183     40,970
  Altria Group Inc. 6.875% 11/1/33  12,145     13,079
  Anheuser-Busch InBev Worldwide Inc. 4.750% 1/23/29  23,208     23,051
  Anheuser-Busch InBev Worldwide Inc. 3.500% 6/1/30  46,378     42,858
  Anheuser-Busch InBev Worldwide Inc. 4.900% 1/23/31  15,932     16,015
  Archer-Daniels-Midland Co. 3.250% 3/27/30  21,729     19,658
  Archer-Daniels-Midland Co. 2.900% 3/1/32  22,613     19,270
  Archer-Daniels-Midland Co. 5.935% 10/1/32   4,280      4,527
  Archer-Daniels-Midland Co. 4.500% 8/15/33   2,848      2,714
  Avery Dennison Corp. 4.875% 12/6/28   6,374      6,310
  Avery Dennison Corp. 2.650% 4/30/30  14,452     12,571
  Avery Dennison Corp. 2.250% 2/15/32   6,615      5,371
  Avery Dennison Corp. 5.750% 3/15/33  10,566     10,936
  BAT Capital Corp. 3.462% 9/6/29  12,450     11,265
  BAT Capital Corp. 4.906% 4/2/30  29,249     28,413
  BAT Capital Corp. 6.343% 8/2/30  32,442     33,483
  BAT Capital Corp. 5.834% 2/20/31  11,000     10,960
  BAT Capital Corp. 2.726% 3/25/31  35,665     29,403
  BAT Capital Corp. 4.742% 3/16/32  31,811     29,919
  BAT Capital Corp. 7.750% 10/19/32  17,351     19,347
  BAT Capital Corp. 6.421% 8/2/33  30,756     31,568
  BAT Capital Corp. 6.000% 2/20/34  11,003     10,896
  BAT International Finance plc 5.931% 2/2/29   9,735      9,937
  Brown-Forman Corp. 4.750% 4/15/33  18,585     18,322
  Bunge Ltd. Finance Corp. 2.750% 5/14/31  27,022     22,990
  Campbell Soup Co. 2.375% 4/24/30  24,138     20,495
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Church & Dwight Co. Inc. 2.300% 12/15/31   4,215      3,478
  Church & Dwight Co. Inc. 5.600% 11/15/32  18,065     18,732
  Clorox Co. 4.400% 5/1/29  13,464     13,122
  Clorox Co. 1.800% 5/15/30  13,192     10,898
  Clorox Co. 4.600% 5/1/32  16,263     15,779
  Coca-Cola Co. 2.125% 9/6/29  21,956     19,318
  Coca-Cola Co. 3.450% 3/25/30  28,718     26,788
  Coca-Cola Co. 1.650% 6/1/30  29,685     24,793
  Coca-Cola Co. 2.000% 3/5/31  29,459     24,642
  Coca-Cola Co. 1.375% 3/15/31  47,107     37,709
  Coca-Cola Co. 2.250% 1/5/32  45,617     38,410
  Coca-Cola Femsa SAB de CV 2.750% 1/22/30  28,341     25,061
  Coca-Cola Femsa SAB de CV 1.850% 9/1/32  18,739     14,586
  Colgate-Palmolive Co. 3.250% 8/15/32  10,915      9,782
  Colgate-Palmolive Co. 4.600% 3/1/33  11,906     11,817
  Conagra Brands Inc. 8.250% 9/15/30   6,569      7,543
  Constellation Brands Inc. 3.150% 8/1/29  24,317     22,061
  Constellation Brands Inc. 2.875% 5/1/30  16,474     14,465
  Constellation Brands Inc. 2.250% 8/1/31  34,619     28,234
  Constellation Brands Inc. 4.750% 5/9/32  15,919     15,378
  Constellation Brands Inc. 4.900% 5/1/33  21,161     20,542
  Costco Wholesale Corp. 1.600% 4/20/30  50,269     41,861
  Costco Wholesale Corp. 1.750% 4/20/32  34,282     27,410
  Diageo Capital plc 2.375% 10/24/29  31,417     27,583
  Diageo Capital plc 2.000% 4/29/30  34,243     28,857
  Diageo Capital plc 2.125% 4/29/32  27,801     22,464
  Diageo Capital plc 5.500% 1/24/33  24,411     25,064
  Diageo Capital plc 5.625% 10/5/33  22,326     23,176
  Dollar General Corp. 3.500% 4/3/30  38,548     34,859
  Dollar General Corp. 5.000% 11/1/32  17,436     16,930
  Dollar General Corp. 5.450% 7/5/33  24,396     24,209
  Dollar Tree Inc. 2.650% 12/1/31  21,695     18,061
  Estee Lauder Cos. Inc. 2.375% 12/1/29  11,367      9,932
  Estee Lauder Cos. Inc. 2.600% 4/15/30  21,641     18,937
  Estee Lauder Cos. Inc. 1.950% 3/15/31  21,174     17,358
  Estee Lauder Cos. Inc. 4.650% 5/15/33  13,534     13,128
  Flowers Foods Inc. 2.400% 3/15/31  12,123     10,127
  General Mills Inc. 2.875% 4/15/30  16,878     14,902
  General Mills Inc. 2.250% 10/14/31  19,585     16,051
  General Mills Inc. 4.950% 3/29/33  30,942     30,372
  Haleon US Capital LLC 3.375% 3/24/29  26,953     24,901
  Haleon US Capital LLC 3.625% 3/24/32  50,524     45,235
  Hershey Co. 1.700% 6/1/30   9,400      7,844
  Hershey Co. 4.500% 5/4/33  14,297     13,988
  Hormel Foods Corp. 1.800% 6/11/30  26,620     22,091
  Ingredion Inc. 2.900% 6/1/30  14,121     12,408
  J M Smucker Co. 2.375% 3/15/30   4,110      3,525
  J M Smucker Co. 2.125% 3/15/32   9,965      7,952
  J M Smucker Co. 6.200% 11/15/33  34,166     36,143
  JBS USA LUX SA 5.500% 1/15/30  34,537     33,642
  JBS USA LUX SA 3.750% 12/1/31  20,427     17,359
  JBS USA LUX SA 3.625% 1/15/32  25,227     21,213
  JBS USA LUX SA 3.000% 5/15/32  18,395     14,724
  JBS USA LUX SA 5.750% 4/1/33  46,627     45,207
  Kellanova 2.100% 6/1/30  13,262     11,160
1 Kellanova 7.450% 4/1/31  10,844     12,132
  Kellanova 5.250% 3/1/33  10,732     10,653
  Kenvue Inc. 5.000% 3/22/30  28,922     28,981
  Kenvue Inc. 4.900% 3/22/33  32,108     31,746
  Keurig Dr Pepper Inc. 3.950% 4/15/29  26,331     25,067
  Keurig Dr Pepper Inc. 3.200% 5/1/30  18,145     16,362
  Keurig Dr Pepper Inc. 2.250% 3/15/31  18,688     15,517
  Keurig Dr Pepper Inc. 4.050% 4/15/32  28,282     26,233
  Kimberly-Clark Corp. 3.950% 11/1/28     290        281
  Kimberly-Clark Corp. 3.200% 4/25/29  15,875     14,730
  Kimberly-Clark Corp. 3.100% 3/26/30  23,796     21,646
  Kimberly-Clark Corp. 2.000% 11/2/31  16,760     13,773
 
38

 

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

($000)
  Kraft Heinz Foods Co. 3.750% 4/1/30  25,335     23,619
  Kraft Heinz Foods Co. 4.250% 3/1/31  20,583     19,546
  Kraft Heinz Foods Co. 6.750% 3/15/32   6,888      7,577
1 Kroger Co. 7.700% 6/1/29   1,805      2,005
  Kroger Co. 2.200% 5/1/30  14,476     12,172
  Kroger Co. 1.700% 1/15/31  15,205     12,117
  Kroger Co. 7.500% 4/1/31  14,440     16,290
  McCormick & Co. Inc. 2.500% 4/15/30   7,297      6,245
  McCormick & Co. Inc. 1.850% 2/15/31   8,499      6,832
  McCormick & Co. Inc. 4.950% 4/15/33  12,156     11,864
  Mondelez International Inc. 2.750% 4/13/30  16,197     14,304
  Mondelez International Inc. 1.500% 2/4/31  12,841     10,206
  Mondelez International Inc. 3.000% 3/17/32  23,614     20,355
  Mondelez International Inc. 1.875% 10/15/32  13,477     10,606
  PepsiCo Inc. 7.000% 3/1/29  15,355     16,925
  PepsiCo Inc. 2.625% 7/29/29  38,007     34,239
  PepsiCo Inc. 2.750% 3/19/30  48,510     43,275
  PepsiCo Inc. 1.625% 5/1/30  40,271     33,476
  PepsiCo Inc. 1.400% 2/25/31  26,029     20,809
  PepsiCo Inc. 1.950% 10/21/31  32,043     26,230
  PepsiCo Inc. 3.900% 7/18/32  33,208     31,171
  Philip Morris International Inc. 3.375% 8/15/29  31,697     29,100
  Philip Morris International Inc. 5.625% 11/17/29  38,402     39,324
  Philip Morris International Inc. 5.125% 2/15/30  48,178     47,944
  Philip Morris International Inc. 2.100% 5/1/30  23,438     19,751
  Philip Morris International Inc. 5.500% 9/7/30   9,901      9,989
  Philip Morris International Inc. 1.750% 11/1/30  19,130     15,453
  Philip Morris International Inc. 5.125% 2/13/31  16,000     15,743
  Philip Morris International Inc. 5.750% 11/17/32  39,470     40,230
  Philip Morris International Inc. 5.375% 2/15/33  69,951     69,670
  Philip Morris International Inc. 5.625% 9/7/33  18,416     18,586
  Philip Morris International Inc. 5.250% 2/13/34  33,548     32,778
  Pilgrim's Pride Corp. 4.250% 4/15/31  27,034     24,153
  Pilgrim's Pride Corp. 3.500% 3/1/32  26,123     21,831
  Pilgrim's Pride Corp. 6.250% 7/1/33  23,846     24,139
  Procter & Gamble Co. 3.000% 3/25/30  34,243     31,334
  Procter & Gamble Co. 1.200% 10/29/30  40,275     32,389
  Procter & Gamble Co. 1.950% 4/23/31  19,133     16,094
  Procter & Gamble Co. 2.300% 2/1/32  10,364      8,839
  Procter & Gamble Co. 4.050% 1/26/33  17,136     16,506
  Procter & Gamble Co. 4.550% 1/29/34  19,090     18,838
  Sysco Corp. 2.400% 2/15/30  13,238     11,396
  Sysco Corp. 5.950% 4/1/30  33,484     34,806
  Sysco Corp. 2.450% 12/14/31   4,581      3,795
  Sysco Corp. 6.000% 1/17/34   9,496      9,985
  Target Corp. 3.375% 4/15/29  20,455     19,171
  Target Corp. 2.350% 2/15/30  15,294     13,341
  Target Corp. 2.650% 9/15/30   7,573      6,642
  Target Corp. 4.500% 9/15/32  26,848     25,983
  Target Corp. 4.400% 1/15/33   5,640      5,443
  Tyson Foods Inc. 4.350% 3/1/29  20,091     19,332
  Unilever Capital Corp. 2.125% 9/6/29  18,954     16,511
  Unilever Capital Corp. 1.375% 9/14/30   6,877      5,557
  Unilever Capital Corp. 1.750% 8/12/31  16,676     13,411
  Unilever Capital Corp. 5.900% 11/15/32  21,940     23,345
  Unilever Capital Corp. 5.000% 12/8/33  30,905     30,957
  Walmart Inc. 3.250% 7/8/29  27,679     26,039
  Walmart Inc. 2.375% 9/24/29   9,560      8,530
  Walmart Inc. 7.550% 2/15/30   8,717     10,084
  Walmart Inc. 4.000% 4/15/30   9,890      9,583
  Walmart Inc. 1.800% 9/22/31  50,215     41,155
  Walmart Inc. 4.150% 9/9/32  30,559     29,487
  Walmart Inc. 4.100% 4/15/33  44,368     42,257
                             3,192,106
Energy (6.4%)
  Apache Corp. 4.250% 1/15/30  13,922     12,792
  Baker Hughes Holdings LLC 4.486% 5/1/30  13,371     12,996
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Boardwalk Pipelines LP 3.400% 2/15/31  15,847     13,983
  Boardwalk Pipelines LP 3.600% 9/1/32  12,781     11,100
  BP Capital Markets America Inc. 4.699% 4/10/29   4,500      4,451
  BP Capital Markets America Inc. 3.633% 4/6/30  38,170     35,570
  BP Capital Markets America Inc. 1.749% 8/10/30  22,057     18,188
  BP Capital Markets America Inc. 2.721% 1/12/32  48,990     41,555
  BP Capital Markets America Inc. 4.812% 2/13/33  67,641     65,996
  BP Capital Markets America Inc. 4.893% 9/11/33  45,575     44,704
  BP Capital Markets America Inc. 4.989% 4/10/34   5,000      4,920
  Burlington Resources LLC 7.200% 8/15/31   3,598      4,060
  Burlington Resources LLC 7.400% 12/1/31   5,606      6,408
  Canadian Natural Resources Ltd. 2.950% 7/15/30  19,227     16,719
  Canadian Natural Resources Ltd. 7.200% 1/15/32  11,289     12,294
  Canadian Natural Resources Ltd. 6.450% 6/30/33   6,504      6,838
  Cenovus Energy Inc. 2.650% 1/15/32  12,818     10,488
  Cheniere Corpus Christi Holdings LLC 3.700% 11/15/29  41,156     37,998
  Cheniere Energy Partners LP 4.500% 10/1/29  14,290     13,395
  Cheniere Energy Partners LP 4.000% 3/1/31  51,149     45,682
  Cheniere Energy Partners LP 3.250% 1/31/32  43,358     36,238
2 Cheniere Energy Partners LP 5.950% 6/30/33  35,023     35,162
  Chevron Corp. 2.236% 5/11/30  46,044     39,839
  Chevron USA Inc. 3.250% 10/15/29  15,454     14,374
  Conoco Funding Co. 7.250% 10/15/31   4,875      5,523
  ConocoPhillips 2.400% 2/15/31  20,147     16,756
  ConocoPhillips 5.900% 10/15/32  10,945     11,710
  ConocoPhillips Co. 6.950% 4/15/29  34,608     37,935
  ConocoPhillips Co. 5.050% 9/15/33  30,481     30,379
  Coterra Energy Inc. 4.375% 3/15/29  10,798     10,400
  DCP Midstream Operating LP 5.125% 5/15/29  16,188     15,987
  DCP Midstream Operating LP 3.250% 2/15/32   9,314      7,938
  Devon Energy Corp. 4.500% 1/15/30  18,118     17,284
  Devon Energy Corp. 7.875% 9/30/31  14,223     16,188
  Devon Energy Corp. 7.950% 4/15/32   7,328      8,352
  Diamondback Energy Inc. 3.500% 12/1/29  35,837     32,896
  Diamondback Energy Inc. 3.125% 3/24/31  23,340     20,458
  Diamondback Energy Inc. 6.250% 3/15/33  26,349     27,691
  Eastern Gas Transmission & Storage Inc. 3.000% 11/15/29  11,403     10,142
  Enbridge Inc. 3.125% 11/15/29  18,044     16,301
  Enbridge Inc. 6.200% 11/15/30  20,632     21,633
  Enbridge Inc. 5.700% 3/8/33  63,297     64,070
  Enbridge Inc. 2.500% 8/1/33  22,390     17,693
  Energy Transfer LP 5.250% 4/15/29  45,369     45,192
  Energy Transfer LP 4.150% 9/15/29  14,247     13,433
  Energy Transfer LP 3.750% 5/15/30  58,581     53,449
  Energy Transfer LP 6.400% 12/1/30  14,438     15,145
  Energy Transfer LP 5.750% 2/15/33  44,496     44,770
  Energy Transfer LP 6.550% 12/1/33  36,058     38,223
  Energy Transfer LP 5.550% 5/15/34  10,820     10,713
  Enterprise Products Operating LLC 3.125% 7/31/29  41,024     37,532
  Enterprise Products Operating LLC 2.800% 1/31/30  38,431     34,119
  Enterprise Products Operating LLC 5.350% 1/31/33  26,181     26,472
1 Enterprise Products Operating LLC 6.875% 3/1/33  16,306     18,145
  Enterprise Products Operating LLC 4.850% 1/31/34  21,989     21,416
  EOG Resources Inc. 4.375% 4/15/30  30,408     29,488
  EQT Corp. 7.000% 2/1/30  15,991     16,938
  Exxon Mobil Corp. 2.440% 8/16/29  28,415     25,381
  Exxon Mobil Corp. 3.482% 3/19/30  47,509     44,324
  Exxon Mobil Corp. 2.610% 10/15/30  45,357     39,779
  Halliburton Co. 2.920% 3/1/30  33,765     29,988
  Helmerich & Payne Inc. 2.900% 9/29/31  14,890     12,351
  Hess Corp. 7.875% 10/1/29   9,206     10,323
  Hess Corp. 7.300% 8/15/31  10,909     12,255
  Hess Corp. 7.125% 3/15/33  14,430     16,181
  HF Sinclair Corp. 4.500% 10/1/30   6,627      6,198
  Kinder Morgan Energy Partners LP 7.400% 3/15/31   3,909      4,322
 
39

 

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

($000)
  Kinder Morgan Energy Partners LP 7.300% 8/15/33   5,363      5,953
  Kinder Morgan Inc. 2.000% 2/15/31  27,664     22,436
1 Kinder Morgan Inc. 7.800% 8/1/31   7,524      8,414
1 Kinder Morgan Inc. 7.750% 1/15/32  27,572     31,050
  Kinder Morgan Inc. 4.800% 2/1/33  20,083     18,950
  Kinder Morgan Inc. 5.200% 6/1/33  46,613     45,340
  Marathon Oil Corp. 6.800% 3/15/32  16,395     17,475
  MPLX LP 2.650% 8/15/30  39,522     33,634
  MPLX LP 4.950% 9/1/32  23,203     22,210
  MPLX LP 5.000% 3/1/33  25,626     24,516
  NOV Inc. 3.600% 12/1/29  13,687     12,485
  Occidental Petroleum Corp. 8.875% 7/15/30  23,313     26,949
  Occidental Petroleum Corp. 6.625% 9/1/30  38,681     40,705
  Occidental Petroleum Corp. 6.125% 1/1/31  30,974     31,729
  Occidental Petroleum Corp. 7.500% 5/1/31  22,242     24,570
  Occidental Petroleum Corp. 7.875% 9/15/31  13,458     15,153
  ONEOK Inc. 4.350% 3/15/29  25,859     24,895
  ONEOK Inc. 3.400% 9/1/29   7,508      6,857
  ONEOK Inc. 3.100% 3/15/30  30,994     27,459
  ONEOK Inc. 3.250% 6/1/30  12,780     11,419
  ONEOK Inc. 5.800% 11/1/30   8,932      9,143
  ONEOK Inc. 6.350% 1/15/31   9,092      9,534
  ONEOK Inc. 6.100% 11/15/32  21,396     22,161
  ONEOK Inc. 6.050% 9/1/33  43,781     45,111
  Ovintiv Inc. 8.125% 9/15/30   2,980      3,344
  Ovintiv Inc. 7.200% 11/1/31  15,000     16,189
  Ovintiv Inc. 7.375% 11/1/31  11,024     12,015
  Ovintiv Inc. 6.250% 7/15/33  19,266     19,809
  Patterson-UTI Energy Inc. 5.150% 11/15/29   8,364      8,040
  Patterson-UTI Energy Inc. 7.150% 10/1/33   9,300      9,857
  Phillips 66 2.150% 12/15/30  17,302     14,377
  Phillips 66 Co. 3.150% 12/15/29  11,401     10,280
  Phillips 66 Co. 5.250% 6/15/31  22,500     22,445
  Phillips 66 Co. 5.300% 6/30/33  24,491     24,300
  Pioneer Natural Resources Co. 1.900% 8/15/30  44,306     36,933
  Pioneer Natural Resources Co. 2.150% 1/15/31  34,528     28,915
  Plains All American Pipeline LP 3.550% 12/15/29  33,421     30,298
  Plains All American Pipeline LP 3.800% 9/15/30  22,377     20,386
  Sabine Pass Liquefaction LLC 4.500% 5/15/30  59,823     57,271
  Schlumberger Investment SA 2.650% 6/26/30  39,901     35,066
  Schlumberger Investment SA 4.850% 5/15/33  15,131     14,974
  Shell International Finance BV 2.375% 11/7/29  38,880     34,252
  Shell International Finance BV 2.750% 4/6/30  47,341     42,141
  Suncor Energy Inc. 7.150% 2/1/32  12,888     14,124
  Targa Resources Corp. 6.150% 3/1/29  21,370     22,033
  Targa Resources Corp. 4.200% 2/1/33  18,196     16,372
  Targa Resources Corp. 6.125% 3/15/33  21,928     22,595
  Targa Resources Partners LP 6.875% 1/15/29   9,742     10,045
  Targa Resources Partners LP 5.500% 3/1/30  24,500     24,218
  Targa Resources Partners LP 4.875% 2/1/31  27,238     25,847
  Targa Resources Partners LP 4.000% 1/15/32  26,992     24,089
  Texas Eastern Transmission LP 7.000% 7/15/32   6,072      6,716
  TotalEnergies Capital International SA 2.829% 1/10/30  33,065     29,702
  TransCanada PipeLines Ltd. 4.100% 4/15/30  36,087     33,801
  TransCanada PipeLines Ltd. 2.500% 10/12/31  28,839     23,633
  Transcontinental Gas Pipe Line Co. LLC 3.250% 5/15/30  23,164     20,842
  Valero Energy Corp. 4.000% 4/1/29   6,008      5,733
  Valero Energy Corp. 2.800% 12/1/31  17,903     15,110
  Valero Energy Corp. 7.500% 4/15/32  11,860     13,491
  Western Midstream Operating LP 4.050% 2/1/30  28,451     26,322
  Western Midstream Operating LP 6.150% 4/1/33  18,803     19,117
  Williams Cos. Inc. 3.500% 11/15/30  34,069     30,723
1 Williams Cos. Inc. 7.500% 1/15/31   2,086      2,317
  Williams Cos. Inc. 2.600% 3/15/31  51,695     43,549
  Williams Cos. Inc. 8.750% 3/15/32   6,322      7,524
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Williams Cos. Inc. 4.650% 8/15/32  22,403     21,304
  Williams Cos. Inc. 5.650% 3/15/33  25,023     25,432
                             3,004,902
Financials (31.2%)
  ACE Capital Trust II 9.700% 4/1/30     867      1,018
  AerCap Ireland Capital DAC 6.150% 9/30/30  19,112     19,738
  AerCap Ireland Capital DAC 3.300% 1/30/32 120,560    102,027
  AerCap Ireland Capital DAC 3.400% 10/29/33  39,655     32,988
  AerCap Ireland Capital DAC 5.300% 1/19/34  19,010     18,366
  Affiliated Managers Group Inc. 3.300% 6/15/30   7,902      6,954
3 Aflac Inc. 3.600% 4/1/30  25,299     23,451
  Air Lease Corp. 4.625% 10/1/28      43         42
  Air Lease Corp. 5.100% 3/1/29  10,000      9,828
  Air Lease Corp. 3.250% 10/1/29  10,572      9,423
1 Air Lease Corp. 3.000% 2/1/30  13,495     11,731
  Air Lease Corp. 3.125% 12/1/30  14,438     12,431
1 Air Lease Corp. 2.875% 1/15/32  15,167     12,585
  Alleghany Corp. 3.625% 5/15/30  13,504     12,552
  Allstate Corp. 1.450% 12/15/30  18,590     14,671
  Allstate Corp. 5.250% 3/30/33  22,906     22,817
  Allstate Corp. 5.350% 6/1/33   5,437      5,450
1 Ally Financial Inc. 8.000% 11/1/31  44,823     49,237
  Ally Financial Inc. 8.000% 11/1/31   9,128      9,943
  American Express Co. 4.050% 5/3/29  30,555     29,531
  American Express Co. 6.489% 10/30/31  34,960     37,233
  American Express Co. 4.989% 5/26/33  23,276     22,640
  American Express Co. 4.420% 8/3/33  32,960     31,225
  American Express Co. 5.043% 5/1/34  23,428     22,979
  American Express Co. 5.625% 7/28/34   7,915      7,964
  American Financial Group Inc. 5.250% 4/2/30   8,019      7,894
  American International Group Inc. 4.250% 3/15/29   4,511      4,328
  American International Group Inc. 3.400% 6/30/30   3,922      3,540
  American International Group Inc. 5.125% 3/27/33  21,006     20,710
  Ameriprise Financial Inc. 4.500% 5/13/32  15,666     15,030
  Ameriprise Financial Inc. 5.150% 5/15/33  27,109     27,144
  Aon Corp. 3.750% 5/2/29  19,784     18,559
  Aon Corp. 2.800% 5/15/30  33,036     28,738
  Aon Corp. 2.050% 8/23/31   8,234      6,600
  Aon Corp. 2.600% 12/2/31   8,124      6,754
  Aon Corp. 5.000% 9/12/32  18,469     18,042
  Aon Corp. 5.350% 2/28/33  21,808     21,769
4 Aon North America Inc. 5.300% 3/1/31   6,000      5,992
4 Aon North America Inc. 5.450% 3/1/34  16,555     16,564
  Apollo Global Management Inc. 6.375% 11/15/33  13,250     14,219
  Ares Capital Corp. 5.875% 3/1/29  26,435     25,851
  Ares Capital Corp. 3.200% 11/15/31  14,653     11,949
  Arthur J Gallagher & Co. 2.400% 11/9/31  11,250      9,110
  Arthur J Gallagher & Co. 5.500% 3/2/33  11,940     11,908
  Assurant Inc. 4.900% 3/27/28       1         —
  Assurant Inc. 3.700% 2/22/30  13,144     11,730
  Assured Guaranty US Holdings Inc. 3.150% 6/15/31  13,650     11,941
  Athene Holding Ltd. 6.150% 4/3/30  11,566     11,903
  Athene Holding Ltd. 3.500% 1/15/31  19,605     17,046
  Athene Holding Ltd. 6.650% 2/1/33   7,468      7,815
  Athene Holding Ltd. 5.875% 1/15/34  11,338     11,261
  AXA SA 8.600% 12/15/30  20,959     24,800
  AXIS Specialty Finance LLC 3.900% 7/15/29  12,436     11,691
1 AXIS Specialty Finance LLC 4.900% 1/15/40   2,566      2,265
  Banco Bilbao Vizcaya Argentaria SA 7.883% 11/15/34  19,980     21,283
  Banco Santander SA 3.306% 6/27/29  34,713     31,451
  Banco Santander SA 3.490% 5/28/30  31,041     27,815
  Banco Santander SA 2.749% 12/3/30  52,628     42,859
  Banco Santander SA 2.958% 3/25/31  14,150     12,052
  Banco Santander SA 3.225% 11/22/32   7,244      5,979
  Banco Santander SA 6.921% 8/8/33  49,235     51,150
  Banco Santander SA 6.938% 11/7/33  45,322     49,411
1 Bank of America Corp. 3.419% 12/20/28       1          1
 
40

 

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

($000)
1 Bank of America Corp. 3.974% 2/7/30   1,166      1,096
1 Bank of America Corp. 3.194% 7/23/30  63,074     56,750
1 Bank of America Corp. 2.884% 10/22/30  53,400     47,058
1 Bank of America Corp. 2.496% 2/13/31  92,233     78,631
1 Bank of America Corp. 2.592% 4/29/31  80,154     68,325
1 Bank of America Corp. 1.898% 7/23/31  62,397     50,621
1 Bank of America Corp. 1.922% 10/24/31  74,218     59,890
1 Bank of America Corp. 2.651% 3/11/32  62,989     52,689
  Bank of America Corp. 2.687% 4/22/32 105,895     88,632
  Bank of America Corp. 2.299% 7/21/32  85,511     69,177
  Bank of America Corp. 2.572% 10/20/32  76,295     62,603
1 Bank of America Corp. 2.972% 2/4/33  93,446     78,478
  Bank of America Corp. 4.571% 4/27/33  99,191     93,352
1 Bank of America Corp. 5.015% 7/22/33 131,192    127,805
  Bank of America Corp. 5.288% 4/25/34 135,880    133,921
  Bank of America Corp. 5.872% 9/15/34  99,927    102,474
  Bank of America Corp. 5.468% 1/23/35 125,370    125,036
  Bank of America Corp. 2.482% 9/21/36  68,181     53,851
  Bank of America Corp. 3.846% 3/8/37  52,078     45,466
  Bank of Montreal 3.088% 1/10/37  35,475     28,731
1 Bank of New York Mellon Corp. 3.850% 4/26/29   5,138      4,919
1 Bank of New York Mellon Corp. 3.300% 8/23/29  28,861     26,479
  Bank of New York Mellon Corp. 4.596% 7/26/30  17,255     16,851
1 Bank of New York Mellon Corp. 1.650% 1/28/31   5,836      4,697
1 Bank of New York Mellon Corp. 1.800% 7/28/31  25,103     20,243
  Bank of New York Mellon Corp. 2.500% 1/26/32   4,081      3,405
1 Bank of New York Mellon Corp. 4.289% 6/13/33  30,318     28,309
1 Bank of New York Mellon Corp. 5.834% 10/25/33  43,793     45,414
  Bank of New York Mellon Corp. 4.706% 2/1/34  23,080     22,079
1 Bank of New York Mellon Corp. 4.967% 4/26/34  23,292     22,696
1 Bank of New York Mellon Corp. 6.474% 10/25/34  17,570     19,008
  Bank of Nova Scotia 4.850% 2/1/30  32,456     32,015
  Bank of Nova Scotia 2.150% 8/1/31   6,457      5,276
  Bank of Nova Scotia 2.450% 2/2/32  19,264     15,803
  Bank of Nova Scotia 5.650% 2/1/34  11,710     11,895
  Bank of Nova Scotia 4.588% 5/4/37  28,842     25,816
  BankUnited Inc. 5.125% 6/11/30   8,176      7,467
1 Barclays plc 5.088% 6/20/30  41,242     39,037
  Barclays plc 2.645% 6/24/31  13,195     10,972
  Barclays plc 2.667% 3/10/32  23,633     19,295
  Barclays plc 2.894% 11/24/32  29,723     24,204
  Barclays plc 5.746% 8/9/33  33,525     33,118
  Barclays plc 7.437% 11/2/33  53,779     58,846
  Barclays plc 6.224% 5/9/34  43,499     44,034
  Barclays plc 7.119% 6/27/34  45,885     47,582
  Barclays plc 6.692% 9/13/34  50,777     53,098
  Barclays plc 3.564% 9/23/35  18,114     15,199
  Berkshire Hathaway Finance Corp. 1.850% 3/12/30  13,731     11,653
  Berkshire Hathaway Finance Corp. 1.450% 10/15/30  19,411     15,827
  Berkshire Hathaway Finance Corp. 2.875% 3/15/32  25,697     22,451
  BlackRock Inc. 3.250% 4/30/29  36,836     34,547
  BlackRock Inc. 2.400% 4/30/30  25,330     22,076
  BlackRock Inc. 1.900% 1/28/31  38,567     31,913
  BlackRock Inc. 2.100% 2/25/32  24,970     20,328
  BlackRock Inc. 4.750% 5/25/33  24,265     23,799
  Blackstone Private Credit Fund 4.000% 1/15/29     548        498
2 Blackstone Private Credit Fund 6.250% 1/25/31  13,410     13,260
  Blue Owl Capital Corp. 5.950% 3/15/29  15,839     15,474
2 Blue Owl Credit Income Corp. 7.750% 1/15/29   9,000      9,189
2 Blue Owl Credit Income Corp. 6.650% 3/15/31  11,731     11,346
  Brighthouse Financial Inc. 5.625% 5/15/30  13,363     13,292
  Brookfield Capital Finance LLC 6.087% 6/14/33  13,522     13,948
  Brookfield Finance I UK plc 2.340% 1/30/32  16,264     13,032
  Brookfield Finance Inc. 4.850% 3/29/29  30,637     30,198
  Brookfield Finance Inc. 4.350% 4/15/30  20,002     18,946
  Brookfield Finance Inc. 2.724% 4/15/31  10,475      8,801
  Brookfield Finance Inc. 6.350% 1/5/34  17,907     18,819
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Brown & Brown Inc. 4.500% 3/15/29   8,722      8,440
  Brown & Brown Inc. 2.375% 3/15/31  21,146     17,278
  Brown & Brown Inc. 4.200% 3/17/32  18,730     17,012
  Canadian Imperial Bank of Commerce 3.600% 4/7/32  23,395     20,885
  Canadian Imperial Bank of Commerce 6.092% 10/3/33  30,789     31,972
  Capital One Financial Corp. 3.273% 3/1/30  43,190     38,483
  Capital One Financial Corp. 5.247% 7/26/30   4,910      4,787
1 Capital One Financial Corp. 7.624% 10/30/31  37,047     40,544
  Capital One Financial Corp. 2.359% 7/29/32  25,236     19,016
  Capital One Financial Corp. 2.618% 11/2/32  19,947     15,927
  Capital One Financial Corp. 5.268% 5/10/33  38,475     37,316
  Capital One Financial Corp. 5.817% 2/1/34  33,187     32,797
  Capital One Financial Corp. 6.377% 6/8/34  52,322     53,894
  Capital One Financial Corp. 6.051% 2/1/35  11,360     11,461
  Cboe Global Markets Inc. 1.625% 12/15/30  14,195     11,515
  Cboe Global Markets Inc. 3.000% 3/16/32   7,678      6,640
  Charles Schwab Corp. 4.000% 2/1/29  16,251     15,583
  Charles Schwab Corp. 3.250% 5/22/29  19,933     18,375
  Charles Schwab Corp. 2.750% 10/1/29   7,567      6,713
  Charles Schwab Corp. 4.625% 3/22/30  11,858     11,705
  Charles Schwab Corp. 1.650% 3/11/31  18,814     14,890
  Charles Schwab Corp. 2.300% 5/13/31  31,771     26,298
  Charles Schwab Corp. 1.950% 12/1/31  14,903     11,829
  Charles Schwab Corp. 2.900% 3/3/32   7,064      5,979
  Charles Schwab Corp. 5.853% 5/19/34  36,246     36,789
  Charles Schwab Corp. 6.136% 8/24/34  35,960     37,300
  Chubb INA Holdings Inc. 1.375% 9/15/30  32,745     26,471
  CI Financial Corp. 3.200% 12/17/30  25,286     20,132
1 Citigroup Inc. 3.980% 3/20/30  48,434     45,413
1 Citigroup Inc. 2.976% 11/5/30  57,278     50,529
1 Citigroup Inc. 2.666% 1/29/31  54,973     47,135
1 Citigroup Inc. 4.412% 3/31/31 118,128    111,613
1 Citigroup Inc. 2.572% 6/3/31  86,646     73,290
  Citigroup Inc. 2.561% 5/1/32  72,860     59,976
  Citigroup Inc. 6.625% 6/15/32  25,084     26,714
  Citigroup Inc. 2.520% 11/3/32  34,376     27,899
  Citigroup Inc. 3.057% 1/25/33  91,630     76,987
  Citigroup Inc. 3.785% 3/17/33  88,436     78,358
  Citigroup Inc. 4.910% 5/24/33  68,885     65,981
  Citigroup Inc. 6.000% 10/31/33  12,321     12,736
  Citigroup Inc. 6.270% 11/17/33  70,497     73,991
  Citigroup Inc. 6.174% 5/25/34  95,255     95,909
  Citizens Financial Group Inc. 2.500% 2/6/30   7,542      6,252
  Citizens Financial Group Inc. 3.250% 4/30/30  18,598     16,090
  Citizens Financial Group Inc. 2.638% 9/30/32  11,307      8,561
  Citizens Financial Group Inc. 5.641% 5/21/37   9,726      8,904
  CME Group Inc. 2.650% 3/15/32  14,433     12,364
  CNA Financial Corp. 3.900% 5/1/29  17,110     16,060
  CNA Financial Corp. 2.050% 8/15/30   7,212      5,959
  CNA Financial Corp. 5.500% 6/15/33  11,762     11,839
  CNA Financial Corp. 5.125% 2/15/34  11,580     11,188
  CNO Financial Group Inc. 5.250% 5/30/29  13,099     12,717
  Comerica Bank 5.332% 8/25/33  13,199     11,822
  Corebridge Financial Inc. 3.850% 4/5/29  26,060     24,171
  Corebridge Financial Inc. 3.900% 4/5/32  42,676     37,518
2 Corebridge Financial Inc. 6.050% 9/15/33  11,690     11,944
  Corebridge Financial Inc. 5.750% 1/15/34  19,600     19,558
  Credit Suisse USA Inc. 7.125% 7/15/32  21,247     23,710
  Deutsche Bank AG 5.882% 7/8/31   2,899      2,759
1 Deutsche Bank AG 3.547% 9/18/31  39,304     34,047
  Deutsche Bank AG 3.729% 1/14/32  33,775     27,709
  Deutsche Bank AG 3.035% 5/28/32  23,836     19,700
  Deutsche Bank AG 3.742% 1/7/33  35,439     28,529
  Deutsche Bank AG 7.079% 2/10/34  40,471     40,398
1 Discover Bank 2.700% 2/6/30  10,477      8,883
 
41

 

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

($000)
  Discover Financial Services 6.700% 11/29/32  17,909     18,741
  Discover Financial Services 7.964% 11/2/34  26,996     30,254
  Enstar Group Ltd. 4.950% 6/1/29  15,760     15,336
  Enstar Group Ltd. 3.100% 9/1/31  24,345     19,856
  Equitable Holdings Inc. 5.594% 1/11/33  13,865     13,962
  Fairfax Financial Holdings Ltd. 4.625% 4/29/30  11,485     10,822
  Fairfax Financial Holdings Ltd. 3.375% 3/3/31  15,148     13,100
  Fairfax Financial Holdings Ltd. 5.625% 8/16/32  17,845     17,579
2 Fairfax Financial Holdings Ltd. 6.000% 12/7/33  14,876     14,937
  Fidelity National Financial Inc. 4.500% 8/15/28   5,579      5,363
  Fidelity National Financial Inc. 3.400% 6/15/30  15,161     13,374
  Fidelity National Financial Inc. 2.450% 3/15/31  16,411     13,339
  Fifth Third Bancorp 4.772% 7/28/30  24,996     23,834
  Fifth Third Bancorp 5.631% 1/29/32  24,078     23,887
  Fifth Third Bancorp 4.337% 4/25/33  17,624     15,962
  First American Financial Corp. 4.000% 5/15/30   6,954      6,196
  First American Financial Corp. 2.400% 8/15/31  17,274     13,535
1 First Horizon Bank 5.750% 5/1/30  11,882     11,107
  Franklin Resources Inc. 1.600% 10/30/30  22,623     18,247
  FS KKR Capital Corp. 3.250% 7/15/27       1          1
  GATX Corp. 4.700% 4/1/29  11,670     11,409
  GATX Corp. 4.000% 6/30/30  13,255     12,295
  GATX Corp. 1.900% 6/1/31  11,240      8,843
  GATX Corp. 3.500% 6/1/32  10,608      9,173
  GATX Corp. 4.900% 3/15/33   7,722      7,375
  GATX Corp. 5.450% 9/15/33  10,598     10,554
  GE Capital Funding LLC 4.550% 5/15/32  21,619     20,764
  Global Payments Inc. 3.200% 8/15/29  38,683     34,477
  Global Payments Inc. 5.300% 8/15/29  14,320     14,128
  Global Payments Inc. 2.900% 5/15/30  25,285     21,781
  Global Payments Inc. 2.900% 11/15/31  23,666     19,748
  Global Payments Inc. 5.400% 8/15/32  16,395     16,175
  Globe Life Inc. 2.150% 8/15/30   5,891      4,879
  Globe Life Inc. 4.800% 6/15/32  10,632     10,232
  Goldman Sachs Group Inc. 2.600% 2/7/30  41,903     36,354
  Goldman Sachs Group Inc. 3.800% 3/15/30  67,534     62,793
  Goldman Sachs Group Inc. 1.992% 1/27/32  54,841     43,968
  Goldman Sachs Group Inc. 2.615% 4/22/32 108,822     90,447
  Goldman Sachs Group Inc. 2.383% 7/21/32 101,214     82,361
  Goldman Sachs Group Inc. 2.650% 10/21/32  78,419     64,671
  Goldman Sachs Group Inc. 6.125% 2/15/33  27,272     29,246
  Goldman Sachs Group Inc. 3.102% 2/24/33 107,435     91,048
  Goldman Sachs Group Inc. 6.561% 10/24/34  38,675     41,783
  Golub Capital BDC Inc. 6.000% 7/15/29  15,839     15,377
  Hanover Insurance Group Inc. 2.500% 9/1/30   6,730      5,589
  Hartford Financial Services Group Inc. 2.800% 8/19/29  15,432     13,785
  HSBC Holdings plc 4.950% 3/31/30  59,918     58,668
1 HSBC Holdings plc 3.973% 5/22/30  68,261     63,238
1 HSBC Holdings plc 2.848% 6/4/31  30,213     25,705
1 HSBC Holdings plc 2.357% 8/18/31  34,073     27,963
  HSBC Holdings plc 2.804% 5/24/32  80,223     66,289
  HSBC Holdings plc 2.871% 11/22/32  45,815     37,703
  HSBC Holdings plc 4.762% 3/29/33  64,807     59,456
  HSBC Holdings plc 5.402% 8/11/33  64,808     63,677
  HSBC Holdings plc 8.113% 11/3/33  55,998     63,055
  HSBC Holdings plc 6.254% 3/9/34  72,876     75,625
  HSBC Holdings plc 6.547% 6/20/34  40,422     41,142
  HSBC Holdings plc 7.399% 11/13/34  55,103     59,038
  Huntington Bancshares Inc. 2.550% 2/4/30  23,077     19,423
  Huntington Bancshares Inc. 5.023% 5/17/33  17,969     16,982
  Huntington Bancshares Inc. 5.709% 2/2/35  25,145     24,817
  Huntington Bancshares Inc. 2.487% 8/15/36   8,598      6,489
  Huntington National Bank 5.650% 1/10/30  25,244     25,134
  ING Groep NV 4.050% 4/9/29  18,996     17,963
  ING Groep NV 2.727% 4/1/32  13,649     11,481
  ING Groep NV 4.252% 3/28/33  22,425     20,617
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  ING Groep NV 6.114% 9/11/34  30,049     31,003
  Intercontinental Exchange Inc. 4.350% 6/15/29  42,546     41,296
  Intercontinental Exchange Inc. 2.100% 6/15/30  25,897     21,726
  Intercontinental Exchange Inc. 1.850% 9/15/32  39,436     30,435
  Intercontinental Exchange Inc. 4.600% 3/15/33  46,035     44,005
  Jackson Financial Inc. 3.125% 11/23/31  12,437     10,298
  Jackson Financial Inc. 5.670% 6/8/32   4,706      4,695
  Jefferies Financial Group Inc. 4.150% 1/23/30  35,662     33,177
  Jefferies Financial Group Inc. 2.625% 10/15/31  24,984     20,434
  Jefferies Financial Group Inc. 2.750% 10/15/32  10,635      8,577
  JPMorgan Chase & Co. 3.875% 9/10/24       1          1
  JPMorgan Chase & Co. 1.040% 2/4/27      82         76
1 JPMorgan Chase & Co. 3.702% 5/6/30  55,848     51,985
  JPMorgan Chase & Co. 4.565% 6/14/30  56,681     54,902
1 JPMorgan Chase & Co. 2.739% 10/15/30  95,941     84,168
1 JPMorgan Chase & Co. 4.493% 3/24/31  83,960     80,617
1 JPMorgan Chase & Co. 2.522% 4/22/31  51,888     44,326
1 JPMorgan Chase & Co. 2.956% 5/13/31  79,497     69,016
  JPMorgan Chase & Co. 1.764% 11/19/31  38,348     30,878
  JPMorgan Chase & Co. 1.953% 2/4/32  76,162     61,248
  JPMorgan Chase & Co. 2.580% 4/22/32 106,398     88,957
  JPMorgan Chase & Co. 2.545% 11/8/32  79,933     65,839
  JPMorgan Chase & Co. 2.963% 1/25/33  97,794     82,574
  JPMorgan Chase & Co. 4.586% 4/26/33  58,614     55,657
  JPMorgan Chase & Co. 4.912% 7/25/33 130,040    126,163
  JPMorgan Chase & Co. 5.717% 9/14/33 100,970    102,214
  JPMorgan Chase & Co. 5.350% 6/1/34  94,765     94,273
  JPMorgan Chase & Co. 6.254% 10/23/34  77,829     82,615
  JPMorgan Chase & Co. 5.336% 1/23/35  76,970     76,581
  Kemper Corp. 2.400% 9/30/30  10,354      8,158
  Kemper Corp. 3.800% 2/23/32  10,125      8,497
1 KeyBank NA 3.900% 4/13/29   8,824      7,839
1 KeyBank NA 4.900% 8/8/32  21,998     19,301
  KeyBank NA 5.000% 1/26/33  26,159     23,895
1 KeyCorp 2.550% 10/1/29  24,373     20,393
1 KeyCorp 4.789% 6/1/33  16,720     15,100
  Lazard Group LLC 4.375% 3/11/29   7,450      7,101
  Lincoln National Corp. 3.050% 1/15/30   8,259      7,229
  Lincoln National Corp. 3.400% 1/15/31   8,904      7,794
  Lincoln National Corp. 3.400% 3/1/32   6,881      5,840
  Lloyds Banking Group plc 4.976% 8/11/33  34,931     33,195
  Lloyds Banking Group plc 7.953% 11/15/33  28,712     32,008
  Lloyds Banking Group plc 5.679% 1/5/35  40,039     39,517
  Loews Corp. 3.200% 5/15/30  13,825     12,472
  M&T Bank Corp. 5.053% 1/27/34  26,661     24,505
  Main Street Capital Corp. 6.950% 3/1/29   9,835      9,865
  Manulife Financial Corp. 3.703% 3/16/32  19,672     17,925
  Markel Group Inc. 3.350% 9/17/29   8,708      7,845
  Marsh & McLennan Cos. Inc. 4.375% 3/15/29  39,259     38,393
  Marsh & McLennan Cos. Inc. 2.250% 11/15/30  22,400     18,887
  Marsh & McLennan Cos. Inc. 2.375% 12/15/31  10,728      8,912
  Marsh & McLennan Cos. Inc. 5.750% 11/1/32  11,474     11,982
  Marsh & McLennan Cos. Inc. 5.400% 9/15/33  18,811     19,140
  Marsh & McLennan Cos. Inc. 5.150% 3/15/34   3,500      3,487
  Mastercard Inc. 2.950% 6/1/29  28,927     26,557
  Mastercard Inc. 3.350% 3/26/30  38,309     35,373
  Mastercard Inc. 1.900% 3/15/31  12,799     10,618
  Mastercard Inc. 2.000% 11/18/31  22,663     18,592
  Mastercard Inc. 4.850% 3/9/33  20,852     20,824
  MetLife Inc. 4.550% 3/23/30  24,586     24,061
  MetLife Inc. 6.500% 12/15/32   6,342      6,926
  MetLife Inc. 5.375% 7/15/33  23,946     24,076
  Mitsubishi UFJ Financial Group Inc. 3.741% 3/7/29  32,999     31,156
  Mitsubishi UFJ Financial Group Inc. 3.195% 7/18/29  51,681     46,945
  Mitsubishi UFJ Financial Group Inc. 2.559% 2/25/30  30,273     26,234
  Mitsubishi UFJ Financial Group Inc. 2.048% 7/17/30  35,516     29,464
  Mitsubishi UFJ Financial Group Inc. 2.309% 7/20/32  56,490     46,271
 
42

 

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

($000)
  Mitsubishi UFJ Financial Group Inc. 2.494% 10/13/32  21,043     17,384
  Mitsubishi UFJ Financial Group Inc. 2.852% 1/19/33  26,849     22,637
  Mitsubishi UFJ Financial Group Inc. 4.315% 4/19/33  16,705     15,625
  Mitsubishi UFJ Financial Group Inc. 5.133% 7/20/33  41,813     41,322
  Mitsubishi UFJ Financial Group Inc. 5.472% 9/13/33  19,786     20,086
  Mitsubishi UFJ Financial Group Inc. 5.441% 2/22/34  26,461     26,762
  Mitsubishi UFJ Financial Group Inc. 5.406% 4/19/34  34,202     34,562
  Mizuho Financial Group Inc. 3.261% 5/22/30   1,400      1,266
1 Mizuho Financial Group Inc. 3.153% 7/16/30  23,775     21,324
1 Mizuho Financial Group Inc. 2.869% 9/13/30  17,970     15,802
1 Mizuho Financial Group Inc. 2.591% 5/25/31   5,041      4,288
  Mizuho Financial Group Inc. 5.739% 5/27/31  22,207     22,549
1 Mizuho Financial Group Inc. 2.201% 7/10/31  16,349     13,522
1 Mizuho Financial Group Inc. 1.979% 9/8/31  25,028     20,291
  Mizuho Financial Group Inc. 2.564% 9/13/31  27,010     21,887
  Mizuho Financial Group Inc. 2.172% 5/22/32  14,010     11,301
  Mizuho Financial Group Inc. 2.260% 7/9/32  11,698      9,451
  Mizuho Financial Group Inc. 5.669% 9/13/33  29,823     30,266
  Mizuho Financial Group Inc. 5.754% 5/27/34  20,007     20,424
  Mizuho Financial Group Inc. 5.748% 7/6/34  36,880     37,574
  Morgan Stanley 1.593% 5/4/27      11         10
1 Morgan Stanley 2.699% 1/22/31  87,288     75,562
1 Morgan Stanley 3.622% 4/1/31  76,638     69,592
1 Morgan Stanley 1.794% 2/13/32  66,392     52,571
  Morgan Stanley 7.250% 4/1/32  46,715     53,235
1 Morgan Stanley 1.928% 4/28/32  66,017     52,404
1 Morgan Stanley 2.239% 7/21/32  87,824     70,806
1 Morgan Stanley 2.511% 10/20/32  63,046     51,636
  Morgan Stanley 2.943% 1/21/33  53,144     44,581
  Morgan Stanley 4.889% 7/20/33  55,558     53,315
  Morgan Stanley 6.342% 10/18/33  91,903     97,409
1 Morgan Stanley 5.250% 4/21/34 100,559     98,705
1 Morgan Stanley 5.424% 7/21/34  69,040     68,704
  Morgan Stanley 6.627% 11/1/34  35,149     38,142
  Morgan Stanley 5.466% 1/18/35  60,820     60,759
  Morgan Stanley 2.484% 9/16/36  80,653     63,380
  Morgan Stanley 5.297% 4/20/37  48,895     46,758
  Morgan Stanley 5.948% 1/19/38  60,476     60,296
  Nasdaq Inc. 1.650% 1/15/31  17,215     13,710
  Nasdaq Inc. 5.550% 2/15/34  18,930     19,053
1 NatWest Group plc 4.445% 5/8/30  41,871     39,612
  NatWest Group plc 6.016% 3/2/34  20,731     21,137
4 NatWest Group plc 6.475% 6/1/34  12,000     12,003
  NatWest Group plc 5.778% 3/1/35  20,720     20,698
1 NatWest Group plc 3.032% 11/28/35  18,074     14,882
  New Mountain Finance Corp. 6.875% 2/1/29   7,776      7,611
  Nomura Holdings Inc. 5.605% 7/6/29  14,670     14,735
  Nomura Holdings Inc. 3.103% 1/16/30  48,324     42,424
  Nomura Holdings Inc. 2.679% 7/16/30  17,620     14,893
  Nomura Holdings Inc. 2.608% 7/14/31  25,079     20,605
  Nomura Holdings Inc. 2.999% 1/22/32  31,241     26,024
  Nomura Holdings Inc. 6.181% 1/18/33  19,111     20,021
  Nomura Holdings Inc. 6.087% 7/12/33  10,552     10,998
  Northern Trust Corp. 3.150% 5/3/29  15,351     14,208
  Northern Trust Corp. 1.950% 5/1/30  27,316     23,023
  Northern Trust Corp. 6.125% 11/2/32  26,257     27,579
  ORIX Corp. 3.700% 7/18/27       1          1
  ORIX Corp. 2.250% 3/9/31  13,676     11,444
  ORIX Corp. 4.000% 4/13/32  13,363     12,420
  ORIX Corp. 5.200% 9/13/32  12,455     12,586
  PartnerRe Finance B LLC 3.700% 7/2/29  12,085     11,337
  PartnerRe Finance B LLC 4.500% 10/1/50   7,569      6,781
  PayPal Holdings Inc. 2.850% 10/1/29  38,661     34,476
  PayPal Holdings Inc. 2.300% 6/1/30  33,091     28,149
  PayPal Holdings Inc. 4.400% 6/1/32  29,117     27,929
1 PNC Bank NA 2.700% 10/22/29  19,935     17,176
  PNC Financial Services Group Inc. 3.450% 4/23/29  51,336     47,402
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  PNC Financial Services Group Inc. 2.550% 1/22/30  48,327     41,470
  PNC Financial Services Group Inc. 2.307% 4/23/32  26,388     21,477
  PNC Financial Services Group Inc. 4.626% 6/6/33  23,437     21,711
  PNC Financial Services Group Inc. 6.037% 10/28/33  45,246     46,449
  PNC Financial Services Group Inc. 5.068% 1/24/34  40,617     39,024
  PNC Financial Services Group Inc. 5.939% 8/18/34  18,405     18,740
  PNC Financial Services Group Inc. 6.875% 10/20/34  61,904     67,102
  PNC Financial Services Group Inc. 5.676% 1/22/35  38,575     38,665
  Primerica Inc. 2.800% 11/19/31  15,248     12,655
  Principal Financial Group Inc. 3.700% 5/15/29  27,510     25,662
  Principal Financial Group Inc. 2.125% 6/15/30   6,093      5,068
  Principal Financial Group Inc. 5.375% 3/15/33  16,593     16,720
  Progressive Corp. 4.000% 3/1/29  11,490     11,052
  Progressive Corp. 6.625% 3/1/29   6,103      6,551
  Progressive Corp. 3.200% 3/26/30   9,933      8,973
  Progressive Corp. 3.000% 3/15/32  14,849     12,846
  Progressive Corp. 6.250% 12/1/32   7,150      7,762
  Progressive Corp. 4.950% 6/15/33  16,292     16,177
1 Prudential Financial Inc. 2.100% 3/10/30  12,848     10,987
1 Prudential Financial Inc. 5.750% 7/15/33  10,134     10,633
1 Prudential Financial Inc. 5.700% 9/15/48  11,282     11,020
1 Prudential Financial Inc. 3.700% 10/1/50  20,450     17,832
  Prudential Financial Inc. 5.125% 3/1/52  26,175     24,457
  Prudential Financial Inc. 6.000% 9/1/52  31,347     31,246
  Prudential Financial Inc. 6.750% 3/1/53   7,387      7,675
  Prudential Funding Asia plc 3.125% 4/14/30  26,146     23,311
  Prudential Funding Asia plc 3.625% 3/24/32   9,142      8,171
4 Radian Group Inc. 6.200% 5/15/29  13,979     14,014
  Raymond James Financial Inc. 4.650% 4/1/30  12,624     12,474
  Reinsurance Group of America Inc. 3.900% 5/15/29  17,123     16,154
  Reinsurance Group of America Inc. 3.150% 6/15/30  11,883     10,503
  Reinsurance Group of America Inc. 6.000% 9/15/33  12,101     12,408
  RenaissanceRe Holdings Ltd. 3.600% 4/15/29   6,471      5,964
  RenaissanceRe Holdings Ltd. 5.750% 6/5/33  20,235     20,388
1 Royal Bank of Canada 2.300% 11/3/31  39,596     32,429
  Royal Bank of Canada 3.875% 5/4/32  30,055     27,377
1 Royal Bank of Canada 5.000% 2/1/33  40,192     39,506
1 Royal Bank of Canada 5.000% 5/2/33  19,777     19,474
1 Royal Bank of Canada 5.150% 2/1/34   3,786      3,724
  Santander Holdings USA Inc. 7.660% 11/9/31  17,670     18,875
  Santander UK Group Holdings plc 2.896% 3/15/32  17,996     15,158
  Sixth Street Specialty Lending Inc. 6.125% 3/1/29  11,050     10,878
  State Street Corp. 2.400% 1/24/30  26,278     22,968
  State Street Corp. 2.200% 3/3/31  24,441     20,206
  State Street Corp. 3.152% 3/30/31  12,871     11,445
  State Street Corp. 4.421% 5/13/33  13,533     12,762
  State Street Corp. 4.164% 8/4/33  22,832     21,084
  State Street Corp. 4.821% 1/26/34  19,295     18,600
  State Street Corp. 5.159% 5/18/34  25,209     24,884
1 State Street Corp. 3.031% 11/1/34  18,660     16,460
  State Street Corp. 6.123% 11/21/34   9,390      9,708
  Stewart Information Services Corp. 3.600% 11/15/31  15,266     11,861
  Stifel Financial Corp. 4.000% 5/15/30  10,595      9,574
  Sumitomo Mitsui Financial Group Inc. 3.040% 7/16/29  66,791     60,039
  Sumitomo Mitsui Financial Group Inc. 3.202% 9/17/29   9,548      8,586
  Sumitomo Mitsui Financial Group Inc. 2.724% 9/27/29   8,152      7,178
  Sumitomo Mitsui Financial Group Inc. 5.710% 1/13/30  45,170     46,282
  Sumitomo Mitsui Financial Group Inc. 2.750% 1/15/30  38,104     33,315
  Sumitomo Mitsui Financial Group Inc. 2.130% 7/8/30  29,910     24,862
  Sumitomo Mitsui Financial Group Inc. 2.142% 9/23/30  24,374     20,018
 
43

 

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

($000)
  Sumitomo Mitsui Financial Group Inc. 1.710% 1/12/31   6,398      5,093
  Sumitomo Mitsui Financial Group Inc. 2.222% 9/17/31  11,642      9,443
  Sumitomo Mitsui Financial Group Inc. 5.766% 1/13/33  43,335     44,709
  Sumitomo Mitsui Financial Group Inc. 5.776% 7/13/33  32,653     33,767
  Sumitomo Mitsui Financial Group Inc. 5.808% 9/14/33  32,100     33,250
  Synchrony Financial 5.150% 3/19/29  16,257     15,508
  Synchrony Financial 2.875% 10/28/31  16,912     13,263
1 Toronto-Dominion Bank 2.000% 9/10/31  18,892     15,374
1 Toronto-Dominion Bank 2.450% 1/12/32  23,163     19,147
1 Toronto-Dominion Bank 3.200% 3/10/32  44,828     39,106
  Toronto-Dominion Bank 4.456% 6/8/32  53,876     51,354
  Travelers Property Casualty Corp. 6.375% 3/15/33   9,420     10,454
1 Truist Bank 2.250% 3/11/30  32,117     26,380
1 Truist Financial Corp. 3.875% 3/19/29  17,997     16,574
1 Truist Financial Corp. 1.950% 6/5/30  18,122     14,802
1 Truist Financial Corp. 4.916% 7/28/33  25,995     23,888
1 Truist Financial Corp. 6.123% 10/28/33  25,487     25,911
1 Truist Financial Corp. 5.122% 1/26/34  35,464     33,629
1 Truist Financial Corp. 5.867% 6/8/34  40,272     40,266
1 Truist Financial Corp. 5.711% 1/24/35  53,685     53,232
  Unum Group 4.000% 6/15/29  11,049     10,371
1 US Bancorp 3.000% 7/30/29  21,294     18,857
1 US Bancorp 1.375% 7/22/30  30,389     24,086
1 US Bancorp 2.677% 1/27/33  23,431     19,125
1 US Bancorp 4.967% 7/22/33  34,626     32,401
  US Bancorp 5.850% 10/21/33  47,412     47,875
  US Bancorp 4.839% 2/1/34  42,357     39,867
  US Bancorp 5.836% 6/12/34  51,466     51,865
  US Bancorp 5.678% 1/23/35  54,456     54,334
  US Bancorp 2.491% 11/3/36  36,456     28,179
  Visa Inc. 2.050% 4/15/30  39,597     33,962
  Visa Inc. 1.100% 2/15/31  31,947     25,244
  Webster Financial Corp. 4.100% 3/25/29   9,852      8,951
1 Wells Fargo & Co. 3.196% 6/17/27     184        175
1 Wells Fargo & Co. 7.950% 11/15/29   9,777     10,889
1 Wells Fargo & Co. 2.879% 10/30/30  99,209     86,932
1 Wells Fargo & Co. 2.572% 2/11/31  92,975     79,307
1 Wells Fargo & Co. 4.478% 4/4/31  62,573     59,551
1 Wells Fargo & Co. 3.350% 3/2/33  96,522     82,817
1 Wells Fargo & Co. 4.897% 7/25/33  91,576     87,610
  Wells Fargo & Co. 5.389% 4/24/34 109,330    107,554
1 Wells Fargo & Co. 5.557% 7/25/34  97,025     96,655
  Wells Fargo & Co. 6.491% 10/23/34  77,472     82,396
  Wells Fargo & Co. 5.499% 1/23/35  84,333     83,803
  Western Union Co. 2.750% 3/15/31   6,616      5,453
  Westpac Banking Corp. 2.650% 1/16/30  19,579     17,354
  Westpac Banking Corp. 2.150% 6/3/31  34,223     28,354
  Westpac Banking Corp. 5.405% 8/10/33  24,532     24,011
  Westpac Banking Corp. 6.820% 11/17/33  22,825     24,476
  Westpac Banking Corp. 4.110% 7/24/34  34,569     31,577
  Westpac Banking Corp. 2.668% 11/15/35  38,895     31,692
  Westpac Banking Corp. 3.020% 11/18/36  26,788     21,807
  Willis North America Inc. 2.950% 9/15/29  24,028     21,351
  Willis North America Inc. 5.350% 5/15/33  28,757     28,307
  Wintrust Financial Corp. 4.850% 6/6/29   6,266      5,652
  Zions Bancorp NA 3.250% 10/29/29  13,586     11,080
                            14,740,996
Health Care (9.1%)
  Abbott Laboratories 1.400% 6/30/30  12,477     10,289
  AbbVie Inc. 4.800% 3/15/29  30,000     29,864
  AbbVie Inc. 3.200% 11/21/29 143,433    131,229
  AbbVie Inc. 4.950% 3/15/31  45,456     45,453
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  AbbVie Inc. 5.050% 3/15/34  20,250     20,345
  Adventist Health System 2.952% 3/1/29   5,494      4,877
  Adventist Health System 5.430% 3/1/32   7,180      7,182
1 Advocate Health & Hospitals Corp. 2.211% 6/15/30   8,084      6,821
  Agilent Technologies Inc. 2.750% 9/15/29  12,059     10,789
  Agilent Technologies Inc. 2.100% 6/4/30  13,377     11,206
  Agilent Technologies Inc. 2.300% 3/12/31  25,696     21,439
  Amgen Inc. 4.050% 8/18/29  36,008     34,422
  Amgen Inc. 2.450% 2/21/30  28,578     24,843
  Amgen Inc. 5.250% 3/2/30  70,625     71,153
  Amgen Inc. 2.300% 2/25/31  32,307     27,036
  Amgen Inc. 2.000% 1/15/32   9,892      7,931
  Amgen Inc. 3.350% 2/22/32  29,030     25,672
  Amgen Inc. 4.200% 3/1/33   7,943      7,354
  Amgen Inc. 5.250% 3/2/33 133,994    133,596
1 Ascension Health 2.532% 11/15/29  16,449     14,653
  AstraZeneca Finance LLC 4.900% 3/3/30   3,674      3,680
  AstraZeneca Finance LLC 4.900% 2/26/31  30,000     29,931
  AstraZeneca Finance LLC 2.250% 5/28/31  28,596     23,984
  AstraZeneca Finance LLC 4.875% 3/3/33  11,786     11,734
  AstraZeneca plc 1.375% 8/6/30  53,860     43,631
  Banner Health 2.338% 1/1/30   7,317      6,314
  Banner Health 1.897% 1/1/31   7,209      5,868
  Baxter International Inc. 3.950% 4/1/30  20,830     19,282
  Baxter International Inc. 1.730% 4/1/31   9,518      7,511
  Baxter International Inc. 2.539% 2/1/32  55,070     45,128
1 Baylor Scott & White Holdings 1.777% 11/15/30   3,783      3,076
  Becton Dickinson & Co. 2.823% 5/20/30  28,331     24,848
  Becton Dickinson & Co. 1.957% 2/11/31  31,045     25,239
  Becton Dickinson & Co. 4.298% 8/22/32   9,382      8,794
  Biogen Inc. 2.250% 5/1/30  34,486     28,858
  Bio-Rad Laboratories Inc. 3.700% 3/15/32  22,483     20,025
1 Bon Secours Mercy Health Inc. 3.464% 6/1/30   7,462      6,793
1 Bon Secours Mercy Health Inc. 2.095% 6/1/31   7,223      5,833
  Boston Scientific Corp. 2.650% 6/1/30  40,495     35,423
  Bristol-Myers Squibb Co. 3.400% 7/26/29  63,213     58,919
  Bristol-Myers Squibb Co. 1.450% 11/13/30  30,109     24,149
  Bristol-Myers Squibb Co. 5.750% 2/1/31  18,042     18,794
  Bristol-Myers Squibb Co. 5.100% 2/22/31  33,735     33,839
  Bristol-Myers Squibb Co. 2.950% 3/15/32  44,650     38,577
  Bristol-Myers Squibb Co. 5.900% 11/15/33  26,550     28,112
  Bristol-Myers Squibb Co. 5.200% 2/22/34  37,329     37,614
1 Cedars-Sinai Health System 2.288% 8/15/31   7,970      6,628
  Cencora Inc. 2.800% 5/15/30  10,088      8,862
  Cencora Inc. 2.700% 3/15/31  26,632     22,705
  Cencora Inc. 5.125% 2/15/34   2,940      2,885
  Centene Corp. 4.625% 12/15/29  89,226     84,495
  Centene Corp. 3.375% 2/15/30  49,906     44,029
  Centene Corp. 3.000% 10/15/30  52,784     45,081
  Centene Corp. 2.500% 3/1/31  62,886     51,520
  Centene Corp. 2.625% 8/1/31  31,318     25,630
  Cigna Group 5.000% 5/15/29  25,000     24,821
  Cigna Group 2.400% 3/15/30  35,563     30,488
  Cigna Group 2.375% 3/15/31  37,311     31,113
  Cigna Group 5.400% 3/15/33  20,702     20,826
  Cigna Group 5.250% 2/15/34  15,363     15,175
  CommonSpirit Health 3.347% 10/1/29  22,614     20,534
  CVS Health Corp. 3.250% 8/15/29  41,309     37,584
  CVS Health Corp. 5.125% 2/21/30  48,700     48,409
  CVS Health Corp. 3.750% 4/1/30  30,995     28,599
  CVS Health Corp. 1.750% 8/21/30  31,735     25,735
  CVS Health Corp. 5.250% 1/30/31  26,558     26,514
  CVS Health Corp. 1.875% 2/28/31  44,602     35,845
  CVS Health Corp. 2.125% 9/15/31  15,188     12,256
  CVS Health Corp. 5.250% 2/21/33  53,721     53,191
  CVS Health Corp. 5.300% 6/1/33  28,439     28,238
  DENTSPLY SIRONA Inc. 3.250% 6/1/30  19,881     17,327
 
44

 

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  27,383     24,319
  Elevance Health Inc. 4.101% 3/1/28       1         —
  Elevance Health Inc. 2.875% 9/15/29  20,399     18,292
  Elevance Health Inc. 2.250% 5/15/30  35,597     30,239
  Elevance Health Inc. 2.550% 3/15/31  25,807     21,874
  Elevance Health Inc. 4.100% 5/15/32  15,232     14,039
  Elevance Health Inc. 5.500% 10/15/32  19,388     19,748
  Elevance Health Inc. 4.750% 2/15/33  27,201     26,272
  Eli Lilly & Co. 3.375% 3/15/29  19,498     18,371
  Eli Lilly & Co. 4.700% 2/27/33  21,211     21,033
  Eli Lilly & Co. 4.700% 2/9/34  29,024     28,659
  GE HealthCare Technologies Inc. 5.857% 3/15/30  29,748     30,745
  GE HealthCare Technologies Inc. 5.905% 11/22/32  46,154     47,916
  Gilead Sciences Inc. 1.650% 10/1/30  29,225     23,841
  Gilead Sciences Inc. 5.250% 10/15/33  24,277     24,558
  GlaxoSmithKline Capital Inc. 3.875% 5/15/28       1         —
  GlaxoSmithKline Capital plc 3.375% 6/1/29  27,516     25,820
  HCA Inc. 3.375% 3/15/29  13,847     12,627
  HCA Inc. 4.125% 6/15/29  59,833     56,268
  HCA Inc. 3.500% 9/1/30  50,036     44,729
  HCA Inc. 5.450% 4/1/31   5,000      4,977
  HCA Inc. 2.375% 7/15/31  23,222     18,883
  HCA Inc. 3.625% 3/15/32  57,197     49,972
  HCA Inc. 5.500% 6/1/33  35,238     34,995
  HCA Inc. 5.600% 4/1/34  15,000     14,932
  Humana Inc. 3.700% 3/23/29  14,471     13,527
  Humana Inc. 3.125% 8/15/29  19,869     17,949
  Humana Inc. 4.875% 4/1/30   9,834      9,676
  Humana Inc. 2.150% 2/3/32  26,381     20,875
  Humana Inc. 5.875% 3/1/33  21,219     21,771
  Illumina Inc. 2.550% 3/23/31  13,541     11,110
  IQVIA Inc. 6.250% 2/1/29  29,000     29,836
  Johnson & Johnson 6.950% 9/1/29   1,635      1,832
  Johnson & Johnson 1.300% 9/1/30  61,218     50,128
  Johnson & Johnson 4.950% 5/15/33   6,392      6,628
  Johnson & Johnson 4.375% 12/5/33   4,000      3,951
  Laboratory Corp. of America Holdings 2.950% 12/1/29   7,653      6,811
  Laboratory Corp. of America Holdings 2.700% 6/1/31  20,186     17,238
  McKesson Corp. 5.100% 7/15/33  19,784     19,707
  Medtronic Global Holdings SCA 4.500% 3/30/33  33,361     32,121
  Merck & Co. Inc. 1.900% 12/10/28  20,456     18,057
  Merck & Co. Inc. 3.400% 3/7/29  53,147     49,917
  Merck & Co. Inc. 4.300% 5/17/30  21,874     21,286
  Merck & Co. Inc. 1.450% 6/24/30  34,298     28,033
  Merck & Co. Inc. 2.150% 12/10/31  51,294     42,539
  Merck & Co. Inc. 4.500% 5/17/33  37,587     36,561
  Novartis Capital Corp. 2.200% 8/14/30  42,019     36,093
1 Ochsner LSU Health System of North Louisiana 2.510% 5/15/31   9,020      6,151
  OhioHealth Corp. 2.297% 11/15/31   7,805      6,450
  Pfizer Inc. 3.450% 3/15/29  46,275     43,499
  Pfizer Inc. 2.625% 4/1/30  34,907     30,862
  Pfizer Inc. 1.700% 5/28/30  24,916     20,759
  Pfizer Inc. 1.750% 8/18/31  26,488     21,343
  Pfizer Investment Enterprises Pte. Ltd. 4.650% 5/19/30  74,826     73,614
  Pfizer Investment Enterprises Pte. Ltd. 4.750% 5/19/33 132,862    129,468
1 Piedmont Healthcare Inc. 2.044% 1/1/32   6,826      5,502
1 Providence St. Joseph Health Obligated Group 2.532% 10/1/29  15,122     13,167
  Providence St. Joseph Health Obligated Group 5.403% 10/1/33  15,890     15,815
  Quest Diagnostics Inc. 4.200% 6/30/29  17,804     17,114
  Quest Diagnostics Inc. 2.950% 6/30/30  24,627     21,678
  Quest Diagnostics Inc. 2.800% 6/30/31  12,569     10,728
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Quest Diagnostics Inc. 6.400% 11/30/33  23,850     25,506
  Regeneron Pharmaceuticals Inc. 1.750% 9/15/30  32,683     26,385
  Revvity Inc. 3.300% 9/15/29  22,561     20,310
  Revvity Inc. 2.550% 3/15/31   9,463      7,926
  Revvity Inc. 2.250% 9/15/31  13,250     10,770
  Royalty Pharma plc 2.200% 9/2/30  26,036     21,431
  Royalty Pharma plc 2.150% 9/2/31  22,534     17,995
1 Rush Obligated Group 3.922% 11/15/29   5,356      5,021
  Smith & Nephew plc 2.032% 10/14/30  26,658     21,864
1 Stanford Health Care 3.310% 8/15/30   7,320      6,611
  STERIS Irish FinCo Unltd. Co. 2.700% 3/15/31  18,689     15,893
  Stryker Corp. 1.950% 6/15/30  24,428     20,449
1 Sutter Health 2.294% 8/15/30  17,570     14,943
  Sutter Health 5.164% 8/15/33   3,960      3,983
  Takeda Pharmaceutical Co. Ltd. 2.050% 3/31/30  65,014     54,631
  Thermo Fisher Scientific Inc. 2.600% 10/1/29  26,994     24,071
  Thermo Fisher Scientific Inc. 4.977% 8/10/30  23,728     23,731
  Thermo Fisher Scientific Inc. 2.000% 10/15/31  32,955     26,858
  Thermo Fisher Scientific Inc. 4.950% 11/21/32  15,571     15,492
  Thermo Fisher Scientific Inc. 5.086% 8/10/33  28,760     28,891
  Thermo Fisher Scientific Inc. 5.200% 1/31/34  11,685     11,816
  UnitedHealth Group Inc. 4.000% 5/15/29  19,814     19,041
  UnitedHealth Group Inc. 2.875% 8/15/29  27,014     24,486
  UnitedHealth Group Inc. 5.300% 2/15/30  40,482     41,246
  UnitedHealth Group Inc. 2.000% 5/15/30  22,854     19,207
  UnitedHealth Group Inc. 2.300% 5/15/31  51,748     43,341
  UnitedHealth Group Inc. 4.200% 5/15/32  38,302     36,139
  UnitedHealth Group Inc. 5.350% 2/15/33  43,108     43,946
  UnitedHealth Group Inc. 4.500% 4/15/33  38,482     36,956
  Universal Health Services Inc. 2.650% 10/15/30  21,132     17,639
  Universal Health Services Inc. 2.650% 1/15/32  11,571      9,396
  UPMC 5.035% 5/15/33  12,590     12,428
  Viatris Inc. 2.700% 6/22/30  36,144     30,404
  Zimmer Biomet Holdings Inc. 5.350% 12/1/28   5,968      6,030
  Zimmer Biomet Holdings Inc. 2.600% 11/24/31  20,578     17,213
  Zoetis Inc. 2.000% 5/15/30  21,188     17,770
  Zoetis Inc. 5.600% 11/16/32  27,818     28,748
                             4,324,072
Industrials (5.9%)
1 3M Co. 3.375% 3/1/29  10,778      9,926
  3M Co. 2.375% 8/26/29  20,477     17,763
  3M Co. 3.050% 4/15/30  10,486      9,302
  Acuity Brands Lighting Inc. 2.150% 12/15/30  14,084     11,543
  Allegion plc 3.500% 10/1/29  11,531     10,530
  Allegion US Holding Co. Inc. 5.411% 7/1/32  18,042     18,024
1 American Airlines Pass-Through Trust Class A Series 2021-1 2.875% 7/11/34   2,230      1,877
1 American Airlines Pass-Through Trust Class AA Series 2017-2 3.350% 10/15/29   9,448      8,609
1 American Airlines Pass-Through Trust Class AA Series 2019-1 3.150% 2/15/32  10,385      9,107
  Amphenol Corp. 4.350% 6/1/29  14,101     13,707
  Amphenol Corp. 2.800% 2/15/30  23,177     20,641
  Amphenol Corp. 2.200% 9/15/31  20,477     16,799
  Boeing Co. 3.200% 3/1/29  28,812     26,042
  Boeing Co. 2.950% 2/1/30  10,565      9,241
  Boeing Co. 5.150% 5/1/30 143,576    141,154
  Boeing Co. 3.625% 2/1/31  43,142     38,622
  Boeing Co. 3.600% 5/1/34   7,225      6,092
  Canadian National Railway Co. 3.850% 8/5/32  28,149     25,901
  Canadian National Railway Co. 5.850% 11/1/33   6,400      6,792
  Canadian Pacific Railway Co. 2.875% 11/15/29   8,154      7,252
  Canadian Pacific Railway Co. 2.050% 3/5/30  14,990     12,633
  Canadian Pacific Railway Co. 7.125% 10/15/31   9,072     10,135
  Canadian Pacific Railway Co. 2.450% 12/2/31  36,147     32,105
  Carrier Global Corp. 2.722% 2/15/30  53,792     47,076
  Carrier Global Corp. 2.700% 2/15/31  16,844     14,358
 
45

 

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

($000)
  Caterpillar Inc. 2.600% 9/19/29   9,759      8,785
  Caterpillar Inc. 2.600% 4/9/30  24,052     21,369
  Caterpillar Inc. 1.900% 3/12/31   7,352      6,169
  CSX Corp. 4.250% 3/15/29  31,562     30,742
  CSX Corp. 2.400% 2/15/30   4,854      4,213
  CSX Corp. 4.100% 11/15/32  32,721     30,530
  Cummins Inc. 1.500% 9/1/30  22,714     18,347
  Cummins Inc. 5.150% 2/20/34  10,000      9,990
  Deere & Co. 5.375% 10/16/29  11,964     12,353
  Deere & Co. 3.100% 4/15/30  36,328     33,053
  Dover Corp. 2.950% 11/4/29   7,371      6,575
  Eaton Corp. 4.000% 11/2/32  19,774     18,527
  Eaton Corp. 4.150% 3/15/33  50,311     47,392
  Emerson Electric Co. 1.950% 10/15/30  23,893     20,044
  Emerson Electric Co. 2.200% 12/21/31  28,949     23,985
  FedEx Corp. 3.100% 8/5/29  23,163     21,012
  FedEx Corp. 4.250% 5/15/30  16,106     15,370
  FedEx Corp. 2.400% 5/15/31  20,315     16,967
  FedEx Corp. 4.900% 1/15/34  15,752     15,298
  Flowserve Corp. 3.500% 10/1/30  14,225     12,513
  General Dynamics Corp. 3.625% 4/1/30  31,960     29,822
  General Dynamics Corp. 2.250% 6/1/31   8,795      7,377
  HEICO Corp. 5.350% 8/1/33  15,520     15,426
  Honeywell International Inc. 2.700% 8/15/29  19,778     17,794
4 Honeywell International Inc. 4.875% 9/1/29  16,720     16,734
  Honeywell International Inc. 1.950% 6/1/30  26,411     22,318
  Honeywell International Inc. 1.750% 9/1/31  32,192     25,867
4 Honeywell International Inc. 4.950% 9/1/31  19,500     19,466
  Honeywell International Inc. 5.000% 2/15/33  25,243     25,292
  Honeywell International Inc. 4.500% 1/15/34  26,363     25,364
  Huntington Ingalls Industries Inc. 4.200% 5/1/30  16,961     15,946
  IDEX Corp. 3.000% 5/1/30  20,661     18,040
  Ingersoll Rand Inc. 5.700% 8/14/33  28,841     29,353
  Jacobs Engineering Group Inc. 5.900% 3/1/33  13,558     13,556
1 JetBlue Pass-Through Trust Class A Series 2020-1 4.000% 11/15/32   5,836      5,322
1 JetBlue Pass-Through Trust Class AA Series 2019-1 2.750% 5/15/32   5,532      4,653
1 John Deere Capital Corp. 3.450% 3/7/29  27,881     26,291
1 John Deere Capital Corp. 3.350% 4/18/29   4,858      4,559
1 John Deere Capital Corp. 2.800% 7/18/29  15,201     13,817
1 John Deere Capital Corp. 2.450% 1/9/30  20,420     17,944
1 John Deere Capital Corp. 4.700% 6/10/30  38,259     37,953
  John Deere Capital Corp. 1.450% 1/15/31  16,126     13,017
1 John Deere Capital Corp. 3.900% 6/7/32  16,745     15,605
1 John Deere Capital Corp. 4.350% 9/15/32  15,879     15,358
1 John Deere Capital Corp. 5.150% 9/8/33  28,726     29,221
  Johnson Controls International plc 1.750% 9/15/30  21,014     17,140
  Johnson Controls International plc 2.000% 9/16/31   9,717      7,805
  Johnson Controls International plc 4.900% 12/1/32   5,954      5,845
  Kennametal Inc. 2.800% 3/1/31   4,366      3,657
  Keysight Technologies Inc. 3.000% 10/30/29  13,279     11,809
  L3Harris Technologies Inc. 1.800% 1/15/31  24,361     19,586
  L3Harris Technologies Inc. 5.400% 7/31/33  40,495     40,520
  LKQ Corp. 6.250% 6/15/33  15,538     15,972
  Lockheed Martin Corp. 1.850% 6/15/30  14,346     11,995
  Lockheed Martin Corp. 3.900% 6/15/32  26,740     24,787
  Lockheed Martin Corp. 5.250% 1/15/33  25,253     25,736
  Nordson Corp. 5.800% 9/15/33  13,259     13,693
  Norfolk Southern Corp. 2.550% 11/1/29  17,945     15,770
  Norfolk Southern Corp. 5.050% 8/1/30  24,838     24,804
  Norfolk Southern Corp. 2.300% 5/15/31  11,701      9,766
  Norfolk Southern Corp. 3.000% 3/15/32  21,265     18,279
  Norfolk Southern Corp. 4.450% 3/1/33  11,441     10,886
  Northrop Grumman Corp. 4.400% 5/1/30  15,473     14,911
  Northrop Grumman Corp. 4.700% 3/15/33  27,937     26,947
  nVent Finance Sarl 2.750% 11/15/31   7,613      6,206
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  nVent Finance Sarl 5.650% 5/15/33  13,387     13,375
  Oshkosh Corp. 3.100% 3/1/30   8,822      7,785
  Otis Worldwide Corp. 2.565% 2/15/30  48,267     42,037
  Parker-Hannifin Corp. 3.250% 6/14/29  40,352     37,129
  Parker-Hannifin Corp. 4.500% 9/15/29  41,000     40,095
  Pentair Finance Sarl 4.500% 7/1/29  12,298     11,861
  Pentair Finance Sarl 5.900% 7/15/32   9,299      9,542
2 Regal Rexnord Corp. 6.300% 2/15/30  28,834     29,339
2 Regal Rexnord Corp. 6.400% 4/15/33  31,154     31,973
  Republic Services Inc. 4.875% 4/1/29   8,100      8,064
  Republic Services Inc. 2.300% 3/1/30  21,404     18,384
  Republic Services Inc. 1.450% 2/15/31  27,264     21,472
  Republic Services Inc. 1.750% 2/15/32  14,312     11,221
  Republic Services Inc. 2.375% 3/15/33   4,944      3,962
  Republic Services Inc. 5.000% 4/1/34  12,125     11,938
  Rockwell Automation Inc. 3.500% 3/1/29  14,028     13,367
  Rockwell Automation Inc. 1.750% 8/15/31  11,638      9,348
  RTX Corp. 2.250% 7/1/30  22,706     19,216
  RTX Corp. 6.000% 3/15/31  28,351     29,532
  RTX Corp. 1.900% 9/1/31  27,098     21,575
  RTX Corp. 2.375% 3/15/32  44,366     35,956
  RTX Corp. 5.150% 2/27/33  28,193     27,904
  Ryder System Inc. 6.600% 12/1/33  25,458     27,258
  Southwest Airlines Co. 2.625% 2/10/30  24,321     21,023
  Teledyne Technologies Inc. 2.750% 4/1/31  33,413     28,352
  Textron Inc. 3.900% 9/17/29   7,735      7,221
  Textron Inc. 3.000% 6/1/30  17,420     15,287
  Textron Inc. 2.450% 3/15/31  10,138      8,464
  Textron Inc. 6.100% 11/15/33  11,775     12,271
  Timken Co. 4.125% 4/1/32   9,280      8,452
  Trane Technologies Financing Ltd. 3.800% 3/21/29  14,316     13,533
  Trane Technologies Financing Ltd. 5.250% 3/3/33  17,815     17,987
  Trimble Inc. 6.100% 3/15/33  21,404     22,334
2 Triton Container International Ltd. 3.150% 6/15/31   5,845      4,603
  Triton Container International Ltd. 3.250% 3/15/32  12,865     10,238
  Tyco Electronics Group SA 2.500% 2/4/32  16,440     13,903
  Union Pacific Corp. 6.625% 2/1/29   6,066      6,556
  Union Pacific Corp. 3.700% 3/1/29   5,476      5,219
  Union Pacific Corp. 2.400% 2/5/30  15,760     13,713
  Union Pacific Corp. 2.375% 5/20/31  21,956     18,558
  Union Pacific Corp. 2.800% 2/14/32  27,834     23,889
  Union Pacific Corp. 4.500% 1/20/33  20,741     20,059
1 United Airlines Pass-Through Trust Class A Series 2023-1 5.800% 1/15/36  12,100     12,231
1 United Airlines Pass-Through Trust Class AA Series 2018-1 3.500% 3/1/30   3,502      3,195
1 United Airlines Pass-Through Trust Class AA Series 2019-1 4.150% 8/25/31   3,580      3,311
1 United Airlines Pass-Through Trust Class AA Series 2019-2 2.700% 5/1/32  12,762     10,855
  United Parcel Service Inc. 3.400% 3/15/29  16,591     15,656
  United Parcel Service Inc. 2.500% 9/1/29   6,513      5,809
  United Parcel Service Inc. 4.450% 4/1/30  29,695     29,185
  United Parcel Service Inc. 4.875% 3/3/33  30,743     30,513
1 US Airways Pass-Through Trust Class A Series 2012-1 5.900% 10/1/24     399        399
2 Veralto Corp. 5.450% 9/18/33  21,250     21,346
  Vontier Corp. 2.950% 4/1/31  17,598     14,487
  Waste Connections Inc. 4.250% 12/1/28   2,031      1,967
  Waste Connections Inc. 3.500% 5/1/29  13,530     12,674
  Waste Connections Inc. 2.600% 2/1/30  15,210     13,402
  Waste Connections Inc. 2.200% 1/15/32  17,200     13,922
  Waste Connections Inc. 3.200% 6/1/32  10,982      9,560
  Waste Connections Inc. 4.200% 1/15/33  20,182     18,849
  Waste Management Inc. 2.000% 6/1/29  15,587     13,492
  Waste Management Inc. 4.625% 2/15/30  18,843     18,531
  Waste Management Inc. 1.500% 3/15/31  28,635     22,725
  Waste Management Inc. 4.150% 4/15/32  22,373     21,075
 
46

 

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

($000)
  Waste Management Inc. 4.625% 2/15/33  10,529     10,158
  Waste Management Inc. 4.875% 2/15/34   2,400      2,349
4 Westinghouse Air Brake Technologies Corp. 5.611% 3/11/34   5,000      5,021
  Xylem Inc. 2.250% 1/30/31  13,525     11,331
                             2,766,712
Materials (3.1%)
  Air Products and Chemicals Inc. 2.050% 5/15/30  28,671     24,378
  Air Products and Chemicals Inc. 4.800% 3/3/33  19,493     19,229
  Albemarle Corp. 5.050% 6/1/32  16,881     16,027
  Amcor Finance USA Inc. 5.625% 5/26/33  15,415     15,657
  Amcor Flexibles North America Inc. 2.630% 6/19/30   8,995      7,674
  Amcor Flexibles North America Inc. 2.690% 5/25/31  21,504     18,108
  AngloGold Ashanti Holdings plc 3.750% 10/1/30  18,742     16,221
  AptarGroup Inc. 3.600% 3/15/32  10,485      9,207
  ArcelorMittal SA 4.250% 7/16/29  13,738     13,011
  ArcelorMittal SA 6.800% 11/29/32  27,210     28,787
2 Berry Global Inc. 5.650% 1/15/34  13,123     12,952
  BHP Billiton Finance USA Ltd. 5.250% 9/8/30  21,391     21,573
  BHP Billiton Finance USA Ltd. 4.900% 2/28/33  12,484     12,314
  BHP Billiton Finance USA Ltd. 5.250% 9/8/33  33,059     33,186
  Cabot Corp. 4.000% 7/1/29   9,073      8,465
  Cabot Corp. 5.000% 6/30/32   6,953      6,697
  Carlisle Cos. Inc. 2.750% 3/1/30  19,661     17,100
  Carlisle Cos. Inc. 2.200% 3/1/32  14,623     11,566
  Celanese US Holdings LLC 6.330% 7/15/29  10,693     10,988
  Celanese US Holdings LLC 6.550% 11/15/30  22,313     23,155
  Celanese US Holdings LLC 6.379% 7/15/32  31,397     32,236
  Celanese US Holdings LLC 6.700% 11/15/33  29,453     30,921
  Dow Chemical Co. 7.375% 11/1/29  16,924     18,761
  Dow Chemical Co. 2.100% 11/15/30  15,336     12,799
  Dow Chemical Co. 6.300% 3/15/33  14,088     15,087
  Eagle Materials Inc. 2.500% 7/1/31  19,900     16,517
  Eastman Chemical Co. 5.750% 3/8/33  19,688     19,852
  Eastman Chemical Co. 5.625% 2/20/34  13,145     13,061
  Ecolab Inc. 4.800% 3/24/30  20,532     20,495
  Ecolab Inc. 1.300% 1/30/31  19,108     15,118
  Ecolab Inc. 2.125% 2/1/32  16,430     13,458
  EIDP Inc. 2.300% 7/15/30  12,121     10,374
  EIDP Inc. 4.800% 5/15/33  14,710     14,394
  FMC Corp. 3.450% 10/1/29  12,310     10,938
  FMC Corp. 5.650% 5/18/33  24,363     23,587
  Freeport-McMoRan Inc. 5.250% 9/1/29  16,579     16,494
  Freeport-McMoRan Inc. 4.250% 3/1/30  14,493     13,543
  Freeport-McMoRan Inc. 4.625% 8/1/30   9,261      8,830
  Georgia-Pacific LLC 7.750% 11/15/29  18,407     20,907
  Georgia-Pacific LLC 8.875% 5/15/31   4,582      5,624
  Huntsman International LLC 4.500% 5/1/29  19,274     18,311
  Huntsman International LLC 2.950% 6/15/31  10,770      8,875
2 Kinross Gold Corp. 6.250% 7/15/33  13,888     14,194
  Linde Inc. 1.100% 8/10/30  20,917     16,736
  LYB International Finance III LLC 2.250% 10/1/30  15,246     12,692
  LYB International Finance III LLC 5.625% 5/15/33  13,042     13,215
  LYB International Finance III LLC 5.500% 3/1/34  19,800     19,650
1 Martin Marietta Materials Inc. 2.500% 3/15/30  15,741     13,615
  Martin Marietta Materials Inc. 2.400% 7/15/31  26,814     22,277
  Mosaic Co. 5.450% 11/15/33   5,942      5,872
  NewMarket Corp. 2.700% 3/18/31   8,088      6,715
  Newmont Corp. 2.800% 10/1/29  14,117     12,535
  Newmont Corp. 2.250% 10/1/30  36,008     30,112
  Newmont Corp. 2.600% 7/15/32  31,922     26,257
  Nucor Corp. 2.700% 6/1/30  17,207     15,165
  Nucor Corp. 3.125% 4/1/32  24,442     21,340
  Nutrien Ltd. 4.200% 4/1/29  31,304     30,072
  Nutrien Ltd. 2.950% 5/13/30   7,228      6,392
  Packaging Corp. of America 3.000% 12/15/29  12,696     11,381
  Packaging Corp. of America 5.700% 12/1/33   5,055      5,170
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  PPG Industries Inc. 2.800% 8/15/29   6,654      5,964
  PPG Industries Inc. 2.550% 6/15/30   9,034      7,794
  Reliance Inc. 2.150% 8/15/30  15,121     12,546
  Rio Tinto Alcan Inc. 7.250% 3/15/31   6,737      7,532
  Rio Tinto Alcan Inc. 6.125% 12/15/33  16,373     17,401
  Rio Tinto Finance USA plc 5.000% 3/9/33  13,015     12,998
  Rohm & Haas Co. 7.850% 7/15/29  19,481     21,630
  RPM International Inc. 4.550% 3/1/29   9,022      8,680
  RPM International Inc. 2.950% 1/15/32   4,907      4,141
  Sherwin-Williams Co. 2.950% 8/15/29  16,631     14,957
  Sherwin-Williams Co. 2.300% 5/15/30  12,005     10,205
  Sherwin-Williams Co. 2.200% 3/15/32   8,995      7,278
  Sonoco Products Co. 3.125% 5/1/30  17,358     15,404
  Sonoco Products Co. 2.850% 2/1/32  14,402     12,155
  Steel Dynamics Inc. 3.450% 4/15/30  15,532     14,115
  Steel Dynamics Inc. 3.250% 1/15/31  19,491     17,273
  Suzano Austria GmbH 5.000% 1/15/30  26,374     25,097
  Suzano Austria GmbH 3.750% 1/15/31  30,896     26,995
1 Suzano Austria GmbH 3.125% 1/15/32  26,511     21,769
  Teck Resources Ltd. 3.900% 7/15/30  13,922     12,696
  Vale Overseas Ltd. 3.750% 7/8/30  39,212     35,282
  Vale Overseas Ltd. 6.125% 6/12/33  45,725     46,161
  Vale Overseas Ltd. 8.250% 1/17/34   9,813     11,516
  Vulcan Materials Co. 3.500% 6/1/30  19,969     18,199
  Westlake Corp. 3.375% 6/15/30   6,400      5,717
  WestRock MWV LLC 8.200% 1/15/30  15,670     17,817
  WestRock MWV LLC 7.950% 2/15/31   6,868      7,825
  WRKCo Inc. 4.900% 3/15/29  21,884     21,667
  WRKCo Inc. 4.200% 6/1/32   5,784      5,435
  WRKCo Inc. 3.000% 6/15/33  22,955     19,345
  Yamana Gold Inc. 2.630% 8/15/31  12,093      9,974
                             1,445,435
Real Estate (5.7%)
  Agree LP 2.900% 10/1/30   6,202      5,284
  Agree LP 4.800% 10/1/32  12,448     11,634
  Alexandria Real Estate Equities Inc. 3.950% 1/15/28       1          1
  Alexandria Real Estate Equities Inc. 4.500% 7/30/29   8,695      8,337
  Alexandria Real Estate Equities Inc. 2.750% 12/15/29  12,468     10,848
  Alexandria Real Estate Equities Inc. 4.700% 7/1/30  10,687     10,272
  Alexandria Real Estate Equities Inc. 4.900% 12/15/30  20,447     19,900
  Alexandria Real Estate Equities Inc. 3.375% 8/15/31  15,364     13,492
  Alexandria Real Estate Equities Inc. 2.000% 5/18/32  24,092     18,598
  Alexandria Real Estate Equities Inc. 1.875% 2/1/33  27,131     20,292
  American Assets Trust LP 3.375% 2/1/31  11,234      9,087
  American Homes 4 Rent LP 2.375% 7/15/31  13,924     11,215
  American Homes 4 Rent LP 3.625% 4/15/32  18,313     15,956
  American Homes 4 Rent LP 5.500% 2/1/34  12,270     12,045
  American Tower Corp. 3.950% 3/15/29  20,714     19,439
  American Tower Corp. 3.800% 8/15/29  42,759     39,578
  American Tower Corp. 2.900% 1/15/30  18,956     16,628
  American Tower Corp. 2.100% 6/15/30  18,514     15,239
  American Tower Corp. 1.875% 10/15/30  18,928     15,201
  American Tower Corp. 2.700% 4/15/31  23,266     19,515
  American Tower Corp. 2.300% 9/15/31  10,353      8,356
  American Tower Corp. 4.050% 3/15/32  22,639     20,587
  American Tower Corp. 5.650% 3/15/33  28,029     28,186
  American Tower Corp. 5.550% 7/15/33  26,717     26,709
1 AvalonBay Communities Inc. 3.300% 6/1/29   6,283      5,793
1 AvalonBay Communities Inc. 2.300% 3/1/30   8,329      7,155
1 AvalonBay Communities Inc. 2.450% 1/15/31  11,900     10,148
  AvalonBay Communities Inc. 2.050% 1/15/32  14,197     11,583
  AvalonBay Communities Inc. 5.000% 2/15/33  11,386     11,167
  AvalonBay Communities Inc. 5.300% 12/7/33  16,089     16,130
  Boston Properties LP 3.400% 6/21/29  33,180     29,280
  Boston Properties LP 2.900% 3/15/30  22,209     18,772
  Boston Properties LP 3.250% 1/30/31  44,111     37,138
  Boston Properties LP 2.550% 4/1/32  21,236     16,501
 
47

 

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

($000)
  Boston Properties LP 2.450% 10/1/33   5,128      3,784
  Boston Properties LP 6.500% 1/15/34  10,895     11,140
  Brixmor Operating Partnership LP 4.125% 5/15/29  15,117     14,123
  Brixmor Operating Partnership LP 4.050% 7/1/30  15,585     14,312
  Brixmor Operating Partnership LP 2.500% 8/16/31   8,000      6,497
  Brixmor Operating Partnership LP 5.500% 2/15/34   7,250      7,058
  Broadstone Net Lease LLC 2.600% 9/15/31   7,671      5,951
  Camden Property Trust 3.150% 7/1/29  15,554     14,150
  Camden Property Trust 2.800% 5/15/30  19,150     16,828
  Camden Property Trust 4.900% 1/15/34  10,900     10,460
  CBRE Services Inc. 2.500% 4/1/31  11,978      9,836
  COPT Defense Properties LP 2.000% 1/15/29   8,362      6,923
  COPT Defense Properties LP 2.750% 4/15/31  18,514     14,933
  Crown Castle Inc. 3.100% 11/15/29  11,063      9,789
  Crown Castle Inc. 3.300% 7/1/30  19,071     16,843
  Crown Castle Inc. 2.250% 1/15/31  27,272     22,291
  Crown Castle Inc. 2.100% 4/1/31  30,044     24,089
  Crown Castle Inc. 2.500% 7/15/31  21,147     17,317
  Crown Castle Inc. 5.100% 5/1/33  20,800     20,080
  Crown Castle Inc. 5.800% 3/1/34  18,000     18,261
  CubeSmart LP 3.000% 2/15/30   8,451      7,377
  CubeSmart LP 2.000% 2/15/31  15,487     12,440
  CubeSmart LP 2.500% 2/15/32  13,955     11,268
  Digital Realty Trust LP 3.600% 7/1/29  34,728     32,018
  EPR Properties 3.750% 8/15/29  13,275     11,595
  EPR Properties 3.600% 11/15/31  12,241     10,009
  Equinix Inc. 3.200% 11/18/29  28,227     25,369
  Equinix Inc. 2.150% 7/15/30  21,979     18,224
  Equinix Inc. 2.500% 5/15/31  20,822     17,387
  Equinix Inc. 3.900% 4/15/32  26,216     23,790
  ERP Operating LP 3.000% 7/1/29  21,900     19,843
  ERP Operating LP 2.500% 2/15/30  15,131     13,137
  ERP Operating LP 1.850% 8/1/31  17,564     14,090
  Essential Properties LP 2.950% 7/15/31   9,169      7,198
  Essex Portfolio LP 4.000% 3/1/29  14,864     14,077
  Essex Portfolio LP 3.000% 1/15/30  13,706     12,025
  Essex Portfolio LP 1.650% 1/15/31   8,811      6,883
  Essex Portfolio LP 2.550% 6/15/31   7,521      6,196
  Essex Portfolio LP 2.650% 3/15/32  17,683     14,414
  Extra Space Storage LP 3.900% 4/1/29   9,978      9,314
  Extra Space Storage LP 4.000% 6/15/29   9,505      8,920
  Extra Space Storage LP 5.500% 7/1/30   9,910      9,953
  Extra Space Storage LP 2.200% 10/15/30  10,714      8,757
  Extra Space Storage LP 5.900% 1/15/31  15,783     16,144
  Extra Space Storage LP 2.550% 6/1/31  14,500     11,941
  Extra Space Storage LP 2.400% 10/15/31  13,792     11,141
  Extra Space Storage LP 2.350% 3/15/32  22,099     17,521
  Federal Realty OP LP 3.200% 6/15/29   9,354      8,358
  Federal Realty OP LP 3.500% 6/1/30   8,953      8,030
  GLP Capital LP 4.000% 1/15/30  16,352     14,715
  GLP Capital LP 4.000% 1/15/31  19,016     16,766
  GLP Capital LP 3.250% 1/15/32  22,078     18,317
  Healthcare Realty Holdings LP 3.100% 2/15/30  16,607     14,310
  Healthcare Realty Holdings LP 2.000% 3/15/31  20,964     16,427
  Healthpeak OP LLC 3.500% 7/15/29  17,548     16,033
  Healthpeak OP LLC 3.000% 1/15/30  25,300     22,198
  Healthpeak OP LLC 2.875% 1/15/31  15,539     13,214
  Healthpeak OP LLC 5.250% 12/15/32  19,450     19,017
  Highwoods Realty LP 4.200% 4/15/29   3,722      3,355
  Highwoods Realty LP 3.050% 2/15/30  12,423     10,400
  Highwoods Realty LP 2.600% 2/1/31   6,945      5,462
  Highwoods Realty LP 7.650% 2/1/34   5,000      5,361
1 Host Hotels & Resorts LP 3.375% 12/15/29  18,430     16,306
1 Host Hotels & Resorts LP 3.500% 9/15/30  24,699     21,774
1 Host Hotels & Resorts LP 2.900% 12/15/31  14,352     11,850
  Invitation Homes Operating Partnership LP 5.450% 8/15/30   5,779      5,754
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Invitation Homes Operating Partnership LP 2.000% 8/15/31  13,176     10,292
  Invitation Homes Operating Partnership LP 4.150% 4/15/32  16,066     14,519
  Invitation Homes Operating Partnership LP 5.500% 8/15/33   9,281      9,166
  Kilroy Realty LP 4.250% 8/15/29   7,671      6,999
  Kilroy Realty LP 3.050% 2/15/30  26,680     22,347
  Kilroy Realty LP 2.500% 11/15/32  13,018      9,647
  Kilroy Realty LP 2.650% 11/15/33  12,144      8,847
  Kimco Realty OP LLC 2.700% 10/1/30   7,145      6,077
  Kimco Realty OP LLC 2.250% 12/1/31  13,277     10,571
  Kimco Realty OP LLC 3.200% 4/1/32  18,477     15,695
  Kimco Realty OP LLC 4.600% 2/1/33  17,010     15,944
  Kite Realty Group LP 5.500% 3/1/34   2,616      2,557
  Kite Realty Group Trust 4.750% 9/15/30   8,320      7,851
  LXP Industrial Trust 2.700% 9/15/30   9,291      7,666
  LXP Industrial Trust 2.375% 10/1/31  10,672      8,460
  Mid-America Apartments LP 3.950% 3/15/29  15,069     14,378
  Mid-America Apartments LP 2.750% 3/15/30   5,031      4,422
  Mid-America Apartments LP 1.700% 2/15/31  17,053     13,595
  National Health Investors Inc. 3.000% 2/1/31  13,276     10,642
  NNN REIT Inc. 2.500% 4/15/30   7,343      6,213
  NNN REIT Inc. 5.600% 10/15/33  13,720     13,673
  Omega Healthcare Investors Inc. 3.625% 10/1/29  10,282      9,030
  Omega Healthcare Investors Inc. 3.375% 2/1/31  14,025     11,806
  Omega Healthcare Investors Inc. 3.250% 4/15/33  22,266     17,700
  Phillips Edison Grocery Center Operating Partnership I LP 2.625% 11/15/31   6,416      5,160
  Physicians Realty LP 2.625% 11/1/31   8,869      7,222
  Piedmont Operating Partnership LP 3.150% 8/15/30   8,289      6,360
  Piedmont Operating Partnership LP 2.750% 4/1/32   8,113      5,733
  Prologis LP 3.875% 9/15/28       1         —
  Prologis LP 2.875% 11/15/29  12,133     10,895
  Prologis LP 2.250% 4/15/30  31,932     27,382
  Prologis LP 1.750% 7/1/30   9,170      7,538
  Prologis LP 1.250% 10/15/30  16,589     13,153
  Prologis LP 1.750% 2/1/31  11,009      8,917
  Prologis LP 1.625% 3/15/31   6,811      5,401
  Prologis LP 2.250% 1/15/32  15,103     12,337
  Prologis LP 4.625% 1/15/33  16,354     15,736
  Prologis LP 4.750% 6/15/33  19,182     18,580
  Prologis LP 5.125% 1/15/34   8,725      8,636
  Prologis LP 5.000% 3/15/34  10,000      9,826
  Public Storage Operating Co. 3.385% 5/1/29  15,503     14,450
  Public Storage Operating Co. 2.300% 5/1/31  11,352      9,525
  Public Storage Operating Co. 2.250% 11/9/31  22,930     18,906
  Public Storage Operating Co. 5.100% 8/1/33  13,035     13,020
  Rayonier LP 2.750% 5/17/31   6,264      5,106
  Realty Income Corp. 3.250% 6/15/29  13,076     11,964
  Realty Income Corp. 4.000% 7/15/29  12,735     12,007
  Realty Income Corp. 3.100% 12/15/29  13,205     11,858
  Realty Income Corp. 3.400% 1/15/30  13,897     12,596
  Realty Income Corp. 4.850% 3/15/30  20,688     20,279
  Realty Income Corp. 3.250% 1/15/31  29,766     26,329
  Realty Income Corp. 3.200% 2/15/31   8,490      7,417
  Realty Income Corp. 2.700% 2/15/32   8,325      6,824
  Realty Income Corp. 5.625% 10/13/32  28,635     28,922
  Realty Income Corp. 2.850% 12/15/32  22,703     18,691
  Realty Income Corp. 4.900% 7/15/33  15,764     15,040
  Realty Income Corp. 5.125% 2/15/34  11,000     10,653
  Regency Centers LP 2.950% 9/15/29  11,249      9,953
  Regency Centers LP 3.700% 6/15/30  15,848     14,440
  Regency Centers LP 5.250% 1/15/34  10,970     10,726
  Rexford Industrial Realty LP 2.125% 12/1/30  12,247      9,916
  Rexford Industrial Realty LP 2.150% 9/1/31  10,584      8,359
  Sabra Health Care LP 3.900% 10/15/29  12,976     11,558
 
48

 

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

($000)
  Sabra Health Care LP 3.200% 12/1/31  32,716     26,573
  Safehold GL Holdings LLC 2.800% 6/15/31  10,750      8,738
  Safehold GL Holdings LLC 2.850% 1/15/32   7,537      6,063
  Simon Property Group LP 2.450% 9/13/29  29,369     25,586
  Simon Property Group LP 2.650% 7/15/30  19,300     16,748
  Simon Property Group LP 2.200% 2/1/31  13,342     10,937
  Simon Property Group LP 2.250% 1/15/32  13,208     10,621
  Simon Property Group LP 2.650% 2/1/32  13,847     11,502
  Simon Property Group LP 5.500% 3/8/33  12,437     12,543
  Simon Property Group LP 6.250% 1/15/34  13,300     14,003
  Store Capital LLC 4.625% 3/15/29   7,495      6,992
  Store Capital LLC 2.750% 11/18/30   8,479      6,712
  Store Capital LLC 2.700% 12/1/31   8,610      6,699
  Sun Communities Operating LP 2.700% 7/15/31  25,348     20,673
  Sun Communities Operating LP 4.200% 4/15/32  18,399     16,328
  Sun Communities Operating LP 5.700% 1/15/33   8,136      8,009
  Tanger Properties LP 2.750% 9/1/31   9,139      7,371
1 UDR Inc. 4.400% 1/26/29       1         —
1 UDR Inc. 3.200% 1/15/30  15,766     14,104
  UDR Inc. 3.000% 8/15/31  16,206     13,903
1 UDR Inc. 2.100% 8/1/32   6,472      5,004
1 UDR Inc. 1.900% 3/15/33   7,557      5,641
1 UDR Inc. 2.100% 6/15/33   7,611      5,737
  Ventas Realty LP 3.000% 1/15/30  24,052     20,993
  Ventas Realty LP 4.750% 11/15/30  13,036     12,470
  Ventas Realty LP 2.500% 9/1/31   8,194      6,668
  VICI Properties LP 4.950% 2/15/30  26,650     25,436
  VICI Properties LP 5.125% 5/15/32  37,908     35,602
  Welltower OP LLC 4.125% 3/15/29  19,291     18,340
  Welltower OP LLC 3.100% 1/15/30  19,136     17,064
  Welltower OP LLC 2.750% 1/15/31  13,102     11,168
  Welltower OP LLC 2.800% 6/1/31  20,052     17,013
  Welltower OP LLC 2.750% 1/15/32  10,841      9,013
  Welltower OP LLC 3.850% 6/15/32  12,586     11,283
  Weyerhaeuser Co. 4.000% 11/15/29  26,845     25,210
  Weyerhaeuser Co. 4.000% 4/15/30  27,396     25,603
  Weyerhaeuser Co. 7.375% 3/15/32  18,505     20,893
  Weyerhaeuser Co. 3.375% 3/9/33  12,124     10,474
  WP Carey Inc. 3.850% 7/15/29   7,771      7,190
  WP Carey Inc. 2.400% 2/1/31  13,590     11,180
  WP Carey Inc. 2.450% 2/1/32   7,965      6,340
  WP Carey Inc. 2.250% 4/1/33   8,242      6,258
                             2,711,606
Technology (8.0%)
  Adobe Inc. 2.300% 2/1/30  29,838     26,028
  Advanced Micro Devices Inc. 3.924% 6/1/32  20,508     19,184
  Amdocs Ltd. 2.538% 6/15/30  19,741     16,753
  Analog Devices Inc. 2.100% 10/1/31  25,080     20,692
  Apple Inc. 3.250% 8/8/29  24,972     23,348
  Apple Inc. 2.200% 9/11/29  38,096     33,645
  Apple Inc. 4.150% 5/10/30   4,365      4,285
  Apple Inc. 1.650% 5/11/30  49,451     41,347
  Apple Inc. 1.250% 8/20/30  45,751     37,027
  Apple Inc. 1.650% 2/8/31  70,636     58,164
  Apple Inc. 1.700% 8/5/31  38,894     31,673
  Apple Inc. 3.350% 8/8/32  47,939     43,522
  Apple Inc. 4.300% 5/10/33   7,135      7,044
  Applied Materials Inc. 1.750% 6/1/30  14,430     12,034
  Arrow Electronics Inc. 2.950% 2/15/32  13,166     10,989
  Autodesk Inc. 2.850% 1/15/30   3,185      2,823
  Autodesk Inc. 2.400% 12/15/31  26,898     22,313
  Automatic Data Processing Inc. 1.250% 9/1/30  34,621     28,042
  Avnet Inc. 3.000% 5/15/31   7,978      6,585
  Avnet Inc. 5.500% 6/1/32   8,253      7,925
  Booz Allen Hamilton Inc. 5.950% 8/4/33  17,200     17,698
2 Broadcom Inc. 4.000% 4/15/29  16,318     15,441
  Broadcom Inc. 4.750% 4/15/29  41,364     40,589
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Broadcom Inc. 5.000% 4/15/30  21,141     21,067
  Broadcom Inc. 4.150% 11/15/30  52,138     48,741
2 Broadcom Inc. 2.450% 2/15/31  71,141     59,215
2 Broadcom Inc. 4.150% 4/15/32  29,373     26,966
  Broadcom Inc. 4.300% 11/15/32  59,467     55,067
2 Broadcom Inc. 2.600% 2/15/33  37,102     29,776
2 Broadcom Inc. 3.419% 4/15/33  56,408     48,169
  Broadridge Financial Solutions Inc. 2.900% 12/1/29  12,147     10,693
  Broadridge Financial Solutions Inc. 2.600% 5/1/31  30,972     25,950
  CDW LLC 3.569% 12/1/31  27,453     23,807
2 CGI Inc. 2.300% 9/14/31       1         —
  CGI Inc. 2.300% 9/14/31   7,067      5,653
  Cintas Corp. No. 2 4.000% 5/1/32  18,152     17,000
  Cisco Systems Inc. 4.950% 2/26/31  45,130     45,168
  Cisco Systems Inc. 5.050% 2/26/34  54,670     54,953
  Concentrix Corp. 6.850% 8/2/33  14,890     14,561
  Dell International LLC 5.300% 10/1/29  50,405     50,501
  Dell International LLC 6.200% 7/15/30  19,529     20,433
  Dell International LLC 5.750% 2/1/33  23,249     23,874
  Equifax Inc. 3.100% 5/15/30  13,319     11,743
  Equifax Inc. 2.350% 9/15/31  37,090     30,287
  Fidelity National Information Services Inc. 3.750% 5/21/29   8,286      7,887
  Fidelity National Information Services Inc. 2.250% 3/1/31  42,971     35,911
  Fidelity National Information Services Inc. 5.100% 7/15/32  18,093     18,082
  Fiserv Inc. 3.500% 7/1/29  81,165     74,634
  Fiserv Inc. 2.650% 6/1/30  24,648     21,194
  Fiserv Inc. 5.600% 3/2/33  22,927     23,115
  Fiserv Inc. 5.625% 8/21/33  34,526     34,914
  Flex Ltd. 4.875% 6/15/29  18,516     18,011
  Flex Ltd. 4.875% 5/12/30  17,048     16,425
  Fortinet Inc. 2.200% 3/15/31  13,169     10,890
  HP Inc. 4.000% 4/15/29  28,628     27,264
  HP Inc. 3.400% 6/17/30  11,070      9,965
  HP Inc. 2.650% 6/17/31  32,484     27,106
  HP Inc. 4.200% 4/15/32  13,346     12,305
  HP Inc. 5.500% 1/15/33  34,255     34,269
  Hubbell Inc. 2.300% 3/15/31   5,525      4,566
  IBM International Capital Pte. Ltd. 4.900% 2/5/34  30,000     29,093
  Intel Corp. 4.000% 8/5/29  25,425     24,309
  Intel Corp. 2.450% 11/15/29  56,296     49,300
  Intel Corp. 5.125% 2/10/30  36,564     36,852
  Intel Corp. 3.900% 3/25/30  35,464     33,345
  Intel Corp. 2.000% 8/12/31  44,078     35,771
  Intel Corp. 4.150% 8/5/32  55,217     51,889
  Intel Corp. 5.200% 2/10/33  52,435     52,457
  Intel Corp. 5.150% 2/21/34  19,000     18,813
  International Business Machines Corp. 3.500% 5/15/29  74,620     69,652
  International Business Machines Corp. 1.950% 5/15/30  31,797     26,603
  International Business Machines Corp. 2.720% 2/9/32   5,237      4,536
  International Business Machines Corp. 4.400% 7/27/32  18,275     17,453
  International Business Machines Corp. 5.875% 11/29/32  11,525     12,202
  International Business Machines Corp. 4.750% 2/6/33  24,474     23,882
  Intuit Inc. 1.650% 7/15/30  11,953      9,801
  Intuit Inc. 5.200% 9/15/33  33,583     33,918
  Jabil Inc. 3.600% 1/15/30   9,796      8,825
  Jabil Inc. 3.000% 1/15/31  18,017     15,373
  Juniper Networks Inc. 3.750% 8/15/29  15,151     14,043
  Juniper Networks Inc. 2.000% 12/10/30  13,163     10,598
  KLA Corp. 4.650% 7/15/32  21,120     20,587
 
49

 

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

($000)
  KLA Corp. 4.700% 2/1/34  15,000     14,607
  Kyndryl Holdings Inc. 3.150% 10/15/31  17,325     14,287
  Kyndryl Holdings Inc. 6.350% 2/20/34   3,243      3,272
  Lam Research Corp. 4.000% 3/15/29  29,598     28,521
  Lam Research Corp. 1.900% 6/15/30  19,022     15,963
  Leidos Inc. 4.375% 5/15/30  17,705     16,638
  Leidos Inc. 2.300% 2/15/31  22,342     18,304
  Leidos Inc. 5.750% 3/15/33  19,485     19,790
  Marvell Technology Inc. 2.950% 4/15/31  19,837     16,988
  Marvell Technology Inc. 5.950% 9/15/33  13,265     13,679
  Micron Technology Inc. 5.327% 2/6/29       1          1
  Micron Technology Inc. 6.750% 11/1/29  35,395     37,564
  Micron Technology Inc. 4.663% 2/15/30  21,560     20,822
  Micron Technology Inc. 2.703% 4/15/32  24,510     20,107
  Micron Technology Inc. 5.875% 2/9/33  26,741     27,291
  Micron Technology Inc. 5.875% 9/15/33  22,375     22,805
2 Microsoft Corp. 1.350% 9/15/30  11,172      9,143
  Moody's Corp. 2.000% 8/19/31  17,318     14,001
  Moody's Corp. 4.250% 8/8/32  12,898     12,183
  Motorola Solutions Inc. 4.600% 5/23/29  21,634     21,031
  Motorola Solutions Inc. 2.300% 11/15/30  15,500     12,765
  Motorola Solutions Inc. 2.750% 5/24/31  17,382     14,501
  Motorola Solutions Inc. 5.600% 6/1/32   7,224      7,246
  NetApp Inc. 2.700% 6/22/30  18,348     15,731
  NVIDIA Corp. 2.850% 4/1/30  42,331     38,119
  NVIDIA Corp. 2.000% 6/15/31  33,109     27,659
  NXP BV 4.300% 6/18/29  27,970     26,702
  NXP BV 3.400% 5/1/30  19,335     17,309
  NXP BV 2.500% 5/11/31  31,490     26,071
  NXP BV 2.650% 2/15/32  12,386     10,168
  NXP BV 5.000% 1/15/33  26,195     25,313
  Oracle Corp. 6.150% 11/9/29  25,501     26,664
  Oracle Corp. 2.950% 4/1/30  86,051     75,892
  Oracle Corp. 4.650% 5/6/30  24,663     23,993
  Oracle Corp. 3.250% 5/15/30  11,633     10,427
  Oracle Corp. 2.875% 3/25/31  83,966     72,435
  Oracle Corp. 6.250% 11/9/32  52,585     55,526
  Oracle Corp. 4.900% 2/6/33  45,675     44,102
  Qorvo Inc. 4.375% 10/15/29  20,895     19,431
  QUALCOMM Inc. 2.150% 5/20/30  29,095     24,886
  QUALCOMM Inc. 1.650% 5/20/32  33,537     26,176
  QUALCOMM Inc. 4.250% 5/20/32  12,763     12,174
  QUALCOMM Inc. 5.400% 5/20/33  15,428     15,986
  Quanta Services Inc. 2.900% 10/1/30  24,494     21,236
  Quanta Services Inc. 2.350% 1/15/32   8,074      6,463
  RELX Capital Inc. 4.000% 3/18/29  27,754     26,507
  RELX Capital Inc. 3.000% 5/22/30  19,307     17,237
  RELX Capital Inc. 4.750% 5/20/32  12,866     12,635
  Roper Technologies Inc. 2.950% 9/15/29  15,220     13,624
  Roper Technologies Inc. 2.000% 6/30/30   8,617      7,158
  Roper Technologies Inc. 1.750% 2/15/31  24,665     19,705
  S&P Global Inc. 2.700% 3/1/29  32,729     29,599
  S&P Global Inc. 4.250% 5/1/29  31,047     30,105
  S&P Global Inc. 2.500% 12/1/29  18,826     16,588
  S&P Global Inc. 1.250% 8/15/30  11,751      9,377
  S&P Global Inc. 2.900% 3/1/32  44,949     38,708
2 S&P Global Inc. 5.250% 9/15/33  13,410     13,550
  Salesforce Inc. 1.950% 7/15/31  46,964     38,460
  ServiceNow Inc. 1.400% 9/1/30  40,614     32,579
  Skyworks Solutions Inc. 3.000% 6/1/31  12,602     10,554
  TD SYNNEX Corp. 2.650% 8/9/31  12,584     10,005
  Teledyne FLIR LLC 2.500% 8/1/30  14,796     12,499
  Texas Instruments Inc. 2.250% 9/4/29  15,447     13,632
  Texas Instruments Inc. 1.750% 5/4/30  15,634     13,083
  Texas Instruments Inc. 1.900% 9/15/31  11,791      9,731
  Texas Instruments Inc. 3.650% 8/16/32   6,028      5,536
  Texas Instruments Inc. 4.900% 3/14/33  22,955     22,974
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Texas Instruments Inc. 4.850% 2/8/34  25,000     24,850
  TSMC Arizona Corp. 4.125% 4/22/29  16,053     15,520
  TSMC Arizona Corp. 2.500% 10/25/31  31,823     26,939
  TSMC Arizona Corp. 4.250% 4/22/32  11,345     10,956
  Verisk Analytics Inc. 4.125% 3/15/29  19,045     18,275
  Verisk Analytics Inc. 5.750% 4/1/33  16,048     16,577
  VMware LLC 4.700% 5/15/30  39,837     38,309
  VMware LLC 2.200% 8/15/31  28,670     23,117
  Western Digital Corp. 3.100% 2/1/32  13,331     10,392
  Workday Inc. 3.700% 4/1/29  23,622     22,078
  Workday Inc. 3.800% 4/1/32  33,267     30,071
  Xilinx Inc. 2.375% 6/1/30  18,337     15,869
                             3,787,386
Utilities (8.3%)
1 AEP Texas Inc. 2.100% 7/1/30  16,779     13,888
  AEP Texas Inc. 4.700% 5/15/32   9,330      8,890
  AEP Texas Inc. 5.400% 6/1/33  11,278     11,255
  AES Corp. 2.450% 1/15/31  26,517     21,656
1 Alabama Power Co. 1.450% 9/15/30  12,990     10,433
  Alabama Power Co. 3.050% 3/15/32   9,309      8,059
  Alabama Power Co. 3.940% 9/1/32  16,333     15,047
  Alabama Power Co. 5.850% 11/15/33   4,420      4,625
  Ameren Corp. 3.500% 1/15/31  25,068     22,583
  Ameren Illinois Co. 1.550% 11/15/30  10,781      8,647
  Ameren Illinois Co. 3.850% 9/1/32  17,566     15,994
  Ameren Illinois Co. 4.950% 6/1/33  11,652     11,457
  American Electric Power Co. Inc. 2.300% 3/1/30   8,706      7,360
  American Electric Power Co. Inc. 5.950% 11/1/32   9,450      9,775
  American Electric Power Co. Inc. 5.625% 3/1/33  22,774     22,937
  American Water Capital Corp. 3.450% 6/1/29   9,860      9,166
  American Water Capital Corp. 2.800% 5/1/30   6,503      5,692
  American Water Capital Corp. 2.300% 6/1/31  14,360     11,885
  American Water Capital Corp. 4.450% 6/1/32  20,757     19,847
  American Water Capital Corp. 5.150% 3/1/34   6,100      6,049
1 Appalachian Power Co. 2.700% 4/1/31  18,296     15,454
1 Appalachian Power Co. 4.500% 8/1/32  23,469     21,942
  Arizona Public Service Co. 2.600% 8/15/29   6,758      5,951
  Arizona Public Service Co. 6.350% 12/15/32  12,162     12,879
  Arizona Public Service Co. 5.550% 8/1/33  10,775     10,822
  Atlantic City Electric Co. 2.300% 3/15/31  11,538      9,520
  Atmos Energy Corp. 2.625% 9/15/29  13,551     12,063
  Atmos Energy Corp. 1.500% 1/15/31  17,921     14,254
  Atmos Energy Corp. 5.450% 10/15/32   8,286      8,484
  Atmos Energy Corp. 5.900% 11/15/33   5,485      5,764
  Avangrid Inc. 3.800% 6/1/29  20,816     19,394
  Baltimore Gas & Electric Co. 2.250% 6/15/31  17,471     14,535
  Berkshire Hathaway Energy Co. 3.700% 7/15/30  24,845     22,981
  Berkshire Hathaway Energy Co. 1.650% 5/15/31  11,292      8,928
  Black Hills Corp. 3.050% 10/15/29  10,155      9,005
  Black Hills Corp. 2.500% 6/15/30   7,579      6,294
  Black Hills Corp. 4.350% 5/1/33  10,915      9,939
  Black Hills Corp. 6.150% 5/15/34   3,140      3,225
1 CenterPoint Energy Houston Electric LLC 2.350% 4/1/31  10,528      8,845
1 CenterPoint Energy Houston Electric LLC 3.000% 3/1/32   7,699      6,657
1 CenterPoint Energy Houston Electric LLC 4.450% 10/1/32  15,441     14,701
  CenterPoint Energy Houston Electric LLC 4.950% 4/1/33  32,775     32,278
  CenterPoint Energy Houston Electric LLC 5.150% 3/1/34   6,000      5,994
  CenterPoint Energy Inc. 2.950% 3/1/30  10,938      9,659
  CenterPoint Energy Inc. 2.650% 6/1/31  13,225     11,102
  CenterPoint Energy Resources Corp. 1.750% 10/1/30  12,823     10,421
  CenterPoint Energy Resources Corp. 5.400% 3/1/33  19,748     19,877
  Cleco Corporate Holdings LLC 3.375% 9/15/29   1,330      1,156
 
50

 

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

($000)
1 CMS Energy Corp. 4.750% 6/1/50  14,156     12,917
  CMS Energy Corp. 3.750% 12/1/50   2,382      1,909
  Commonwealth Edison Co. 2.200% 3/1/30   8,926      7,590
1 Commonwealth Edison Co. 3.150% 3/15/32   4,335      3,781
  Commonwealth Edison Co. 4.900% 2/1/33   9,332      9,167
1 Connecticut Light & Power Co. 2.050% 7/1/31   8,216      6,676
  Connecticut Light & Power Co. 4.900% 7/1/33   7,010      6,847
1 Consolidated Edison Co. of New York Inc. 3.350% 4/1/30  17,004     15,545
  Consolidated Edison Co. of New York Inc. 2.400% 6/15/31  23,200     19,538
  Consolidated Edison Co. of New York Inc. 5.200% 3/1/33  10,657     10,751
  Consolidated Edison Co. of New York Inc. 5.500% 3/15/34   2,800      2,861
  Constellation Energy Generation LLC 5.800% 3/1/33  16,171     16,525
  Constellation Energy Generation LLC 6.125% 1/15/34  13,825     14,436
  Consumers Energy Co. 3.600% 8/15/32  14,044     12,664
  Consumers Energy Co. 4.625% 5/15/33  28,123     27,189
1 Dominion Energy Inc. 3.375% 4/1/30  52,184     46,990
1 Dominion Energy Inc. 2.250% 8/15/31  24,038     19,441
1 Dominion Energy Inc. 4.350% 8/15/32  12,527     11,661
  Dominion Energy Inc. 5.375% 11/15/32  32,131     31,947
1 Dominion Energy South Carolina Inc. 2.300% 12/1/31  13,792     11,314
  Dominion Energy South Carolina Inc. 6.625% 2/1/32     615        683
  Dominion Energy South Carolina Inc. 5.300% 5/15/33   4,442      4,465
  DTE Electric Co. 2.250% 3/1/30  19,605     16,827
1 DTE Electric Co. 2.625% 3/1/31  17,929     15,399
1 DTE Electric Co. 3.000% 3/1/32  12,026     10,375
  DTE Electric Co. 5.200% 4/1/33  14,546     14,639
  DTE Electric Co. 5.200% 3/1/34   9,000      8,967
1 DTE Energy Co. 3.400% 6/15/29  15,412     14,104
  DTE Energy Co. 2.950% 3/1/30  12,160     10,652
  Duke Energy Carolinas LLC 2.450% 8/15/29   5,973      5,268
  Duke Energy Carolinas LLC 2.450% 2/1/30   5,951      5,203
  Duke Energy Carolinas LLC 2.550% 4/15/31  21,677     18,575
  Duke Energy Carolinas LLC 2.850% 3/15/32   8,536      7,243
  Duke Energy Carolinas LLC 4.950% 1/15/33  32,809     32,282
  Duke Energy Carolinas LLC 4.850% 1/15/34  23,666     22,982
  Duke Energy Corp. 3.400% 6/15/29  16,590     15,276
  Duke Energy Corp. 2.450% 6/1/30  17,553     15,014
  Duke Energy Corp. 2.550% 6/15/31  30,123     25,099
  Duke Energy Corp. 4.500% 8/15/32  34,972     32,808
  Duke Energy Corp. 5.750% 9/15/33  23,563     23,990
  Duke Energy Florida LLC 2.500% 12/1/29  20,694     18,185
  Duke Energy Florida LLC 1.750% 6/15/30  20,120     16,596
  Duke Energy Florida LLC 2.400% 12/15/31  18,194     15,043
  Duke Energy Florida LLC 5.875% 11/15/33  27,047     28,311
4 Duke Energy Indiana LLC 5.250% 3/1/34   4,500      4,489
  Duke Energy Ohio Inc. 3.650% 2/1/29   9,160      8,650
  Duke Energy Ohio Inc. 2.125% 6/1/30   2,050      1,722
  Duke Energy Ohio Inc. 5.250% 4/1/33   8,737      8,740
  Duke Energy Progress LLC 3.450% 3/15/29   7,865      7,359
  Duke Energy Progress LLC 2.000% 8/15/31  18,191     14,696
  Duke Energy Progress LLC 5.250% 3/15/33  13,293     13,271
2 East Ohio Gas Co. 2.000% 6/15/30   1,200        982
  Edison International 6.950% 11/15/29  18,644     19,871
  Emera US Finance LP 2.639% 6/15/31  11,591      9,331
  Entergy Arkansas LLC 5.150% 1/15/33  10,910     10,894
  Entergy Arkansas LLC 5.300% 9/15/33   8,685      8,704
  Entergy Corp. 2.800% 6/15/30  12,898     11,153
  Entergy Corp. 2.400% 6/15/31  17,173     14,137
  Entergy Louisiana LLC 1.600% 12/15/30   9,969      7,901
  Entergy Louisiana LLC 3.050% 6/1/31   7,785      6,790
  Entergy Louisiana LLC 2.350% 6/15/32   8,290      6,704
  Entergy Texas Inc. 4.000% 3/30/29  14,061     13,420
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Entergy Texas Inc. 1.750% 3/15/31  18,406     14,733
  Essential Utilities Inc. 3.566% 5/1/29   9,000      8,343
  Essential Utilities Inc. 2.704% 4/15/30  12,844     11,054
  Essential Utilities Inc. 2.400% 5/1/31   6,182      5,074
  Essential Utilities Inc. 5.375% 1/15/34  17,060     16,761
  Evergy Inc. 2.900% 9/15/29  32,464     28,771
  Evergy Kansas Central Inc. 5.900% 11/15/33   1,445      1,501
1 Evergy Metro Inc. 2.250% 6/1/30   6,913      5,842
  Evergy Metro Inc. 4.950% 4/15/33   8,067      7,887
1 Eversource Energy 4.250% 4/1/29  16,000     15,242
1 Eversource Energy 1.650% 8/15/30  17,585     13,992
  Eversource Energy 2.550% 3/15/31  14,918     12,313
  Eversource Energy 3.375% 3/1/32  28,337     24,325
  Eversource Energy 5.125% 5/15/33  27,971     27,021
  Exelon Corp. 4.050% 4/15/30  42,143     39,527
  Exelon Corp. 3.350% 3/15/32  23,446     20,443
  Exelon Corp. 5.300% 3/15/33  25,157     24,914
  Exelon Corp. 5.450% 3/15/34  12,000     11,947
  Florida Power & Light Co. 4.625% 5/15/30  17,401     17,125
  Florida Power & Light Co. 2.450% 2/3/32  28,216     23,595
  Florida Power & Light Co. 5.100% 4/1/33  29,972     29,861
  Florida Power & Light Co. 4.800% 5/15/33  19,154     18,731
1 Georgia Power Co. 2.650% 9/15/29  18,564     16,423
  Georgia Power Co. 4.700% 5/15/32  17,302     16,724
  Georgia Power Co. 4.950% 5/17/33  25,737     25,146
  Georgia Power Co. 5.250% 3/15/34   6,600      6,578
  Interstate Power & Light Co. 3.600% 4/1/29   3,000      2,790
  Interstate Power & Light Co. 2.300% 6/1/30   9,204      7,755
  Interstate Power & Light Co. 5.700% 10/15/33   7,914      8,057
  IPALCO Enterprises Inc. 4.250% 5/1/30  12,444     11,455
1 Kentucky Utilities Co. 5.450% 4/15/33   8,862      8,941
1 Louisville Gas & Electric Co. 5.450% 4/15/33  14,368     14,501
  MidAmerican Energy Co. 3.650% 4/15/29  32,734     30,881
  MidAmerican Energy Co. 6.750% 12/30/31     250        280
  MidAmerican Energy Co. 5.350% 1/15/34   9,624      9,808
  National Fuel Gas Co. 2.950% 3/1/31  14,521     12,113
  National Grid plc 5.809% 6/12/33  26,903     27,186
  National Grid plc 5.418% 1/11/34  22,105     21,556
1 National Rural Utilities Cooperative Finance Corp. 4.850% 2/7/29   2,500      2,479
  National Rural Utilities Cooperative Finance Corp. 3.700% 3/15/29  18,095     16,990
  National Rural Utilities Cooperative Finance Corp. 2.400% 3/15/30  15,988     13,763
1 National Rural Utilities Cooperative Finance Corp. 5.000% 2/7/31  15,270     15,069
  National Rural Utilities Cooperative Finance Corp. 1.350% 3/15/31  11,675      9,063
1 National Rural Utilities Cooperative Finance Corp. 1.650% 6/15/31   5,660      4,477
1 National Rural Utilities Cooperative Finance Corp. 8.000% 3/1/32   8,570      9,924
  National Rural Utilities Cooperative Finance Corp. 2.750% 4/15/32  11,462      9,637
  National Rural Utilities Cooperative Finance Corp. 4.023% 11/1/32   6,485      5,966
  National Rural Utilities Cooperative Finance Corp. 5.800% 1/15/33  21,956     22,704
1 Nevada Power Co. 3.700% 5/1/29  17,522     16,533
1 Nevada Power Co. 2.400% 5/1/30   9,742      8,285
  NextEra Energy Capital Holdings Inc. 3.500% 4/1/29  19,046     17,613
  NextEra Energy Capital Holdings Inc. 2.750% 11/1/29  23,247     20,489
  NextEra Energy Capital Holdings Inc. 2.250% 6/1/30  52,873     44,494
  NextEra Energy Capital Holdings Inc. 2.440% 1/15/32  20,950     17,012
  NextEra Energy Capital Holdings Inc. 5.000% 7/15/32  30,349     29,579
  NextEra Energy Capital Holdings Inc. 5.050% 2/28/33  31,309     30,524
4 NextEra Energy Capital Holdings Inc. 6.700% 9/1/54  26,600     26,505
1 NextEra Energy Capital Holdings Inc. 4.800% 12/1/77  10,326      9,350
 
51

 

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

($000)
1 NextEra Energy Capital Holdings Inc. 5.650% 5/1/79   3,414      3,283
  NiSource Inc. 2.950% 9/1/29  22,868     20,562
  NiSource Inc. 3.600% 5/1/30  33,167     30,360
  NiSource Inc. 1.700% 2/15/31  24,509     19,443
  NiSource Inc. 5.400% 6/30/33  13,940     13,921
  Northern States Power Co. 2.250% 4/1/31   2,823      2,365
  NSTAR Electric Co. 3.250% 5/15/29  10,072      9,362
  NSTAR Electric Co. 3.950% 4/1/30  10,857     10,178
1 Ohio Power Co. 2.600% 4/1/30   8,835      7,645
1 Ohio Power Co. 1.625% 1/15/31  15,531     12,385
  Ohio Power Co. 5.000% 6/1/33  10,330     10,132
  Oklahoma Gas & Electric Co. 3.300% 3/15/30   7,952      7,160
  Oklahoma Gas & Electric Co. 3.250% 4/1/30   7,569      6,792
  Oklahoma Gas & Electric Co. 5.400% 1/15/33  12,314     12,515
  Oncor Electric Delivery Co. LLC 5.750% 3/15/29   9,590      9,915
  Oncor Electric Delivery Co. LLC 2.750% 5/15/30  26,810     23,550
  Oncor Electric Delivery Co. LLC 7.000% 5/1/32   5,092      5,672
  Oncor Electric Delivery Co. LLC 4.150% 6/1/32  19,594     18,351
  Oncor Electric Delivery Co. LLC 4.550% 9/15/32  15,877     15,231
  Oncor Electric Delivery Co. LLC 5.650% 11/15/33  27,025     27,865
  ONE Gas Inc. 2.000% 5/15/30   8,006      6,656
  ONE Gas Inc. 4.250% 9/1/32   5,020      4,753
  Pacific Gas & Electric Co. 4.200% 3/1/29   3,966      3,742
  Pacific Gas & Electric Co. 4.550% 7/1/30  79,497     74,769
  Pacific Gas & Electric Co. 2.500% 2/1/31  54,256     44,495
  Pacific Gas & Electric Co. 3.250% 6/1/31  23,840     20,426
  Pacific Gas & Electric Co. 4.400% 3/1/32   7,362      6,700
  Pacific Gas & Electric Co. 5.900% 6/15/32  28,562     28,706
  Pacific Gas & Electric Co. 6.150% 1/15/33  24,784     25,359
  Pacific Gas & Electric Co. 6.400% 6/15/33  22,521     23,419
  Pacific Gas & Electric Co. 5.800% 5/15/34  12,000     11,982
  PacifiCorp 3.500% 6/15/29  16,208     14,943
  PacifiCorp 2.700% 9/15/30   8,836      7,582
  PacifiCorp 5.300% 2/15/31  14,266     14,143
  PECO Energy Co. 4.900% 6/15/33  20,256     20,053
  Piedmont Natural Gas Co. Inc. 3.500% 6/1/29  16,046     14,773
  Piedmont Natural Gas Co. Inc. 2.500% 3/15/31  10,886      9,105
  Piedmont Natural Gas Co. Inc. 5.400% 6/15/33   9,102      9,129
4 Potomac Electric Power Co. 5.200% 3/15/34   5,300      5,269
  PPL Electric Utilities Corp. 5.000% 5/15/33  17,432     17,333
  PPL Electric Utilities Corp. 4.850% 2/15/34  12,500     12,173
  Progress Energy Inc. 7.750% 3/1/31  22,309     25,199
  Progress Energy Inc. 7.000% 10/30/31  20,526     22,652
1 Public Service Co. of Colorado 1.900% 1/15/31   9,133      7,435
  Public Service Co. of Colorado 1.875% 6/15/31  27,672     22,288
1 Public Service Co. of Colorado 4.100% 6/1/32  12,231     11,357
  Public Service Co. of New Hampshire 5.350% 10/1/33   8,347      8,434
  Public Service Co. of Oklahoma 5.250% 1/15/33   3,893      3,855
1 Public Service Electric & Gas Co. 2.450% 1/15/30  10,183      8,855
1 Public Service Electric & Gas Co. 1.900% 8/15/31  11,585      9,332
1 Public Service Electric & Gas Co. 3.100% 3/15/32  23,316     20,295
1 Public Service Electric & Gas Co. 4.900% 12/15/32  10,760     10,613
1 Public Service Electric & Gas Co. 4.650% 3/15/33  13,814     13,359
  Public Service Electric & Gas Co. 5.200% 8/1/33  12,968     13,057
1,4 Public Service Electric & Gas Co. 5.200% 3/1/34   7,000      7,009
  Public Service Enterprise Group Inc. 1.600% 8/15/30  13,877     11,147
  Public Service Enterprise Group Inc. 2.450% 11/15/31  18,034     14,667
  Public Service Enterprise Group Inc. 6.125% 10/15/33   7,731      8,068
  Puget Energy Inc. 4.100% 6/15/30  12,739     11,534
  Puget Energy Inc. 4.224% 3/15/32  12,586     11,238
1 San Diego Gas & Electric Co. 1.700% 10/1/30  21,474     17,474
1 San Diego Gas & Electric Co. 3.000% 3/15/32  13,443     11,610
  Sempra 3.700% 4/1/29  11,132     10,370
  Sempra 5.500% 8/1/33  18,816     18,706
1 Southern California Edison Co. 4.200% 3/1/29  16,000     15,393
  Southern California Edison Co. 6.650% 4/1/29   2,269      2,381
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
4 Southern California Edison Co. 5.150% 6/1/29  14,725     14,735
  Southern California Edison Co. 2.850% 8/1/29  11,275     10,096
  Southern California Edison Co. 2.250% 6/1/30  20,526     17,324
1 Southern California Edison Co. 2.500% 6/1/31  18,369     15,417
  Southern California Edison Co. 2.750% 2/1/32  14,320     12,025
  Southern California Edison Co. 5.950% 11/1/32  18,763     19,554
  Southern California Edison Co. 6.000% 1/15/34  14,093     14,686
  Southern California Edison Co. 5.200% 6/1/34   4,250      4,157
1 Southern California Gas Co. 2.550% 2/1/30  14,245     12,368
  Southern California Gas Co. 5.200% 6/1/33  13,396     13,304
  Southern Co. 5.500% 3/15/29  15,000     15,196
1 Southern Co. 3.700% 4/30/30  29,436     27,136
  Southern Co. 5.700% 10/15/32  20,582     21,080
  Southern Co. 5.200% 6/15/33  29,290     28,835
  Southern Co. 5.700% 3/15/34   7,500      7,647
1 Southern Co. Gas Capital Corp. 1.750% 1/15/31  20,776     16,648
  Southern Co. Gas Capital Corp. 5.150% 9/15/32  15,523     15,385
  Southern Co. Gas Capital Corp. 5.750% 9/15/33  13,166     13,483
  Southwest Gas Corp. 2.200% 6/15/30   4,239      3,537
  Southwest Gas Corp. 4.050% 3/15/32  16,204     14,824
  Southwestern Electric Power Co. 5.300% 4/1/33  18,779     18,507
  Spire Missouri Inc. 4.800% 2/15/33   9,793      9,515
  Tampa Electric Co. 2.400% 3/15/31  11,177      9,258
  Tucson Electric Power Co. 1.500% 8/1/30   6,989      5,615
  Tucson Electric Power Co. 3.250% 5/15/32   8,649      7,542
  Union Electric Co. 3.500% 3/15/29   9,000      8,394
  Union Electric Co. 2.950% 3/15/30  10,897      9,661
  Union Electric Co. 2.150% 3/15/32   7,309      5,873
1 Virginia Electric & Power Co. 2.875% 7/15/29  21,038     19,030
  Virginia Electric & Power Co. 2.300% 11/15/31  14,193     11,690
  Virginia Electric & Power Co. 2.400% 3/30/32  17,819     14,652
  Virginia Electric & Power Co. 5.000% 4/1/33  29,152     28,550
  Virginia Electric & Power Co. 5.300% 8/15/33  20,330     20,276
  WEC Energy Group Inc. 1.800% 10/15/30  12,521     10,145
  Wisconsin Electric Power Co. 4.750% 9/30/32  13,753     13,478
  Wisconsin Electric Power Co. 5.625% 5/15/33   6,790      7,103
  Wisconsin Power & Light Co. 3.000% 7/1/29   8,326      7,608
  Wisconsin Power & Light Co. 1.950% 9/16/31   7,377      5,884
  Wisconsin Power & Light Co. 3.950% 9/1/32  15,915     14,645
  Wisconsin Power & Light Co. 4.950% 4/1/33  10,477     10,211
  Xcel Energy Inc. 2.600% 12/1/29  14,992     13,154
  Xcel Energy Inc. 3.400% 6/1/30  11,870     10,704
  Xcel Energy Inc. 2.350% 11/15/31   3,050      2,478
  Xcel Energy Inc. 4.600% 6/1/32  25,031     23,321
  Xcel Energy Inc. 5.450% 8/15/33  17,740     17,644
  Xcel Energy Inc. 5.500% 3/15/34  20,150     19,808
                             3,924,278
Total Corporate Bonds (Cost $49,862,935) 46,586,775
 
52

 

Intermediate-Term Corporate Bond Index Fund
      Coupon   Shares Market
Value

($000)
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
5 Vanguard Market Liquidity Fund
(Cost $31,382)
5.400%   313,884           31,385
Total Investments (98.7%) (Cost $49,900,147)   46,624,014
Other Assets and Liabilities—Net (1.3%)   629,045
Net Assets (100%)   47,253,059
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 29, 2024, the aggregate value was $413,623,000, representing 0.9% of net assets.
3 Securities with a value of $9,772,000 have been segregated as initial margin for open futures contracts.
4 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 29, 2024.
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.
  DAC—Designated Activity Company.
  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
Ultra 10-Year U.S. Treasury Note June 2024 1,580 180,392 (73)
 
Short Futures Contracts
10-Year U.S. Treasury Note June 2024 (1,307) (144,342) (201)
        (274)
    
Centrally Cleared Credit Default Swaps
Reference Entity Termination
Date
  Notional
Amount
(000)
Periodic
Premium
Received
(Paid)1
(%)
Value
($000)
Unrealized
Appreciation
(Depreciation)
($000)
Credit Protection Purchased
CDX-NA-IG-S41-V1 12/20/28 USD 150,000 (1.000) (3,377) (311)
1 Periodic premium received/paid quarterly.
USD—U.S. dollar.
  
See accompanying Notes, which are an integral part of the Financial Statements.
53

 

Intermediate-Term Corporate Bond Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $49,868,765) 46,592,629
Affiliated Issuers (Cost $31,382) 31,385
Total Investments in Securities 46,624,014
Investment in Vanguard 1,526
Cash 113
Receivables for Investment Securities Sold 1,112,582
Receivables for Accrued Income 536,698
Receivables for Capital Shares Issued 2,193
Total Assets 48,277,126
Liabilities  
Payables for Investment Securities Purchased 1,020,301
Payables for Capital Shares Redeemed 1,416
Payables for Distributions 1,191
Payables to Vanguard 739
Variation Margin Payable—Futures Contracts 395
Variation Margin Payable—Centrally Cleared Swap Contracts 25
Total Liabilities 1,024,067
Net Assets 47,253,059

At February 29, 2024, net assets consisted of:

   
Paid-in Capital 53,504,446
Total Distributable Earnings (Loss) (6,251,387)
Net Assets 47,253,059
 
ETF Shares—Net Assets  
Applicable to 573,719,556 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
45,723,611
Net Asset Value Per Share—ETF Shares $79.70
 
Admiral Shares—Net Assets  
Applicable to 56,881,521 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
1,219,504
Net Asset Value Per Share—Admiral Shares $21.44
 
Institutional Shares—Net Assets  
Applicable to 11,700,350 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
309,944
Net Asset Value Per Share—Institutional Shares $26.49
  
See accompanying Notes, which are an integral part of the Financial Statements.
54

 

Intermediate-Term Corporate Bond Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Interest1 901,277
Total Income 901,277
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 449
Management and Administrative—ETF Shares 5,971
Management and Administrative—Admiral Shares 357
Management and Administrative—Institutional Shares 67
Marketing and Distribution—ETF Shares 1,117
Marketing and Distribution—Admiral Shares 28
Marketing and Distribution—Institutional Shares 4
Custodian Fees 135
Shareholders’ Reports—ETF Shares 543
Shareholders’ Reports—Admiral Shares 6
Shareholders’ Reports—Institutional Shares
Trustees’ Fees and Expenses 16
Other Expenses 10
Total Expenses 8,703
Net Investment Income 892,574
Realized Net Gain (Loss)  
Investment Securities Sold1,2 (741,503)
Futures Contracts (3,321)
Swap Contracts 298
Realized Net Gain (Loss) (744,526)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 1,368,828
Futures Contracts 168
Swap Contracts (311)
Change in Unrealized Appreciation (Depreciation) 1,368,685
Net Increase (Decrease) in Net Assets Resulting from Operations 1,516,733
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 $2,396,000, $4,000, $2,000, and $2,000, respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes ($195,144,000) of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
55

 

Intermediate-Term Corporate Bond Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 892,574   1,474,238
Realized Net Gain (Loss) (744,526)   (2,276,602)
Change in Unrealized Appreciation (Depreciation) 1,368,685   1,442,477
Net Increase (Decrease) in Net Assets Resulting from Operations 1,516,733   640,113
Distributions      
ETF Shares (839,248)   (1,395,436)
Admiral Shares (24,300)   (40,629)
Institutional Shares (6,339)   (10,435)
Total Distributions (869,887)   (1,446,500)
Capital Share Transactions      
ETF Shares 4,840,574   (21,734)
Admiral Shares 43,160   41,155
Institutional Shares 5,869   (31,538)
Net Increase (Decrease) from Capital Share Transactions 4,889,603   (12,117)
Total Increase (Decrease) 5,536,449   (818,504)
Net Assets      
Beginning of Period 41,716,610   42,535,114
End of Period 47,253,059   41,716,610
  
See accompanying Notes, which are an integral part of the Financial Statements.
56

 

Intermediate-Term Corporate Bond Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $78.27 $79.83 $95.57 $95.98 $91.82 $84.02
Investment Operations            
Net Investment Income1 1.634 2.808 2.171 2.163 2.761 3.132
Net Realized and Unrealized Gain (Loss) on Investments 1.411 (1.605) (15.176) (.205) 4.205 7.768
Total from Investment Operations 3.045 1.203 (13.005) 1.958 6.966 10.900
Distributions            
Dividends from Net Investment Income (1.615) (2.763) (2.141) (2.169) (2.806) (3.100)
Distributions from Realized Capital Gains (.594) (.199)
Total Distributions (1.615) (2.763) (2.735) (2.368) (2.806) (3.100)
Net Asset Value, End of Period $79.70 $78.27 $79.83 $95.57 $95.98 $91.82
Total Return 3.95% 1.55% -13.86% 2.08% 7.78% 13.33%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $45,724 $40,262 $41,058 $46,873 $38,944 $24,080
Ratio of Total Expenses to Average Net Assets 0.04% 0.04%2 0.04%2 0.04% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 4.20% 3.58% 2.48% 2.27% 2.99% 3.65%
Portfolio Turnover Rate3 33% 76% 58% 53% 72% 59%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%.
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.
  
Admiral Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $21.06 $21.49 $25.75 $25.86 $24.71 $22.61
Investment Operations            
Net Investment Income1 .437 .752 .577 .578 .747 .839
Net Realized and Unrealized Gain (Loss) on Investments .380 (.429) (4.098) (.062) 1.138 2.097
Total from Investment Operations .817 .323 (3.521) .516 1.885 2.936
Distributions            
Dividends from Net Investment Income (.437) (.753) (.579) (.572) (.735) (.836)
Distributions from Realized Capital Gains (.160) (.054)
Total Distributions (.437) (.753) (.739) (.626) (.735) (.836)
Net Asset Value, End of Period $21.44 $21.06 $21.49 $25.75 $25.86 $24.71
Total Return2 3.93% 1.55% -13.90% 2.03% 7.79% 13.30%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,220 $1,156 $1,139 $1,587 $1,549 $1,381
Ratio of Total Expenses to Average Net Assets 0.07% 0.07%3 0.07%3 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 4.16% 3.56% 2.44% 2.25% 3.01% 3.63%
Portfolio Turnover Rate4 33% 76% 58% 53% 72% 59%
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 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%.
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.
57

 

Intermediate-Term Corporate Bond Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $26.02 $26.56 $31.82 $31.95 $30.53 $27.94
Investment Operations            
Net Investment Income1 .543 .934 .720 .720 .940 1.044
Net Realized and Unrealized Gain (Loss) on Investments .470 (.538) (5.061) (.070) 1.394 2.584
Total from Investment Operations 1.013 .396 (4.341) .650 2.334 3.628
Distributions            
Dividends from Net Investment Income (.543) (.936) (.721) (.714) (.914) (1.038)
Distributions from Realized Capital Gains (.198) (.066)
Total Distributions (.543) (.936) (.919) (.780) (.914) (1.038)
Net Asset Value, End of Period $26.49 $26.02 $26.56 $31.82 $31.95 $30.53
Total Return2 3.94% 1.54% -13.87% 2.07% 7.81% 13.30%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $310 $298 $338 $443 $357 $406
Ratio of Total Expenses to Average Net Assets 0.05% 0.05%3 0.05%3 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 4.18% 3.57% 2.46% 2.27% 3.07% 3.65%
Portfolio Turnover Rate4 33% 76% 58% 53% 72% 59%
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 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%.
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.
58

 

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.
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 other 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 valuation designee to represent fair value and subject to oversight by the board of trustees.
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 29, 2024, 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.
3. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into centrally cleared credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. 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. To
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Intermediate-Term Corporate Bond Index Fund
further mitigate counterparty risk, the fund  trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. 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 the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the fund under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.
During the six months ended February 29, 2024, the fund's average amounts of investments in credit protection sold and credit protection purchased represented 0% and less than 1% of net assets, respectively, 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 virtually 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.
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. 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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.
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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 29, 2024, 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 29, 2024, the fund had contributed to Vanguard capital in the amount of $1,526,000, representing less than 0.01% of the fund’s net assets and 0.61% 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.
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Intermediate-Term Corporate Bond Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of February 29, 2024, 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 5,854 5,854
Corporate Bonds 46,586,775 46,586,775
Temporary Cash Investments 31,385 31,385
Total 31,385 46,592,629 46,624,014
Derivative Financial Instruments        
Liabilities        
Futures Contracts1 274 274
Swap Contracts 3111 311
Total 585 585
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.  At February 29, 2024, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
Statement of Assets and Liabilities Interest
Rate
Contracts
($000)
Credit
Contracts
($000)
Total
($000)
       
Unrealized Depreciation—Futures Contracts1 274 274
Unrealized Depreciation—Centrally Cleared Swap Contracts1 311 311
Total Liabilities 274 311 585
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.
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended February 29, 2024, were:
Realized Net Gain (Loss) on Derivatives Interest
Rate
Contracts
($000)
Credit
Contracts
($000)
Total
($000)
Futures Contracts (3,321) (3,321)
Swap Contracts 298 298
Realized Net Gain (Loss) on Derivatives (3,321) 298 (3,023)
 
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts 168 168
Swap Contracts (311) (311)
Change in Unrealized Appreciation (Depreciation) on Derivatives 168 (311) (143)
E.  As of February 29, 2024, 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 49,910,949
Gross Unrealized Appreciation 217,191
Gross Unrealized Depreciation (3,504,711)
Net Unrealized Appreciation (Depreciation) (3,287,520)
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, 2023, the fund had available capital losses totaling $2,374,117,000 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, 2024;
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Intermediate-Term Corporate Bond Index Fund
should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F.  During the six months ended February 29, 2024, the fund purchased $5,475,566,000 of investment securities and sold $5,229,562,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $8,624,704,000 and $8,636,179,000, respectively. In addition, the fund purchased and sold investment securities of $14,118,847,000 and $9,510,938,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G.  Capital share transactions for each class of shares were:
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued1 14,485,634 183,615   14,317,759 183,108
Issued in Lieu of Cash Distributions  
Redeemed (9,645,060) (124,300)   (14,339,493) (183,000)
Net Increase (Decrease)—ETF Shares 4,840,574 59,315   (21,734) 108
Admiral Shares          
Issued1 158,438 7,471   270,804 12,775
Issued in Lieu of Cash Distributions 19,114 906   31,974 1,513
Redeemed (134,392) (6,384)   (261,623) (12,393)
Net Increase (Decrease)—Admiral Shares 43,160 1,993   41,155 1,895
Institutional Shares          
Issued1 13,780 525   33,180 1,266
Issued in Lieu of Cash Distributions 4,444 171   7,005 268
Redeemed (12,355) (465)   (71,723) (2,804)
Net Increase (Decrease)—Institutional Shares 5,869 231   (31,538) (1,270)
1 Includes purchase fees for fiscal 2024 and 2023 of $428,000 and $735,000, respectively (fund totals).
H.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, acts of terrorism, or other events, can adversely affect local and global ‎markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I.  Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
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Long-Term Corporate Bond Index Fund
Fund Allocation
As of February 29, 2024
Corporate Bonds – Communications 11.9%
Corporate Bonds – Consumer Discretionary 5.8
Corporate Bonds – Consumer Staples 7.6
Corporate Bonds – Energy 9.1
Corporate Bonds – Financials 13.8
Corporate Bonds – Health Care 16.1
Corporate Bonds – Industrials 8.6
Corporate Bonds – Materials 3.4
Corporate Bonds – Real Estate 1.5
Corporate Bonds – Technology 9.1
Corporate Bonds – Utilities 12.9
U.S. Government and Agency Obligations 0.2
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.
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Long-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (0.2%)
U.S. Government Securities (0.2%)
  United States Treasury Note/Bond  4.000% 2/15/34   9,950     9,754
  United States Treasury Note/Bond  4.500% 2/15/44   4,025     4,025
Total U.S. Government and Agency Obligations (Cost $13,766) 13,779
Corporate Bonds (98.0%)
Communications (11.6%)
  Alphabet Inc.  1.900% 8/15/40   2,025     1,339
  Alphabet Inc.  2.050% 8/15/50  13,620     8,045
  Alphabet Inc.  2.250% 8/15/60   1,720       987
  America Movil SAB de CV  6.375% 3/1/35   3,618     3,920
  America Movil SAB de CV  6.125% 11/15/37   1,136     1,193
  America Movil SAB de CV  6.125% 3/30/40   7,415     7,760
  America Movil SAB de CV  4.375% 7/16/42   4,054     3,509
  America Movil SAB de CV  4.375% 4/22/49   4,735     4,071
  AT&T Inc.  4.500% 5/15/35  10,325     9,501
  AT&T Inc.  5.250% 3/1/37   6,400     6,213
  AT&T Inc.  4.900% 8/15/37   2,403     2,247
  AT&T Inc.  4.850% 3/1/39   7,572     6,971
  AT&T Inc.  5.350% 9/1/40   2,282     2,199
  AT&T Inc.  3.500% 6/1/41   9,693     7,440
  AT&T Inc.  5.550% 8/15/41      95        95
  AT&T Inc.  4.300% 12/15/42   8,135     6,868
  AT&T Inc.  3.100% 2/1/43   3,265     2,347
  AT&T Inc.  4.650% 6/1/44   2,266     1,949
  AT&T Inc.  4.350% 6/15/45   2,926     2,448
  AT&T Inc.  4.750% 5/15/46   5,608     4,909
1 AT&T Inc.  5.150% 11/15/46   2,335     2,162
  AT&T Inc.  5.450% 3/1/47   1,686     1,638
  AT&T Inc.  4.500% 3/9/48   9,882     8,257
  AT&T Inc.  4.550% 3/9/49   4,846     4,066
  AT&T Inc.  5.150% 2/15/50   1,814     1,659
  AT&T Inc.  3.650% 6/1/51  12,031     8,605
  AT&T Inc.  3.500% 9/15/53  26,456    18,201
  AT&T Inc.  3.550% 9/15/55  25,367    17,283
  AT&T Inc.  3.800% 12/1/57  19,189    13,540
  AT&T Inc.  3.650% 9/15/59  24,358    16,506
  AT&T Inc.  3.850% 6/1/60   5,457     3,853
  AT&T Inc.  3.500% 2/1/61   1,526     1,019
  Bell Telephone Co. of Canada or Bell Canada  4.464% 4/1/48   4,060     3,451
  Bell Telephone Co. of Canada or Bell Canada  4.300% 7/29/49   1,165       959
1 Bell Telephone Co. of Canada or Bell Canada  3.650% 3/17/51   1,443     1,062
1 Bell Telephone Co. of Canada or Bell Canada  3.200% 2/15/52   2,245     1,508
  Bell Telephone Co. of Canada or Bell Canada  3.650% 8/15/52   1,907     1,402
  Charter Communications Operating LLC  6.650% 2/1/34   2,845     2,850
  Charter Communications Operating LLC  6.384% 10/23/35   5,907     5,707
  Charter Communications Operating LLC  5.375% 4/1/38   2,516     2,159
  Charter Communications Operating LLC  3.500% 6/1/41   5,477     3,624
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Charter Communications Operating LLC  3.500% 3/1/42   4,976     3,250
  Charter Communications Operating LLC  6.484% 10/23/45  11,447    10,454
  Charter Communications Operating LLC  5.375% 5/1/47   9,850     7,750
  Charter Communications Operating LLC  5.750% 4/1/48   9,235     7,675
  Charter Communications Operating LLC  5.125% 7/1/49   4,431     3,356
  Charter Communications Operating LLC  4.800% 3/1/50  10,447     7,548
  Charter Communications Operating LLC  3.700% 4/1/51   7,076     4,285
  Charter Communications Operating LLC  3.900% 6/1/52   8,272     5,191
  Charter Communications Operating LLC  5.250% 4/1/53   6,422     4,983
  Charter Communications Operating LLC  3.850% 4/1/61   6,646     3,851
  Charter Communications Operating LLC  4.400% 12/1/61   4,051     2,600
  Charter Communications Operating LLC  3.950% 6/30/62   4,374     2,572
  Charter Communications Operating LLC  5.500% 4/1/63   3,333     2,561
  Comcast Corp.  7.050% 3/15/33      27        30
  Comcast Corp.  4.200% 8/15/34   3,261     2,996
  Comcast Corp.  5.650% 6/15/35   3,381     3,473
  Comcast Corp.  4.400% 8/15/35   3,952     3,661
  Comcast Corp.  6.500% 11/15/35   1,616     1,762
  Comcast Corp.  3.200% 7/15/36   3,019     2,438
  Comcast Corp.  6.450% 3/15/37   1,247     1,366
  Comcast Corp.  6.950% 8/15/37   1,142     1,302
  Comcast Corp.  3.900% 3/1/38   5,839     5,010
  Comcast Corp.  4.600% 10/15/38   3,506     3,226
  Comcast Corp.  6.550% 7/1/39   1,115     1,226
  Comcast Corp.  3.250% 11/1/39   4,944     3,797
  Comcast Corp.  3.750% 4/1/40   6,566     5,366
  Comcast Corp.  4.650% 7/15/42   1,505     1,356
  Comcast Corp.  4.600% 8/15/45   2,863     2,531
  Comcast Corp.  3.400% 7/15/46   3,533     2,592
  Comcast Corp.  4.000% 8/15/47   1,492     1,194
  Comcast Corp.  3.969% 11/1/47   8,168     6,479
  Comcast Corp.  4.000% 3/1/48   5,711     4,528
  Comcast Corp.  4.700% 10/15/48   5,926     5,350
  Comcast Corp.  3.999% 11/1/49   6,794     5,373
  Comcast Corp.  3.450% 2/1/50   6,419     4,610
  Comcast Corp.  2.800% 1/15/51   6,165     3,851
  Comcast Corp.  2.887% 11/1/51  17,902    11,341
  Comcast Corp.  2.450% 8/15/52   5,013     2,876
  Comcast Corp.  4.049% 11/1/52   1,296     1,022
  Comcast Corp.  5.350% 5/15/53   6,990     6,817
  Comcast Corp.  2.937% 11/1/56  15,986     9,843
  Comcast Corp.  4.950% 10/15/58   2,165     1,999
  Comcast Corp.  2.650% 8/15/62   6,530     3,641
  Comcast Corp.  2.987% 11/1/63  14,263     8,535
  Comcast Corp.  5.500% 5/15/64   7,523     7,388
  Discovery Communications LLC  5.000% 9/20/37   1,483     1,269
  Discovery Communications LLC  6.350% 6/1/40   1,389     1,335
65

 

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

($000)
  Discovery Communications LLC  4.875% 4/1/43     723       579
  Discovery Communications LLC  5.200% 9/20/47   2,488     2,024
  Discovery Communications LLC  5.300% 5/15/49   3,745     3,054
  Discovery Communications LLC  4.650% 5/15/50   4,662     3,539
  Discovery Communications LLC  4.000% 9/15/55   7,447     4,930
  Electronic Arts Inc.  2.950% 2/15/51   2,873     1,909
  Fox Corp.  5.476% 1/25/39   2,908     2,718
  Fox Corp.  5.576% 1/25/49   5,999     5,486
  Grupo Televisa SAB  6.625% 1/15/40   2,177     2,237
  Grupo Televisa SAB  5.000% 5/13/45   3,036     2,541
  Grupo Televisa SAB  6.125% 1/31/46   2,460     2,400
  Grupo Televisa SAB  5.250% 5/24/49   2,065     1,806
  Interpublic Group of Cos. Inc.  3.375% 3/1/41   1,816     1,335
  Interpublic Group of Cos. Inc.  5.400% 10/1/48   1,672     1,545
  Meta Platforms Inc.  4.450% 8/15/52  10,058     8,791
  Meta Platforms Inc.  5.600% 5/15/53   8,635     8,944
  Meta Platforms Inc.  4.650% 8/15/62   4,875     4,300
  Meta Platforms Inc.  5.750% 5/15/63   6,415     6,716
  NBCUniversal Media LLC  6.400% 4/30/40     937     1,016
  NBCUniversal Media LLC  5.950% 4/1/41     970     1,009
  NBCUniversal Media LLC  4.450% 1/15/43   2,442     2,134
  Orange SA  5.375% 1/13/42   3,424     3,368
  Orange SA  5.500% 2/6/44   4,004     3,995
  Paramount Global  6.875% 4/30/36   5,086     4,666
  Paramount Global  5.900% 10/15/40     764       619
  Paramount Global  4.850% 7/1/42     944       679
  Paramount Global  4.375% 3/15/43   6,205     4,156
  Paramount Global  5.850% 9/1/43   3,464     2,802
  Paramount Global  5.250% 4/1/44     951       701
  Paramount Global  4.900% 8/15/44   1,739     1,221
  Paramount Global  4.600% 1/15/45   1,689     1,157
  Paramount Global  4.950% 5/19/50   3,247     2,326
  Rogers Communications Inc.  7.500% 8/15/38   1,303     1,498
  Rogers Communications Inc.  4.500% 3/15/42   3,005     2,580
  Rogers Communications Inc.  4.500% 3/15/43   1,773     1,499
  Rogers Communications Inc.  5.450% 10/1/43   1,865     1,784
  Rogers Communications Inc.  5.000% 3/15/44   3,238     2,920
  Rogers Communications Inc.  4.300% 2/15/48   1,713     1,369
  Rogers Communications Inc.  4.350% 5/1/49   4,553     3,657
  Rogers Communications Inc.  3.700% 11/15/49   3,822     2,746
  Rogers Communications Inc.  4.550% 3/15/52   7,127     5,882
  Telefonica Emisiones SA  7.045% 6/20/36   6,634     7,309
  Telefonica Emisiones SA  4.665% 3/6/38   1,325     1,182
  Telefonica Emisiones SA  5.213% 3/8/47   8,880     7,979
  Telefonica Emisiones SA  4.895% 3/6/48   4,042     3,464
  Telefonica Emisiones SA  5.520% 3/1/49   4,630     4,319
  TELUS Corp.  4.600% 11/16/48   2,919     2,494
  TELUS Corp.  4.300% 6/15/49   1,636     1,329
  Thomson Reuters Corp.  5.500% 8/15/35   1,645     1,670
  Thomson Reuters Corp.  5.850% 4/15/40   1,289     1,308
  Thomson Reuters Corp.  5.650% 11/23/43   1,033     1,003
  Time Warner Cable LLC  6.550% 5/1/37   4,999     4,693
  Time Warner Cable LLC  7.300% 7/1/38   4,405     4,389
  Time Warner Cable LLC  6.750% 6/15/39   4,764     4,487
  Time Warner Cable LLC  5.875% 11/15/40   4,431     3,810
  Time Warner Cable LLC  5.500% 9/1/41   4,035     3,325
  Time Warner Cable LLC  4.500% 9/15/42   5,107     3,733
  T-Mobile USA Inc.  5.750% 1/15/34   3,585     3,693
  T-Mobile USA Inc.  4.375% 4/15/40   6,895     6,044
  T-Mobile USA Inc.  3.000% 2/15/41   7,909     5,708
  T-Mobile USA Inc.  4.500% 4/15/50  12,496    10,563
  T-Mobile USA Inc.  3.300% 2/15/51   7,215     4,963
  T-Mobile USA Inc.  3.400% 10/15/52   5,038     3,499
  T-Mobile USA Inc.  5.650% 1/15/53  10,735    10,656
  T-Mobile USA Inc.  5.750% 1/15/54   4,916     4,971
  T-Mobile USA Inc.  6.000% 6/15/54   6,637     6,965
  T-Mobile USA Inc.  3.600% 11/15/60   3,848     2,652
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  T-Mobile USA Inc.  5.800% 9/15/62   1,407     1,424
  TWDC Enterprises 18 Corp.  4.375% 8/16/41   2,063     1,823
1 TWDC Enterprises 18 Corp.  4.125% 12/1/41   2,276     1,959
1 TWDC Enterprises 18 Corp.  3.700% 12/1/42     793       644
1 TWDC Enterprises 18 Corp.  4.125% 6/1/44   3,224     2,748
1 TWDC Enterprises 18 Corp.  3.000% 7/30/46   1,877     1,310
  Verizon Communications Inc.  4.400% 11/1/34   4,093     3,804
  Verizon Communications Inc.  5.850% 9/15/35     695       726
  Verizon Communications Inc.  4.272% 1/15/36   5,352     4,858
  Verizon Communications Inc.  5.250% 3/16/37   5,748     5,730
  Verizon Communications Inc.  4.812% 3/15/39   4,488     4,186
  Verizon Communications Inc.  2.650% 11/20/40   8,677     5,982
  Verizon Communications Inc.  3.400% 3/22/41  13,581    10,400
  Verizon Communications Inc.  2.850% 9/3/41   3,359     2,366
  Verizon Communications Inc.  4.750% 11/1/41   4,514     4,154
  Verizon Communications Inc.  3.850% 11/1/42   3,846     3,093
  Verizon Communications Inc.  6.550% 9/15/43   3,538     3,941
  Verizon Communications Inc.  4.125% 8/15/46   2,950     2,414
  Verizon Communications Inc.  4.862% 8/21/46   6,317     5,799
  Verizon Communications Inc.  5.500% 3/16/47   2,457     2,473
  Verizon Communications Inc.  4.522% 9/15/48   2,298     2,011
  Verizon Communications Inc.  4.000% 3/22/50   6,050     4,771
  Verizon Communications Inc.  2.875% 11/20/50   9,732     6,201
  Verizon Communications Inc.  3.550% 3/22/51  17,301    12,563
  Verizon Communications Inc.  3.875% 3/1/52   3,760     2,897
  Verizon Communications Inc.  5.500% 2/23/54   3,175     3,137
  Verizon Communications Inc.  5.012% 8/21/54   3,333     3,089
  Verizon Communications Inc.  4.672% 3/15/55   2,724     2,402
  Verizon Communications Inc.  2.987% 10/30/56   8,149     5,066
  Verizon Communications Inc.  3.000% 11/20/60   8,425     5,114
  Verizon Communications Inc.  3.700% 3/22/61  13,166     9,365
  Vodafone Group plc  6.150% 2/27/37   6,115     6,382
  Vodafone Group plc  5.000% 5/30/38   1,317     1,269
  Vodafone Group plc  4.375% 2/19/43   5,768     4,855
  Vodafone Group plc  5.250% 5/30/48   4,686     4,346
  Vodafone Group plc  4.875% 6/19/49   6,157     5,329
  Vodafone Group plc  4.250% 9/17/50   4,824     3,800
  Vodafone Group plc  5.625% 2/10/53   3,049     2,940
  Vodafone Group plc  5.125% 6/19/59   1,541     1,356
  Vodafone Group plc  5.750% 2/10/63   2,142     2,091
  Walt Disney Co.  6.200% 12/15/34   3,289     3,590
  Walt Disney Co.  6.400% 12/15/35   3,033     3,334
  Walt Disney Co.  6.150% 3/1/37     977     1,055
  Walt Disney Co.  6.650% 11/15/37   4,620     5,225
  Walt Disney Co.  4.625% 3/23/40   3,714     3,473
  Walt Disney Co.  3.500% 5/13/40   8,845     7,100
  Walt Disney Co.  6.150% 2/15/41   1,140     1,231
  Walt Disney Co.  5.400% 10/1/43   2,079     2,090
  Walt Disney Co.  4.750% 9/15/44   2,109     1,938
  Walt Disney Co.  4.950% 10/15/45   1,615     1,512
  Walt Disney Co.  7.750% 12/1/45     487       623
  Walt Disney Co.  4.750% 11/15/46   1,671     1,515
  Walt Disney Co.  2.750% 9/1/49   8,440     5,444
  Walt Disney Co.  4.700% 3/23/50   6,380     5,837
  Walt Disney Co.  3.600% 1/13/51   7,515     5,704
  Walt Disney Co.  3.800% 5/13/60   3,799     2,880
  Warnermedia Holdings Inc.  5.050% 3/15/42  14,101    11,835
  Warnermedia Holdings Inc.  5.141% 3/15/52  26,382    21,422
  Warnermedia Holdings Inc.  5.391% 3/15/62   9,302     7,487
                                886,140
Consumer Discretionary (5.7%)
  Alibaba Group Holding Ltd.  4.500% 11/28/34   2,952     2,764
  Alibaba Group Holding Ltd.  4.000% 12/6/37   3,609     3,112
  Alibaba Group Holding Ltd.  2.700% 2/9/41   2,971     2,047
  Alibaba Group Holding Ltd.  4.200% 12/6/47   5,604     4,558
  Alibaba Group Holding Ltd.  3.150% 2/9/51   4,515     2,980
  Alibaba Group Holding Ltd.  4.400% 12/6/57   3,498     2,859
 
66

 

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

($000)
  Alibaba Group Holding Ltd.  3.250% 2/9/61   3,983     2,513
  Amazon.com Inc.  4.800% 12/5/34   6,175     6,173
  Amazon.com Inc.  3.875% 8/22/37   9,128     8,160
  Amazon.com Inc.  2.875% 5/12/41   6,926     5,200
  Amazon.com Inc.  4.950% 12/5/44   5,701     5,624
  Amazon.com Inc.  4.050% 8/22/47  11,993    10,257
  Amazon.com Inc.  2.500% 6/3/50   7,158     4,490
  Amazon.com Inc.  3.100% 5/12/51  10,401     7,310
  Amazon.com Inc.  3.950% 4/13/52   8,535     7,053
  Amazon.com Inc.  4.250% 8/22/57  10,720     9,197
  Amazon.com Inc.  2.700% 6/3/60   6,167     3,791
  Amazon.com Inc.  3.250% 5/12/61   5,426     3,739
  Amazon.com Inc.  4.100% 4/13/62   3,931     3,249
1 American University  3.672% 4/1/49   1,672     1,349
  Aptiv plc  4.400% 10/1/46     165       130
  Aptiv plc  5.400% 3/15/49     704       638
  Aptiv plc  3.100% 12/1/51   5,468     3,424
  Aptiv plc  4.150% 5/1/52   3,305     2,523
  BorgWarner Inc.  4.375% 3/15/45   1,753     1,427
1 Brown University  2.924% 9/1/50   1,472     1,034
  Brunswick Corp.  5.100% 4/1/52   1,085       858
1 California Endowment  2.498% 4/1/51   1,115       690
  California Institute of Technology  4.321% 8/1/45   1,985     1,804
  California Institute of Technology  4.700% 11/1/11   1,390     1,237
  California Institute of Technology  3.650% 9/1/19   1,323       921
1 Case Western Reserve University  5.405% 6/1/22   1,205     1,156
  Claremont Mckenna College  3.775% 1/1/22     823       551
  Cleveland Clinic Foundation  4.858% 1/1/14   1,450     1,315
  Darden Restaurants Inc.  4.550% 2/15/48   1,144       929
  Dick's Sporting Goods Inc.  4.100% 1/15/52   2,585     1,816
1 Duke University  2.682% 10/1/44   1,739     1,270
1 Duke University  2.757% 10/1/50   1,860     1,281
1 Duke University  2.832% 10/1/55   1,940     1,317
  eBay Inc.  4.000% 7/15/42   5,072     4,024
  eBay Inc.  3.650% 5/10/51   2,004     1,449
1 Emory University  2.969% 9/1/50   1,953     1,360
1 Ford Foundation  2.415% 6/1/50   1,012       634
1 Ford Foundation  2.815% 6/1/70   2,536     1,508
  Ford Motor Co.  4.750% 1/15/43   7,008     5,681
  Ford Motor Co.  7.400% 11/1/46   1,425     1,527
  Ford Motor Co.  5.291% 12/8/46   4,585     3,966
  Fortune Brands Innovations Inc.  4.500% 3/25/52   1,970     1,600
  General Motors Co.  5.000% 4/1/35   2,487     2,325
  General Motors Co.  6.600% 4/1/36   4,572     4,793
  General Motors Co.  5.150% 4/1/38   3,513     3,252
  General Motors Co.  6.250% 10/2/43   5,210     5,229
  General Motors Co.  5.200% 4/1/45   4,255     3,756
  General Motors Co.  6.750% 4/1/46   3,278     3,465
  General Motors Co.  5.400% 4/1/48   2,612     2,343
  General Motors Co.  5.950% 4/1/49   3,535     3,397
1 George Washington University  4.300% 9/15/44   1,532     1,340
  George Washington University  4.868% 9/15/45   1,247     1,196
1 George Washington University  4.126% 9/15/48   2,861     2,443
1 Georgetown University  4.315% 4/1/49   1,177     1,036
1 Georgetown University  2.943% 4/1/50     772       526
  Georgetown University  5.115% 4/1/53     975       977
1 Georgetown University  5.215% 10/1/18   1,034       957
  Harley-Davidson Inc.  4.625% 7/28/45     927       731
  Hasbro Inc.  6.350% 3/15/40   2,833     2,871
  Hasbro Inc.  5.100% 5/15/44   1,054       885
  Home Depot Inc.  5.875% 12/16/36   9,441    10,057
  Home Depot Inc.  3.300% 4/15/40   6,067     4,755
  Home Depot Inc.  5.400% 9/15/40   1,635     1,645
  Home Depot Inc.  5.950% 4/1/41   3,473     3,705
  Home Depot Inc.  4.200% 4/1/43   3,907     3,365
  Home Depot Inc.  4.875% 2/15/44   3,028     2,841
  Home Depot Inc.  4.400% 3/15/45   2,798     2,456
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Home Depot Inc.  4.250% 4/1/46   5,113     4,365
  Home Depot Inc.  3.900% 6/15/47   5,049     4,067
  Home Depot Inc.  4.500% 12/6/48   5,320     4,694
  Home Depot Inc.  3.125% 12/15/49   3,149     2,191
  Home Depot Inc.  3.350% 4/15/50   7,044     5,105
  Home Depot Inc.  2.375% 3/15/51   2,135     1,254
  Home Depot Inc.  2.750% 9/15/51   2,033     1,295
  Home Depot Inc.  3.625% 4/15/52   6,167     4,661
  Home Depot Inc.  4.950% 9/15/52   6,577     6,224
  Home Depot Inc.  3.500% 9/15/56     596       436
1 Howard University  5.209% 10/1/52   1,001       914
  JD.com Inc.  4.125% 1/14/50   1,067       832
1 Johns Hopkins University  4.083% 7/1/53   1,286     1,128
1 Johns Hopkins University  2.813% 1/1/60   1,240       800
  Lear Corp.  5.250% 5/15/49   2,092     1,879
  Lear Corp.  3.550% 1/15/52     890       603
  Leggett & Platt Inc.  3.500% 11/15/51   2,249     1,551
  Leland Stanford Junior University  3.647% 5/1/48   2,619     2,165
  Leland Stanford Junior University  2.413% 6/1/50   1,245       800
  Lowe's Cos. Inc.  5.500% 10/15/35   1,440     1,481
  Lowe's Cos. Inc.  5.000% 4/15/40     774       735
  Lowe's Cos. Inc.  2.800% 9/15/41   4,522     3,156
  Lowe's Cos. Inc.  4.650% 4/15/42     982       878
  Lowe's Cos. Inc.  4.250% 9/15/44     347       279
  Lowe's Cos. Inc.  4.375% 9/15/45   1,264     1,071
  Lowe's Cos. Inc.  3.700% 4/15/46   4,250     3,199
  Lowe's Cos. Inc.  4.050% 5/3/47   3,290     2,606
  Lowe's Cos. Inc.  4.550% 4/5/49   2,516     2,127
  Lowe's Cos. Inc.  5.125% 4/15/50   3,195     2,947
  Lowe's Cos. Inc.  3.000% 10/15/50   5,598     3,611
  Lowe's Cos. Inc.  3.500% 4/1/51   1,958     1,381
  Lowe's Cos. Inc.  4.250% 4/1/52   5,601     4,504
  Lowe's Cos. Inc.  5.625% 4/15/53   3,143     3,123
  Lowe's Cos. Inc.  5.750% 7/1/53   1,089     1,100
  Lowe's Cos. Inc.  4.450% 4/1/62   1,551     1,240
  Lowe's Cos. Inc.  5.800% 9/15/62   6,611     6,600
  Lowe's Cos. Inc.  5.850% 4/1/63   2,524     2,547
  Marriott International Inc.  5.300% 5/15/34   1,000       984
  Masco Corp.  4.500% 5/15/47   1,024       855
  Masco Corp.  3.125% 2/15/51   1,506     1,003
1 Massachusetts Institute of Technology  3.959% 7/1/38   1,504     1,362
1 Massachusetts Institute of Technology  2.989% 7/1/50   1,956     1,413
1 Massachusetts Institute of Technology  2.294% 7/1/51   1,236       764
  Massachusetts Institute of Technology  3.067% 4/1/52   2,070     1,509
  Massachusetts Institute of Technology  5.600% 7/1/11   2,655     2,854
  Massachusetts Institute of Technology  4.678% 7/1/14   1,392     1,270
  Massachusetts Institute of Technology  3.885% 7/1/16   1,678     1,265
1 McDonald's Corp.  4.700% 12/9/35     860       826
1 McDonald's Corp.  6.300% 10/15/37   3,501     3,813
1 McDonald's Corp.  6.300% 3/1/38   2,871     3,124
1 McDonald's Corp.  5.700% 2/1/39   1,006     1,036
1 McDonald's Corp.  4.875% 7/15/40     991       945
1 McDonald's Corp.  3.700% 2/15/42   1,587     1,276
1 McDonald's Corp.  3.625% 5/1/43   1,316     1,036
1 McDonald's Corp.  4.600% 5/26/45   2,108     1,876
1 McDonald's Corp.  4.875% 12/9/45   5,737     5,272
1 McDonald's Corp.  4.450% 3/1/47   5,136     4,413
1 McDonald's Corp.  4.450% 9/1/48   2,420     2,091
1 McDonald's Corp.  3.625% 9/1/49   7,224     5,393
1 McDonald's Corp.  4.200% 4/1/50   3,138     2,585
1 McDonald's Corp.  5.150% 9/9/52   1,889     1,794
  McDonald's Corp.  5.450% 8/14/53   2,315     2,299
  MDC Holdings Inc.  6.000% 1/15/43   2,423     2,415
  NIKE Inc.  3.250% 3/27/40   3,060     2,439
  NIKE Inc.  3.625% 5/1/43     860       701
  NIKE Inc.  3.875% 11/1/45   3,533     2,920
  NIKE Inc.  3.375% 11/1/46     975       737
 
67

 

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

($000)
  NIKE Inc.  3.375% 3/27/50   5,330     4,041
1 Northeastern University  2.894% 10/1/50   1,580     1,092
1 Northwestern University  4.643% 12/1/44   2,053     1,952
1 Northwestern University  2.640% 12/1/50   1,495       987
1 Northwestern University  3.662% 12/1/57     879       693
  Owens Corning  7.000% 12/1/36   1,405     1,561
  Owens Corning  4.300% 7/15/47   1,804     1,478
  Owens Corning  4.400% 1/30/48   1,513     1,244
  President & Fellows of Harvard College  4.875% 10/15/40     831       820
  President & Fellows of Harvard College  3.150% 7/15/46   1,764     1,319
  President & Fellows of Harvard College  2.517% 10/15/50   1,765     1,155
  President & Fellows of Harvard College  3.745% 11/15/52   2,077     1,728
  President & Fellows of Harvard College  3.300% 7/15/56   1,534     1,136
  PulteGroup Inc.  6.000% 2/15/35   1,475     1,515
1 Rockefeller Foundation  2.492% 10/1/50   2,565     1,634
  Snap-on Inc.  4.100% 3/1/48   1,488     1,242
  Snap-on Inc.  3.100% 5/1/50   1,832     1,286
  Stanley Black & Decker Inc.  5.200% 9/1/40     759       712
  Stanley Black & Decker Inc.  4.850% 11/15/48   1,121       970
  Stanley Black & Decker Inc.  2.750% 11/15/50   3,979     2,319
  Starbucks Corp.  4.300% 6/15/45   1,107       945
  Starbucks Corp.  3.750% 12/1/47   1,363     1,051
  Starbucks Corp.  4.500% 11/15/48   3,126     2,702
  Starbucks Corp.  4.450% 8/15/49   3,496     2,991
  Starbucks Corp.  3.350% 3/12/50   1,581     1,116
  Starbucks Corp.  3.500% 11/15/50   4,679     3,416
  Thomas Jefferson University  3.847% 11/1/57   1,794     1,329
  TJX Cos. Inc.  4.500% 4/15/50   1,822     1,660
1 Trustees of Boston College  3.129% 7/1/52   1,422     1,031
1 Trustees of Boston University  4.061% 10/1/48   1,143       976
  Trustees of Princeton University  5.700% 3/1/39   1,619     1,763
1 Trustees of Princeton University  2.516% 7/1/50   1,508     1,004
  Trustees of Princeton University  4.201% 3/1/52     699       633
1 Trustees of the University of Pennsylvania  2.396% 10/1/50   1,083       674
  Trustees of the University of Pennsylvania  4.674% 9/1/12     934       838
  Trustees of the University of Pennsylvania  3.610% 2/15/19     863       596
1 University of Chicago  2.761% 4/1/45   1,080       831
1 University of Chicago  2.547% 4/1/50   1,258       840
  University of Chicago  3.000% 10/1/52   1,236       868
1 University of Chicago  4.003% 10/1/53   1,418     1,177
1 University of Miami  4.063% 4/1/52   1,950     1,642
1 University of Notre Dame du Lac  3.438% 2/15/45   1,603     1,280
1 University of Notre Dame du Lac  3.394% 2/15/48   2,253     1,764
1 University of Southern California  3.028% 10/1/39   1,834     1,449
1 University of Southern California  3.841% 10/1/47   1,088       907
  University of Southern California  2.805% 10/1/50   1,039       709
1 University of Southern California  2.945% 10/1/51   1,068       744
  University of Southern California  4.976% 10/1/53   1,060     1,064
  University of Southern California  5.250% 10/1/11   1,044     1,031
1 University of Southern California  3.226% 10/1/20     790       480
1 Washington University  3.524% 4/15/54   1,549     1,201
  Washington University  4.349% 4/15/22   1,652     1,376
  Whirlpool Corp.  4.500% 6/1/46   1,343     1,080
  Whirlpool Corp.  4.600% 5/15/50   1,810     1,457
1 William Marsh Rice University  3.574% 5/15/45   1,190       970
1 William Marsh Rice University  3.774% 5/15/55   1,228       990
1 Yale University  2.402% 4/15/50   2,140     1,373
                                435,502
Consumer Staples (7.5%)
  Altria Group Inc.  5.800% 2/14/39   8,458     8,425
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Altria Group Inc.  3.400% 2/4/41   3,107     2,233
  Altria Group Inc.  4.250% 8/9/42   1,707     1,365
  Altria Group Inc.  4.500% 5/2/43   3,239     2,682
  Altria Group Inc.  5.375% 1/31/44   6,601     6,416
  Altria Group Inc.  3.875% 9/16/46   4,394     3,212
  Altria Group Inc.  5.950% 2/14/49   9,396     9,352
  Altria Group Inc.  4.450% 5/6/50     615       481
  Altria Group Inc.  3.700% 2/4/51   4,311     2,936
  Altria Group Inc.  6.200% 2/14/59     335       341
  Altria Group Inc.  4.000% 2/4/61   3,386     2,418
1 Anheuser-Busch Cos. LLC  4.700% 2/1/36  21,831    20,893
1 Anheuser-Busch Cos. LLC  4.900% 2/1/46  35,602    33,232
  Anheuser-Busch InBev Finance Inc.  4.700% 2/1/36   3,850     3,671
  Anheuser-Busch InBev Finance Inc.  4.625% 2/1/44   2,463     2,222
  Anheuser-Busch InBev Finance Inc.  4.900% 2/1/46   4,020     3,715
  Anheuser-Busch InBev Worldwide Inc.  5.875% 6/15/35   1,795     1,911
  Anheuser-Busch InBev Worldwide Inc.  4.375% 4/15/38   7,189     6,575
  Anheuser-Busch InBev Worldwide Inc.  8.200% 1/15/39   3,060     3,935
  Anheuser-Busch InBev Worldwide Inc.  5.450% 1/23/39   5,942     6,047
  Anheuser-Busch InBev Worldwide Inc.  8.000% 11/15/39   1,571     1,969
  Anheuser-Busch InBev Worldwide Inc.  4.350% 6/1/40   5,479     4,900
  Anheuser-Busch InBev Worldwide Inc.  4.950% 1/15/42   5,891     5,619
  Anheuser-Busch InBev Worldwide Inc.  4.600% 4/15/48   2,605     2,340
  Anheuser-Busch InBev Worldwide Inc.  4.439% 10/6/48   8,227     7,201
  Anheuser-Busch InBev Worldwide Inc.  5.550% 1/23/49  18,556    19,004
  Anheuser-Busch InBev Worldwide Inc.  4.750% 4/15/58   2,959     2,662
  Anheuser-Busch InBev Worldwide Inc.  5.800% 1/23/59   4,617     4,876
  Archer-Daniels-Midland Co.  5.935% 10/1/32     440       465
  Archer-Daniels-Midland Co.  4.500% 8/15/33   1,460     1,392
  Archer-Daniels-Midland Co.  5.375% 9/15/35     913       918
  Archer-Daniels-Midland Co.  3.750% 9/15/47   3,987     3,027
  Archer-Daniels-Midland Co.  4.500% 3/15/49   2,158     1,884
  Archer-Daniels-Midland Co.  2.700% 9/15/51   1,012       641
  BAT Capital Corp.  4.390% 8/15/37   9,663     7,926
  BAT Capital Corp.  3.734% 9/25/40   2,637     1,901
  BAT Capital Corp.  7.079% 8/2/43   1,965     2,046
  BAT Capital Corp.  4.540% 8/15/47   9,852     7,343
  BAT Capital Corp.  4.758% 9/6/49   3,847     2,967
  BAT Capital Corp.  5.282% 4/2/50   1,995     1,650
  BAT Capital Corp.  3.984% 9/25/50   4,171     2,847
  BAT Capital Corp.  5.650% 3/16/52   1,351     1,186
  BAT Capital Corp.  7.081% 8/2/53   3,952     4,097
  Brown-Forman Corp.  4.000% 4/15/38   1,047       919
  Brown-Forman Corp.  4.500% 7/15/45   1,786     1,585
  Campbell Soup Co.  4.800% 3/15/48   1,919     1,683
  Campbell Soup Co.  3.125% 4/24/50   3,006     1,960
  Church & Dwight Co. Inc.  3.950% 8/1/47   1,023       817
  Church & Dwight Co. Inc.  5.000% 6/15/52   1,711     1,614
  Coca-Cola Co.  2.500% 6/1/40   3,996     2,854
  Coca-Cola Co.  2.875% 5/5/41   2,436     1,828
  Coca-Cola Co.  4.200% 3/25/50   1,120       989
  Coca-Cola Co.  2.600% 6/1/50   3,929     2,528
  Coca-Cola Co.  3.000% 3/5/51   5,835     4,082
  Coca-Cola Co.  2.500% 3/15/51   3,953     2,469
  Coca-Cola Co.  2.750% 6/1/60   4,005     2,538
  Coca-Cola Femsa SAB de CV  5.250% 11/26/43   1,310     1,272
1 Colgate-Palmolive Co.  4.000% 8/15/45   1,949     1,706
1 Colgate-Palmolive Co.  3.700% 8/1/47   2,457     2,027
  Conagra Brands Inc.  5.300% 11/1/38   4,756     4,491
  Conagra Brands Inc.  5.400% 11/1/48   2,510     2,316
  Constellation Brands Inc.  4.500% 5/9/47   1,473     1,241
  Constellation Brands Inc.  4.100% 2/15/48   1,658     1,327
  Constellation Brands Inc.  5.250% 11/15/48   1,959     1,845
  Constellation Brands Inc.  3.750% 5/1/50   2,066     1,546
  Delhaize America LLC  9.000% 4/15/31     110       128
  Diageo Capital plc  5.875% 9/30/36   2,545     2,714
  Diageo Capital plc  3.875% 4/29/43   1,550     1,311
 
68

 

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

($000)
  Diageo Investment Corp.  7.450% 4/15/35   2,075     2,454
  Diageo Investment Corp.  4.250% 5/11/42     767       680
  Dollar General Corp.  4.125% 4/3/50   2,162     1,652
  Dollar Tree Inc.  3.375% 12/1/51   1,555     1,028
  Estee Lauder Cos. Inc.  6.000% 5/15/37     857       913
  Estee Lauder Cos. Inc.  4.375% 6/15/45   1,522     1,308
  Estee Lauder Cos. Inc.  4.150% 3/15/47   1,527     1,260
  Estee Lauder Cos. Inc.  3.125% 12/1/49   2,402     1,638
  Estee Lauder Cos. Inc.  5.150% 5/15/53   2,196     2,104
  Fomento Economico Mexicano SAB de CV  3.500% 1/16/50   6,124     4,527
  General Mills Inc.  5.400% 6/15/40     872       857
  General Mills Inc.  4.700% 4/17/48     490       442
  General Mills Inc.  3.000% 2/1/51   2,614     1,685
  Haleon US Capital LLC  4.000% 3/24/52   3,435     2,744
  Hershey Co.  3.375% 8/15/46   1,590     1,196
  Hershey Co.  3.125% 11/15/49   2,007     1,438
  Hormel Foods Corp.  3.050% 6/3/51   2,132     1,431
  Ingredion Inc.  3.900% 6/1/50   1,096       803
  J M Smucker Co.  4.250% 3/15/35   3,641     3,260
  J M Smucker Co.  2.750% 9/15/41   1,809     1,208
  J M Smucker Co.  6.500% 11/15/43   2,323     2,482
  J M Smucker Co.  3.550% 3/15/50     850       595
  J M Smucker Co.  6.500% 11/15/53   4,193     4,565
2 JBS USA LUX SA  6.750% 3/15/34   4,412     4,543
  JBS USA LUX SA  4.375% 2/2/52   2,990     2,143
  JBS USA LUX SA  6.500% 12/1/52   5,440     5,242
2 JBS USA LUX SA  7.250% 11/15/53   3,351     3,513
  Kellanova  4.500% 4/1/46   2,516     2,162
  Kenvue Inc.  5.100% 3/22/43   2,715     2,645
  Kenvue Inc.  5.050% 3/22/53   5,395     5,192
  Kenvue Inc.  5.200% 3/22/63   2,715     2,626
  Keurig Dr Pepper Inc.  4.500% 11/15/45   2,077     1,791
  Keurig Dr Pepper Inc.  4.420% 12/15/46   1,264     1,067
  Keurig Dr Pepper Inc.  3.800% 5/1/50   2,385     1,814
  Keurig Dr Pepper Inc.  3.350% 3/15/51   1,500     1,043
  Keurig Dr Pepper Inc.  4.500% 4/15/52   6,904     5,859
  Kimberly-Clark Corp.  6.625% 8/1/37   1,949     2,245
  Kimberly-Clark Corp.  5.300% 3/1/41   1,162     1,162
  Kimberly-Clark Corp.  3.200% 7/30/46   1,310       957
  Kimberly-Clark Corp.  3.900% 5/4/47   2,073     1,679
  Kimberly-Clark Corp.  2.875% 2/7/50   1,494     1,020
  Koninklijke Ahold Delhaize NV  5.700% 10/1/40   1,791     1,776
  Kraft Heinz Foods Co.  5.000% 7/15/35   4,050     3,953
  Kraft Heinz Foods Co.  6.875% 1/26/39   2,744     3,073
  Kraft Heinz Foods Co.  6.500% 2/9/40   3,143     3,390
  Kraft Heinz Foods Co.  5.000% 6/4/42   5,185     4,783
  Kraft Heinz Foods Co.  5.200% 7/15/45   5,937     5,542
  Kraft Heinz Foods Co.  4.375% 6/1/46   9,717     8,060
  Kraft Heinz Foods Co.  4.875% 10/1/49   5,403     4,821
  Kraft Heinz Foods Co.  5.500% 6/1/50   2,947     2,868
  Kroger Co.  6.900% 4/15/38   1,158     1,293
  Kroger Co.  5.400% 7/15/40     974       942
  Kroger Co.  5.000% 4/15/42     739       685
  Kroger Co.  5.150% 8/1/43   1,786     1,660
  Kroger Co.  3.875% 10/15/46     654       496
  Kroger Co.  4.450% 2/1/47   4,764     4,018
  Kroger Co.  4.650% 1/15/48   1,362     1,187
  Kroger Co.  3.950% 1/15/50   4,758     3,727
  McCormick & Co. Inc.  4.200% 8/15/47     790       654
  Mead Johnson Nutrition Co.  5.900% 11/1/39   1,700     1,773
  Mead Johnson Nutrition Co.  4.600% 6/1/44   1,140     1,031
  Molson Coors Beverage Co.  5.000% 5/1/42   2,823     2,623
  Molson Coors Beverage Co.  4.200% 7/15/46   7,745     6,310
  Mondelez International Inc.  2.625% 9/4/50   3,920     2,449
  PepsiCo Inc.  3.500% 3/19/40     593       487
  PepsiCo Inc.  2.625% 10/21/41   4,385     3,142
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  PepsiCo Inc.  4.000% 3/5/42     869       769
  PepsiCo Inc.  3.600% 8/13/42   1,541     1,237
  PepsiCo Inc.  4.250% 10/22/44     963       835
  PepsiCo Inc.  4.450% 4/14/46   3,694     3,341
  PepsiCo Inc.  3.450% 10/6/46   3,765     2,915
  PepsiCo Inc.  4.000% 5/2/47   3,610     3,045
  PepsiCo Inc.  3.375% 7/29/49   2,378     1,789
  PepsiCo Inc.  2.875% 10/15/49   6,154     4,234
  PepsiCo Inc.  3.625% 3/19/50   2,602     2,050
  PepsiCo Inc.  2.750% 10/21/51   3,758     2,469
  PepsiCo Inc.  4.200% 7/18/52     797       690
  PepsiCo Inc.  4.650% 2/15/53   2,230     2,072
  PepsiCo Inc.  3.875% 3/19/60     786       628
  Philip Morris International Inc.  6.375% 5/16/38   6,000     6,475
  Philip Morris International Inc.  4.375% 11/15/41   3,241     2,755
  Philip Morris International Inc.  4.500% 3/20/42   3,563     3,076
  Philip Morris International Inc.  3.875% 8/21/42   4,421     3,484
  Philip Morris International Inc.  4.125% 3/4/43   2,960     2,414
  Philip Morris International Inc.  4.875% 11/15/43   1,299     1,167
  Philip Morris International Inc.  4.250% 11/10/44   3,394     2,798
  Pilgrim's Pride Corp.  6.875% 5/15/34   1,000     1,053
  Procter & Gamble Co.  5.800% 8/15/34     954     1,061
  Procter & Gamble Co.  5.550% 3/5/37   1,595     1,711
  Procter & Gamble Co.  3.550% 3/25/40   1,341     1,148
  Procter & Gamble Co.  3.500% 10/25/47     678       545
  Procter & Gamble Co.  3.600% 3/25/50   1,126       924
  Reynolds American Inc.  5.700% 8/15/35   1,753     1,674
  Reynolds American Inc.  7.250% 6/15/37   1,863     1,982
  Reynolds American Inc.  6.150% 9/15/43   1,931     1,865
  Reynolds American Inc.  5.850% 8/15/45   6,823     6,183
  Sysco Corp.  6.000% 1/17/34   1,965     2,066
  Sysco Corp.  5.375% 9/21/35   1,239     1,250
  Sysco Corp.  6.600% 4/1/40   1,257     1,378
  Sysco Corp.  4.850% 10/1/45     904       818
  Sysco Corp.  4.500% 4/1/46   1,144       979
  Sysco Corp.  4.450% 3/15/48   1,275     1,078
  Sysco Corp.  3.300% 2/15/50     761       539
  Sysco Corp.  6.600% 4/1/50   3,864     4,363
  Sysco Corp.  3.150% 12/14/51   2,062     1,395
  Target Corp.  6.500% 10/15/37     794       887
  Target Corp.  7.000% 1/15/38   1,792     2,093
  Target Corp.  4.000% 7/1/42   3,867     3,328
  Target Corp.  3.625% 4/15/46   2,151     1,678
  Target Corp.  3.900% 11/15/47   1,252     1,021
  Target Corp.  2.950% 1/15/52   3,709     2,462
  Target Corp.  4.800% 1/15/53   4,724     4,360
  Tyson Foods Inc.  4.875% 8/15/34   1,978     1,879
  Tyson Foods Inc.  5.150% 8/15/44     750       675
  Tyson Foods Inc.  4.550% 6/2/47   1,052       852
  Tyson Foods Inc.  5.100% 9/28/48   5,285     4,661
  Unilever Capital Corp.  5.000% 12/8/33   1,935     1,938
1 Unilever Capital Corp.  2.625% 8/12/51   2,672     1,724
  Walmart Inc.  5.250% 9/1/35   5,672     5,871
  Walmart Inc.  6.500% 8/15/37   2,385     2,736
  Walmart Inc.  6.200% 4/15/38   2,881     3,231
  Walmart Inc.  3.950% 6/28/38   2,325     2,099
  Walmart Inc.  5.625% 4/1/40   2,506     2,662
  Walmart Inc.  5.000% 10/25/40     764       772
  Walmart Inc.  5.625% 4/15/41   1,854     1,970
  Walmart Inc.  2.500% 9/22/41   4,030     2,842
  Walmart Inc.  4.000% 4/11/43   2,404     2,080
  Walmart Inc.  3.625% 12/15/47   1,592     1,254
  Walmart Inc.  4.050% 6/29/48   5,847     5,029
  Walmart Inc.  2.950% 9/24/49   1,545     1,078
  Walmart Inc.  2.650% 9/22/51   3,579     2,334
 
69

 

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

($000)
  Walmart Inc.  4.500% 9/9/52   3,029     2,758
  Walmart Inc.  4.500% 4/15/53   7,170     6,522
                                567,480
Energy (8.9%)
  Apache Corp.  6.000% 1/15/37   1,195     1,162
  Apache Corp.  5.100% 9/1/40   4,917     4,115
  Apache Corp.  5.250% 2/1/42   1,117       927
  Apache Corp.  4.750% 4/15/43   1,523     1,171
  Apache Corp.  5.350% 7/1/49   1,337     1,082
  Baker Hughes Holdings LLC  5.125% 9/15/40   4,159     4,034
  Baker Hughes Holdings LLC  4.080% 12/15/47   4,070     3,277
  BP Capital Markets America Inc.  4.989% 4/10/34   5,730     5,638
  BP Capital Markets America Inc.  3.060% 6/17/41   5,167     3,837
  BP Capital Markets America Inc.  3.000% 2/24/50   9,720     6,503
  BP Capital Markets America Inc.  2.772% 11/10/50   5,591     3,551
  BP Capital Markets America Inc.  2.939% 6/4/51   7,878     5,178
  BP Capital Markets America Inc.  3.001% 3/17/52   3,627     2,407
  BP Capital Markets America Inc.  3.379% 2/8/61   7,187     4,837
3 BP Capital Markets plc  6.450% Perpetual   1,960     1,970
  Canadian Natural Resources Ltd.  5.850% 2/1/35     992       990
  Canadian Natural Resources Ltd.  6.500% 2/15/37     989     1,030
  Canadian Natural Resources Ltd.  6.250% 3/15/38   4,035     4,137
  Canadian Natural Resources Ltd.  6.750% 2/1/39     937       998
1 Canadian Natural Resources Ltd.  4.950% 6/1/47   4,270     3,721
  Cenovus Energy Inc.  5.250% 6/15/37     682       634
  Cenovus Energy Inc.  6.750% 11/15/39     617       669
  Cenovus Energy Inc.  5.400% 6/15/47   2,481     2,278
  Cenovus Energy Inc.  3.750% 2/15/52   3,364     2,401
  Cheniere Corpus Christi Holdings LLC  2.742% 12/31/39   1,036       813
  Chevron Corp.  3.078% 5/11/50   3,394     2,394
  Chevron USA Inc.  5.250% 11/15/43     998     1,006
  Chevron USA Inc.  2.343% 8/12/50   4,508     2,703
  Columbia Pipeline Group Inc.  5.800% 6/1/45   1,862     1,798
  ConocoPhillips  5.900% 5/15/38   2,039     2,137
  ConocoPhillips  6.500% 2/1/39   4,380     4,931
  ConocoPhillips  4.875% 10/1/47   1,436     1,332
  ConocoPhillips Co.  3.758% 3/15/42   3,005     2,434
  ConocoPhillips Co.  4.300% 11/15/44   1,808     1,554
  ConocoPhillips Co.  3.800% 3/15/52   5,640     4,323
  ConocoPhillips Co.  5.300% 5/15/53   4,749     4,647
  ConocoPhillips Co.  5.550% 3/15/54   3,115     3,150
  ConocoPhillips Co.  4.025% 3/15/62   6,251     4,842
  ConocoPhillips Co.  5.700% 9/15/63   2,395     2,447
  Continental Resources Inc.  4.900% 6/1/44   2,487     2,016
  DCP Midstream Operating LP  5.600% 4/1/44   1,545     1,475
  Devon Energy Corp.  5.600% 7/15/41   3,974     3,745
  Devon Energy Corp.  4.750% 5/15/42   2,490     2,108
  Devon Energy Corp.  5.000% 6/15/45   1,705     1,471
  Diamondback Energy Inc.  4.400% 3/24/51   2,436     1,966
  Diamondback Energy Inc.  4.250% 3/15/52   1,960     1,555
  Diamondback Energy Inc.  6.250% 3/15/53   2,492     2,636
1 Eastern Gas Transmission & Storage Inc.  4.800% 11/1/43   1,183     1,042
1 Eastern Gas Transmission & Storage Inc.  4.600% 12/15/44     860       730
1 Enbridge Energy Partners LP  7.500% 4/15/38     727       840
  Enbridge Energy Partners LP  5.500% 9/15/40   1,087     1,053
  Enbridge Energy Partners LP  7.375% 10/15/45   2,462     2,842
  Enbridge Inc.  4.500% 6/10/44   1,964     1,637
  Enbridge Inc.  5.500% 12/1/46   1,944     1,877
  Enbridge Inc.  4.000% 11/15/49     857       663
  Enbridge Inc.  3.400% 8/1/51   3,409     2,377
  Enbridge Inc.  6.700% 11/15/53   4,305     4,802
  Energy Transfer LP  5.550% 5/15/34   4,255     4,213
  Energy Transfer LP  4.900% 3/15/35   1,891     1,764
  Energy Transfer LP  6.625% 10/15/36   1,533     1,611
1 Energy Transfer LP  5.800% 6/15/38   1,062     1,048
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Energy Transfer LP  7.500% 7/1/38   1,381     1,569
  Energy Transfer LP  6.050% 6/1/41   2,406     2,385
  Energy Transfer LP  6.500% 2/1/42   5,046     5,274
  Energy Transfer LP  6.100% 2/15/42     986       977
  Energy Transfer LP  4.950% 1/15/43   1,038       894
  Energy Transfer LP  5.150% 2/1/43   2,014     1,773
  Energy Transfer LP  5.950% 10/1/43     689       672
  Energy Transfer LP  5.300% 4/1/44   2,265     2,051
  Energy Transfer LP  5.000% 5/15/44   1,319     1,142
  Energy Transfer LP  5.150% 3/15/45   5,109     4,559
  Energy Transfer LP  5.350% 5/15/45   3,037     2,748
  Energy Transfer LP  6.125% 12/15/45   3,982     3,958
  Energy Transfer LP  5.300% 4/15/47   4,048     3,616
  Energy Transfer LP  5.400% 10/1/47   5,344     4,833
  Energy Transfer LP  6.000% 6/15/48   5,126     5,018
  Energy Transfer LP  6.250% 4/15/49   6,000     6,054
  Energy Transfer LP  5.000% 5/15/50   5,587     4,817
  Energy Transfer LP  5.950% 5/15/54   5,666     5,541
1 Enterprise Products Operating LLC  6.650% 10/15/34     932     1,029
  Enterprise Products Operating LLC  7.550% 4/15/38     848     1,009
  Enterprise Products Operating LLC  6.125% 10/15/39   3,431     3,596
  Enterprise Products Operating LLC  6.450% 9/1/40   1,360     1,486
  Enterprise Products Operating LLC  5.950% 2/1/41   2,504     2,611
  Enterprise Products Operating LLC  5.700% 2/15/42   1,488     1,501
  Enterprise Products Operating LLC  4.850% 8/15/42   2,687     2,458
  Enterprise Products Operating LLC  4.450% 2/15/43   4,611     4,012
  Enterprise Products Operating LLC  4.850% 3/15/44   4,542     4,158
  Enterprise Products Operating LLC  5.100% 2/15/45   6,674     6,248
  Enterprise Products Operating LLC  4.250% 2/15/48   4,120     3,444
  Enterprise Products Operating LLC  4.800% 2/1/49   5,286     4,787
  Enterprise Products Operating LLC  4.200% 1/31/50   4,367     3,605
  Enterprise Products Operating LLC  3.700% 1/31/51   2,009     1,515
  Enterprise Products Operating LLC  3.200% 2/15/52   3,197     2,182
  Enterprise Products Operating LLC  3.300% 2/15/53   3,471     2,422
  Enterprise Products Operating LLC  4.950% 10/15/54   4,080     3,720
  Enterprise Products Operating LLC  3.950% 1/31/60   3,092     2,339
  EOG Resources Inc.  3.900% 4/1/35     808       724
  EOG Resources Inc.  4.950% 4/15/50   3,732     3,479
  Exxon Mobil Corp.  2.995% 8/16/39   2,944     2,265
  Exxon Mobil Corp.  4.227% 3/19/40   5,847     5,243
  Exxon Mobil Corp.  3.567% 3/6/45   4,083     3,181
  Exxon Mobil Corp.  4.114% 3/1/46  10,031     8,502
  Exxon Mobil Corp.  3.095% 8/16/49   6,077     4,247
  Exxon Mobil Corp.  4.327% 3/19/50   7,352     6,407
  Exxon Mobil Corp.  3.452% 4/15/51   9,612     7,126
  Halliburton Co.  4.850% 11/15/35   4,129     3,973
  Halliburton Co.  6.700% 9/15/38   3,735     4,182
  Halliburton Co.  7.450% 9/15/39   2,570     3,087
  Halliburton Co.  4.750% 8/1/43   3,412     3,078
  Halliburton Co.  5.000% 11/15/45   9,169     8,530
  Hess Corp.  6.000% 1/15/40   2,688     2,806
  Hess Corp.  5.600% 2/15/41   4,492     4,526
  Hess Corp.  5.800% 4/1/47   1,759     1,784
  Kinder Morgan Energy Partners LP  5.800% 3/15/35   2,090     2,098
  Kinder Morgan Energy Partners LP  6.500% 2/1/37   1,068     1,100
1 Kinder Morgan Energy Partners LP  6.950% 1/15/38   3,833     4,133
  Kinder Morgan Energy Partners LP  6.500% 9/1/39   1,696     1,746
  Kinder Morgan Energy Partners LP  6.550% 9/15/40   1,224     1,270
  Kinder Morgan Energy Partners LP  7.500% 11/15/40   1,536     1,712
  Kinder Morgan Energy Partners LP  5.625% 9/1/41     696       655
  Kinder Morgan Energy Partners LP  5.000% 8/15/42   2,537     2,207
  Kinder Morgan Energy Partners LP  4.700% 11/1/42     947       795
  Kinder Morgan Energy Partners LP  5.000% 3/1/43   3,301     2,875
  Kinder Morgan Energy Partners LP  5.500% 3/1/44   7,497     6,931
  Kinder Morgan Energy Partners LP  5.400% 9/1/44   1,678     1,530
  Kinder Morgan Inc.  5.300% 12/1/34   3,329     3,244
  Kinder Morgan Inc.  5.550% 6/1/45   5,013     4,703
 
70

 

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

($000)
  Kinder Morgan Inc.  5.050% 2/15/46   2,678     2,329
  Kinder Morgan Inc.  5.200% 3/1/48   2,776     2,466
  Kinder Morgan Inc.  3.250% 8/1/50   1,644     1,063
  Kinder Morgan Inc.  3.600% 2/15/51   3,984     2,735
  Kinder Morgan Inc.  5.450% 8/1/52   2,590     2,386
  Magellan Midstream Partners LP  3.950% 3/1/50   2,620     1,908
  Marathon Oil Corp.  6.600% 10/1/37   2,655     2,770
  Marathon Oil Corp.  5.200% 6/1/45   1,711     1,486
  Marathon Petroleum Corp.  6.500% 3/1/41   4,800     5,095
  Marathon Petroleum Corp.  4.750% 9/15/44   2,169     1,893
  Marathon Petroleum Corp.  4.500% 4/1/48   2,682     2,206
  Marathon Petroleum Corp.  5.000% 9/15/54     587       504
  MPLX LP  4.500% 4/15/38   6,056     5,277
  MPLX LP  5.200% 3/1/47   2,791     2,506
  MPLX LP  5.200% 12/1/47   1,428     1,272
  MPLX LP  4.700% 4/15/48   5,600     4,688
  MPLX LP  5.500% 2/15/49   5,168     4,839
  MPLX LP  4.950% 3/14/52   5,377     4,631
  MPLX LP  5.650% 3/1/53   1,760     1,676
  MPLX LP  4.900% 4/15/58     555       460
  NOV Inc.  3.950% 12/1/42   3,291     2,452
  Occidental Petroleum Corp.  6.450% 9/15/36   5,026     5,299
  Occidental Petroleum Corp.  7.950% 6/15/39     960     1,119
  Occidental Petroleum Corp.  6.200% 3/15/40   2,584     2,623
  Occidental Petroleum Corp.  6.600% 3/15/46   4,271     4,537
  Occidental Petroleum Corp.  4.400% 4/15/46   1,665     1,336
  Occidental Petroleum Corp.  4.200% 3/15/48   1,051       809
  ONEOK Inc.  6.000% 6/15/35     526       530
  ONEOK Inc.  5.150% 10/15/43   1,550     1,400
  ONEOK Inc.  4.250% 9/15/46   1,344     1,047
  ONEOK Inc.  4.950% 7/13/47   2,889     2,487
  ONEOK Inc.  4.200% 10/3/47     952       728
  ONEOK Inc.  5.200% 7/15/48   5,138     4,639
  ONEOK Inc.  4.850% 2/1/49   1,520     1,297
  ONEOK Inc.  4.450% 9/1/49   2,426     1,935
  ONEOK Inc.  4.500% 3/15/50   1,206       965
  ONEOK Inc.  7.150% 1/15/51   1,176     1,304
  ONEOK Inc.  6.625% 9/1/53   6,328     6,810
  ONEOK Partners LP  6.650% 10/1/36   1,292     1,366
  ONEOK Partners LP  6.850% 10/15/37   1,298     1,392
  ONEOK Partners LP  6.125% 2/1/41   1,983     2,015
  ONEOK Partners LP  6.200% 9/15/43     829       846
  Ovintiv Inc.  6.500% 8/15/34   2,112     2,212
  Ovintiv Inc.  6.625% 8/15/37   1,681     1,735
  Ovintiv Inc.  6.500% 2/1/38   1,202     1,231
  Ovintiv Inc.  7.100% 7/15/53   1,425     1,553
  Phillips 66  4.650% 11/15/34   3,553     3,335
  Phillips 66  5.875% 5/1/42   4,246     4,376
  Phillips 66  4.875% 11/15/44   7,991     7,294
  Phillips 66  3.300% 3/15/52   3,941     2,695
  Phillips 66 Co.  4.680% 2/15/45     833       727
  Phillips 66 Co.  4.900% 10/1/46     947       847
  Phillips 66 Co.  5.650% 6/15/54   2,100     2,082
  Plains All American Pipeline LP  6.650% 1/15/37   1,930     2,037
  Plains All American Pipeline LP  5.150% 6/1/42   1,649     1,455
  Plains All American Pipeline LP  4.300% 1/31/43   1,051       831
  Plains All American Pipeline LP  4.700% 6/15/44   2,291     1,895
  Plains All American Pipeline LP  4.900% 2/15/45   2,490     2,097
  Sabine Pass Liquefaction LLC  5.900% 9/15/37   1,335     1,382
  Shell International Finance BV  4.125% 5/11/35   6,285     5,809
  Shell International Finance BV  6.375% 12/15/38   7,266     8,076
  Shell International Finance BV  5.500% 3/25/40   4,676     4,811
  Shell International Finance BV  2.875% 11/26/41   1,626     1,187
  Shell International Finance BV  3.625% 8/21/42   2,912     2,347
  Shell International Finance BV  4.550% 8/12/43   4,650     4,222
  Shell International Finance BV  4.375% 5/11/45  11,036     9,641
  Shell International Finance BV  4.000% 5/10/46   8,158     6,698
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Shell International Finance BV  3.750% 9/12/46   5,610     4,420
  Shell International Finance BV  3.125% 11/7/49   3,080     2,142
  Shell International Finance BV  3.250% 4/6/50   6,446     4,582
  Shell International Finance BV  3.000% 11/26/51   1,589     1,065
  Spectra Energy Partners LP  5.950% 9/25/43   1,170     1,163
  Spectra Energy Partners LP  4.500% 3/15/45   2,773     2,323
  Suncor Energy Inc.  5.950% 12/1/34   1,001     1,040
  Suncor Energy Inc.  6.800% 5/15/38   4,907     5,233
  Suncor Energy Inc.  6.500% 6/15/38   3,883     4,065
  Suncor Energy Inc.  6.850% 6/1/39   2,349     2,521
  Suncor Energy Inc.  4.000% 11/15/47   2,123     1,617
  Suncor Energy Inc.  3.750% 3/4/51   1,637     1,188
  Targa Resources Corp.  6.500% 3/30/34   3,100     3,291
  Targa Resources Corp.  4.950% 4/15/52   2,670     2,285
  Targa Resources Corp.  6.250% 7/1/52   1,630     1,650
  Targa Resources Corp.  6.500% 2/15/53   3,160     3,326
  TotalEnergies Capital International SA  2.986% 6/29/41   1,790     1,329
  TotalEnergies Capital International SA  3.461% 7/12/49   2,721     2,032
  TotalEnergies Capital International SA  3.127% 5/29/50   8,918     6,202
  TransCanada PipeLines Ltd.  4.625% 3/1/34   5,240     4,857
  TransCanada PipeLines Ltd.  5.600% 3/31/34     773       772
  TransCanada PipeLines Ltd.  5.850% 3/15/36   1,861     1,860
  TransCanada PipeLines Ltd.  6.200% 10/15/37   5,303     5,456
  TransCanada PipeLines Ltd.  4.750% 5/15/38     635       574
  TransCanada PipeLines Ltd.  7.250% 8/15/38   1,995     2,249
  TransCanada PipeLines Ltd.  7.625% 1/15/39   3,593     4,186
  TransCanada PipeLines Ltd.  6.100% 6/1/40   3,614     3,692
  TransCanada PipeLines Ltd.  5.000% 10/16/43   1,449     1,294
  TransCanada PipeLines Ltd.  4.875% 5/15/48   2,965     2,586
  TransCanada PipeLines Ltd.  5.100% 3/15/49   3,085     2,826
  Transcontinental Gas Pipe Line Co. LLC  5.400% 8/15/41   1,295     1,263
  Transcontinental Gas Pipe Line Co. LLC  4.450% 8/1/42   1,307     1,134
  Transcontinental Gas Pipe Line Co. LLC  4.600% 3/15/48   2,077     1,816
  Transcontinental Gas Pipe Line Co. LLC  3.950% 5/15/50   1,739     1,353
  Valero Energy Corp.  6.625% 6/15/37   4,742     5,078
  Valero Energy Corp.  3.650% 12/1/51   3,331     2,344
  Valero Energy Corp.  4.000% 6/1/52   1,850     1,391
  Western Midstream Operating LP  5.450% 4/1/44   2,132     1,915
  Western Midstream Operating LP  5.300% 3/1/48   2,722     2,348
  Western Midstream Operating LP  5.500% 8/15/48   1,276     1,120
  Western Midstream Operating LP  5.250% 2/1/50   3,197     2,832
  Williams Cos. Inc.  5.150% 3/15/34   2,000     1,955
  Williams Cos. Inc.  6.300% 4/15/40   5,820     6,027
  Williams Cos. Inc.  5.400% 3/4/44   1,900     1,780
  Williams Cos. Inc.  5.750% 6/24/44   2,703     2,645
  Williams Cos. Inc.  4.900% 1/15/45   1,335     1,176
  Williams Cos. Inc.  5.100% 9/15/45   3,982     3,636
  Williams Cos. Inc.  4.850% 3/1/48   2,739     2,404
  Williams Cos. Inc.  3.500% 10/15/51   1,879     1,309
  Williams Cos. Inc.  5.300% 8/15/52   2,628     2,459
                                676,183
Financials (13.6%)
  AerCap Ireland Capital DAC  3.850% 10/29/41   5,307     4,103
  Aflac Inc.  4.000% 10/15/46     903       719
  Aflac Inc.  4.750% 1/15/49   1,709     1,546
  Alleghany Corp.  4.900% 9/15/44   1,389     1,301
  Alleghany Corp.  3.250% 8/15/51   2,014     1,405
  Allstate Corp.  5.550% 5/9/35   1,789     1,812
  Allstate Corp.  5.950% 4/1/36   2,315     2,418
  Allstate Corp.  4.500% 6/15/43   1,762     1,536
  Allstate Corp.  4.200% 12/15/46   2,770     2,265
  Allstate Corp.  3.850% 8/10/49   1,415     1,098
1 Allstate Corp.  6.500% 5/15/57   1,412     1,421
 
71

 

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

($000)
  American Express Co.  4.050% 12/3/42   3,849     3,311
  American Financial Group Inc.  4.500% 6/15/47   1,178       963
  American International Group Inc.  3.875% 1/15/35   1,306     1,149
  American International Group Inc.  4.700% 7/10/35     936       845
  American International Group Inc.  6.250% 5/1/36   1,087     1,128
  American International Group Inc.  4.500% 7/16/44   1,548     1,367
  American International Group Inc.  4.800% 7/10/45   1,951     1,787
  American International Group Inc.  4.750% 4/1/48   3,305     3,019
  American International Group Inc.  4.375% 6/30/50   3,768     3,233
  Aon Corp.  6.250% 9/30/40     947     1,003
  Aon Corp.  2.900% 8/23/51   3,064     1,906
  Aon Corp.  3.900% 2/28/52   3,384     2,561
  Aon Global Ltd.  4.600% 6/14/44   1,246     1,076
  Aon Global Ltd.  4.750% 5/15/45   1,810     1,595
3 Aon North America Inc.  5.750% 3/1/54   6,500     6,530
  Arch Capital Finance LLC  5.031% 12/15/46   1,009       928
  Arch Capital Group Ltd.  7.350% 5/1/34     994     1,115
  Arch Capital Group Ltd.  3.635% 6/30/50   3,595     2,648
  Arch Capital Group US Inc.  5.144% 11/1/43   1,748     1,627
  Arthur J Gallagher & Co.  3.500% 5/20/51   3,425     2,378
  Arthur J Gallagher & Co.  3.050% 3/9/52   1,179       748
  Arthur J Gallagher & Co.  5.750% 3/2/53   2,270     2,235
  Arthur J Gallagher & Co.  6.750% 2/15/54   1,727     1,934
  Arthur J Gallagher & Co.  5.750% 7/15/54   1,700     1,685
  Assured Guaranty US Holdings Inc.  3.600% 9/15/51   1,284       903
  Athene Holding Ltd.  3.950% 5/25/51   1,457     1,063
  Athene Holding Ltd.  3.450% 5/15/52   2,141     1,393
  Bank of America Corp.  6.110% 1/29/37   7,817     8,193
1 Bank of America Corp.  4.244% 4/24/38   4,751     4,220
  Bank of America Corp.  7.750% 5/14/38   5,080     6,096
1 Bank of America Corp.  4.078% 4/23/40   5,572     4,767
1 Bank of America Corp.  2.676% 6/19/41  15,598    10,880
1 Bank of America Corp.  5.875% 2/7/42   7,127     7,580
  Bank of America Corp.  3.311% 4/22/42  11,535     8,743
1 Bank of America Corp.  5.000% 1/21/44   7,189     6,875
1 Bank of America Corp.  4.875% 4/1/44   1,810     1,709
1 Bank of America Corp.  4.750% 4/21/45     937       851
1 Bank of America Corp.  4.443% 1/20/48   8,503     7,315
1 Bank of America Corp.  3.946% 1/23/49   1,139       915
1 Bank of America Corp.  4.330% 3/15/50  14,763    12,433
1 Bank of America Corp.  4.083% 3/20/51  16,446    13,281
1 Bank of America Corp.  2.831% 10/24/51   2,017     1,293
1 Bank of America Corp.  3.483% 3/13/52   3,533     2,591
  Bank of America Corp.  2.972% 7/21/52   8,683     5,771
1 Bank of America NA  6.000% 10/15/36   3,489     3,639
  Barclays plc  3.811% 3/10/42   2,649     1,987
  Barclays plc  3.330% 11/24/42   2,784     2,011
  Barclays plc  5.250% 8/17/45   5,147     4,908
  Barclays plc  4.950% 1/10/47   6,920     6,297
  Berkshire Hathaway Finance Corp.  5.750% 1/15/40   2,816     3,028
  Berkshire Hathaway Finance Corp.  4.400% 5/15/42   2,230     2,061
  Berkshire Hathaway Finance Corp.  4.300% 5/15/43   3,903     3,490
  Berkshire Hathaway Finance Corp.  4.200% 8/15/48   6,922     6,021
  Berkshire Hathaway Finance Corp.  4.250% 1/15/49   9,997     8,794
  Berkshire Hathaway Finance Corp.  2.850% 10/15/50   7,389     4,875
  Berkshire Hathaway Finance Corp.  2.500% 1/15/51   1,213       750
  Berkshire Hathaway Finance Corp.  3.850% 3/15/52   7,616     6,037
  Berkshire Hathaway Inc.  4.500% 2/11/43   3,188     3,005
  Brighthouse Financial Inc.  4.700% 6/22/47   3,641     2,821
  Brighthouse Financial Inc.  3.850% 12/22/51     895       580
  Brookfield Finance Inc.  4.700% 9/20/47   3,237     2,747
  Brookfield Finance Inc.  3.500% 3/30/51   1,578     1,121
  Brookfield Finance Inc.  3.625% 2/15/52   1,386       988
3 Brookfield Finance Inc.  5.968% 3/4/54   3,100     3,129
  Brookfield Finance LLC  3.450% 4/15/50   1,579     1,096
  Brown & Brown Inc.  4.950% 3/17/52   2,026     1,746
  Chubb Corp.  6.000% 5/11/37   3,279     3,519
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
1 Chubb Corp.  6.500% 5/15/38   1,623     1,824
  Chubb INA Holdings Inc.  6.700% 5/15/36   1,015     1,154
  Chubb INA Holdings Inc.  4.150% 3/13/43     794       694
  Chubb INA Holdings Inc.  4.350% 11/3/45   5,905     5,213
  Chubb INA Holdings Inc.  2.850% 12/15/51   1,731     1,172
  Chubb INA Holdings Inc.  3.050% 12/15/61   3,959     2,628
  CI Financial Corp.  4.100% 6/15/51   3,065     1,811
  Cincinnati Financial Corp.  6.125% 11/1/34   1,504     1,571
  Citigroup Inc.  6.125% 8/25/36   1,609     1,663
1 Citigroup Inc.  3.878% 1/24/39   3,270     2,751
  Citigroup Inc.  8.125% 7/15/39   5,555     7,034
1 Citigroup Inc.  5.316% 3/26/41   3,814     3,731
  Citigroup Inc.  5.875% 1/30/42   3,568     3,750
  Citigroup Inc.  2.904% 11/3/42   3,147     2,227
  Citigroup Inc.  6.675% 9/13/43   6,726     7,376
  Citigroup Inc.  5.300% 5/6/44   2,138     2,043
  Citigroup Inc.  4.650% 7/30/45   1,777     1,586
  Citigroup Inc.  4.750% 5/18/46   6,722     5,879
1 Citigroup Inc.  4.281% 4/24/48   5,774     4,880
  Citigroup Inc.  4.650% 7/23/48   9,333     8,318
  CME Group Inc.  5.300% 9/15/43   2,568     2,599
  CME Group Inc.  4.150% 6/15/48   1,887     1,620
1 Cooperatieve Rabobank UA  5.250% 5/24/41   5,139     5,192
  Cooperatieve Rabobank UA  5.750% 12/1/43   6,365     6,389
  Cooperatieve Rabobank UA  5.250% 8/4/45   1,455     1,411
  Corebridge Financial Inc.  4.350% 4/5/42     667       552
  Corebridge Financial Inc.  4.400% 4/5/52   4,971     3,996
  Equitable Holdings Inc.  5.000% 4/20/48   5,448     4,941
  Everest Reinsurance Holdings Inc.  4.868% 6/1/44   1,334     1,201
  Everest Reinsurance Holdings Inc.  3.500% 10/15/50   2,059     1,446
  Everest Reinsurance Holdings Inc.  3.125% 10/15/52   3,540     2,218
  Fidelity National Financial Inc.  3.200% 9/17/51   1,458       915
  Fifth Third Bancorp  8.250% 3/1/38   3,199     3,782
  Franklin Resources Inc.  2.950% 8/12/51   1,037       637
  GATX Corp.  6.900% 5/1/34   2,085     2,268
  GATX Corp.  5.200% 3/15/44     673       614
  GATX Corp.  3.100% 6/1/51   2,024     1,301
  Global Payments Inc.  4.150% 8/15/49   2,242     1,710
  Global Payments Inc.  5.950% 8/15/52   3,060     3,008
  Goldman Sachs Group Inc.  6.450% 5/1/36   3,757     4,013
  Goldman Sachs Group Inc.  6.750% 10/1/37  21,621    23,513
1 Goldman Sachs Group Inc.  4.017% 10/31/38   4,657     3,988
1 Goldman Sachs Group Inc.  4.411% 4/23/39   6,884     6,097
  Goldman Sachs Group Inc.  6.250% 2/1/41  11,186    12,073
  Goldman Sachs Group Inc.  3.210% 4/22/42   5,063     3,767
  Goldman Sachs Group Inc.  2.908% 7/21/42   3,220     2,282
  Goldman Sachs Group Inc.  3.436% 2/24/43   6,267     4,769
1 Goldman Sachs Group Inc.  4.800% 7/8/44   7,948     7,238
  Goldman Sachs Group Inc.  5.150% 5/22/45   3,543     3,386
  Goldman Sachs Group Inc.  4.750% 10/21/45   6,028     5,501
  Hartford Financial Services Group Inc.  5.950% 10/15/36   1,105     1,143
  Hartford Financial Services Group Inc.  6.100% 10/1/41   1,414     1,473
  Hartford Financial Services Group Inc.  4.300% 4/15/43     542       463
  Hartford Financial Services Group Inc.  4.400% 3/15/48   1,757     1,517
  Hartford Financial Services Group Inc.  3.600% 8/19/49   2,410     1,814
  Hartford Financial Services Group Inc.  2.900% 9/15/51   2,280     1,461
1 HSBC Bank USA NA  5.875% 11/1/34     235       243
1 HSBC Bank USA NA  5.625% 8/15/35   1,030     1,009
1 HSBC Bank USA NA  7.000% 1/15/39   2,236     2,547
3 HSBC Holdings plc  5.719% 3/4/35   4,300     4,285
  HSBC Holdings plc  6.500% 5/2/36   3,624     3,808
1 HSBC Holdings plc  6.500% 5/2/36   2,269     2,320
  HSBC Holdings plc  6.500% 9/15/37   6,315     6,648
1 HSBC Holdings plc  6.500% 9/15/37   6,855     7,033
  HSBC Holdings plc  6.800% 6/1/38   1,500     1,625
1 HSBC Holdings plc  6.800% 6/1/38   1,047     1,099
  HSBC Holdings plc  6.100% 1/14/42   3,141     3,432
 
72

 

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

($000)
  HSBC Holdings plc  6.332% 3/9/44   9,561    10,044
  HSBC Holdings plc  5.250% 3/14/44   3,681     3,502
  Intercontinental Exchange Inc.  2.650% 9/15/40   4,303     3,048
  Intercontinental Exchange Inc.  4.250% 9/21/48   3,655     3,093
  Intercontinental Exchange Inc.  3.000% 6/15/50   4,417     2,962
  Intercontinental Exchange Inc.  4.950% 6/15/52   5,503     5,136
  Intercontinental Exchange Inc.  3.000% 9/15/60   5,253     3,254
  Intercontinental Exchange Inc.  5.200% 6/15/62   3,415     3,282
  Invesco Finance plc  5.375% 11/30/43   1,728     1,668
  Jackson Financial Inc.  4.000% 11/23/51   1,830     1,307
  Jefferies Financial Group Inc.  6.250% 1/15/36   3,830     3,935
  Jefferies Financial Group Inc.  6.500% 1/20/43   1,015     1,057
  JPMorgan Chase & Co.  6.400% 5/15/38  10,201    11,386
1 JPMorgan Chase & Co.  3.882% 7/24/38   6,355     5,430
  JPMorgan Chase & Co.  5.500% 10/15/40   3,781     3,865
1 JPMorgan Chase & Co.  3.109% 4/22/41   3,595     2,704
  JPMorgan Chase & Co.  5.600% 7/15/41  11,047    11,388
  JPMorgan Chase & Co.  2.525% 11/19/41   3,669     2,524
  JPMorgan Chase & Co.  5.400% 1/6/42   8,759     8,865
  JPMorgan Chase & Co.  3.157% 4/22/42   3,832     2,869
  JPMorgan Chase & Co.  5.625% 8/16/43   2,365     2,426
  JPMorgan Chase & Co.  4.850% 2/1/44   5,757     5,402
  JPMorgan Chase & Co.  4.950% 6/1/45   7,019     6,546
1 JPMorgan Chase & Co.  4.260% 2/22/48   7,552     6,368
1 JPMorgan Chase & Co.  4.032% 7/24/48   3,166     2,568
1 JPMorgan Chase & Co.  3.964% 11/15/48   9,301     7,471
1 JPMorgan Chase & Co.  3.897% 1/23/49   5,613     4,489
1 JPMorgan Chase & Co.  3.109% 4/22/51   7,465     5,119
  JPMorgan Chase & Co.  3.328% 4/22/52  13,424     9,519
  Legg Mason Inc.  5.625% 1/15/44   1,928     1,932
  Lincoln National Corp.  6.300% 10/9/37     989     1,015
  Lincoln National Corp.  7.000% 6/15/40   1,343     1,464
  Lincoln National Corp.  4.350% 3/1/48     811       628
  Lloyds Banking Group plc  5.300% 12/1/45   2,781     2,592
  Lloyds Banking Group plc  3.369% 12/14/46   4,362     2,964
  Lloyds Banking Group plc  4.344% 1/9/48   4,709     3,699
  Loews Corp.  4.125% 5/15/43   1,906     1,614
  Manulife Financial Corp.  5.375% 3/4/46   3,125     3,059
  Markel Group Inc.  5.000% 4/5/46     901       803
  Markel Group Inc.  4.300% 11/1/47     968       770
  Markel Group Inc.  5.000% 5/20/49   1,783     1,616
  Markel Group Inc.  4.150% 9/17/50   1,379     1,089
  Markel Group Inc.  3.450% 5/7/52   2,130     1,462
  Marsh & McLennan Cos. Inc.  5.150% 3/15/34     434       432
  Marsh & McLennan Cos. Inc.  4.750% 3/15/39   1,738     1,636
  Marsh & McLennan Cos. Inc.  4.350% 1/30/47   2,283     1,937
  Marsh & McLennan Cos. Inc.  4.200% 3/1/48   1,773     1,476
  Marsh & McLennan Cos. Inc.  4.900% 3/15/49   6,326     5,850
  Marsh & McLennan Cos. Inc.  2.900% 12/15/51     995       638
  Marsh & McLennan Cos. Inc.  6.250% 11/1/52     605       669
  Marsh & McLennan Cos. Inc.  5.450% 3/15/53   1,532     1,527
  Marsh & McLennan Cos. Inc.  5.700% 9/15/53   3,580     3,708
  Marsh & McLennan Cos. Inc.  5.450% 3/15/54   1,455     1,446
  Mastercard Inc.  3.950% 2/26/48   1,879     1,588
  Mastercard Inc.  3.650% 6/1/49   5,493     4,367
  Mastercard Inc.  3.850% 3/26/50   5,527     4,563
  Mastercard Inc.  2.950% 3/15/51   3,069     2,126
  MetLife Inc.  6.375% 6/15/34   2,620     2,822
  MetLife Inc.  5.700% 6/15/35   3,441     3,562
1 MetLife Inc.  6.400% 12/15/36   3,416     3,472
1 MetLife Inc. 10.750% 8/1/39   1,571     2,138
  MetLife Inc.  5.875% 2/6/41   1,557     1,625
  MetLife Inc.  4.125% 8/13/42   1,685     1,425
  MetLife Inc.  4.875% 11/13/43   3,508     3,223
  MetLife Inc.  4.721% 12/15/44   1,672     1,488
  MetLife Inc.  4.050% 3/1/45   3,809     3,145
  MetLife Inc.  4.600% 5/13/46   2,312     2,066
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  MetLife Inc.  5.000% 7/15/52   4,261     3,975
  MetLife Inc.  5.250% 1/15/54   3,166     3,061
  Mitsubishi UFJ Financial Group Inc.  4.153% 3/7/39   1,581     1,424
  Mitsubishi UFJ Financial Group Inc.  3.751% 7/18/39   6,621     5,646
  Mizuho Financial Group Inc.  5.579% 5/26/35   2,573     2,579
1 Morgan Stanley  3.971% 7/22/38   6,089     5,191
1 Morgan Stanley  4.457% 4/22/39   3,819     3,448
  Morgan Stanley  3.217% 4/22/42   6,617     4,972
  Morgan Stanley  6.375% 7/24/42  10,192    11,322
  Morgan Stanley  4.300% 1/27/45   8,774     7,605
  Morgan Stanley  4.375% 1/22/47   7,344     6,333
1 Morgan Stanley  5.597% 3/24/51   5,686     5,883
1 Morgan Stanley  2.802% 1/25/52   5,461     3,511
  Nasdaq Inc.  5.550% 2/15/34   2,887     2,906
  Nasdaq Inc.  2.500% 12/21/40   2,256     1,493
  Nasdaq Inc.  3.250% 4/28/50   1,374       934
  Nasdaq Inc.  3.950% 3/7/52   2,055     1,561
  Nasdaq Inc.  5.950% 8/15/53   2,975     3,059
  Nasdaq Inc.  6.100% 6/28/63   2,647     2,747
1 Nationwide Financial Services Inc.  6.750% 5/15/37   1,040     1,034
  NatWest Group plc  5.778% 3/1/35   5,000     4,995
  Old Republic International Corp.  3.850% 6/11/51   2,094     1,516
  PayPal Holdings Inc.  3.250% 6/1/50   3,408     2,371
  PayPal Holdings Inc.  5.050% 6/1/52   4,047     3,797
  PayPal Holdings Inc.  5.250% 6/1/62   1,735     1,615
  Principal Financial Group Inc.  6.050% 10/15/36   1,384     1,456
  Principal Financial Group Inc.  4.625% 9/15/42     680       609
  Principal Financial Group Inc.  4.350% 5/15/43     898       780
  Principal Financial Group Inc.  4.300% 11/15/46   2,333     1,932
  Principal Financial Group Inc.  5.500% 3/15/53   1,260     1,232
  Progressive Corp.  6.625% 3/1/29       1         1
  Progressive Corp.  4.350% 4/25/44     800       708
  Progressive Corp.  3.700% 1/26/45     915       740
  Progressive Corp.  4.125% 4/15/47   4,738     3,979
  Progressive Corp.  4.200% 3/15/48   1,903     1,636
  Progressive Corp.  3.950% 3/26/50   1,722     1,402
  Progressive Corp.  3.700% 3/15/52     714       555
1 Prudential Financial Inc.  5.700% 12/14/36   3,508     3,620
1 Prudential Financial Inc.  6.625% 12/1/37   1,114     1,239
1 Prudential Financial Inc.  3.000% 3/10/40   2,485     1,852
1 Prudential Financial Inc.  6.625% 6/21/40     926     1,022
1 Prudential Financial Inc.  5.100% 8/15/43     516       464
1 Prudential Financial Inc.  4.600% 5/15/44   2,899     2,581
  Prudential Financial Inc.  3.905% 12/7/47   3,085     2,435
1 Prudential Financial Inc.  4.418% 3/27/48   1,811     1,546
  Prudential Financial Inc.  3.935% 12/7/49   5,979     4,686
1 Prudential Financial Inc.  4.350% 2/25/50   1,913     1,618
1 Prudential Financial Inc.  3.700% 3/13/51   5,589     4,243
  Raymond James Financial Inc.  4.950% 7/15/46   2,432     2,234
  Raymond James Financial Inc.  3.750% 4/1/51   2,572     1,905
1 Regions Bank  6.450% 6/26/37   1,590     1,616
  Regions Financial Corp.  7.375% 12/10/37     990     1,113
  Selective Insurance Group Inc.  5.375% 3/1/49   1,023       968
  Sumitomo Mitsui Financial Group Inc.  2.296% 1/12/41     809       545
  Sumitomo Mitsui Financial Group Inc.  2.930% 9/17/41     703       523
  Sumitomo Mitsui Financial Group Inc.  3.050% 1/14/42   1,075       810
  Sumitomo Mitsui Financial Group Inc.  6.184% 7/13/43   5,964     6,532
  Transatlantic Holdings Inc.  8.000% 11/30/39     978     1,250
  Travelers Cos. Inc.  6.750% 6/20/36   1,266     1,443
1 Travelers Cos. Inc.  6.250% 6/15/37   4,872     5,354
  Travelers Cos. Inc.  5.350% 11/1/40   2,715     2,745
  Travelers Cos. Inc.  4.300% 8/25/45   1,250     1,089
  Travelers Cos. Inc.  3.750% 5/15/46   1,287     1,020
  Travelers Cos. Inc.  4.000% 5/30/47   4,216     3,477
  Travelers Cos. Inc.  4.050% 3/7/48   1,816     1,522
  Travelers Cos. Inc.  4.100% 3/4/49   1,469     1,235
  Travelers Cos. Inc.  2.550% 4/27/50   2,064     1,285
 
73

 

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

($000)
  Travelers Cos. Inc.  3.050% 6/8/51   3,857     2,637
  Travelers Cos. Inc.  5.450% 5/25/53   2,449     2,498
  UBS AG  4.500% 6/26/48   3,370     3,085
  UBS Group AG  4.875% 5/15/45   7,185     6,625
  Unum Group  5.750% 8/15/42   1,180     1,146
  Unum Group  4.500% 12/15/49     930       737
  Unum Group  4.125% 6/15/51   2,144     1,573
  Visa Inc.  4.150% 12/14/35   5,226     4,899
  Visa Inc.  2.700% 4/15/40   4,112     3,043
  Visa Inc.  4.300% 12/14/45  12,172    10,849
  Visa Inc.  3.650% 9/15/47   2,538     2,020
  Visa Inc.  2.000% 8/15/50   4,953     2,879
  Voya Financial Inc.  5.700% 7/15/43   1,864     1,806
  Voya Financial Inc.  4.800% 6/15/46   1,070       909
  W R Berkley Corp.  4.750% 8/1/44   1,100       954
  W R Berkley Corp.  4.000% 5/12/50   1,705     1,313
  W R Berkley Corp.  3.150% 9/30/61     939       563
  Wachovia Corp.  5.500% 8/1/35   2,595     2,552
  Wells Fargo & Co.  5.375% 2/7/35     480       484
1 Wells Fargo & Co.  5.950% 12/15/36   1,599     1,629
1 Wells Fargo & Co.  3.068% 4/30/41   9,169     6,777
  Wells Fargo & Co.  5.375% 11/2/43   8,369     7,986
  Wells Fargo & Co.  5.606% 1/15/44  11,887    11,558
1 Wells Fargo & Co.  4.650% 11/4/44   6,972     6,001
  Wells Fargo & Co.  3.900% 5/1/45   8,442     6,759
1 Wells Fargo & Co.  4.900% 11/17/45   9,216     8,178
1 Wells Fargo & Co.  4.400% 6/14/46   3,274     2,686
1 Wells Fargo & Co.  4.750% 12/7/46   3,105     2,684
1 Wells Fargo & Co.  5.013% 4/4/51  21,023    19,446
1 Wells Fargo & Co.  4.611% 4/25/53  13,420    11,709
  Wells Fargo Bank NA  5.950% 8/26/36   1,111     1,135
1 Wells Fargo Bank NA  5.850% 2/1/37     341       349
1 Wells Fargo Bank NA  6.600% 1/15/38   4,821     5,196
  Western Union Co.  6.200% 11/17/36   2,042     2,057
  Westpac Banking Corp.  4.421% 7/24/39   3,291     2,849
  Westpac Banking Corp.  2.963% 11/16/40   3,263     2,228
  Westpac Banking Corp.  3.133% 11/18/41   3,472     2,400
  Willis North America Inc.  5.050% 9/15/48   1,565     1,401
  Willis North America Inc.  3.875% 9/15/49   2,664     1,975
3 Willis North America Inc.  5.900% 3/5/54   2,000     1,997
  XL Group Ltd.  5.250% 12/15/43   1,452     1,356
                              1,031,340
Health Care (15.8%)
4 Abbott Laboratories  4.750% 11/30/36   5,646     5,528
  Abbott Laboratories  6.150% 11/30/37   1,718     1,904
  Abbott Laboratories  6.000% 4/1/39     750       832
  Abbott Laboratories  5.300% 5/27/40   2,476     2,527
  Abbott Laboratories  4.750% 4/15/43   2,559     2,450
  Abbott Laboratories  4.900% 11/30/46  10,131     9,766
  AbbVie Inc.  5.050% 3/15/34   8,036     8,074
  AbbVie Inc.  4.550% 3/15/35   5,939     5,694
  AbbVie Inc.  4.500% 5/14/35  10,906    10,410
  AbbVie Inc.  4.300% 5/14/36   4,299     4,002
  AbbVie Inc.  4.050% 11/21/39  11,290     9,909
  AbbVie Inc.  4.625% 10/1/42     932       853
  AbbVie Inc.  4.400% 11/6/42   8,976     8,029
  AbbVie Inc.  4.850% 6/15/44   4,046     3,822
  AbbVie Inc.  4.750% 3/15/45   3,790     3,511
  AbbVie Inc.  4.700% 5/14/45   8,176     7,539
  AbbVie Inc.  4.450% 5/14/46   7,334     6,482
  AbbVie Inc.  4.875% 11/14/48   5,811     5,490
  AbbVie Inc.  4.250% 11/21/49  21,342    18,374
  AbbVie Inc.  5.400% 3/15/54  10,500    10,661
  AbbVie Inc.  5.500% 3/15/64   4,404     4,452
1 AdventHealth Obligated Group  2.795% 11/15/51     802       526
  Adventist Health System  3.630% 3/1/49   1,065       784
  Advocate Health & Hospitals Corp.  4.272% 8/15/48   1,236     1,071
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Advocate Health & Hospitals Corp.  3.387% 10/15/49   1,658     1,240
1 Advocate Health & Hospitals Corp.  3.008% 6/15/50   1,183       819
  Aetna Inc.  6.625% 6/15/36   3,324     3,619
  Aetna Inc.  6.750% 12/15/37   1,894     2,069
  Aetna Inc.  4.500% 5/15/42   1,893     1,608
  Aetna Inc.  4.125% 11/15/42   2,543     2,032
  Aetna Inc.  4.750% 3/15/44   1,630     1,407
  Aetna Inc.  3.875% 8/15/47   4,811     3,576
  AHS Hospital Corp.  5.024% 7/1/45   1,378     1,314
1 AHS Hospital Corp.  2.780% 7/1/51   1,355       888
1 Allina Health System  3.887% 4/15/49   1,132       915
1 Allina Health System  2.902% 11/15/51   1,015       666
  Amgen Inc.  6.375% 6/1/37   1,305     1,401
  Amgen Inc.  6.400% 2/1/39   2,130     2,304
  Amgen Inc.  3.150% 2/21/40   6,104     4,579
  Amgen Inc.  5.750% 3/15/40   1,123     1,141
  Amgen Inc.  2.800% 8/15/41   5,150     3,667
  Amgen Inc.  4.950% 10/1/41   1,049       977
  Amgen Inc.  5.150% 11/15/41   3,870     3,684
  Amgen Inc.  5.650% 6/15/42   1,207     1,216
  Amgen Inc.  5.600% 3/2/43  12,308    12,348
  Amgen Inc.  4.400% 5/1/45   8,290     7,076
  Amgen Inc.  4.563% 6/15/48   4,100     3,550
  Amgen Inc.  3.375% 2/21/50   7,103     5,067
  Amgen Inc.  4.663% 6/15/51  12,234    10,611
  Amgen Inc.  3.000% 1/15/52   2,389     1,597
  Amgen Inc.  4.200% 2/22/52   3,150     2,551
  Amgen Inc.  4.875% 3/1/53   4,339     3,893
  Amgen Inc.  5.650% 3/2/53  14,029    14,036
  Amgen Inc.  2.770% 9/1/53   3,119     1,900
  Amgen Inc.  4.400% 2/22/62   3,558     2,859
  Amgen Inc.  5.750% 3/2/63   9,720     9,724
1 Ascension Health  3.106% 11/15/39   1,681     1,310
  Ascension Health  3.945% 11/15/46   4,007     3,358
1 Ascension Health  4.847% 11/15/53   1,545     1,475
  AstraZeneca plc  6.450% 9/15/37  10,238    11,529
  AstraZeneca plc  4.000% 9/18/42   3,702     3,164
  AstraZeneca plc  4.375% 11/16/45   4,542     4,015
  AstraZeneca plc  4.375% 8/17/48   1,241     1,102
  AstraZeneca plc  2.125% 8/6/50   2,045     1,206
  AstraZeneca plc  3.000% 5/28/51   3,342     2,311
  Banner Health  2.907% 1/1/42     911       664
1 Banner Health  3.181% 1/1/50   1,460     1,042
  Banner Health  2.913% 1/1/51     868       575
1 Baptist Health South Florida Obligated Group  3.115% 11/15/71   1,115       659
1 Baptist Healthcare System Obligated Group  3.540% 8/15/50   1,795     1,331
  Baxalta Inc.  5.250% 6/23/45   1,618     1,558
  Baxter International Inc.  3.500% 8/15/46   1,555     1,100
  Baxter International Inc.  3.132% 12/1/51   3,077     2,001
1 BayCare Health System Inc.  3.831% 11/15/50   1,749     1,424
  Baylor Scott & White Holdings  4.185% 11/15/45     886       776
  Baylor Scott & White Holdings  3.967% 11/15/46   1,278     1,030
1 Baylor Scott & White Holdings  2.839% 11/15/50   2,782     1,844
  Becton Dickinson & Co.  4.685% 12/15/44   3,337     2,994
  Becton Dickinson & Co.  4.669% 6/6/47   8,081     7,157
  Becton Dickinson & Co.  3.794% 5/20/50     670       518
1 Beth Israel Lahey Health Inc.  3.080% 7/1/51   1,495       949
  Biogen Inc.  5.200% 9/15/45   2,670     2,513
  Biogen Inc.  3.150% 5/1/50   5,769     3,809
  Biogen Inc.  3.250% 2/15/51   1,207       823
1 Bon Secours Mercy Health Inc.  3.205% 6/1/50   1,135       803
  Boston Scientific Corp.  6.500% 11/15/35     884       976
  Boston Scientific Corp.  4.550% 3/1/39   1,539     1,429
  Boston Scientific Corp.  7.375% 1/15/40     981     1,152
  Boston Scientific Corp.  4.700% 3/1/49   2,772     2,538
 
74

 

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

($000)
  Bristol-Myers Squibb Co.  4.125% 6/15/39   7,521     6,554
  Bristol-Myers Squibb Co.  2.350% 11/13/40   2,786     1,869
  Bristol-Myers Squibb Co.  3.550% 3/15/42   5,266     4,152
  Bristol-Myers Squibb Co.  3.250% 8/1/42   1,021       771
  Bristol-Myers Squibb Co.  4.500% 3/1/44     690       617
  Bristol-Myers Squibb Co.  4.625% 5/15/44   2,820     2,553
  Bristol-Myers Squibb Co.  4.350% 11/15/47   3,099     2,632
  Bristol-Myers Squibb Co.  4.550% 2/20/48   4,783     4,207
  Bristol-Myers Squibb Co.  4.250% 10/26/49  11,378     9,524
  Bristol-Myers Squibb Co.  2.550% 11/13/50   5,271     3,195
  Bristol-Myers Squibb Co.  3.700% 3/15/52   6,552     4,953
  Bristol-Myers Squibb Co.  6.250% 11/15/53   5,295     5,875
  Bristol-Myers Squibb Co.  5.550% 2/22/54   7,211     7,298
  Bristol-Myers Squibb Co.  3.900% 3/15/62   5,706     4,255
  Bristol-Myers Squibb Co.  6.400% 11/15/63   5,522     6,159
  Cardinal Health Inc.  4.600% 3/15/43     869       747
  Cardinal Health Inc.  4.500% 11/15/44     976       823
  Cardinal Health Inc.  4.900% 9/15/45   1,199     1,060
  Cardinal Health Inc.  4.368% 6/15/47   2,976     2,442
1 Catholic Health Services of Long Island Obligated Group  3.368% 7/1/50   1,415       983
  Cencora Inc.  4.250% 3/1/45   1,178     1,024
  Cencora Inc.  4.300% 12/15/47   2,394     2,035
  Children's Health System of Texas  2.511% 8/15/50   1,703     1,053
1 Children's Hospital  2.928% 7/15/50   1,140       741
1 Children's Hospital Corp.  4.115% 1/1/47   1,684     1,433
1 Children's Hospital Corp.  2.585% 2/1/50     912       574
  Children's Hospital Medical Center  4.268% 5/15/44     925       817
1 Children's Hospital of Philadelphia  2.704% 7/1/50     827       542
  Cigna Group  4.800% 8/15/38   8,025     7,443
  Cigna Group  3.200% 3/15/40   2,700     2,016
1 Cigna Group  6.125% 11/15/41   1,168     1,235
1 Cigna Group  4.800% 7/15/46   3,538     3,162
1 Cigna Group  3.875% 10/15/47   3,001     2,306
  Cigna Group  4.900% 12/15/48  10,697     9,610
  Cigna Group  3.400% 3/15/50   6,684     4,651
  Cigna Group  3.400% 3/15/51   5,263     3,660
  Cigna Group  5.600% 2/15/54   3,000     2,954
1 City of Hope  5.623% 11/15/43   1,286     1,263
1 City of Hope  4.378% 8/15/48     985       811
1 CommonSpirit Health  4.350% 11/1/42   2,313     1,973
  CommonSpirit Health  3.817% 10/1/49   2,014     1,549
  CommonSpirit Health  4.187% 10/1/49   3,239     2,624
  CommonSpirit Health  3.910% 10/1/50   1,003       774
  CommonSpirit Health  6.461% 11/1/52   1,000     1,119
1 Community Health Network Inc.  3.099% 5/1/50   1,491     1,005
1 Corewell Health Obligated Group  3.487% 7/15/49   1,520     1,145
1 Cottage Health Obligated Group  3.304% 11/1/49   1,985     1,431
  CVS Health Corp.  4.875% 7/20/35   1,138     1,085
  CVS Health Corp.  4.780% 3/25/38  17,389    15,820
  CVS Health Corp.  6.125% 9/15/39   2,236     2,297
  CVS Health Corp.  4.125% 4/1/40   4,154     3,410
  CVS Health Corp.  2.700% 8/21/40   5,813     3,957
  CVS Health Corp.  5.300% 12/5/43   2,602     2,418
  CVS Health Corp.  5.125% 7/20/45  11,730    10,679
  CVS Health Corp.  5.050% 3/25/48  29,230    26,116
  CVS Health Corp.  4.250% 4/1/50   1,375     1,098
  CVS Health Corp.  5.625% 2/21/53   4,705     4,517
  CVS Health Corp.  5.875% 6/1/53   3,879     3,865
  CVS Health Corp.  6.000% 6/1/63   2,472     2,476
  Danaher Corp.  4.375% 9/15/45   1,995     1,768
  Danaher Corp.  2.600% 10/1/50   3,585     2,257
  Danaher Corp.  2.800% 12/10/51   3,603     2,335
1 Dartmouth-Hitchcock Health  4.178% 8/1/48     799       606
  DH Europe Finance II Sarl  3.250% 11/15/39   2,218     1,762
  DH Europe Finance II Sarl  3.400% 11/15/49   2,678     1,995
  Dignity Health  4.500% 11/1/42     867       743
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Dignity Health  5.267% 11/1/64   1,248     1,160
1 Duke University Health System Inc.  3.920% 6/1/47   1,756     1,451
  Elevance Health Inc.  5.950% 12/15/34     734       771
  Elevance Health Inc.  5.850% 1/15/36     283       295
  Elevance Health Inc.  4.625% 5/15/42   3,179     2,860
  Elevance Health Inc.  4.650% 1/15/43   3,044     2,747
  Elevance Health Inc.  5.100% 1/15/44   2,488     2,339
  Elevance Health Inc.  4.650% 8/15/44   2,826     2,512
  Elevance Health Inc.  4.375% 12/1/47   6,361     5,402
  Elevance Health Inc.  4.550% 3/1/48   4,692     4,086
  Elevance Health Inc.  3.700% 9/15/49   1,415     1,072
  Elevance Health Inc.  3.125% 5/15/50   3,324     2,269
  Elevance Health Inc.  3.600% 3/15/51   3,844     2,862
  Elevance Health Inc.  4.550% 5/15/52   1,078       935
  Elevance Health Inc.  6.100% 10/15/52   4,322     4,636
  Elevance Health Inc.  5.125% 2/15/53   5,253     4,972
  Eli Lilly & Co.  5.550% 3/15/37     950     1,002
  Eli Lilly & Co.  3.700% 3/1/45     530       438
  Eli Lilly & Co.  3.950% 5/15/47     900       774
  Eli Lilly & Co.  3.950% 3/15/49   3,687     3,092
  Eli Lilly & Co.  2.250% 5/15/50   4,495     2,724
  Eli Lilly & Co.  4.875% 2/27/53   4,408     4,273
  Eli Lilly & Co.  4.150% 3/15/59   1,234     1,038
  Eli Lilly & Co.  2.500% 9/15/60   2,790     1,623
  Eli Lilly & Co.  4.950% 2/27/63   3,480     3,349
1 Franciscan Missionaries of Our Lady Health System Inc.  3.914% 7/1/49     845       659
1 Fred Hutchinson Cancer Center  4.966% 1/1/52   1,010       951
  GE HealthCare Technologies Inc.  6.377% 11/22/52   3,415     3,785
  Gilead Sciences Inc.  4.600% 9/1/35   4,036     3,821
  Gilead Sciences Inc.  4.000% 9/1/36   2,055     1,818
  Gilead Sciences Inc.  2.600% 10/1/40   3,270     2,279
  Gilead Sciences Inc.  5.650% 12/1/41   2,472     2,516
  Gilead Sciences Inc.  4.800% 4/1/44   5,858     5,379
  Gilead Sciences Inc.  4.500% 2/1/45   4,852     4,266
  Gilead Sciences Inc.  4.750% 3/1/46   8,915     8,085
  Gilead Sciences Inc.  4.150% 3/1/47   6,698     5,527
  Gilead Sciences Inc.  2.800% 10/1/50   5,172     3,329
  Gilead Sciences Inc.  5.550% 10/15/53   4,715     4,809
  GlaxoSmithKline Capital Inc.  6.375% 5/15/38   9,955    11,162
  GlaxoSmithKline Capital Inc.  4.200% 3/18/43   1,764     1,550
1 Hackensack Meridian Health Inc.  2.675% 9/1/41     912       644
  Hackensack Meridian Health Inc.  4.211% 7/1/48     745       646
1 Hackensack Meridian Health Inc.  2.875% 9/1/50   1,455       966
  Hackensack Meridian Health Inc.  4.500% 7/1/57     927       794
1 Hartford HealthCare Corp.  3.447% 7/1/54   1,318       921
  HCA Inc.  5.600% 4/1/34   4,500     4,479
  HCA Inc.  5.125% 6/15/39   3,655     3,398
  HCA Inc.  4.375% 3/15/42   1,254     1,039
  HCA Inc.  5.500% 6/15/47   4,336     4,041
  HCA Inc.  5.250% 6/15/49   6,014     5,387
  HCA Inc.  3.500% 7/15/51   4,699     3,172
  HCA Inc.  4.625% 3/15/52   6,592     5,395
  HCA Inc.  5.900% 6/1/53   3,460     3,399
  HCA Inc.  6.000% 4/1/54   2,750     2,729
  HCA Inc.  6.100% 4/1/64   2,375     2,347
  Hoag Memorial Hospital Presbyterian  3.803% 7/15/52   2,055     1,677
  Humana Inc.  5.950% 3/15/34   1,510     1,559
  Humana Inc.  4.625% 12/1/42   2,778     2,411
  Humana Inc.  4.950% 10/1/44   4,390     3,958
  Humana Inc.  4.800% 3/15/47   1,632     1,422
  Humana Inc.  3.950% 8/15/49   1,466     1,146
  Humana Inc.  5.500% 3/15/53   2,943     2,851
  IHC Health Services Inc.  4.131% 5/15/48   1,271     1,083
  Indiana University Health Inc. Obligated Group  3.970% 11/1/48   1,104       919
 
75

 

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

($000)
1 Indiana University Health Inc. Obligated Group  2.852% 11/1/51     949       626
  Inova Health System Foundation  4.068% 5/15/52   1,459     1,242
1 Integris Baptist Medical Center Inc.  3.875% 8/15/50   1,673     1,268
1 Iowa Health System  3.665% 2/15/50     898       698
  Johns Hopkins Health System Corp.  3.837% 5/15/46   2,060     1,692
  Johnson & Johnson  3.550% 3/1/36   3,974     3,513
  Johnson & Johnson  3.625% 3/3/37   5,039     4,453
  Johnson & Johnson  5.950% 8/15/37   4,333     4,777
  Johnson & Johnson  3.400% 1/15/38   3,473     2,946
  Johnson & Johnson  5.850% 7/15/38   1,521     1,671
  Johnson & Johnson  2.100% 9/1/40   3,340     2,269
  Johnson & Johnson  4.500% 9/1/40   1,749     1,662
  Johnson & Johnson  4.850% 5/15/41     987       977
  Johnson & Johnson  4.500% 12/5/43   1,987     1,870
  Johnson & Johnson  3.700% 3/1/46   9,438     7,733
  Johnson & Johnson  3.750% 3/3/47   4,143     3,406
  Johnson & Johnson  3.500% 1/15/48   3,245     2,554
  Johnson & Johnson  2.250% 9/1/50   1,197       740
  Johnson & Johnson  2.450% 9/1/60   3,758     2,213
1 Kaiser Foundation Hospitals  2.810% 6/1/41   5,505     4,028
  Kaiser Foundation Hospitals  4.875% 4/1/42   1,420     1,348
  Kaiser Foundation Hospitals  4.150% 5/1/47   5,640     4,855
1 Kaiser Foundation Hospitals  3.266% 11/1/49   4,535     3,325
1 Kaiser Foundation Hospitals  3.002% 6/1/51   4,183     2,867
  Koninklijke Philips NV  6.875% 3/11/38   2,085     2,240
  Koninklijke Philips NV  5.000% 3/15/42   1,271     1,148
  Laboratory Corp. of America Holdings  4.700% 2/1/45   3,971     3,544
1 Mass General Brigham Inc.  3.765% 7/1/48   1,008       801
1 Mass General Brigham Inc.  3.192% 7/1/49   1,424     1,027
1 Mass General Brigham Inc.  4.117% 7/1/55     923       759
1 Mass General Brigham Inc.  3.342% 7/1/60   1,911     1,314
1 Mayo Clinic  4.000% 11/15/47     948       800
1 Mayo Clinic  4.128% 11/15/52   1,058       915
1 Mayo Clinic  3.196% 11/15/61   1,630     1,116
1 McLaren Health Care Corp.  4.386% 5/15/48   1,442     1,247
1 MedStar Health Inc.  3.626% 8/15/49   1,220       924
  Medtronic Inc.  4.375% 3/15/35   6,351     5,988
  Medtronic Inc.  4.625% 3/15/45   8,849     8,193
  Memorial Health Services  3.447% 11/1/49   1,493     1,111
  Memorial Sloan-Kettering Cancer Center  5.000% 7/1/42   1,405     1,364
1 Memorial Sloan-Kettering Cancer Center  2.955% 1/1/50     683       464
  Memorial Sloan-Kettering Cancer Center  4.125% 7/1/52   1,850     1,573
1 Memorial Sloan-Kettering Cancer Center  4.200% 7/1/55   1,544     1,307
  Merck & Co. Inc.  3.900% 3/7/39   4,150     3,627
  Merck & Co. Inc.  2.350% 6/24/40   4,424     3,063
  Merck & Co. Inc.  3.600% 9/15/42   2,343     1,896
  Merck & Co. Inc.  4.150% 5/18/43   2,987     2,607
  Merck & Co. Inc.  4.900% 5/17/44   3,155     3,029
  Merck & Co. Inc.  3.700% 2/10/45   6,356     5,139
  Merck & Co. Inc.  4.000% 3/7/49   5,975     4,976
  Merck & Co. Inc.  2.450% 6/24/50   3,022     1,855
  Merck & Co. Inc.  2.750% 12/10/51   4,485     2,908
  Merck & Co. Inc.  5.000% 5/17/53   6,970     6,756
  Merck & Co. Inc.  2.900% 12/10/61   5,442     3,371
  Merck & Co. Inc.  5.150% 5/17/63   4,194     4,100
  Merck Sharp & Dohme Corp.  5.750% 11/15/36     785       839
1 Methodist Hospital  2.705% 12/1/50   2,105     1,351
1 Montefiore Obligated Group  5.246% 11/1/48     971       728
  Montefiore Obligated Group  4.287% 9/1/50     957       587
1 Mount Nittany Medical Center Obligated Group  3.799% 11/15/52   1,125       887
1 Mount Sinai Hospital  3.981% 7/1/48     656       523
1 Mount Sinai Hospital  3.737% 7/1/49   1,788     1,332
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
1 Mount Sinai Hospital  3.391% 7/1/50   1,000       668
  MultiCare Health System  2.803% 8/15/50   1,145       671
  Mylan Inc.  5.400% 11/29/43     965       833
  Mylan Inc.  5.200% 4/15/48   1,632     1,336
1 MyMichigan Health  3.409% 6/1/50   1,219       883
  New York & Presbyterian Hospital  2.256% 8/1/40   1,066       719
  New York & Presbyterian Hospital  4.024% 8/1/45   1,457     1,233
  New York & Presbyterian Hospital  4.063% 8/1/56   1,170       944
  New York & Presbyterian Hospital  2.606% 8/1/60   1,193       678
1 New York & Presbyterian Hospital  3.954% 8/1/19   1,024       743
  Northwell Healthcare Inc.  3.979% 11/1/46   1,402     1,109
  Northwell Healthcare Inc.  4.260% 11/1/47   3,040     2,458
  Northwell Healthcare Inc.  3.809% 11/1/49   1,618     1,199
1 Northwestern Memorial Healthcare Obligated Group  2.633% 7/15/51   1,969     1,274
  Novant Health Inc.  2.637% 11/1/36   1,797     1,350
  Novant Health Inc.  3.168% 11/1/51   2,643     1,802
  Novant Health Inc.  3.318% 11/1/61   1,277       840
  Novartis Capital Corp.  3.700% 9/21/42   1,573     1,304
  Novartis Capital Corp.  4.400% 5/6/44   5,933     5,400
  Novartis Capital Corp.  4.000% 11/20/45   5,135     4,366
  Novartis Capital Corp.  2.750% 8/14/50   5,839     3,891
1 NY Society for Relief of Ruptured & Crippled Maintaining Hosp Special Surgery  2.667% 10/1/50   1,194       740
1 NYU Langone Hospitals  5.750% 7/1/43   1,250     1,309
  NYU Langone Hospitals  4.784% 7/1/44   1,170     1,097
1 NYU Langone Hospitals  4.368% 7/1/47   1,905     1,685
1 NYU Langone Hospitals  3.380% 7/1/55   1,927     1,387
  OhioHealth Corp.  2.834% 11/15/41   1,351       987
1 OhioHealth Corp.  3.042% 11/15/50   1,530     1,092
  Orlando Health Obligated Group  4.089% 10/1/48   1,014       842
  Orlando Health Obligated Group  3.327% 10/1/50   1,034       757
1 PeaceHealth Obligated Group  4.787% 11/15/48   1,003       884
1 PeaceHealth Obligated Group  3.218% 11/15/50     540       360
  Pfizer Inc.  4.000% 12/15/36   6,261     5,624
  Pfizer Inc.  4.100% 9/15/38   2,342     2,081
  Pfizer Inc.  3.900% 3/15/39   5,061     4,315
  Pfizer Inc.  7.200% 3/15/39   7,901     9,389
  Pfizer Inc.  2.550% 5/28/40   3,908     2,739
  Pfizer Inc.  4.300% 6/15/43   3,613     3,161
  Pfizer Inc.  4.400% 5/15/44   2,490     2,237
  Pfizer Inc.  4.125% 12/15/46   3,032     2,543
  Pfizer Inc.  4.200% 9/15/48   7,262     6,172
  Pfizer Inc.  4.000% 3/15/49   8,173     6,749
  Pfizer Inc.  2.700% 5/28/50   1,278       841
  Pfizer Investment Enterprises Pte. Ltd.  5.110% 5/19/43  13,882    13,351
  Pfizer Investment Enterprises Pte. Ltd.  5.300% 5/19/53  21,336    20,897
  Pfizer Investment Enterprises Pte. Ltd.  5.340% 5/19/63  10,934    10,534
1 Piedmont Healthcare Inc.  2.719% 1/1/42   1,050       739
  Piedmont Healthcare Inc.  2.864% 1/1/52     915       598
  Presbyterian Healthcare Services  4.875% 8/1/52   1,015       966
1 Providence St. Joseph Health Obligated Group  3.744% 10/1/47   1,263       965
1 Providence St. Joseph Health Obligated Group  3.930% 10/1/48   1,073       829
1 Providence St. Joseph Health Obligated Group  2.700% 10/1/51   2,456     1,471
  Queen's Health Systems  4.810% 7/1/52   1,150     1,073
  Quest Diagnostics Inc.  4.700% 3/30/45   1,048       926
1 Rady Children's Hospital-San Diego  3.154% 8/15/51   1,016       708
  Regeneron Pharmaceuticals Inc.  2.800% 9/15/50   2,723     1,697
  Revvity Inc.  3.625% 3/15/51     684       476
  Royalty Pharma plc  3.300% 9/2/40   3,289     2,409
  Royalty Pharma plc  3.550% 9/2/50   4,601     3,132
  Royalty Pharma plc  3.350% 9/2/51   2,441     1,585
  RWJ Barnabas Health Inc.  3.949% 7/1/46   1,292     1,048
  RWJ Barnabas Health Inc.  3.477% 7/1/49     975       726
 
76

 

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

($000)
1 Seattle Children's Hospital  2.719% 10/1/50   1,260       812
1 Sentara Healthcare  2.927% 11/1/51     974       658
1 Sharp HealthCare  2.680% 8/1/50     959       605
2 Solventum Corp.  5.900% 4/30/54   2,500     2,448
2 Solventum Corp.  6.000% 5/15/64     900       874
1 Stanford Health Care  3.795% 11/15/48   1,767     1,432
  Stanford Health Care  3.027% 8/15/51   1,241       858
  STERIS Irish FinCo Unltd. Co.  3.750% 3/15/51   2,403     1,775
  Stryker Corp.  4.100% 4/1/43     900       761
  Stryker Corp.  4.375% 5/15/44     967       851
  Stryker Corp.  4.625% 3/15/46   6,733     6,100
  Stryker Corp.  2.900% 6/15/50     989       672
  Summa Health  3.511% 11/15/51   1,040       774
1 Sutter Health  3.161% 8/15/40   1,028       787
1 Sutter Health  4.091% 8/15/48   1,340     1,121
1 Sutter Health  3.361% 8/15/50   2,104     1,538
  Sutter Health  5.547% 8/15/53   1,160     1,209
  Takeda Pharmaceutical Co. Ltd.  3.025% 7/9/40   5,796     4,315
  Takeda Pharmaceutical Co. Ltd.  3.175% 7/9/50   7,613     5,217
  Takeda Pharmaceutical Co. Ltd.  3.375% 7/9/60   1,890     1,262
  Texas Health Resources  2.328% 11/15/50     905       539
1 Texas Health Resources  4.330% 11/15/55   1,066       937
  Thermo Fisher Scientific Inc.  2.800% 10/15/41   6,768     4,863
  Thermo Fisher Scientific Inc.  5.404% 8/10/43   3,024     3,053
  Thermo Fisher Scientific Inc.  5.300% 2/1/44   1,698     1,698
  Thermo Fisher Scientific Inc.  4.100% 8/15/47   2,315     1,938
  Toledo Hospital  5.750% 11/15/38   1,460     1,463
1 Trinity Health Corp.  2.632% 12/1/40   1,205       847
  Trinity Health Corp.  4.125% 12/1/45   1,345     1,147
1 Trinity Health Corp.  3.434% 12/1/48   1,000       760
  UMass Memorial Health Care Obligated Group  5.363% 7/1/52     905       859
  UnitedHealth Group Inc.  4.625% 7/15/35   1,531     1,477
  UnitedHealth Group Inc.  5.800% 3/15/36   2,566     2,713
  UnitedHealth Group Inc.  6.500% 6/15/37   4,602     5,124
  UnitedHealth Group Inc.  6.625% 11/15/37   2,411     2,716
  UnitedHealth Group Inc.  6.875% 2/15/38   4,617     5,362
  UnitedHealth Group Inc.  3.500% 8/15/39   4,230     3,419
  UnitedHealth Group Inc.  2.750% 5/15/40   1,865     1,343
  UnitedHealth Group Inc.  5.700% 10/15/40   1,626     1,688
  UnitedHealth Group Inc.  5.950% 2/15/41   1,382     1,457
  UnitedHealth Group Inc.  3.050% 5/15/41   2,974     2,210
  UnitedHealth Group Inc.  4.625% 11/15/41   1,812     1,654
  UnitedHealth Group Inc.  4.375% 3/15/42   1,589     1,416
  UnitedHealth Group Inc.  3.950% 10/15/42   1,450     1,219
  UnitedHealth Group Inc.  4.250% 3/15/43   3,112     2,713
  UnitedHealth Group Inc.  4.750% 7/15/45   7,061     6,528
  UnitedHealth Group Inc.  4.200% 1/15/47   2,660     2,249
  UnitedHealth Group Inc.  4.250% 4/15/47     797       679
  UnitedHealth Group Inc.  3.750% 10/15/47   4,362     3,382
  UnitedHealth Group Inc.  4.250% 6/15/48   4,237     3,566
  UnitedHealth Group Inc.  4.450% 12/15/48   5,750     5,029
  UnitedHealth Group Inc.  3.700% 8/15/49   4,198     3,231
  UnitedHealth Group Inc.  2.900% 5/15/50   2,261     1,501
  UnitedHealth Group Inc.  3.250% 5/15/51   5,708     4,019
  UnitedHealth Group Inc.  4.750% 5/15/52   5,770     5,258
  UnitedHealth Group Inc.  5.875% 2/15/53   6,890     7,363
  UnitedHealth Group Inc.  5.050% 4/15/53   7,208     6,858
  UnitedHealth Group Inc.  3.875% 8/15/59   4,237     3,225
  UnitedHealth Group Inc.  3.125% 5/15/60   1,675     1,096
  UnitedHealth Group Inc.  4.950% 5/15/62   5,839     5,367
  UnitedHealth Group Inc.  6.050% 2/15/63   6,439     6,988
  UnitedHealth Group Inc.  5.200% 4/15/63   6,178     5,889
  UPMC  5.377% 5/15/43   1,100     1,108
  Utah Acquisition Sub Inc.  5.250% 6/15/46   2,978     2,446
  Viatris Inc.  3.850% 6/22/40   5,350     3,927
  Viatris Inc.  4.000% 6/22/50   6,205     4,228
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
1 WakeMed  3.286% 10/1/52     607       429
1 West Virginia United Health System Obligated Group  3.129% 6/1/50   1,040       658
1 Willis-Knighton Medical Center  4.813% 9/1/48     985       866
1 Willis-Knighton Medical Center  3.065% 3/1/51   1,298       847
  Wyeth LLC  6.500% 2/1/34   1,277     1,406
  Wyeth LLC  6.000% 2/15/36   1,365     1,460
  Wyeth LLC  5.950% 4/1/37   4,102     4,377
1 Yale-New Haven Health Services Corp.  2.496% 7/1/50   1,596       952
  Zimmer Biomet Holdings Inc.  5.750% 11/30/39   1,509     1,500
  Zoetis Inc.  4.700% 2/1/43   6,147     5,615
  Zoetis Inc.  3.950% 9/12/47   1,954     1,574
  Zoetis Inc.  4.450% 8/20/48     651       569
  Zoetis Inc.  3.000% 5/15/50   1,755     1,201
                              1,205,022
Industrials (8.5%)
1 3M Co.  5.700% 3/15/37   1,853     1,933
1 3M Co.  3.875% 6/15/44     565       443
1 3M Co.  3.125% 9/19/46     779       538
1 3M Co.  3.625% 10/15/47   1,949     1,411
1 3M Co.  4.000% 9/14/48   4,013     3,236
  3M Co.  3.250% 8/26/49   2,108     1,452
  3M Co.  3.700% 4/15/50   2,296     1,697
  ABB Finance USA Inc.  4.375% 5/8/42   1,489     1,337
1 American Airlines Pass-Through Trust Class A Series 2021-1  2.875% 7/11/34   1,609     1,355
  Boeing Co.  3.600% 5/1/34   3,556     2,998
  Boeing Co.  3.250% 2/1/35   1,260     1,012
  Boeing Co.  6.625% 2/15/38     990     1,045
  Boeing Co.  3.550% 3/1/38   1,701     1,315
  Boeing Co.  3.500% 3/1/39     726       550
  Boeing Co.  6.875% 3/15/39   1,657     1,801
  Boeing Co.  5.875% 2/15/40     817       805
  Boeing Co.  5.705% 5/1/40   9,776     9,518
  Boeing Co.  3.650% 3/1/47     636       448
  Boeing Co.  3.625% 3/1/48   1,259       875
  Boeing Co.  3.850% 11/1/48   1,662     1,187
  Boeing Co.  3.900% 5/1/49   3,404     2,496
  Boeing Co.  3.750% 2/1/50   5,401     3,826
  Boeing Co.  5.805% 5/1/50  21,502    20,665
  Boeing Co.  3.825% 3/1/59   1,120       775
  Boeing Co.  3.950% 8/1/59   2,883     2,037
  Boeing Co.  5.930% 5/1/60  12,123    11,585
  Burlington Northern Santa Fe LLC  6.200% 8/15/36     741       810
  Burlington Northern Santa Fe LLC  6.150% 5/1/37   2,196     2,396
  Burlington Northern Santa Fe LLC  5.750% 5/1/40   4,552     4,758
  Burlington Northern Santa Fe LLC  5.050% 3/1/41   1,314     1,274
  Burlington Northern Santa Fe LLC  5.400% 6/1/41   1,811     1,823
  Burlington Northern Santa Fe LLC  4.950% 9/15/41   1,544     1,471
  Burlington Northern Santa Fe LLC  4.400% 3/15/42   1,809     1,608
  Burlington Northern Santa Fe LLC  4.450% 3/15/43   1,365     1,212
  Burlington Northern Santa Fe LLC  5.150% 9/1/43   2,257     2,198
  Burlington Northern Santa Fe LLC  4.900% 4/1/44   6,555     6,185
  Burlington Northern Santa Fe LLC  4.550% 9/1/44   3,488     3,117
  Burlington Northern Santa Fe LLC  4.150% 4/1/45   3,621     3,048
  Burlington Northern Santa Fe LLC  4.700% 9/1/45     745       681
  Burlington Northern Santa Fe LLC  3.900% 8/1/46   2,337     1,881
  Burlington Northern Santa Fe LLC  4.125% 6/15/47   2,965     2,480
  Burlington Northern Santa Fe LLC  4.050% 6/15/48   2,021     1,667
  Burlington Northern Santa Fe LLC  4.150% 12/15/48   2,867     2,388
  Burlington Northern Santa Fe LLC  3.550% 2/15/50   3,487     2,626
  Burlington Northern Santa Fe LLC  3.050% 2/15/51   2,571     1,742
  Burlington Northern Santa Fe LLC  3.300% 9/15/51   2,250     1,604
  Burlington Northern Santa Fe LLC  2.875% 6/15/52   1,385       900
  Burlington Northern Santa Fe LLC  4.450% 1/15/53   4,671     4,094
  Burlington Northern Santa Fe LLC  5.200% 4/15/54   4,926     4,814
  Canadian National Railway Co.  6.250% 8/1/34     393       429
 
77

 

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

($000)
  Canadian National Railway Co.  6.200% 6/1/36   2,750     2,997
  Canadian National Railway Co.  6.375% 11/15/37   1,330     1,456
  Canadian National Railway Co.  3.200% 8/2/46   1,856     1,376
  Canadian National Railway Co.  3.650% 2/3/48   2,113     1,674
  Canadian National Railway Co.  4.450% 1/20/49   1,370     1,224
  Canadian National Railway Co.  2.450% 5/1/50   1,830     1,141
  Canadian National Railway Co.  4.400% 8/5/52   2,193     1,931
  Canadian Pacific Railway Co.  4.800% 9/15/35   1,081     1,034
  Canadian Pacific Railway Co.  5.950% 5/15/37   1,784     1,844
  Canadian Pacific Railway Co.  3.000% 12/2/41   3,362     2,833
  Canadian Pacific Railway Co.  4.300% 5/15/43   1,941     1,660
  Canadian Pacific Railway Co.  4.800% 8/1/45   1,815     1,642
  Canadian Pacific Railway Co.  4.950% 8/15/45   1,578     1,446
  Canadian Pacific Railway Co.  4.700% 5/1/48     722       635
  Canadian Pacific Railway Co.  3.500% 5/1/50   1,915     1,398
  Canadian Pacific Railway Co.  3.100% 12/2/51   6,253     4,253
  Canadian Pacific Railway Co.  4.200% 11/15/69   1,557     1,218
  Canadian Pacific Railway Co.  6.125% 9/15/15   3,142     3,302
  Carrier Global Corp.  5.900% 3/15/34   3,350     3,497
  Carrier Global Corp.  3.377% 4/5/40   5,357     4,133
  Carrier Global Corp.  3.577% 4/5/50   9,043     6,664
  Carrier Global Corp.  6.200% 3/15/54   3,980     4,339
  Caterpillar Inc.  6.050% 8/15/36     595       652
  Caterpillar Inc.  5.200% 5/27/41   2,396     2,421
  Caterpillar Inc.  3.803% 8/15/42   5,743     4,792
  Caterpillar Inc.  4.300% 5/15/44     880       795
  Caterpillar Inc.  3.250% 9/19/49   4,812     3,542
  Caterpillar Inc.  3.250% 4/9/50   3,198     2,364
  Caterpillar Inc.  4.750% 5/15/64   1,764     1,595
  CSX Corp.  6.000% 10/1/36     959     1,020
  CSX Corp.  6.150% 5/1/37   3,691     3,999
  CSX Corp.  6.220% 4/30/40   1,458     1,580
  CSX Corp.  5.500% 4/15/41   2,056     2,075
  CSX Corp.  4.750% 5/30/42   1,451     1,336
  CSX Corp.  4.400% 3/1/43     892       791
  CSX Corp.  4.100% 3/15/44   5,867     4,933
  CSX Corp.  3.800% 11/1/46     172       135
  CSX Corp.  4.300% 3/1/48   4,750     4,052
  CSX Corp.  4.750% 11/15/48     973       886
  CSX Corp.  4.500% 3/15/49     991       865
  CSX Corp.  3.350% 9/15/49   2,881     2,063
  CSX Corp.  3.800% 4/15/50   2,205     1,712
  CSX Corp.  3.950% 5/1/50     994       794
  CSX Corp.  2.500% 5/15/51   1,399       851
  CSX Corp.  4.500% 11/15/52   4,027     3,523
  CSX Corp.  4.500% 8/1/54   1,021       888
  CSX Corp.  4.250% 11/1/66   2,294     1,828
  CSX Corp.  4.650% 3/1/68   1,985     1,706
  Cummins Inc.  4.875% 10/1/43   1,765     1,665
  Cummins Inc.  2.600% 9/1/50   2,079     1,304
  Cummins Inc.  5.450% 2/20/54   2,250     2,262
  Deere & Co.  3.900% 6/9/42   7,132     6,086
  Deere & Co.  2.875% 9/7/49   1,476     1,027
  Deere & Co.  3.750% 4/15/50   1,473     1,206
  Dover Corp.  5.375% 10/15/35   1,470     1,495
  Dover Corp.  5.375% 3/1/41   1,205     1,185
  Eaton Corp.  4.150% 11/2/42   7,641     6,633
  Eaton Corp.  3.915% 9/15/47     706       578
  Eaton Corp.  4.700% 8/23/52   1,625     1,499
  Emerson Electric Co.  5.250% 11/15/39     975       985
  Emerson Electric Co.  2.750% 10/15/50   1,465       935
  Emerson Electric Co.  2.800% 12/21/51   4,830     3,108
  FedEx Corp.  3.900% 2/1/35   1,157     1,018
  FedEx Corp.  3.250% 5/15/41   1,768     1,303
  FedEx Corp.  3.875% 8/1/42     886       703
  FedEx Corp.  4.100% 4/15/43   1,009       822
  FedEx Corp.  5.100% 1/15/44   1,176     1,087
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  FedEx Corp.  4.100% 2/1/45   3,200     2,564
  FedEx Corp.  4.750% 11/15/45   3,846     3,366
  FedEx Corp.  4.550% 4/1/46   4,520     3,850
  FedEx Corp.  4.400% 1/15/47   2,166     1,797
  FedEx Corp.  4.050% 2/15/48   3,995     3,141
  FedEx Corp.  4.950% 10/17/48   2,970     2,674
  FedEx Corp.  5.250% 5/15/50   6,681     6,304
  Fortive Corp.  4.300% 6/15/46   1,283     1,059
  GE Capital International Funding Co. Unlimited Co.  4.418% 11/15/35   4,180     3,912
  General Dynamics Corp.  4.250% 4/1/40     180       160
  General Dynamics Corp.  2.850% 6/1/41   1,785     1,293
  General Dynamics Corp.  3.600% 11/15/42   1,758     1,415
  General Dynamics Corp.  4.250% 4/1/50   2,689     2,315
1 General Electric Co.  5.875% 1/14/38   4,290     4,554
1 General Electric Co.  6.875% 1/10/39     456       539
  General Electric Co.  4.500% 3/11/44   3,066     2,774
  General Electric Co.  4.350% 5/1/50   1,301     1,145
3 Honeywell International Inc.  5.000% 3/1/35   1,000       998
  Honeywell International Inc.  5.700% 3/15/36     982     1,037
  Honeywell International Inc.  5.700% 3/15/37     935       980
  Honeywell International Inc.  5.375% 3/1/41   3,031     3,113
  Honeywell International Inc.  3.812% 11/21/47   1,524     1,228
  Honeywell International Inc.  2.800% 6/1/50   2,570     1,772
3 Honeywell International Inc.  5.250% 3/1/54   7,000     6,979
3 Honeywell International Inc.  5.350% 3/1/64   2,225     2,221
  Howmet Aerospace Inc.  5.950% 2/1/37   2,290     2,338
  Illinois Tool Works Inc.  4.875% 9/15/41   2,002     1,934
  Illinois Tool Works Inc.  3.900% 9/1/42   3,901     3,321
  Jacobs Engineering Group Inc.  5.900% 3/1/33     519       519
1 Johnson Controls International plc  6.000% 1/15/36     970     1,019
1 Johnson Controls International plc  4.625% 7/2/44     860       751
  Johnson Controls International plc  4.500% 2/15/47   1,475     1,267
1 Johnson Controls International plc  4.950% 7/2/64   1,416     1,258
  L3Harris Technologies Inc.  4.854% 4/27/35   1,265     1,199
  L3Harris Technologies Inc.  6.150% 12/15/40   1,130     1,186
  L3Harris Technologies Inc.  5.600% 7/31/53   2,285     2,297
  Lockheed Martin Corp.  3.600% 3/1/35   1,162     1,015
  Lockheed Martin Corp.  4.500% 5/15/36   1,591     1,505
1 Lockheed Martin Corp.  6.150% 9/1/36   2,187     2,366
  Lockheed Martin Corp.  5.720% 6/1/40     959     1,007
  Lockheed Martin Corp.  4.070% 12/15/42   4,929     4,225
  Lockheed Martin Corp.  3.800% 3/1/45   5,553     4,498
  Lockheed Martin Corp.  4.700% 5/15/46   1,159     1,068
  Lockheed Martin Corp.  2.800% 6/15/50   3,014     1,990
  Lockheed Martin Corp.  4.090% 9/15/52   4,727     3,926
  Lockheed Martin Corp.  4.150% 6/15/53   2,543     2,107
  Lockheed Martin Corp.  5.700% 11/15/54   3,963     4,178
  Lockheed Martin Corp.  5.200% 2/15/55   2,774     2,727
  Lockheed Martin Corp.  4.300% 6/15/62   2,940     2,448
  Lockheed Martin Corp.  5.900% 11/15/63   3,750     4,067
  Lockheed Martin Corp.  5.200% 2/15/64   2,340     2,286
1 Nature Conservancy  3.957% 3/1/52   1,525     1,284
  Norfolk Southern Corp.  5.550% 3/15/34   1,625     1,667
  Norfolk Southern Corp.  4.837% 10/1/41   2,025     1,887
  Norfolk Southern Corp.  3.950% 10/1/42   3,061     2,510
  Norfolk Southern Corp.  4.650% 1/15/46     975       864
  Norfolk Southern Corp.  3.942% 11/1/47   2,711     2,141
  Norfolk Southern Corp.  4.150% 2/28/48   2,950     2,438
  Norfolk Southern Corp.  4.100% 5/15/49   1,882     1,528
  Norfolk Southern Corp.  3.400% 11/1/49   2,006     1,456
  Norfolk Southern Corp.  3.050% 5/15/50   6,034     4,036
  Norfolk Southern Corp.  4.050% 8/15/52   2,467     1,966
  Norfolk Southern Corp.  3.700% 3/15/53     784       583
  Norfolk Southern Corp.  4.550% 6/1/53   4,472     3,870
  Norfolk Southern Corp.  5.350% 8/1/54   4,568     4,482
  Norfolk Southern Corp.  3.155% 5/15/55   2,758     1,807
 
78

 

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

($000)
  Norfolk Southern Corp.  5.950% 3/15/64   2,600     2,739
  Norfolk Southern Corp.  4.100% 5/15/21   1,615     1,165
  Northrop Grumman Corp.  4.900% 6/1/34   2,275     2,216
  Northrop Grumman Corp.  5.150% 5/1/40   2,170     2,106
  Northrop Grumman Corp.  5.050% 11/15/40     851       817
  Northrop Grumman Corp.  4.750% 6/1/43   2,995     2,720
  Northrop Grumman Corp.  3.850% 4/15/45   1,869     1,483
  Northrop Grumman Corp.  4.030% 10/15/47  10,671     8,592
  Northrop Grumman Corp.  5.250% 5/1/50   2,330     2,249
  Northrop Grumman Corp.  4.950% 3/15/53   3,275     3,031
  Northrop Grumman Corp.  5.200% 6/1/54   3,315     3,187
  Otis Worldwide Corp.  3.112% 2/15/40   2,653     2,017
  Otis Worldwide Corp.  3.362% 2/15/50   2,788     2,016
1 Parker-Hannifin Corp.  4.200% 11/21/34   2,203     2,028
1 Parker-Hannifin Corp.  6.250% 5/15/38     841       904
1 Parker-Hannifin Corp.  4.450% 11/21/44   1,352     1,186
  Parker-Hannifin Corp.  4.100% 3/1/47   1,703     1,398
  Parker-Hannifin Corp.  4.000% 6/14/49   4,306     3,513
  Precision Castparts Corp.  3.900% 1/15/43   1,926     1,624
  Precision Castparts Corp.  4.375% 6/15/45   1,159     1,017
  Republic Services Inc.  5.000% 4/1/34   4,255     4,190
  Republic Services Inc.  6.200% 3/1/40     919     1,001
  Republic Services Inc.  5.700% 5/15/41     908       942
  Republic Services Inc.  3.050% 3/1/50     938       649
  Rockwell Automation Inc.  4.200% 3/1/49   1,717     1,463
  Rockwell Automation Inc.  2.800% 8/15/61   1,483       886
  RTX Corp.  6.100% 3/15/34   4,175     4,414
  RTX Corp.  5.400% 5/1/35   1,414     1,426
  RTX Corp.  6.050% 6/1/36   2,017     2,112
  RTX Corp.  6.125% 7/15/38   2,492     2,632
  RTX Corp.  4.450% 11/16/38   6,749     5,994
  RTX Corp.  4.875% 10/15/40   1,054       975
  RTX Corp.  4.700% 12/15/41   1,707     1,525
  RTX Corp.  4.500% 6/1/42  13,180    11,528
  RTX Corp.  4.800% 12/15/43   1,793     1,610
  RTX Corp.  4.150% 5/15/45   2,496     2,039
  RTX Corp.  3.750% 11/1/46   2,108     1,600
  RTX Corp.  4.350% 4/15/47   4,075     3,405
  RTX Corp.  4.050% 5/4/47   2,370     1,899
  RTX Corp.  4.625% 11/16/48   4,453     3,867
  RTX Corp.  3.125% 7/1/50   2,873     1,931
  RTX Corp.  2.820% 9/1/51   3,473     2,165
  RTX Corp.  3.030% 3/15/52   3,765     2,449
  RTX Corp.  5.375% 2/27/53   4,331     4,180
  RTX Corp.  6.400% 3/15/54   5,455     6,038
  Trane Technologies Financing Ltd.  4.650% 11/1/44     956       858
  Trane Technologies Financing Ltd.  4.500% 3/21/49   1,041       921
  Trane Technologies Global Holding Co. Ltd.  5.750% 6/15/43   2,178     2,251
  Trane Technologies Global Holding Co. Ltd.  4.300% 2/21/48     769       661
  Tyco Electronics Group SA  7.125% 10/1/37   1,523     1,748
  Union Pacific Corp.  3.375% 2/1/35     918       784
  Union Pacific Corp.  2.891% 4/6/36   2,266     1,827
  Union Pacific Corp.  3.600% 9/15/37   1,402     1,198
1 Union Pacific Corp.  3.550% 8/15/39   1,070       878
  Union Pacific Corp.  3.200% 5/20/41   3,256     2,505
  Union Pacific Corp.  3.375% 2/14/42     772       603
  Union Pacific Corp.  4.050% 3/1/46   1,549     1,275
  Union Pacific Corp.  3.350% 8/15/46   1,144       826
  Union Pacific Corp.  4.000% 4/15/47   3,246     2,639
  Union Pacific Corp.  4.300% 3/1/49     597       506
  Union Pacific Corp.  3.250% 2/5/50   5,779     4,168
  Union Pacific Corp.  3.799% 10/1/51   6,037     4,760
  Union Pacific Corp.  2.950% 3/10/52   1,534     1,026
  Union Pacific Corp.  4.950% 9/9/52   2,661     2,547
  Union Pacific Corp.  3.500% 2/14/53   3,362     2,500
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Union Pacific Corp.  4.950% 5/15/53   3,660     3,501
  Union Pacific Corp.  3.875% 2/1/55   1,411     1,095
  Union Pacific Corp.  3.950% 8/15/59     542       420
  Union Pacific Corp.  3.839% 3/20/60   7,681     5,824
  Union Pacific Corp.  3.550% 5/20/61   2,687     1,916
  Union Pacific Corp.  2.973% 9/16/62   3,656     2,261
  Union Pacific Corp.  5.150% 1/20/63   1,979     1,894
  Union Pacific Corp.  4.100% 9/15/67   1,540     1,210
  Union Pacific Corp.  3.750% 2/5/70   2,327     1,701
  Union Pacific Corp.  3.799% 4/6/71   4,647     3,402
  Union Pacific Corp.  3.850% 2/14/72     881       653
1 United Airlines Pass-Through Trust Class A Series 2023-1  5.800% 1/15/36   4,770     4,822
  United Parcel Service Inc.  6.200% 1/15/38   5,318     5,816
  United Parcel Service Inc.  5.200% 4/1/40   1,974     1,962
  United Parcel Service Inc.  4.875% 11/15/40   1,420     1,361
  United Parcel Service Inc.  3.625% 10/1/42   1,736     1,405
  United Parcel Service Inc.  3.400% 11/15/46     710       542
  United Parcel Service Inc.  3.750% 11/15/47   5,445     4,307
  United Parcel Service Inc.  4.250% 3/15/49   1,839     1,581
  United Parcel Service Inc.  3.400% 9/1/49   2,189     1,635
  United Parcel Service Inc.  5.300% 4/1/50   3,955     3,966
  United Parcel Service Inc.  5.050% 3/3/53   3,865     3,746
  Valmont Industries Inc.  5.000% 10/1/44   1,286     1,120
  Valmont Industries Inc.  5.250% 10/1/54     583       502
  Waste Connections Inc.  3.050% 4/1/50   1,257       849
  Waste Connections Inc.  2.950% 1/15/52   5,423     3,588
  Waste Management Inc.  2.950% 6/1/41   1,558     1,151
  Waste Management Inc.  4.150% 7/15/49   2,666     2,253
  Waste Management Inc.  2.500% 11/15/50   2,968     1,834
3 Westinghouse Air Brake Technologies Corp.  5.611% 3/11/34   1,000     1,004
  WW Grainger Inc.  4.600% 6/15/45   3,954     3,600
  WW Grainger Inc.  3.750% 5/15/46     769       617
  WW Grainger Inc.  4.200% 5/15/47   1,170     1,005
  Xylem Inc.  4.375% 11/1/46     883       747
                                644,252
Materials (3.4%)
  Air Products and Chemicals Inc.  2.700% 5/15/40   2,222     1,600
  Air Products and Chemicals Inc.  2.800% 5/15/50   3,593     2,387
  Albemarle Corp.  5.450% 12/1/44   1,300     1,183
  Albemarle Corp.  5.650% 6/1/52   1,360     1,219
  ArcelorMittal SA  7.000% 10/15/39   3,672     3,915
  ArcelorMittal SA  6.750% 3/1/41   1,730     1,775
  Barrick Gold Corp.  6.450% 10/15/35     835       903
  Barrick North America Finance LLC  5.700% 5/30/41   2,502     2,531
  Barrick North America Finance LLC  5.750% 5/1/43   2,845     2,907
  Barrick PD Australia Finance Pty Ltd.  5.950% 10/15/39   3,834     3,919
  BHP Billiton Finance USA Ltd.  4.125% 2/24/42   2,932     2,525
  BHP Billiton Finance USA Ltd.  5.000% 9/30/43   8,643     8,264
  BHP Billiton Finance USA Ltd.  5.500% 9/8/53   3,158     3,219
  Celulosa Arauco y Constitucion SA  5.500% 11/2/47   1,343     1,134
  CF Industries Inc.  5.150% 3/15/34   2,805     2,718
  CF Industries Inc.  4.950% 6/1/43   2,827     2,501
  CF Industries Inc.  5.375% 3/15/44   2,896     2,697
  Dow Chemical Co.  4.250% 10/1/34   1,239     1,140
  Dow Chemical Co.  9.400% 5/15/39   2,036     2,715
  Dow Chemical Co.  5.250% 11/15/41   4,096     3,836
  Dow Chemical Co.  4.375% 11/15/42   4,471     3,774
  Dow Chemical Co.  4.625% 10/1/44   1,590     1,379
  Dow Chemical Co.  5.550% 11/30/48   2,482     2,413
  Dow Chemical Co.  4.800% 5/15/49   2,191     1,902
  Dow Chemical Co.  3.600% 11/15/50   3,507     2,551
  Dow Chemical Co.  6.900% 5/15/53   4,864     5,559
  DuPont de Nemours Inc.  5.319% 11/15/38   3,935     3,893
  DuPont de Nemours Inc.  5.419% 11/15/48   7,149     7,018
  Eastman Chemical Co.  4.800% 9/1/42   2,969     2,603
 
79

 

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

($000)
  Eastman Chemical Co.  4.650% 10/15/44   3,524     2,978
  Ecolab Inc.  2.125% 8/15/50   1,061       613
  Ecolab Inc.  2.700% 12/15/51   6,667     4,211
  Ecolab Inc.  2.750% 8/18/55   1,563       971
  FMC Corp.  4.500% 10/1/49   1,710     1,271
  FMC Corp.  6.375% 5/18/53   1,397     1,364
  Freeport-McMoRan Inc.  5.400% 11/14/34   2,476     2,404
  Freeport-McMoRan Inc.  5.450% 3/15/43   6,035     5,622
  International Flavors & Fragrances Inc.  4.375% 6/1/47   1,298       970
  International Flavors & Fragrances Inc.  5.000% 9/26/48   2,876     2,412
  International Paper Co.  5.000% 9/15/35   1,711     1,659
  International Paper Co.  6.000% 11/15/41   3,296     3,395
  International Paper Co.  4.800% 6/15/44   2,706     2,409
  International Paper Co.  4.400% 8/15/47   2,266     1,883
  International Paper Co.  4.350% 8/15/48   2,705     2,291
  Lafarge SA  7.125% 7/15/36   1,359     1,506
  Linde Inc.  3.550% 11/7/42   1,813     1,448
  Linde Inc.  2.000% 8/10/50   1,246       699
  Lubrizol Corp.  6.500% 10/1/34   1,380     1,559
  LYB International Finance BV  5.250% 7/15/43   3,679     3,374
  LYB International Finance BV  4.875% 3/15/44   2,166     1,900
  LYB International Finance III LLC  3.375% 10/1/40   5,383     3,987
  LYB International Finance III LLC  4.200% 10/15/49   2,663     2,055
  LYB International Finance III LLC  4.200% 5/1/50   2,997     2,316
  LYB International Finance III LLC  3.625% 4/1/51   4,366     3,033
  LYB International Finance III LLC  3.800% 10/1/60   1,391       941
  LyondellBasell Industries NV  4.625% 2/26/55   3,531     2,900
  Martin Marietta Materials Inc.  4.250% 12/15/47   1,580     1,313
  Martin Marietta Materials Inc.  3.200% 7/15/51   3,238     2,241
  Mosaic Co.  4.875% 11/15/41     849       741
  Mosaic Co.  5.625% 11/15/43   2,224     2,131
1 Newmont Corp.  5.875% 4/1/35   1,669     1,717
  Newmont Corp.  6.250% 10/1/39   4,259     4,504
  Newmont Corp.  4.875% 3/15/42   6,450     5,926
  Newmont Corp.  5.450% 6/9/44   1,633     1,595
  Nucor Corp.  6.400% 12/1/37   3,351     3,665
  Nucor Corp.  5.200% 8/1/43   1,436     1,403
  Nucor Corp.  2.979% 12/15/55   3,907     2,512
  Nutrien Ltd.  4.125% 3/15/35   1,266     1,140
  Nutrien Ltd.  5.875% 12/1/36   1,866     1,910
  Nutrien Ltd.  5.625% 12/1/40   1,005       983
  Nutrien Ltd.  4.900% 6/1/43   1,326     1,198
  Nutrien Ltd.  5.250% 1/15/45   1,482     1,379
  Nutrien Ltd.  5.000% 4/1/49   1,959     1,768
  Nutrien Ltd.  3.950% 5/13/50   1,127       878
  Nutrien Ltd.  5.800% 3/27/53   5,210     5,215
  Packaging Corp. of America  4.050% 12/15/49   1,416     1,118
  Packaging Corp. of America  3.050% 10/1/51   2,640     1,759
  Rio Tinto Alcan Inc.  5.750% 6/1/35     602       623
  Rio Tinto Finance USA Ltd.  5.200% 11/2/40   3,107     3,056
  Rio Tinto Finance USA Ltd.  2.750% 11/2/51   3,690     2,340
  Rio Tinto Finance USA plc  4.750% 3/22/42     963       903
  Rio Tinto Finance USA plc  4.125% 8/21/42   2,117     1,811
  Rio Tinto Finance USA plc  5.125% 3/9/53   3,199     3,074
  RPM International Inc.  5.250% 6/1/45     992       910
  RPM International Inc.  4.250% 1/15/48   1,035       832
  Sherwin-Williams Co.  4.000% 12/15/42     952       777
  Sherwin-Williams Co.  4.550% 8/1/45     936       806
  Sherwin-Williams Co.  4.500% 6/1/47   4,012     3,463
  Sherwin-Williams Co.  3.800% 8/15/49     997       769
  Sherwin-Williams Co.  3.300% 5/15/50     915       640
  Sherwin-Williams Co.  2.900% 3/15/52     906       584
  Sonoco Products Co.  5.750% 11/1/40   1,588     1,597
  Southern Copper Corp.  7.500% 7/27/35   2,782     3,201
  Southern Copper Corp.  6.750% 4/16/40   4,045     4,460
  Southern Copper Corp.  5.250% 11/8/42   3,916     3,683
  Southern Copper Corp.  5.875% 4/23/45   5,717     5,687
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Steel Dynamics Inc.  3.250% 10/15/50   1,470       963
  Teck Resources Ltd.  6.125% 10/1/35   1,120     1,145
  Teck Resources Ltd.  6.000% 8/15/40   1,797     1,780
  Teck Resources Ltd.  5.200% 3/1/42   1,365     1,231
  Teck Resources Ltd.  5.400% 2/1/43   1,308     1,212
  Vale Overseas Ltd.  6.875% 11/21/36   4,386     4,694
  Vale Overseas Ltd.  6.875% 11/10/39   4,043     4,323
  Vale SA  5.625% 9/11/42   1,705     1,667
  Vulcan Materials Co.  4.500% 6/15/47   2,425     2,097
  Vulcan Materials Co.  4.700% 3/1/48   1,820     1,630
  Westlake Corp.  2.875% 8/15/41   1,300       885
  Westlake Corp.  5.000% 8/15/46   3,661     3,257
  Westlake Corp.  4.375% 11/15/47     948       779
  Westlake Corp.  3.125% 8/15/51   3,303     2,080
  Westlake Corp.  3.375% 8/15/61   1,580       978
                                257,384
Real Estate (1.4%)
  Alexandria Real Estate Equities Inc.  2.950% 3/15/34   4,965     4,003
  Alexandria Real Estate Equities Inc.  4.750% 4/15/35   2,661     2,476
  Alexandria Real Estate Equities Inc.  4.850% 4/15/49   1,103       964
  Alexandria Real Estate Equities Inc.  4.000% 2/1/50   2,416     1,820
  Alexandria Real Estate Equities Inc.  3.000% 5/18/51   2,638     1,655
  Alexandria Real Estate Equities Inc.  3.550% 3/15/52   3,981     2,762
  Alexandria Real Estate Equities Inc.  5.625% 5/15/54   2,000     1,925
  American Homes 4 Rent LP  3.375% 7/15/51   1,055       697
  American Homes 4 Rent LP  4.300% 4/15/52   1,155       901
  American Tower Corp.  3.700% 10/15/49   2,094     1,529
  American Tower Corp.  3.100% 6/15/50   3,472     2,269
  American Tower Corp.  2.950% 1/15/51   3,626     2,297
1 AvalonBay Communities Inc.  3.900% 10/15/46   1,050       820
1 AvalonBay Communities Inc.  4.150% 7/1/47     505       410
1 AvalonBay Communities Inc.  4.350% 4/15/48     880       743
  Camden Property Trust  3.350% 11/1/49     778       555
  CBRE Services Inc.  5.950% 8/15/34   3,001     3,031
  Crown Castle Inc.  2.900% 4/1/41   5,961     4,138
  Crown Castle Inc.  4.750% 5/15/47   1,454     1,229
  Crown Castle Inc.  5.200% 2/15/49   1,991     1,801
  Crown Castle Inc.  4.000% 11/15/49     994       765
  Crown Castle Inc.  4.150% 7/1/50   1,233       975
  Crown Castle Inc.  3.250% 1/15/51   2,507     1,692
  Equinix Inc.  3.000% 7/15/50   1,442       935
  Equinix Inc.  2.950% 9/15/51     662       421
  Equinix Inc.  3.400% 2/15/52   1,809     1,254
  ERP Operating LP  4.500% 7/1/44   4,134     3,555
  ERP Operating LP  4.500% 6/1/45   1,069       892
  ERP Operating LP  4.000% 8/1/47     827       636
  Essex Portfolio LP  4.500% 3/15/48   1,010       845
  Essex Portfolio LP  2.650% 9/1/50   1,127       654
  Federal Realty OP LP  4.500% 12/1/44   1,837     1,495
  Healthpeak OP LLC  6.750% 2/1/41   1,146     1,255
  Kilroy Realty LP  2.650% 11/15/33   1,496     1,090
  Kimco Realty OP LLC  6.400% 3/1/34   1,655     1,742
  Kimco Realty OP LLC  4.250% 4/1/45     696       545
  Kimco Realty OP LLC  4.125% 12/1/46     993       756
  Kimco Realty OP LLC  4.450% 9/1/47     863       687
  Kimco Realty OP LLC  3.700% 10/1/49     937       674
  Kite Realty Group LP  5.500% 3/1/34   1,130     1,104
  Mid-America Apartments LP  5.000% 3/15/34   1,100     1,071
  Mid-America Apartments LP  2.875% 9/15/51     571       363
  NNN REIT Inc.  4.800% 10/15/48   1,176     1,009
  NNN REIT Inc.  3.100% 4/15/50   1,002       649
  NNN REIT Inc.  3.000% 4/15/52   2,086     1,329
  Prologis LP  4.375% 9/15/48     515       438
  Prologis LP  3.050% 3/1/50   1,546     1,049
  Prologis LP  3.000% 4/15/50   2,781     1,881
  Prologis LP  2.125% 10/15/50   3,306     1,805
  Prologis LP  5.250% 6/15/53   3,991     3,867
 
80

 

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

($000)
  Prologis LP  5.250% 3/15/54   3,100     2,969
  Public Storage Operating Co.  5.350% 8/1/53   2,120     2,108
  Realty Income Corp.  4.650% 3/15/47   3,247     2,832
  Regency Centers LP  4.400% 2/1/47   1,415     1,132
  Regency Centers LP  4.650% 3/15/49     969       820
  Simon Property Group LP  6.250% 1/15/34   1,500     1,579
  Simon Property Group LP  6.750% 2/1/40   1,061     1,167
  Simon Property Group LP  4.750% 3/15/42     991       884
  Simon Property Group LP  4.250% 10/1/44   1,028       840
  Simon Property Group LP  4.250% 11/30/46   1,000       811
  Simon Property Group LP  3.250% 9/13/49   4,864     3,382
  Simon Property Group LP  3.800% 7/15/50   2,885     2,180
  Simon Property Group LP  5.850% 3/8/53   3,239     3,289
  Simon Property Group LP  6.650% 1/15/54   1,605     1,805
  UDR Inc.  3.100% 11/1/34   1,487     1,196
  Ventas Realty LP  5.700% 9/30/43   2,234     2,110
  Ventas Realty LP  4.375% 2/1/45   1,521     1,204
  VICI Properties LP  5.625% 5/15/52   2,901     2,615
  Welltower OP LLC  6.500% 3/15/41   1,388     1,500
  Welltower OP LLC  4.950% 9/1/48   2,130     1,915
  Weyerhaeuser Co.  4.000% 3/9/52   1,775     1,391
                                109,187
Technology (8.9%)
  Advanced Micro Devices Inc.  4.393% 6/1/52   1,660     1,465
  Analog Devices Inc.  2.800% 10/1/41   1,701     1,207
  Analog Devices Inc.  5.300% 12/15/45     895       873
  Analog Devices Inc.  2.950% 10/1/51   5,442     3,625
  Apple Inc.  4.500% 2/23/36   4,281     4,207
  Apple Inc.  2.375% 2/8/41   4,766     3,352
  Apple Inc.  3.850% 5/4/43  10,354     8,857
  Apple Inc.  4.450% 5/6/44   2,479     2,317
  Apple Inc.  3.450% 2/9/45   8,005     6,358
  Apple Inc.  4.375% 5/13/45   6,249     5,702
  Apple Inc.  4.650% 2/23/46  13,731    12,976
  Apple Inc.  3.850% 8/4/46   5,365     4,480
  Apple Inc.  4.250% 2/9/47   5,369     4,818
  Apple Inc.  3.750% 9/12/47   4,243     3,446
  Apple Inc.  3.750% 11/13/47   4,791     3,897
  Apple Inc.  2.950% 9/11/49   6,475     4,516
  Apple Inc.  2.650% 5/11/50   7,453     4,844
  Apple Inc.  2.400% 8/20/50   5,482     3,412
  Apple Inc.  2.650% 2/8/51   6,198     3,994
  Apple Inc.  2.700% 8/5/51   4,719     3,065
  Apple Inc.  3.950% 8/8/52   7,645     6,345
  Apple Inc.  4.850% 5/10/53   3,512     3,431
  Apple Inc.  2.550% 8/20/60   5,781     3,571
  Apple Inc.  2.800% 2/8/61   6,628     4,214
  Apple Inc.  2.850% 8/5/61   6,026     3,826
  Apple Inc.  4.100% 8/8/62   4,693     3,931
  Applied Materials Inc.  5.100% 10/1/35   1,800     1,822
  Applied Materials Inc.  5.850% 6/15/41   1,073     1,154
  Applied Materials Inc.  4.350% 4/1/47   3,368     2,986
  Applied Materials Inc.  2.750% 6/1/50   2,578     1,734
2 Broadcom Inc.  3.469% 4/15/34   9,525     8,042
2 Broadcom Inc.  3.137% 11/15/35   9,921     7,863
2 Broadcom Inc.  3.187% 11/15/36   8,221     6,425
2 Broadcom Inc.  4.926% 5/15/37  11,058    10,303
2 Broadcom Inc.  3.500% 2/15/41  11,657     8,906
2 Broadcom Inc.  3.750% 2/15/51   6,606     4,939
  Cisco Systems Inc.  5.900% 2/15/39   6,110     6,557
  Cisco Systems Inc.  5.500% 1/15/40   5,126     5,292
  Cisco Systems Inc.  5.300% 2/26/54   7,950     8,045
  Cisco Systems Inc.  5.350% 2/26/64   3,450     3,475
  Corning Inc.  4.700% 3/15/37   1,000       919
  Corning Inc.  5.750% 8/15/40   1,671     1,670
  Corning Inc.  4.750% 3/15/42   1,720     1,541
  Corning Inc.  5.350% 11/15/48   1,669     1,603
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Corning Inc.  3.900% 11/15/49     939       727
  Corning Inc.  4.375% 11/15/57   2,181     1,794
  Corning Inc.  5.850% 11/15/68   1,307     1,286
  Corning Inc.  5.450% 11/15/79   4,092     3,779
  Dell Inc.  6.500% 4/15/38   1,057     1,105
  Dell International LLC  8.100% 7/15/36   3,133     3,754
  Dell International LLC  3.375% 12/15/41   3,396     2,474
  Dell International LLC  8.350% 7/15/46   2,120     2,685
  Dell International LLC  3.450% 12/15/51   3,625     2,482
  Fidelity National Information Services Inc.  3.100% 3/1/41   3,608     2,598
  Fidelity National Information Services Inc.  4.500% 8/15/46     464       380
  Fidelity National Information Services Inc.  5.625% 7/15/52   2,718     2,688
  Fiserv Inc.  4.400% 7/1/49   7,299     6,104
  Hewlett Packard Enterprise Co.  6.200% 10/15/35   1,886     1,969
  Hewlett Packard Enterprise Co.  6.350% 10/15/45   5,255     5,432
  HP Inc.  6.000% 9/15/41   4,544     4,647
  IBM International Capital Pte. Ltd.  4.900% 2/5/34   4,075     3,952
  IBM International Capital Pte. Ltd.  5.300% 2/5/54   5,475     5,254
  Intel Corp.  4.600% 3/25/40   1,594     1,479
  Intel Corp.  2.800% 8/12/41   3,252     2,304
  Intel Corp.  4.800% 10/1/41   2,420     2,259
  Intel Corp.  4.250% 12/15/42   1,717     1,464
  Intel Corp.  5.625% 2/10/43   3,415     3,471
  Intel Corp.  4.900% 7/29/45   3,261     3,085
  Intel Corp.  4.100% 5/19/46   3,193     2,637
  Intel Corp.  4.100% 5/11/47   3,114     2,561
  Intel Corp.  3.734% 12/8/47   7,714     5,847
  Intel Corp.  3.250% 11/15/49   5,559     3,841
  Intel Corp.  4.750% 3/25/50   8,776     7,794
  Intel Corp.  3.050% 8/12/51   4,286     2,832
  Intel Corp.  4.900% 8/5/52   5,200     4,765
  Intel Corp.  5.700% 2/10/53  10,694    10,807
  Intel Corp.  3.100% 2/15/60   3,475     2,196
  Intel Corp.  4.950% 3/25/60   3,140     2,864
  Intel Corp.  3.200% 8/12/61   1,578     1,015
  Intel Corp.  5.050% 8/5/62   2,400     2,215
  Intel Corp.  5.900% 2/10/63   5,335     5,558
  International Business Machines Corp.  4.150% 5/15/39   8,353     7,282
  International Business Machines Corp.  5.600% 11/30/39   1,685     1,732
  International Business Machines Corp.  2.850% 5/15/40     966       702
  International Business Machines Corp.  4.000% 6/20/42   4,146     3,447
  International Business Machines Corp.  4.700% 2/19/46   2,223     2,013
  International Business Machines Corp.  4.250% 5/15/49  10,272     8,604
  International Business Machines Corp.  2.950% 5/15/50   2,295     1,512
  International Business Machines Corp.  3.430% 2/9/52   1,594     1,135
  International Business Machines Corp.  4.900% 7/27/52   2,089     1,931
  International Business Machines Corp.  5.100% 2/6/53   2,250     2,145
  International Business Machines Corp.  7.125% 12/1/96     870     1,093
  Intuit Inc.  5.500% 9/15/53   4,430     4,568
  Juniper Networks Inc.  5.950% 3/15/41   1,193     1,180
  KLA Corp.  5.000% 3/15/49     923       887
  KLA Corp.  3.300% 3/1/50   2,924     2,099
  KLA Corp.  4.950% 7/15/52   5,276     5,001
  KLA Corp.  5.250% 7/15/62   2,718     2,641
  Kyndryl Holdings Inc.  4.100% 10/15/41   1,809     1,353
  Lam Research Corp.  4.875% 3/15/49   3,159     2,972
  Lam Research Corp.  2.875% 6/15/50   1,584     1,071
  Lam Research Corp.  3.125% 6/15/60   1,800     1,180
  Micron Technology Inc.  3.366% 11/1/41   2,080     1,513
  Micron Technology Inc.  3.477% 11/1/51   1,528     1,061
  Microsoft Corp.  3.500% 2/12/35   4,795     4,350
  Microsoft Corp.  4.200% 11/3/35   2,700     2,609
  Microsoft Corp.  3.450% 8/8/36   6,429     5,663
  Microsoft Corp.  4.100% 2/6/37   2,962     2,791
 
81

 

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

($000)
  Microsoft Corp.  5.200% 6/1/39   1,599     1,689
  Microsoft Corp.  4.500% 10/1/40   2,038     1,990
  Microsoft Corp.  5.300% 2/8/41   2,800     2,995
  Microsoft Corp.  3.500% 11/15/42   2,094     1,755
  Microsoft Corp.  3.750% 2/12/45   2,399     2,050
  Microsoft Corp.  4.450% 11/3/45   3,941     3,758
  Microsoft Corp.  3.700% 8/8/46   5,353     4,453
  Microsoft Corp.  4.250% 2/6/47   2,349     2,164
2 Microsoft Corp.  4.500% 6/15/47   2,427     2,260
  Microsoft Corp.  2.525% 6/1/50  19,821    12,773
2 Microsoft Corp.  2.500% 9/15/50   7,745     4,914
  Microsoft Corp.  2.921% 3/17/52  19,944    13,766
  Microsoft Corp.  4.000% 2/12/55   1,903     1,651
  Microsoft Corp.  3.950% 8/8/56   1,892     1,593
  Microsoft Corp.  4.500% 2/6/57   1,398     1,320
  Microsoft Corp.  2.675% 6/1/60  12,089     7,634
  Microsoft Corp.  3.041% 3/17/62   8,074     5,490
  Moody's Corp.  2.750% 8/19/41   2,328     1,635
  Moody's Corp.  5.250% 7/15/44   1,715     1,678
  Moody's Corp.  4.875% 12/17/48     866       799
  Moody's Corp.  3.250% 5/20/50     890       631
  Moody's Corp.  3.750% 2/25/52   1,913     1,480
  Moody's Corp.  3.100% 11/29/61   1,714     1,096
  Motorola Solutions Inc.  5.500% 9/1/44   1,599     1,520
  Nokia OYJ  6.625% 5/15/39   1,748     1,687
  NVIDIA Corp.  3.500% 4/1/40   3,730     3,124
  NVIDIA Corp.  3.500% 4/1/50   7,650     5,993
  NVIDIA Corp.  3.700% 4/1/60   1,119       880
  NXP BV  3.250% 5/11/41   3,495     2,568
  NXP BV  3.125% 2/15/42   1,800     1,279
  NXP BV  3.250% 11/30/51   2,179     1,466
  Oracle Corp.  4.300% 7/8/34   6,545     5,934
  Oracle Corp.  3.900% 5/15/35   2,670     2,292
  Oracle Corp.  3.850% 7/15/36   2,096     1,762
  Oracle Corp.  3.800% 11/15/37   6,395     5,260
  Oracle Corp.  6.500% 4/15/38   8,032     8,578
  Oracle Corp.  6.125% 7/8/39   4,898     5,040
  Oracle Corp.  3.600% 4/1/40   8,337     6,437
  Oracle Corp.  5.375% 7/15/40   7,307     6,989
  Oracle Corp.  3.650% 3/25/41   7,695     5,918
  Oracle Corp.  4.500% 7/8/44   4,832     4,056
  Oracle Corp.  4.125% 5/15/45   7,213     5,699
  Oracle Corp.  4.000% 7/15/46  11,953     9,194
  Oracle Corp.  4.000% 11/15/47   5,146     3,934
  Oracle Corp.  3.600% 4/1/50  13,910     9,790
  Oracle Corp.  3.950% 3/25/51  13,738    10,239
  Oracle Corp.  6.900% 11/9/52   6,990     7,887
  Oracle Corp.  5.550% 2/6/53   7,679     7,350
  Oracle Corp.  4.375% 5/15/55   6,636     5,200
  Oracle Corp.  3.850% 4/1/60  11,065     7,687
  Oracle Corp.  4.100% 3/25/61   4,673     3,420
  QUALCOMM Inc.  4.650% 5/20/35   3,853     3,767
  QUALCOMM Inc.  4.800% 5/20/45   5,300     4,974
  QUALCOMM Inc.  4.300% 5/20/47   5,258     4,557
  QUALCOMM Inc.  3.250% 5/20/50   3,077     2,241
  QUALCOMM Inc.  4.500% 5/20/52   3,203     2,821
  QUALCOMM Inc.  6.000% 5/20/53   4,212     4,618
  Quanta Services Inc.  3.050% 10/1/41   1,738     1,221
  S&P Global Inc.  3.250% 12/1/49   2,116     1,507
  S&P Global Inc.  3.700% 3/1/52   3,595     2,780
  S&P Global Inc.  2.300% 8/15/60   2,931     1,584
  S&P Global Inc.  3.900% 3/1/62   1,913     1,489
  Salesforce Inc.  2.700% 7/15/41   4,525     3,228
  Salesforce Inc.  2.900% 7/15/51   6,771     4,504
  Salesforce Inc.  3.050% 7/15/61   4,341     2,792
  Texas Instruments Inc.  3.875% 3/15/39   1,291     1,135
  Texas Instruments Inc.  4.150% 5/15/48   5,739     4,874
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Texas Instruments Inc.  2.700% 9/15/51   1,785     1,146
  Texas Instruments Inc.  4.100% 8/16/52     574       480
  Texas Instruments Inc.  5.000% 3/14/53   1,515     1,464
  Texas Instruments Inc.  5.150% 2/8/54   2,500     2,477
  Texas Instruments Inc.  5.050% 5/18/63   5,328     5,096
  TSMC Arizona Corp.  3.125% 10/25/41   3,582     2,840
  TSMC Arizona Corp.  3.250% 10/25/51   3,476     2,635
  TSMC Arizona Corp.  4.500% 4/22/52   2,783     2,676
  Verisk Analytics Inc.  5.500% 6/15/45   1,084     1,034
  Verisk Analytics Inc.  3.625% 5/15/50   1,713     1,254
  Workday Inc.  3.800% 4/1/32      50        45
                                680,640
Utilities (12.7%)
  AEP Texas Inc.  3.800% 10/1/47   1,277       947
1 AEP Texas Inc.  4.150% 5/1/49   1,336     1,048
1 AEP Texas Inc.  3.450% 1/15/50   1,539     1,073
  AEP Texas Inc.  3.450% 5/15/51   2,447     1,686
  AEP Texas Inc.  5.250% 5/15/52   1,911     1,790
  AEP Transmission Co. LLC  4.000% 12/1/46   2,408     1,951
  AEP Transmission Co. LLC  3.750% 12/1/47   2,554     1,957
  AEP Transmission Co. LLC  4.250% 9/15/48   1,361     1,122
  AEP Transmission Co. LLC  3.800% 6/15/49   1,576     1,201
1 AEP Transmission Co. LLC  3.650% 4/1/50   2,099     1,577
1 AEP Transmission Co. LLC  2.750% 8/15/51   1,437       893
1 AEP Transmission Co. LLC  4.500% 6/15/52   1,599     1,388
  AEP Transmission Co. LLC  5.400% 3/15/53   3,625     3,577
  Alabama Power Co.  6.125% 5/15/38   1,225     1,279
  Alabama Power Co.  6.000% 3/1/39     974     1,024
  Alabama Power Co.  3.850% 12/1/42     353       285
  Alabama Power Co.  4.150% 8/15/44   1,320     1,098
  Alabama Power Co.  3.750% 3/1/45   2,955     2,312
  Alabama Power Co.  4.300% 1/2/46   1,096       925
1 Alabama Power Co.  3.700% 12/1/47   2,075     1,578
1 Alabama Power Co.  4.300% 7/15/48   4,238     3,539
  Alabama Power Co.  3.450% 10/1/49   1,335       973
  Alabama Power Co.  3.125% 7/15/51     734       498
  Alabama Power Co.  3.000% 3/15/52     765       508
  Ameren Illinois Co.  4.150% 3/15/46   1,036       858
  Ameren Illinois Co.  3.700% 12/1/47   1,419     1,090
  Ameren Illinois Co.  4.500% 3/15/49   2,258     1,963
  Ameren Illinois Co.  3.250% 3/15/50   2,639     1,850
  Ameren Illinois Co.  2.900% 6/15/51   1,116       726
  Ameren Illinois Co.  5.900% 12/1/52   1,967     2,085
  American Electric Power Co. Inc.  3.250% 3/1/50   1,111       758
  American Water Capital Corp.  6.593% 10/15/37   2,527     2,837
  American Water Capital Corp.  4.300% 12/1/42     859       750
  American Water Capital Corp.  4.300% 9/1/45     916       781
  American Water Capital Corp.  4.000% 12/1/46     472       382
  American Water Capital Corp.  3.750% 9/1/47   3,231     2,508
  American Water Capital Corp.  4.200% 9/1/48   2,124     1,784
  American Water Capital Corp.  4.150% 6/1/49   1,580     1,306
  American Water Capital Corp.  3.450% 5/1/50   1,807     1,322
  American Water Capital Corp.  3.250% 6/1/51   2,251     1,584
  American Water Capital Corp.  5.450% 3/1/54   1,700     1,674
  Appalachian Power Co.  7.000% 4/1/38   2,954     3,300
  Appalachian Power Co.  4.400% 5/15/44   1,104       905
  Appalachian Power Co.  4.450% 6/1/45   1,109       914
1 Appalachian Power Co.  4.500% 3/1/49   2,233     1,805
1 Appalachian Power Co.  3.700% 5/1/50   1,964     1,404
  Arizona Public Service Co.  5.050% 9/1/41     982       898
  Arizona Public Service Co.  4.500% 4/1/42   1,491     1,266
  Arizona Public Service Co.  4.350% 11/15/45     971       798
  Arizona Public Service Co.  3.750% 5/15/46   1,067       791
  Arizona Public Service Co.  4.200% 8/15/48     847       669
  Arizona Public Service Co.  4.250% 3/1/49     992       790
  Arizona Public Service Co.  3.500% 12/1/49     889       613
  Arizona Public Service Co.  3.350% 5/15/50   1,743     1,190
 
82

 

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

($000)
  Arizona Public Service Co.  2.650% 9/15/50     610       362
  Atmos Energy Corp.  5.500% 6/15/41     790       797
  Atmos Energy Corp.  4.150% 1/15/43   1,638     1,395
  Atmos Energy Corp.  4.125% 10/15/44   2,910     2,473
  Atmos Energy Corp.  4.300% 10/1/48   1,353     1,162
  Atmos Energy Corp.  4.125% 3/15/49   1,617     1,331
  Atmos Energy Corp.  3.375% 9/15/49   1,996     1,443
  Atmos Energy Corp.  2.850% 2/15/52   1,511       968
  Atmos Energy Corp.  5.750% 10/15/52   1,676     1,754
  Atmos Energy Corp.  6.200% 11/15/53   1,585     1,749
  Avista Corp.  4.350% 6/1/48   1,901     1,566
  Avista Corp.  4.000% 4/1/52   1,391     1,062
  Baltimore Gas & Electric Co.  6.350% 10/1/36   1,385     1,479
  Baltimore Gas & Electric Co.  3.500% 8/15/46   1,068       787
1 Baltimore Gas & Electric Co.  3.750% 8/15/47     793       603
  Baltimore Gas & Electric Co.  4.250% 9/15/48     817       681
  Baltimore Gas & Electric Co.  3.200% 9/15/49   1,180       809
  Baltimore Gas & Electric Co.  2.900% 6/15/50   1,120       723
  Baltimore Gas & Electric Co.  4.550% 6/1/52   1,512     1,308
  Baltimore Gas & Electric Co.  5.400% 6/1/53   2,798     2,740
  Berkshire Hathaway Energy Co.  6.125% 4/1/36   9,126     9,623
  Berkshire Hathaway Energy Co.  5.950% 5/15/37   1,399     1,448
  Berkshire Hathaway Energy Co.  5.150% 11/15/43   2,076     1,992
  Berkshire Hathaway Energy Co.  4.500% 2/1/45   2,976     2,621
  Berkshire Hathaway Energy Co.  3.800% 7/15/48   3,444     2,608
  Berkshire Hathaway Energy Co.  4.450% 1/15/49   2,173     1,824
  Berkshire Hathaway Energy Co.  4.250% 10/15/50   3,588     2,892
  Berkshire Hathaway Energy Co.  2.850% 5/15/51   3,091     1,968
  Berkshire Hathaway Energy Co.  4.600% 5/1/53   3,175     2,719
  Black Hills Corp.  6.150% 5/15/34   1,565     1,607
  Black Hills Corp.  4.200% 9/15/46   1,191       926
  Black Hills Corp.  3.875% 10/15/49   1,061       766
  CenterPoint Energy Houston Electric LLC  3.550% 8/1/42   1,079       841
  CenterPoint Energy Houston Electric LLC  4.500% 4/1/44   2,469     2,180
  CenterPoint Energy Houston Electric LLC  3.950% 3/1/48   1,179       952
1 CenterPoint Energy Houston Electric LLC  4.250% 2/1/49   3,236     2,728
1 CenterPoint Energy Houston Electric LLC  2.900% 7/1/50   1,602     1,053
1 CenterPoint Energy Houston Electric LLC  3.350% 4/1/51   4,309     3,097
1 CenterPoint Energy Houston Electric LLC  4.850% 10/1/52   1,724     1,590
  CenterPoint Energy Houston Electric LLC  5.300% 4/1/53   2,400     2,385
  CenterPoint Energy Inc.  3.700% 9/1/49   1,047       763
  CenterPoint Energy Resources Corp.  5.850% 1/15/41   1,073     1,095
  CenterPoint Energy Resources Corp.  4.100% 9/1/47   1,223       979
  Cleco Corporate Holdings LLC  4.973% 5/1/46   1,215     1,003
  Cleveland Electric Illuminating Co.  5.950% 12/15/36     911       909
  CMS Energy Corp.  4.875% 3/1/44   1,584     1,453
  Commonwealth Edison Co.  5.900% 3/15/36   2,057     2,151
  Commonwealth Edison Co.  6.450% 1/15/38     986     1,070
  Commonwealth Edison Co.  3.800% 10/1/42   1,090       873
  Commonwealth Edison Co.  4.600% 8/15/43   1,120     1,006
  Commonwealth Edison Co.  4.700% 1/15/44     956       858
  Commonwealth Edison Co.  3.700% 3/1/45   1,677     1,307
  Commonwealth Edison Co.  4.350% 11/15/45   1,463     1,244
  Commonwealth Edison Co.  3.650% 6/15/46   2,625     2,000
1 Commonwealth Edison Co.  3.750% 8/15/47   2,505     1,912
  Commonwealth Edison Co.  4.000% 3/1/48   3,344     2,672
  Commonwealth Edison Co.  4.000% 3/1/49   1,625     1,289
1 Commonwealth Edison Co.  3.200% 11/15/49   1,040       713
  Commonwealth Edison Co.  3.000% 3/1/50   1,855     1,222
1 Commonwealth Edison Co.  3.125% 3/15/51   3,020     2,021
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
1 Commonwealth Edison Co.  2.750% 9/1/51     710       436
1 Commonwealth Edison Co.  3.850% 3/15/52   1,731     1,331
  Commonwealth Edison Co.  5.300% 2/1/53   4,300     4,168
  Connecticut Light & Power Co.  4.300% 4/15/44   1,891     1,610
1 Connecticut Light & Power Co.  4.150% 6/1/45     937       791
  Connecticut Light & Power Co.  4.000% 4/1/48   4,411     3,578
  Connecticut Light & Power Co.  5.250% 1/15/53   2,978     2,884
  Consolidated Edison Co. of New York Inc.  5.500% 3/15/34   1,480     1,512
1 Consolidated Edison Co. of New York Inc.  5.300% 3/1/35     832       826
1 Consolidated Edison Co. of New York Inc.  5.850% 3/15/36   1,582     1,627
1 Consolidated Edison Co. of New York Inc.  6.200% 6/15/36     979     1,039
1 Consolidated Edison Co. of New York Inc.  6.300% 8/15/37   1,105     1,179
1 Consolidated Edison Co. of New York Inc.  6.750% 4/1/38     749       835
1 Consolidated Edison Co. of New York Inc.  5.500% 12/1/39   1,583     1,577
  Consolidated Edison Co. of New York Inc.  5.700% 6/15/40     746       750
1 Consolidated Edison Co. of New York Inc.  4.200% 3/15/42   2,276     1,897
  Consolidated Edison Co. of New York Inc.  3.950% 3/1/43   2,107     1,725
  Consolidated Edison Co. of New York Inc.  4.450% 3/15/44   5,228     4,529
  Consolidated Edison Co. of New York Inc.  4.500% 12/1/45   2,542     2,199
  Consolidated Edison Co. of New York Inc.  3.850% 6/15/46   1,059       831
1 Consolidated Edison Co. of New York Inc.  3.875% 6/15/47   1,690     1,308
1 Consolidated Edison Co. of New York Inc.  4.650% 12/1/48   2,972     2,593
1 Consolidated Edison Co. of New York Inc.  4.125% 5/15/49     814       654
1 Consolidated Edison Co. of New York Inc.  3.950% 4/1/50   2,925     2,342
  Consolidated Edison Co. of New York Inc.  3.200% 12/1/51   2,144     1,452
  Consolidated Edison Co. of New York Inc.  6.150% 11/15/52   7,688     8,330
  Consolidated Edison Co. of New York Inc.  5.900% 11/15/53   3,973     4,169
  Consolidated Edison Co. of New York Inc.  4.625% 12/1/54   2,555     2,194
1 Consolidated Edison Co. of New York Inc.  4.300% 12/1/56   1,341     1,096
1 Consolidated Edison Co. of New York Inc.  4.000% 11/15/57   1,202       930
  Consolidated Edison Co. of New York Inc.  4.500% 5/15/58   1,784     1,497
  Consolidated Edison Co. of New York Inc.  3.700% 11/15/59   1,573     1,120
1 Consolidated Edison Co. of New York Inc.  3.000% 12/1/60   1,879     1,140
  Consolidated Edison Co. of New York Inc.  3.600% 6/15/61   1,064       763
  Constellation Energy Generation LLC  6.125% 1/15/34   1,140     1,190
  Constellation Energy Generation LLC  6.250% 10/1/39   2,885     2,976
  Constellation Energy Generation LLC  5.750% 10/1/41   1,380     1,352
  Constellation Energy Generation LLC  5.600% 6/15/42   2,685     2,617
  Constellation Energy Generation LLC  6.500% 10/1/53   3,455     3,794
  Consumers Energy Co.  3.950% 5/15/43   1,217     1,016
  Consumers Energy Co.  3.250% 8/15/46   2,181     1,597
  Consumers Energy Co.  3.950% 7/15/47     890       723
  Consumers Energy Co.  4.050% 5/15/48   1,698     1,412
 
83

 

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

($000)
  Consumers Energy Co.  4.350% 4/15/49   1,826     1,577
  Consumers Energy Co.  3.750% 2/15/50     473       370
  Consumers Energy Co.  3.100% 8/15/50   1,684     1,159
  Consumers Energy Co.  3.500% 8/1/51   1,880     1,399
  Consumers Energy Co.  2.650% 8/15/52     491       305
  Consumers Energy Co.  4.200% 9/1/52   2,426     2,013
  Consumers Energy Co.  2.500% 5/1/60   2,004     1,112
  Dayton Power & Light Co.  3.950% 6/15/49   1,577     1,163
  Delmarva Power & Light Co.  4.150% 5/15/45   1,109       890
1 Dominion Energy Inc.  5.250% 8/1/33     854       838
1 Dominion Energy Inc.  5.950% 6/15/35   1,627     1,656
  Dominion Energy Inc.  7.000% 6/15/38     793       863
1 Dominion Energy Inc.  3.300% 4/15/41   2,198     1,614
1 Dominion Energy Inc.  4.900% 8/1/41   1,983     1,776
1 Dominion Energy Inc.  4.050% 9/15/42   1,881     1,489
  Dominion Energy Inc.  4.700% 12/1/44   1,068       919
1 Dominion Energy Inc.  4.600% 3/15/49   1,530     1,290
1 Dominion Energy Inc.  4.850% 8/15/52   2,177     1,903
  Dominion Energy South Carolina Inc.  6.050% 1/15/38     687       726
  Dominion Energy South Carolina Inc.  5.450% 2/1/41   1,287     1,269
  Dominion Energy South Carolina Inc.  4.600% 6/15/43   1,494     1,319
  Dominion Energy South Carolina Inc.  5.100% 6/1/65   3,130     2,882
  DTE Electric Co.  5.200% 4/1/33   1,615     1,625
1 DTE Electric Co.  4.000% 4/1/43     965       801
  DTE Electric Co.  4.300% 7/1/44   1,070       919
  DTE Electric Co.  3.700% 3/15/45   1,439     1,135
  DTE Electric Co.  3.700% 6/1/46     977       753
  DTE Electric Co.  3.750% 8/15/47     569       439
1 DTE Electric Co.  4.050% 5/15/48   3,546     2,877
  DTE Electric Co.  3.950% 3/1/49   2,250     1,813
  DTE Electric Co.  2.950% 3/1/50     774       512
1 DTE Electric Co.  3.250% 4/1/51   1,514     1,049
1 DTE Electric Co.  3.650% 3/1/52   1,204       899
  DTE Electric Co.  5.400% 4/1/53   2,499     2,478
  Duke Energy Carolinas LLC  6.100% 6/1/37   1,559     1,633
  Duke Energy Carolinas LLC  6.000% 1/15/38   1,976     2,074
  Duke Energy Carolinas LLC  6.050% 4/15/38   1,691     1,774
  Duke Energy Carolinas LLC  5.300% 2/15/40   2,778     2,721
  Duke Energy Carolinas LLC  4.250% 12/15/41   2,515     2,125
  Duke Energy Carolinas LLC  4.000% 9/30/42   3,858     3,145
  Duke Energy Carolinas LLC  3.750% 6/1/45   1,382     1,066
  Duke Energy Carolinas LLC  3.875% 3/15/46   1,797     1,405
  Duke Energy Carolinas LLC  3.700% 12/1/47   2,647     1,972
  Duke Energy Carolinas LLC  3.950% 3/15/48   2,900     2,285
  Duke Energy Carolinas LLC  3.200% 8/15/49   1,764     1,220
  Duke Energy Carolinas LLC  3.450% 4/15/51   1,359       966
  Duke Energy Carolinas LLC  3.550% 3/15/52     909       651
  Duke Energy Carolinas LLC  5.350% 1/15/53   3,243     3,159
  Duke Energy Carolinas LLC  5.400% 1/15/54   2,685     2,623
  Duke Energy Corp.  3.300% 6/15/41     682       502
  Duke Energy Corp.  4.800% 12/15/45   3,031     2,654
  Duke Energy Corp.  3.750% 9/1/46   5,408     4,022
  Duke Energy Corp.  3.950% 8/15/47     842       639
  Duke Energy Corp.  4.200% 6/15/49   1,706     1,345
  Duke Energy Corp.  3.500% 6/15/51   4,328     2,985
  Duke Energy Corp.  5.000% 8/15/52   4,021     3,585
  Duke Energy Corp.  6.100% 9/15/53   2,224     2,314
  Duke Energy Florida LLC  6.350% 9/15/37   1,574     1,683
  Duke Energy Florida LLC  6.400% 6/15/38   3,681     3,967
  Duke Energy Florida LLC  5.650% 4/1/40     937       943
  Duke Energy Florida LLC  3.850% 11/15/42     708       563
  Duke Energy Florida LLC  3.400% 10/1/46   3,151     2,266
  Duke Energy Florida LLC  4.200% 7/15/48   1,063       872
  Duke Energy Florida LLC  3.000% 12/15/51     716       463
  Duke Energy Florida LLC  5.950% 11/15/52   1,035     1,087
  Duke Energy Florida LLC  6.200% 11/15/53   2,268     2,456
  Duke Energy Indiana LLC  6.120% 10/15/35   1,176     1,222
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Duke Energy Indiana LLC  6.350% 8/15/38   1,621     1,736
  Duke Energy Indiana LLC  6.450% 4/1/39     950     1,033
1 Duke Energy Indiana LLC  4.900% 7/15/43     847       774
  Duke Energy Indiana LLC  3.750% 5/15/46     891       682
1 Duke Energy Indiana LLC  3.250% 10/1/49   3,321     2,299
  Duke Energy Indiana LLC  2.750% 4/1/50   1,911     1,186
  Duke Energy Indiana LLC  5.400% 4/1/53   2,050     1,974
  Duke Energy Ohio Inc.  3.700% 6/15/46     556       418
  Duke Energy Ohio Inc.  4.300% 2/1/49   1,290     1,054
  Duke Energy Ohio Inc.  5.650% 4/1/53   2,405     2,428
  Duke Energy Progress LLC  6.300% 4/1/38     921       989
  Duke Energy Progress LLC  4.100% 5/15/42   2,060     1,708
  Duke Energy Progress LLC  4.100% 3/15/43   1,253     1,028
  Duke Energy Progress LLC  4.375% 3/30/44   1,476     1,261
  Duke Energy Progress LLC  4.150% 12/1/44     982       805
  Duke Energy Progress LLC  4.200% 8/15/45   2,081     1,711
  Duke Energy Progress LLC  3.700% 10/15/46   1,378     1,041
  Duke Energy Progress LLC  3.600% 9/15/47   1,452     1,076
  Duke Energy Progress LLC  2.500% 8/15/50   1,986     1,175
  Duke Energy Progress LLC  2.900% 8/15/51   1,300       835
  Duke Energy Progress LLC  4.000% 4/1/52     995       784
  Duke Energy Progress LLC  5.350% 3/15/53   4,230     4,083
1 Duke Energy Progress NC Storm Funding LLC  2.387% 7/1/37     825       662
  El Paso Electric Co.  6.000% 5/15/35   1,620     1,625
  El Paso Electric Co.  5.000% 12/1/44     921       782
  Emera US Finance LP  4.750% 6/15/46   4,403     3,581
  Entergy Arkansas LLC  5.300% 9/15/33     950       952
  Entergy Arkansas LLC  4.200% 4/1/49   1,735     1,416
  Entergy Arkansas LLC  2.650% 6/15/51   2,330     1,397
  Entergy Arkansas LLC  3.350% 6/15/52   1,377       946
  Entergy Corp.  3.750% 6/15/50   3,085     2,225
  Entergy Louisiana LLC  3.100% 6/15/41   1,848     1,358
  Entergy Louisiana LLC  4.200% 9/1/48   3,005     2,438
  Entergy Louisiana LLC  4.200% 4/1/50   1,082       878
  Entergy Louisiana LLC  2.900% 3/15/51   2,331     1,462
  Entergy Louisiana LLC  4.750% 9/15/52   1,235     1,083
  Entergy Mississippi LLC  5.000% 9/1/33   1,040     1,018
  Entergy Mississippi LLC  3.850% 6/1/49   1,750     1,335
  Entergy Mississippi LLC  3.500% 6/1/51   1,028       727
  Entergy Texas Inc.  3.550% 9/30/49     765       552
  Entergy Texas Inc.  5.800% 9/1/53     932       959
  Essential Utilities Inc.  4.276% 5/1/49   1,801     1,451
  Essential Utilities Inc.  3.351% 4/15/50   1,779     1,230
  Essential Utilities Inc.  5.300% 5/1/52   2,223     2,064
  Evergy Kansas Central Inc.  4.125% 3/1/42   1,029       854
  Evergy Kansas Central Inc.  4.100% 4/1/43     559       456
  Evergy Kansas Central Inc.  4.250% 12/1/45     916       750
  Evergy Kansas Central Inc.  3.450% 4/15/50   1,854     1,303
  Evergy Kansas Central Inc.  5.700% 3/15/53   1,076     1,074
  Evergy Metro Inc.  5.300% 10/1/41   1,219     1,166
  Evergy Metro Inc.  4.200% 6/15/47   1,535     1,232
  Evergy Metro Inc.  4.200% 3/15/48   1,236     1,001
1 Evergy Metro Inc.  4.125% 4/1/49   1,126       891
  Eversource Energy  3.450% 1/15/50   1,277       870
1 Exelon Corp.  4.950% 6/15/35   1,172     1,095
  Exelon Corp.  5.625% 6/15/35   2,449     2,432
  Exelon Corp.  5.100% 6/15/45   2,988     2,719
  Exelon Corp.  4.450% 4/15/46   2,518     2,108
  Exelon Corp.  4.700% 4/15/50   2,343     2,023
  Exelon Corp.  4.100% 3/15/52   2,437     1,890
  Exelon Corp.  5.600% 3/15/53   4,175     4,071
  Florida Power & Light Co.  5.625% 4/1/34     724       757
  Florida Power & Light Co.  4.950% 6/1/35     460       453
  Florida Power & Light Co.  5.650% 2/1/37     319       329
  Florida Power & Light Co.  5.950% 2/1/38   1,307     1,390
  Florida Power & Light Co.  5.960% 4/1/39     910       976
 
84

 

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

($000)
  Florida Power & Light Co.  5.690% 3/1/40   2,187     2,241
  Florida Power & Light Co.  5.250% 2/1/41   2,590     2,555
  Florida Power & Light Co.  4.125% 2/1/42   3,041     2,607
  Florida Power & Light Co.  4.050% 6/1/42   2,467     2,090
  Florida Power & Light Co.  3.800% 12/15/42   1,912     1,556
  Florida Power & Light Co.  4.050% 10/1/44   1,541     1,297
  Florida Power & Light Co.  3.700% 12/1/47   2,234     1,737
  Florida Power & Light Co.  3.950% 3/1/48   4,400     3,561
  Florida Power & Light Co.  4.125% 6/1/48   1,087       903
  Florida Power & Light Co.  3.990% 3/1/49   1,085       878
  Florida Power & Light Co.  3.150% 10/1/49   2,142     1,477
  Florida Power & Light Co.  2.875% 12/4/51   4,344     2,821
  Florida Power & Light Co.  5.300% 4/1/53   2,922     2,885
1 Georgia Power Co.  4.750% 9/1/40   1,390     1,262
  Georgia Power Co.  4.300% 3/15/42   4,623     3,946
  Georgia Power Co.  4.300% 3/15/43   2,608     2,190
1 Georgia Power Co.  3.700% 1/30/50   2,698     2,043
1 Georgia Power Co.  3.250% 3/15/51   3,157     2,164
  Georgia Power Co.  5.125% 5/15/52   3,570     3,388
  Iberdrola International BV  6.750% 7/15/36   1,756     1,966
1 Idaho Power Co.  4.200% 3/1/48   1,592     1,282
1 Idaho Power Co.  5.500% 3/15/53   1,125     1,106
1 Idaho Power Co.  5.800% 4/1/54   1,090     1,110
  Indiana Michigan Power Co.  6.050% 3/15/37   1,022     1,060
1 Indiana Michigan Power Co.  4.550% 3/15/46   1,223     1,043
1 Indiana Michigan Power Co.  3.750% 7/1/47     837       622
  Indiana Michigan Power Co.  4.250% 8/15/48     908       735
  Indiana Michigan Power Co.  3.250% 5/1/51     815       552
  Indiana Michigan Power Co.  5.625% 4/1/53   2,672     2,675
  Interstate Power & Light Co.  6.250% 7/15/39     905       944
  Interstate Power & Light Co.  3.700% 9/15/46     944       702
  Interstate Power & Light Co.  3.500% 9/30/49   1,168       828
  Interstate Power & Light Co.  3.100% 11/30/51     501       321
  ITC Holdings Corp.  5.300% 7/1/43   1,539     1,440
1 John Sevier Combined Cycle Generation LLC  4.626% 1/15/42     787       735
  Kentucky Utilities Co.  5.125% 11/1/40   3,032     2,878
  Kentucky Utilities Co.  4.375% 10/1/45   1,095       919
  Kentucky Utilities Co.  3.300% 6/1/50   1,885     1,303
  Louisville Gas & Electric Co.  4.250% 4/1/49   1,350     1,100
  MidAmerican Energy Co.  5.350% 1/15/34   1,305     1,330
1 MidAmerican Energy Co.  5.750% 11/1/35   1,207     1,251
1 MidAmerican Energy Co.  5.800% 10/15/36   2,722     2,813
  MidAmerican Energy Co.  4.800% 9/15/43   1,618     1,480
  MidAmerican Energy Co.  4.400% 10/15/44   1,713     1,467
  MidAmerican Energy Co.  4.250% 5/1/46   1,495     1,253
  MidAmerican Energy Co.  3.650% 8/1/48   1,290       981
  MidAmerican Energy Co.  4.250% 7/15/49   3,091     2,597
  MidAmerican Energy Co.  3.150% 4/15/50   1,952     1,334
  MidAmerican Energy Co.  2.700% 8/1/52     845       518
  MidAmerican Energy Co.  5.850% 9/15/54   4,781     5,044
  MidAmerican Energy Co.  5.300% 2/1/55   2,305     2,245
1 Mississippi Power Co.  4.250% 3/15/42   1,112       927
1 Mississippi Power Co.  3.100% 7/30/51     646       420
  National Grid USA  5.803% 4/1/35   1,550     1,528
  National Rural Utilities Cooperative Finance Corp.  4.400% 11/1/48   1,167       984
  National Rural Utilities Cooperative Finance Corp.  4.300% 3/15/49   3,013     2,503
1 Nevada Power Co.  6.650% 4/1/36   1,202     1,286
1 Nevada Power Co.  6.750% 7/1/37     982     1,087
1 Nevada Power Co.  3.125% 8/1/50   1,489       977
1 Nevada Power Co.  5.900% 5/1/53   1,217     1,252
  Nevada Power Co.  6.000% 3/15/54   2,200     2,298
  NextEra Energy Capital Holdings Inc.  5.250% 3/15/34   3,095     3,038
  NextEra Energy Capital Holdings Inc.  3.000% 1/15/52   1,453       921
  NextEra Energy Capital Holdings Inc.  5.250% 2/28/53   5,560     5,163
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  NextEra Energy Capital Holdings Inc.  5.550% 3/15/54     995       965
  NiSource Inc.  5.950% 6/15/41     884       898
  NiSource Inc.  5.250% 2/15/43   1,562     1,472
  NiSource Inc.  4.800% 2/15/44   3,303     2,930
  NiSource Inc.  5.650% 2/1/45   2,579     2,505
  NiSource Inc.  4.375% 5/15/47   5,899     4,873
  NiSource Inc.  3.950% 3/30/48   3,423     2,630
  NiSource Inc.  5.000% 6/15/52   1,443     1,304
  Northern States Power Co.  6.250% 6/1/36     675       729
  Northern States Power Co.  6.200% 7/1/37   1,056     1,130
  Northern States Power Co.  5.350% 11/1/39     928       916
  Northern States Power Co.  3.400% 8/15/42   1,941     1,474
  Northern States Power Co.  4.125% 5/15/44     558       460
  Northern States Power Co.  4.000% 8/15/45     713       577
  Northern States Power Co.  3.600% 5/15/46   2,261     1,712
  Northern States Power Co.  3.600% 9/15/47   1,027       777
  Northern States Power Co.  2.900% 3/1/50   3,802     2,488
  Northern States Power Co.  2.600% 6/1/51   2,422     1,496
  Northern States Power Co.  3.200% 4/1/52     705       486
  Northern States Power Co.  4.500% 6/1/52   1,781     1,553
  Northern States Power Co.  5.100% 5/15/53   4,426     4,224
  Northern States Power Co.  5.400% 3/15/54   1,500     1,484
  NorthWestern Corp.  4.176% 11/15/44   1,409     1,135
  NSTAR Electric Co.  5.500% 3/15/40     801       798
  NSTAR Electric Co.  4.400% 3/1/44     948       817
  NSTAR Electric Co.  4.550% 6/1/52   1,660     1,435
  NSTAR Electric Co.  4.950% 9/15/52   1,346     1,245
  Oglethorpe Power Corp.  5.950% 11/1/39     711       702
  Oglethorpe Power Corp.  5.375% 11/1/40   1,485     1,391
  Oglethorpe Power Corp.  4.500% 4/1/47     939       762
  Oglethorpe Power Corp.  5.050% 10/1/48   1,680     1,481
  Oglethorpe Power Corp.  3.750% 8/1/50   2,136     1,531
  Oglethorpe Power Corp.  5.250% 9/1/50     835       764
2 Oglethorpe Power Corp.  6.200% 12/1/53   1,470     1,512
  Ohio Power Co.  4.150% 4/1/48   1,295     1,037
  Ohio Power Co.  4.000% 6/1/49   1,245       972
1 Ohio Power Co.  2.900% 10/1/51   1,785     1,137
  Oklahoma Gas & Electric Co.  4.150% 4/1/47   1,000       797
  Oklahoma Gas & Electric Co.  3.850% 8/15/47   1,369     1,040
  Oklahoma Gas & Electric Co.  5.600% 4/1/53   1,290     1,297
  Oncor Electric Delivery Co. LLC  7.500% 9/1/38     637       760
  Oncor Electric Delivery Co. LLC  5.250% 9/30/40   2,274     2,257
  Oncor Electric Delivery Co. LLC  4.550% 12/1/41   1,802     1,634
  Oncor Electric Delivery Co. LLC  5.300% 6/1/42   2,680     2,706
  Oncor Electric Delivery Co. LLC  3.750% 4/1/45   1,981     1,571
  Oncor Electric Delivery Co. LLC  3.800% 9/30/47   1,616     1,247
  Oncor Electric Delivery Co. LLC  4.100% 11/15/48   2,465     2,020
  Oncor Electric Delivery Co. LLC  3.800% 6/1/49   1,508     1,183
1 Oncor Electric Delivery Co. LLC  3.100% 9/15/49   2,262     1,551
  Oncor Electric Delivery Co. LLC  2.700% 11/15/51   1,225       761
  Oncor Electric Delivery Co. LLC  4.600% 6/1/52   2,061     1,812
  Oncor Electric Delivery Co. LLC  4.950% 9/15/52   3,423     3,188
  Oncor Electric Delivery Co. LLC  5.350% 10/1/52     774       768
  ONE Gas Inc.  4.658% 2/1/44   1,140     1,015
  ONE Gas Inc.  4.500% 11/1/48   1,879     1,614
  Pacific Gas & Electric Co.  6.950% 3/15/34   2,500     2,703
  Pacific Gas & Electric Co.  4.500% 7/1/40   6,489     5,452
  Pacific Gas & Electric Co.  3.300% 8/1/40   5,255     3,788
  Pacific Gas & Electric Co.  4.200% 6/1/41     954       750
  Pacific Gas & Electric Co.  3.750% 8/15/42     942       692
  Pacific Gas & Electric Co.  4.600% 6/15/43     290       238
  Pacific Gas & Electric Co.  4.750% 2/15/44   2,086     1,739
  Pacific Gas & Electric Co.  4.300% 3/15/45   1,241       968
  Pacific Gas & Electric Co.  3.950% 12/1/47   2,412     1,752
  Pacific Gas & Electric Co.  4.950% 7/1/50  13,041    11,076
  Pacific Gas & Electric Co.  3.500% 8/1/50   7,572     5,094
  Pacific Gas & Electric Co.  5.250% 3/1/52   1,447     1,281
 
85

 

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

($000)
  Pacific Gas & Electric Co.  6.750% 1/15/53   7,034     7,539
  Pacific Gas & Electric Co.  6.700% 4/1/53   4,430     4,751
  PacifiCorp  5.450% 2/15/34   3,500     3,452
  PacifiCorp  5.250% 6/15/35     547       531
  PacifiCorp  6.100% 8/1/36   1,208     1,251
  PacifiCorp  5.750% 4/1/37   1,064     1,058
  PacifiCorp  6.250% 10/15/37     995     1,040
  PacifiCorp  6.350% 7/15/38   1,300     1,366
  PacifiCorp  6.000% 1/15/39   2,077     2,133
  PacifiCorp  4.100% 2/1/42     928       736
  PacifiCorp  4.125% 1/15/49   1,191       929
  PacifiCorp  4.150% 2/15/50   2,094     1,625
  PacifiCorp  3.300% 3/15/51   3,838     2,517
  PacifiCorp  2.900% 6/15/52   1,305       795
  PacifiCorp  5.350% 12/1/53   3,348     3,075
  PacifiCorp  5.500% 5/15/54   2,751     2,567
  PacifiCorp  5.800% 1/15/55   5,580     5,394
  PECO Energy Co.  5.950% 10/1/36     910       963
  PECO Energy Co.  4.150% 10/1/44     710       593
  PECO Energy Co.  3.700% 9/15/47   1,176       914
  PECO Energy Co.  3.900% 3/1/48   1,492     1,200
  PECO Energy Co.  3.000% 9/15/49     836       562
  PECO Energy Co.  2.800% 6/15/50   1,052       678
  PECO Energy Co.  3.050% 3/15/51     519       349
  PECO Energy Co.  2.850% 9/15/51   1,225       780
  PECO Energy Co.  4.600% 5/15/52   1,381     1,230
  PECO Energy Co.  4.375% 8/15/52   2,115     1,803
  Piedmont Natural Gas Co. Inc.  4.650% 8/1/43   1,005       873
  Piedmont Natural Gas Co. Inc.  3.640% 11/1/46   1,008       710
  Piedmont Natural Gas Co. Inc.  3.350% 6/1/50   1,374       913
  Piedmont Natural Gas Co. Inc.  5.050% 5/15/52   1,448     1,305
  Potomac Electric Power Co.  6.500% 11/15/37   1,098     1,212
  Potomac Electric Power Co.  4.150% 3/15/43   2,499     2,100
3 Potomac Electric Power Co.  5.500% 3/15/54   1,000       995
  PPL Electric Utilities Corp.  4.850% 2/15/34   2,405     2,342
  PPL Electric Utilities Corp.  6.250% 5/15/39     803       872
  PPL Electric Utilities Corp.  4.750% 7/15/43     761       700
  PPL Electric Utilities Corp.  4.125% 6/15/44   1,064       892
  PPL Electric Utilities Corp.  4.150% 10/1/45   1,049       872
  PPL Electric Utilities Corp.  3.950% 6/1/47   2,250     1,816
  PPL Electric Utilities Corp.  4.150% 6/15/48   1,439     1,206
  PPL Electric Utilities Corp.  3.000% 10/1/49     455       310
  PPL Electric Utilities Corp.  5.250% 5/15/53   3,141     3,049
  Progress Energy Inc.  6.000% 12/1/39   3,874     3,905
1 Public Service Co. of Colorado  6.250% 9/1/37   1,752     1,858
  Public Service Co. of Colorado  6.500% 8/1/38     532       579
  Public Service Co. of Colorado  3.600% 9/15/42     989       759
  Public Service Co. of Colorado  4.300% 3/15/44     518       431
  Public Service Co. of Colorado  3.800% 6/15/47   1,267       962
  Public Service Co. of Colorado  4.100% 6/15/48     980       782
  Public Service Co. of Colorado  4.050% 9/15/49   1,190       928
1 Public Service Co. of Colorado  3.200% 3/1/50   2,959     2,004
1 Public Service Co. of Colorado  2.700% 1/15/51     575       348
1 Public Service Co. of Colorado  4.500% 6/1/52   2,532     2,120
  Public Service Co. of Colorado  5.250% 4/1/53   3,055     2,892
  Public Service Co. of New Hampshire  3.600% 7/1/49   1,012       765
  Public Service Co. of New Hampshire  5.150% 1/15/53     686       658
1 Public Service Co. of Oklahoma  3.150% 8/15/51   1,066       713
1 Public Service Electric & Gas Co.  5.800% 5/1/37     952       980
1 Public Service Electric & Gas Co.  5.500% 3/1/40     996       996
1 Public Service Electric & Gas Co.  3.950% 5/1/42   1,280     1,074
1 Public Service Electric & Gas Co.  3.650% 9/1/42   1,578     1,242
1 Public Service Electric & Gas Co.  3.800% 1/1/43   1,012       822
1 Public Service Electric & Gas Co.  3.800% 3/1/46   2,191     1,729
1 Public Service Electric & Gas Co.  3.600% 12/1/47   1,210       922
1 Public Service Electric & Gas Co.  4.050% 5/1/48     914       760
1 Public Service Electric & Gas Co.  3.850% 5/1/49   1,060       845
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
1 Public Service Electric & Gas Co.  3.200% 8/1/49   1,263       891
1 Public Service Electric & Gas Co.  3.150% 1/1/50     947       658
1 Public Service Electric & Gas Co.  2.700% 5/1/50   1,192       768
1 Public Service Electric & Gas Co.  2.050% 8/1/50     989       552
1 Public Service Electric & Gas Co.  5.125% 3/15/53   2,080     2,014
  Public Service Electric & Gas Co.  5.450% 8/1/53   1,070     1,075
1,3 Public Service Electric & Gas Co.  5.450% 3/1/54   2,500     2,507
  Puget Sound Energy Inc.  6.274% 3/15/37   1,044     1,098
  Puget Sound Energy Inc.  5.757% 10/1/39     676       679
  Puget Sound Energy Inc.  5.795% 3/15/40     691       698
  Puget Sound Energy Inc.  5.638% 4/15/41     923       919
  Puget Sound Energy Inc.  4.300% 5/20/45     593       492
  Puget Sound Energy Inc.  4.223% 6/15/48   3,684     2,990
  Puget Sound Energy Inc.  3.250% 9/15/49   1,430       974
  Puget Sound Energy Inc.  2.893% 9/15/51     983       625
  Puget Sound Energy Inc.  5.448% 6/1/53     752       744
  San Diego Gas & Electric Co.  6.000% 6/1/39     925       957
  San Diego Gas & Electric Co.  4.500% 8/15/40   1,630     1,446
1 San Diego Gas & Electric Co.  3.750% 6/1/47     955       734
  San Diego Gas & Electric Co.  4.150% 5/15/48   1,385     1,140
1 San Diego Gas & Electric Co.  4.100% 6/15/49     789       636
1 San Diego Gas & Electric Co.  3.320% 4/15/50     838       582
1 San Diego Gas & Electric Co.  2.950% 8/15/51   2,633     1,746
  San Diego Gas & Electric Co.  3.700% 3/15/52   1,000       741
  San Diego Gas & Electric Co.  5.350% 4/1/53   2,820     2,728
  Sempra  3.800% 2/1/38   3,682     3,020
  Sempra  6.000% 10/15/39   2,789     2,815
  Sempra  4.000% 2/1/48   3,069     2,383
2 Sierra Pacific Power Co.  5.900% 3/15/54   1,102     1,126
  Southern California Edison Co.  6.000% 1/15/34     502       523
  Southern California Edison Co.  5.200% 6/1/34   1,645     1,609
1 Southern California Edison Co.  5.750% 4/1/35   1,369     1,385
1 Southern California Edison Co.  5.350% 7/15/35   1,210     1,204
  Southern California Edison Co.  5.625% 2/1/36     949       949
1 Southern California Edison Co.  5.550% 1/15/37   1,237     1,231
1 Southern California Edison Co.  5.950% 2/1/38   1,996     2,045
  Southern California Edison Co.  6.050% 3/15/39     672       692
  Southern California Edison Co.  5.500% 3/15/40   3,012     2,975
  Southern California Edison Co.  4.500% 9/1/40     896       783
  Southern California Edison Co.  4.050% 3/15/42   1,267     1,041
1 Southern California Edison Co.  3.900% 3/15/43   1,456     1,151
  Southern California Edison Co.  4.650% 10/1/43   2,663     2,331
1 Southern California Edison Co.  3.600% 2/1/45   1,232       912
  Southern California Edison Co.  4.000% 4/1/47   8,647     6,726
1 Southern California Edison Co.  4.125% 3/1/48   7,156     5,709
1 Southern California Edison Co.  4.875% 3/1/49   1,756     1,559
  Southern California Edison Co.  3.650% 2/1/50   4,415     3,230
1 Southern California Edison Co.  2.950% 2/1/51   1,656     1,060
1 Southern California Edison Co.  3.650% 6/1/51   1,100       804
  Southern California Edison Co.  3.450% 2/1/52   2,379     1,657
1 Southern California Edison Co.  5.450% 6/1/52     946       907
  Southern California Edison Co.  5.700% 3/1/53   1,347     1,336
  Southern California Edison Co.  5.875% 12/1/53   2,440     2,479
3 Southern California Edison Co.  5.750% 4/15/54   1,725     1,714
  Southern California Gas Co.  5.125% 11/15/40     632       604
  Southern California Gas Co.  3.750% 9/15/42   1,067       841
1 Southern California Gas Co.  4.125% 6/1/48   1,128       912
1 Southern California Gas Co.  4.300% 1/15/49   3,359     2,753
1 Southern California Gas Co.  3.950% 2/15/50     845       651
  Southern California Gas Co.  6.350% 11/15/52   2,115     2,317
  Southern California Gas Co.  5.750% 6/1/53   1,793     1,810
  Southern Co.  5.700% 3/15/34   1,300     1,325
  Southern Co.  4.250% 7/1/36   1,709     1,509
  Southern Co.  4.400% 7/1/46   6,397     5,395
  Southern Co. Gas Capital Corp.  5.875% 3/15/41     868       868
  Southern Co. Gas Capital Corp.  4.400% 6/1/43   1,656     1,375
  Southern Co. Gas Capital Corp.  3.950% 10/1/46   1,325     1,007
 
86

 

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

($000)
  Southern Co. Gas Capital Corp.  4.400% 5/30/47   2,843     2,307
  Southern Power Co.  5.150% 9/15/41   1,961     1,809
  Southern Power Co.  5.250% 7/15/43     395       366
1 Southern Power Co.  4.950% 12/15/46   1,323     1,162
  Southwest Gas Corp.  3.800% 9/29/46   1,319       964
  Southwest Gas Corp.  4.150% 6/1/49     976       746
  Southwestern Electric Power Co.  6.200% 3/15/40     992     1,026
1 Southwestern Electric Power Co.  3.900% 4/1/45     818       628
1 Southwestern Electric Power Co.  3.850% 2/1/48   1,801     1,321
  Southwestern Electric Power Co.  3.250% 11/1/51   1,261       825
  Southwestern Public Service Co.  4.500% 8/15/41   1,160       984
  Southwestern Public Service Co.  3.400% 8/15/46     832       579
  Southwestern Public Service Co.  3.700% 8/15/47   1,720     1,230
1 Southwestern Public Service Co.  4.400% 11/15/48   1,127       918
  Southwestern Public Service Co.  3.750% 6/15/49   1,083       786
1 Southwestern Public Service Co.  3.150% 5/1/50   1,920     1,237
  Spire Missouri Inc.  3.300% 6/1/51     990       670
  Tampa Electric Co.  4.100% 6/15/42     960       788
  Tampa Electric Co.  4.300% 6/15/48     903       742
  Tampa Electric Co.  4.450% 6/15/49   1,097       923
  Tampa Electric Co.  3.625% 6/15/50   2,071     1,504
  Tampa Electric Co.  3.450% 3/15/51   2,114     1,466
  Tampa Electric Co.  5.000% 7/15/52   1,300     1,185
  Toledo Edison Co.  6.150% 5/15/37   1,124     1,183
  Tucson Electric Power Co.  4.850% 12/1/48     865       767
  Tucson Electric Power Co.  4.000% 6/15/50     873       668
  Tucson Electric Power Co.  5.500% 4/15/53   1,625     1,591
  Union Electric Co.  5.300% 8/1/37   1,853     1,846
  Union Electric Co.  3.900% 9/15/42   1,515     1,228
  Union Electric Co.  3.650% 4/15/45     269       204
  Union Electric Co.  4.000% 4/1/48   3,785     2,978
  Union Electric Co.  3.250% 10/1/49     996       680
  Union Electric Co.  2.625% 3/15/51   2,255     1,362
  Union Electric Co.  3.900% 4/1/52   3,757     2,924
  Union Electric Co.  5.450% 3/15/53   1,225     1,199
1 Virginia Electric & Power Co.  6.000% 1/15/36   1,047     1,090
1 Virginia Electric & Power Co.  6.000% 5/15/37   1,806     1,872
  Virginia Electric & Power Co.  6.350% 11/30/37   1,467     1,565
  Virginia Electric & Power Co.  8.875% 11/15/38   2,370     3,150
  Virginia Electric & Power Co.  4.000% 1/15/43   1,079       884
1 Virginia Electric & Power Co.  4.650% 8/15/43   2,288     2,024
  Virginia Electric & Power Co.  4.450% 2/15/44   3,312     2,846
1 Virginia Electric & Power Co.  4.200% 5/15/45   3,536     2,920
1 Virginia Electric & Power Co.  4.000% 11/15/46   1,792     1,421
  Virginia Electric & Power Co.  4.600% 12/1/48   1,517     1,313
  Virginia Electric & Power Co.  3.300% 12/1/49   2,437     1,711
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Virginia Electric & Power Co.  2.450% 12/15/50     595       345
  Virginia Electric & Power Co.  2.950% 11/15/51   2,288     1,470
1 Virginia Electric & Power Co.  4.625% 5/15/52   6,111     5,259
  Virginia Electric & Power Co.  5.450% 4/1/53   2,960     2,896
  Virginia Electric & Power Co.  5.700% 8/15/53     710       717
1 Washington Gas Light Co.  3.796% 9/15/46   2,073     1,529
1 Washington Gas Light Co.  3.650% 9/15/49   1,413     1,041
  Wisconsin Electric Power Co.  5.700% 12/1/36   1,073     1,102
  Wisconsin Electric Power Co.  4.300% 10/15/48   1,347     1,130
  Wisconsin Power & Light Co.  6.375% 8/15/37   1,419     1,519
  Wisconsin Power & Light Co.  3.650% 4/1/50     748       546
  Wisconsin Public Service Corp.  3.671% 12/1/42     796       621
  Wisconsin Public Service Corp.  4.752% 11/1/44   1,963     1,788
  Wisconsin Public Service Corp.  3.300% 9/1/49     970       679
  Wisconsin Public Service Corp.  2.850% 12/1/51   1,863     1,176
  Xcel Energy Inc.  6.500% 7/1/36   1,289     1,387
  Xcel Energy Inc.  3.500% 12/1/49   2,464     1,719
                                966,131
Total Corporate Bonds (Cost $8,477,427) 7,459,261
          Shares  
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
5 Vanguard Market Liquidity Fund
(Cost $11,984)
 5.400%   119,858          11,985
Total Investments (98.3%) (Cost $8,503,177)   7,485,025
Other Assets and Liabilities—Net (1.7%)   125,585
Net Assets (100%)   7,610,610
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 29, 2024, the aggregate value was $67,668,000, representing 0.9% 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 29, 2024.
4 Securities with a value of $2,130,000 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.
  DAC—Designated Activity Company.
  REIT—Real Estate Investment Trust.
 
87

 

Long-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)
Long Futures Contracts
Ultra 10-Year U.S. Treasury Note June 2024 193 22,035 33
Ultra Long U.S. Treasury Bond June 2024 74 9,463 (17)
        16
 
Short Futures Contracts
Long U.S. Treasury Bond June 2024 (203) (24,208) 6
        22
    
Centrally Cleared Credit Default Swaps
Reference Entity Termination
Date
  Notional
Amount
(000)
Periodic
Premium
Received
(Paid)1
(%)
Value
($000)
Unrealized
Appreciation
(Depreciation)
($000)
Credit Protection Purchased
CDX-NA-IG-S41-V1 12/20/28 USD 50,000 (1.000) (1,126) (103)
1 Periodic premium received/paid quarterly.
USD—U.S. dollar.
  
See accompanying Notes, which are an integral part of the Financial Statements.
88

 

Long-Term Corporate Bond Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $8,491,193) 7,473,040
Affiliated Issuers (Cost $11,984) 11,985
Total Investments in Securities 7,485,025
Investment in Vanguard 229
Cash Collateral Received for ETF Capital Activity 22,369
Receivables for Investment Securities Sold 155,736
Receivables for Accrued Income 109,442
Receivables for Capital Shares Issued 1,404
Total Assets 7,774,205
Liabilities  
Due to Custodian 276
Payables for Investment Securities Purchased 139,599
Collateral for ETF Capital Activity 22,369
Payables for Capital Shares Redeemed 525
Payables for Distributions 466
Payables to Vanguard 116
Variation Margin Payable—Futures Contracts 236
Variation Margin Payable—Centrally Cleared Swap Contracts 8
Total Liabilities 163,595
Net Assets 7,610,610

At February 29, 2024, net assets consisted of:

   
Paid-in Capital 9,112,542
Total Distributable Earnings (Loss) (1,501,932)
Net Assets 7,610,610
 
ETF Shares—Net Assets  
Applicable to 88,854,242 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
6,842,124
Net Asset Value Per Share—ETF Shares $77.00
 
Admiral Shares—Net Assets  
Applicable to 17,032,390 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
351,118
Net Asset Value Per Share—Admiral Shares $20.61
 
Institutional Shares—Net Assets  
Applicable to 16,316,999 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
417,368
Net Asset Value Per Share—Institutional Shares $25.58
  
See accompanying Notes, which are an integral part of the Financial Statements.
89

 

Long-Term Corporate Bond Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Interest1 178,277
Total Income 178,277
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 74
Management and Administrative—ETF Shares 852
Management and Administrative—Admiral Shares 97
Management and Administrative—Institutional Shares 88
Marketing and Distribution—ETF Shares 164
Marketing and Distribution—Admiral Shares 9
Marketing and Distribution—Institutional Shares 6
Custodian Fees 60
Shareholders’ Reports—ETF Shares 80
Shareholders’ Reports—Admiral Shares 2
Shareholders’ Reports—Institutional Shares
Trustees’ Fees and Expenses 3
Other Expenses 11
Total Expenses 1,446
Net Investment Income 176,831
Realized Net Gain (Loss)  
Investment Securities Sold1,2 (132,084)
Futures Contracts (1,386)
Swap Contracts 100
Realized Net Gain (Loss) (133,370)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 214,807
Futures Contracts (95)
Swap Contracts (103)
Change in Unrealized Appreciation (Depreciation) 214,609
Net Increase (Decrease) in Net Assets Resulting from Operations 258,070
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 $611,000, $7,000, less than $1,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.
2 Includes ($36,855,000) of net gain (loss) resulting from in-kind redemptions.
  
See accompanying Notes, which are an integral part of the Financial Statements.
90

 

Long-Term Corporate Bond Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 176,831   284,027
Realized Net Gain (Loss) (133,370)   (412,283)
Change in Unrealized Appreciation (Depreciation) 214,609   56,700
Net Increase (Decrease) in Net Assets Resulting from Operations 258,070   (71,556)
Distributions      
ETF Shares (157,588)   (245,908)
Admiral Shares (8,440)   (13,799)
Institutional Shares (10,497)   (15,296)
Total Distributions (176,525)   (275,003)
Capital Share Transactions      
ETF Shares 521,278   2,016,670
Admiral Shares 27,795   63,314
Institutional Shares (4,580)   169,337
Net Increase (Decrease) from Capital Share Transactions 544,493   2,249,321
Total Increase (Decrease) 626,038   1,902,762
Net Assets      
Beginning of Period 6,984,572   5,081,810
End of Period 7,610,610   6,984,572
  
See accompanying Notes, which are an integral part of the Financial Statements.
91

 

Long-Term Corporate Bond Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $75.91 $80.54 $108.31 $107.01 $102.86 $88.35
Investment Operations            
Net Investment Income1 1.924 3.692 3.286 3.294 3.701 3.936
Net Realized and Unrealized Gain (Loss) on Investments2 1.109 (4.727) (27.794) 1.288 4.189 14.458
Total from Investment Operations 3.033 (1.035) (24.508) 4.582 7.890 18.394
Distributions            
Dividends from Net Investment Income (1.943) (3.595) (3.262) (3.282) (3.740) (3.884)
Distributions from Realized Capital Gains
Total Distributions (1.943) (3.595) (3.262) (3.282) (3.740) (3.884)
Net Asset Value, End of Period $77.00 $75.91 $80.54 $108.31 $107.01 $102.86
Total Return 4.10% -1.27% -23.06% 4.39% 7.90% 21.60%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $6,842 $6,252 $4,545 $5,517 $5,214 $4,074
Ratio of Total Expenses to Average Net Assets 0.04% 0.04%3 0.04%3 0.04% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 5.14% 4.79% 3.47% 3.10% 3.60% 4.36%
Portfolio Turnover Rate4 14% 33% 31% 36% 62% 47%
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, $.05, $.01, $.03, $.00, and $.00.
3 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%.
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.
  
Admiral Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $20.32 $21.56 $29.03 $28.68 $27.55 $23.65
Investment Operations            
Net Investment Income1 .514 .984 .875 .877 .988 1.053
Net Realized and Unrealized Gain (Loss) on Investments2 .291 (1.260) (7.473) .345 1.125 3.895
Total from Investment Operations .805 (.276) (6.598) 1.222 2.113 4.948
Distributions            
Dividends from Net Investment Income (.515) (.964) (.872) (.872) (.983) (1.048)
Distributions from Realized Capital Gains
Total Distributions (.515) (.964) (.872) (.872) (.983) (1.048)
Net Asset Value, End of Period $20.61 $20.32 $21.56 $29.03 $28.68 $27.55
Total Return3 4.06% -1.25% -23.10% 4.37% 7.87% 21.64%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $351 $319 $272 $314 $320 $256
Ratio of Total Expenses to Average Net Assets 0.07% 0.07%4 0.07%4 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 5.12% 4.75% 3.44% 3.08% 3.58% 4.34%
Portfolio Turnover Rate5 14% 33% 31% 36% 62% 47%
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, $.01, $.00, and $.00.
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 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
  
See accompanying Notes, which are an integral part of the Financial Statements.
92

 

Long-Term Corporate Bond Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $25.21 $26.76 $36.02 $35.59 $34.18 $29.36
Investment Operations            
Net Investment Income1 .640 1.227 1.092 1.095 1.250 1.314
Net Realized and Unrealized Gain (Loss) on Investments2 .371 (1.575) (9.264) .425 1.387 4.812
Total from Investment Operations 1.011 (.348) (8.172) 1.520 2.637 6.126
Distributions            
Dividends from Net Investment Income (.641) (1.202) (1.088) (1.090) (1.227) (1.306)
Distributions from Realized Capital Gains
Total Distributions (.641) (1.202) (1.088) (1.090) (1.227) (1.306)
Net Asset Value, End of Period $25.58 $25.21 $26.76 $36.02 $35.59 $34.18
Total Return3 4.11% -1.28% -23.05% 4.37% 7.91% 21.58%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $417 $414 $264 $340 $268 $541
Ratio of Total Expenses to Average Net Assets 0.05% 0.05%4 0.05%4 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 5.14% 4.78% 3.46% 3.09% 3.68% 4.36%
Portfolio Turnover Rate5 14% 33% 31% 36% 62% 47%
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, $.02, $.00, $.01, $.00, and $.00.
3 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees.
4 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
93

 

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.
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 other 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 valuation designee to represent fair value and subject to oversight by the board of trustees.
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 29, 2024, 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.
3. Swap Contracts: The fund invests in credit default swaps to adjust the overall credit risk of the fund or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The fund may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The fund may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.
The fund enters into centrally cleared credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. 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. To further mitigate counterparty risk, the fund  trades with a diverse group of prequalified executing
94

 

Long-Term Corporate Bond Index Fund
brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.
The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the fund (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the fund) will be significantly less than the amount paid by the fund and, in a physically settled swap, the fund may receive an illiquid debt instrument. 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 Asset 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 Statements 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 29, 2024, the fund's average amounts of investments in credit protection sold and credit protection purchased represented 0% and less than 1% of net assets, respectively, 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 virtually 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.
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. 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.
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,
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Long-Term Corporate Bond Index Fund
if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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 29, 2024, 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. 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 29, 2024, the fund had contributed to Vanguard capital in the amount of $229,000, 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.
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.
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Long-Term Corporate Bond Index Fund
The following table summarizes the market value of the fund's investments and derivatives as of February 29, 2024, 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 13,779 13,779
Corporate Bonds 7,459,261 7,459,261
Temporary Cash Investments 11,985 11,985
Total 11,985 7,473,040 7,485,025
Derivative Financial Instruments        
Assets        
Futures Contracts1 39 39
Liabilities        
Futures Contracts1 17 17
Swap Contracts 1031 103
Total 120 120
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.  At February 29, 2024, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:
Statement of Assets and Liabilities Interest
Rate
Contracts
($000)
Credit
Contracts
($000)
Total
($000)
Unrealized Appreciation—Futures Contracts1 39 39
Total Assets 39 39
       
Unrealized Depreciation—Futures Contracts1 17 17
Unrealized Depreciation—Centrally Cleared Swap Contracts1 103 103
Total Liabilities 17 103 120
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.
Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the six months ended February 29, 2024, were:
Realized Net Gain (Loss) on Derivatives Interest
Rate
Contracts
($000)
Credit
Contracts
($000)
Total
($000)
Futures Contracts (1,386) (1,386)
Swap Contracts 100 100
Realized Net Gain (Loss) on Derivatives (1,386) 100 (1,286)
 
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts (95) (95)
Swap Contracts (103) (103)
Change in Unrealized Appreciation (Depreciation) on Derivatives (95) (103) (198)
E.  As of February 29, 2024, 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 8,512,658
Gross Unrealized Appreciation 35,451
Gross Unrealized Depreciation (1,063,165)
Net Unrealized Appreciation (Depreciation) (1,027,714)
97

 

Long-Term Corporate Bond Index Fund
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, 2023, the fund had available capital losses totaling $367,104,000 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, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F.  During the six months ended February 29, 2024, the fund purchased $566,504,000 of investment securities and sold $529,640,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $439,044,000 and $424,210,000, respectively. In addition, the fund purchased and sold investment securities of $3,776,396,000 and $3,293,139,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G.  Capital share transactions for each class of shares were:
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued1 3,869,9692 51,2022   5,230,203 67,719
Issued in Lieu of Cash Distributions  
Redeemed (3,348,691)2 (44,700)2   (3,213,533) (41,800)
Net Increase (Decrease)—ETF Shares 521,278 6,502   2,016,670 25,919
Admiral Shares          
Issued1 58,159 2,844   99,670 4,826
Issued in Lieu of Cash Distributions 5,361 266   8,810 427
Redeemed (35,725) (1,770)   (45,166) (2,186)
Net Increase (Decrease)—Admiral Shares 27,795 1,340   63,314 3,067
Institutional Shares          
Issued1 5,513 251   169,574 6,552
Issued in Lieu of Cash Distributions 10,497 422   15,296 596
Redeemed (20,590) (787)   (15,533) (597)
Net Increase (Decrease)—Institutional Shares (4,580) (114)   169,337 6,551
1 Includes purchase fees for fiscal 2024 and 2023 of $682,000 and $3,492,000, respectively (fund totals).
2 Includes unsettled in-kind transactions as of February 29, 2024 for 700,000 issued shares and 500,000 redeemed shares valued at $38,449,000 and $53,243,000, respectively, which settled shortly afterwards. 
H.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, acts of terrorism, or other events, can adversely affect local and global ‎markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
I.  Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
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© 2024 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q16452 042024

Semiannual Report  |  February 29, 2024
Vanguard Mortgage-Backed Securities Index Fund
See the inside front cover for important information about your fund’s annual and semiannual shareholder reports.

 

Important information about shareholder reports
Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

 

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 29, 2024      
  Beginning
Account Value
8/31/2023
Ending
Account Value
2/29/2024
Expenses
Paid During
Period
Based on Actual Fund Return      
Mortgage-Backed Securities Index Fund      
ETF Shares $1,000.00 $1,020.60 $0.20
Admiral™ Shares 1,000.00 1,019.90 0.35
Institutional Shares 1,000.00 1,020.60 0.25
Based on Hypothetical 5% Yearly Return      
Mortgage-Backed Securities Index Fund      
ETF Shares $1,000.00 $1,024.66 $0.20
Admiral Shares 1,000.00 1,024.51 0.35
Institutional Shares 1,000.00 1,024.61 0.25
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 0.04% 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 (182/366).
2

 

Mortgage-Backed Securities Index Fund
Distribution by Stated Maturity
As of February 29, 2024
0 - 10 Years 1.8%
10 - 20 Years 14.1
20 - 30 Years 82.9
30 - 40 Years 1.2
The table reflects the fund’s investments, except for short-term investments. 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.
3

 

Mortgage-Backed Securities Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of February 29, 2024
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 (99.4%)
Conventional Mortgage-Backed Securities (99.4%)  
1,2 Freddie Mac Gold Pool 2.000%    1/1/28–12/1/31     3,518      3,267
1,2 Freddie Mac Gold Pool 2.500%     4/1/27–3/1/37    54,100     50,450
1,2 Freddie Mac Gold Pool 3.000%     1/1/26–6/1/49   197,442    177,484
1,2 Freddie Mac Gold Pool 3.500%     9/1/25–2/1/49   199,182    182,149
1,2 Freddie Mac Gold Pool 4.000%     3/1/24–6/1/49   150,052    141,662
1,2 Freddie Mac Gold Pool 4.500%    4/1/24–11/1/48    61,667     59,849
1,2 Freddie Mac Gold Pool 5.000%    5/1/24–11/1/48    18,602     18,628
1,2 Freddie Mac Gold Pool 5.500%    10/1/26–6/1/41    16,565     16,855
1,2 Freddie Mac Gold Pool 6.000%    11/1/28–5/1/40     9,082      9,364
1,2 Freddie Mac Gold Pool 7.000%    7/1/28–12/1/38        76         79
1 Ginnie Mae I Pool 2.500%   6/15/27–6/15/28        94         88
1 Ginnie Mae I Pool 3.000%   1/15/26–8/15/43     9,801      8,705
1 Ginnie Mae I Pool 3.500%   2/15/26–9/15/49    18,988     17,750
1 Ginnie Mae I Pool 4.000%   7/15/24–6/15/49    13,459     12,728
1 Ginnie Mae I Pool 4.500%   8/15/33–7/15/49    18,071     17,595
1 Ginnie Mae I Pool 5.000%   3/15/34–4/15/41     7,591      7,644
1 Ginnie Mae I Pool 6.500%  10/15/28–1/15/39        50         50
1 Ginnie Mae I Pool 7.000%          10/15/27         1          1
1 Ginnie Mae II Pool 1.500%  2/20/51–12/20/51    18,186     14,010
1,3,4 Ginnie Mae II Pool 2.000%   8/20/50–3/15/54   729,530    594,513
1,4 Ginnie Mae II Pool 2.500%   6/20/27–3/15/54   737,535    625,160
1,4 Ginnie Mae II Pool 3.000%  10/20/26–3/15/54   735,090    649,991
1,4 Ginnie Mae II Pool 3.500%  12/20/25–3/15/54   562,279    514,833
1,4 Ginnie Mae II Pool 4.000%   9/20/25–3/15/54   400,354    376,585
1,4 Ginnie Mae II Pool 4.500%   2/20/39–3/15/54   379,598    365,153
1,4 Ginnie Mae II Pool 5.000%   2/20/39–3/15/54   395,827    388,056
1,4 Ginnie Mae II Pool 5.500%   2/20/49–3/15/54   344,474    342,791
1,4 Ginnie Mae II Pool 6.000%  12/20/52–3/15/54   271,485    273,548
1,4 Ginnie Mae II Pool 6.500%  10/20/28–3/15/54   164,235    167,057
1,4 Ginnie Mae II Pool 7.000%   4/20/38–3/15/54    57,132     58,400
1 Ginnie Mae II Pool 7.500%          12/20/53     5,666      5,825
1,2 UMBS Pool 1.500%     7/1/35–4/1/52   963,463    766,844
1,2,4 UMBS Pool 2.000%   11/1/27–3/25/54 3,998,991  3,236,634
1,2,4 UMBS Pool 2.500%    3/1/27–3/25/54 2,828,772  2,374,375
1,2,4 UMBS Pool 3.000%   10/1/26–3/25/54 1,773,763  1,551,079
1,2,4 UMBS Pool 3.500%    8/1/25–3/25/54 1,130,154  1,024,080
1,2,4 UMBS Pool 4.000%    4/1/24–3/25/54   921,643    861,492
1,2,4 UMBS Pool 4.500%    6/1/25–3/25/54   758,907    725,542
1,2,4 UMBS Pool 5.000%    7/1/24–3/25/54   848,124    827,977
4

 

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

($000)
1,2,4 UMBS Pool 5.500%   11/1/24–3/25/54   830,752    825,955
1,2,4 UMBS Pool 6.000%   12/1/25–3/25/54   664,317    670,889
1,2,4 UMBS Pool 6.500%   11/1/52–3/25/54   452,572    462,641
1,2,4 UMBS Pool 7.000%   10/1/33–3/25/54   134,553    138,678
1,2 UMBS Pool 7.500%    11/1/53–1/1/54    14,454     14,960
                                       18,581,416
Nonconventional Mortgage-Backed Securities (0.0%)  
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.290% 5.152%           12/1/41        15         15
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.310% 5.560%            9/1/37         8          8
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.475% 5.554%            3/1/43        72         72
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.527% 5.777%           10/1/37        16         16
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.560% 6.804%            7/1/43       139        143
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.596% 5.671%            6/1/43        17         18
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.627% 6.127%            3/1/38         1          1
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.672% 5.854%           10/1/42        25         25
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.690% 5.940%    10/1/39–9/1/42       101        104
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.699% 5.868%            8/1/39        15         15
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.700% 5.950%           12/1/40        26         27
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.742% 5.320%            5/1/42         7          8
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.774% 5.878%            5/1/42         6          6
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.794% 5.723%            3/1/42        15         16
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.795% 6.100%            8/1/42        34         36
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.796% 5.966%           11/1/39         4          4
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.805% 6.055%           11/1/41        22         22
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.807% 6.198%            3/1/41        21         21
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.810% 6.060%   10/1/40–12/1/40         1          2
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.813% 6.063%    11/1/41–1/1/42        19         19
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.815% 5.451%            5/1/41        11         11
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.815% 6.065%   11/1/40–12/1/41        21         22
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.830% 5.749%            2/1/42        21         21
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.830% 6.308%            4/1/41        15         16
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.835% 5.210%            5/1/40         1          1
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.836% 6.143%            2/1/41         1          1
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.839% 6.089%           12/1/39        32         32
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.862% 6.061%            9/1/40        14         15
1,2,5 Fannie Mae Pool, RFUCCT1Y + 1.914% 5.289%            4/1/37         3          3
1,2,5 Freddie Mac Non Gold Pool, RFUCCT1Y + 1.640% 5.890%           11/1/43        38         39
1,2,5 Freddie Mac Non Gold Pool, RFUCCT1Y + 1.660% 5.910%           10/1/37         2          2
1,2,5 Freddie Mac Non Gold Pool, RFUCCT1Y + 1.695% 5.163%            2/1/37         8          8
1,2,5 Freddie Mac Non Gold Pool, RFUCCT1Y + 1.745% 5.995%           12/1/40         5          5
1,2,5 Freddie Mac Non Gold Pool, RFUCCT1Y + 1.840% 6.138%            2/1/42         6          6
1,2,5 Freddie Mac Non Gold Pool, RFUCCT1Y + 1.880% 5.848%            6/1/41        10         10
1,2,5 Freddie Mac Non Gold Pool, RFUCCT1Y + 1.881% 5.598%            6/1/40         3          3
1,2,5 Freddie Mac Non Gold Pool, RFUCCT1Y + 1.895% 6.145%            9/1/40         5          5
1,2,5 Freddie Mac Non Gold Pool, RFUCCT1Y + 1.896% 6.145%           12/1/39         2          3
1,2,5 Freddie Mac Non Gold Pool, RFUCCT1Y + 1.900% 6.150%            6/1/40         1          1
5

 

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

($000)
1,2,5 Freddie Mac Non Gold Pool, RFUCCT1Y + 1.910% 4.723%            2/1/41        22         23
1,2,5 Freddie Mac Non Gold Pool, RFUCCT1Y + 2.085% 4.585%            3/1/38         4          5
1,5 Ginnie Mae II Pool, 1YR CMT + 1.500% 3.625%   1/20/41–8/20/41       119        116
1,5 Ginnie Mae II Pool, 1YR CMT + 1.500% 3.750% 11/20/40–12/20/42        98         97
1,5 Ginnie Mae II Pool, 1YR CMT + 1.500% 3.875%           4/20/41         2          2
1,5 Ginnie Mae II Pool, 1YR CMT + 2.000% 4.375%           5/20/41         1          1
1,5 Ginnie Mae II Pool, 1YR CMT + 2.000% 6.250%          11/20/40         2          2
                                             1,028
Total U.S. Government and Agency Obligations (Cost $20,452,626) 18,582,444
          Shares  
Temporary Cash Investments (1.7%)
Money Market Fund (1.7%)
6 Vanguard Market Liquidity Fund (Cost $321,171) 5.400%                    3,212,123           321,181
Total Investments (101.1%) (Cost $20,773,797)   18,903,625
Other Assets and Liabilities—Net (-1.1%)   (210,601)
Net Assets (100%)   18,693,024
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 $303,000 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 29, 2024.
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.
  1YR—1-year.
  CMT—Constant Maturing Treasury Rate.
  RFUCCT1Y—Refinitiv USD IBOR Consumer Cash Fallbacks Term 1-year.
  UMBS—Uniform Mortgage-Backed Securities.
6

 

Mortgage-Backed Securities Index Fund
Statement of Assets and Liabilities
As of February 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value  
Unaffiliated Issuers (Cost $20,452,626) 18,582,444
Affiliated Issuers (Cost $321,171) 321,181
Total Investments in Securities 18,903,625
Investment in Vanguard 611
Cash 210
Receivables for Investment Securities Sold 268,549
Receivables for Accrued Income 57,944
Receivables for Capital Shares Issued 9,657
Total Assets 19,240,596
Liabilities  
Payables for Investment Securities Purchased 544,701
Payables for Capital Shares Redeemed 1,729
Payables for Distributions 844
Payables to Vanguard 298
Total Liabilities 547,572
Net Assets 18,693,024

At February 29, 2024, net assets consisted of:

   
Paid-in Capital 21,071,487
Total Distributable Earnings (Loss) (2,378,463)
Net Assets 18,693,024
 
ETF Shares—Net Assets  
Applicable to 381,942,192 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
17,308,537
Net Asset Value Per Share—ETF Shares $45.32
 
Admiral Shares—Net Assets  
Applicable to 60,388,178 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
1,091,449
Net Asset Value Per Share—Admiral Shares $18.07
 
Institutional Shares—Net Assets  
Applicable to 11,965,560 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
293,038
Net Asset Value Per Share—Institutional Shares $24.49
See accompanying Notes, which are an integral part of the Financial Statements.
7

 

Mortgage-Backed Securities Index Fund
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Interest1 351,670
Total Income 351,670
Expenses  
The Vanguard Group—Note B  
Investment Advisory Services 192
Management and Administrative—ETF Shares 2,278
Management and Administrative—Admiral Shares 339
Management and Administrative—Institutional Shares 57
Marketing and Distribution—ETF Shares 377
Marketing and Distribution—Admiral Shares 32
Marketing and Distribution—Institutional Shares 5
Custodian Fees 69
Shareholders’ Reports—ETF Shares 485
Shareholders’ Reports—Admiral Shares 23
Shareholders’ Reports—Institutional Shares
Trustees’ Fees and Expenses 7
Other Expenses 8
Total Expenses 3,872
Expenses Paid Indirectly (2)
Net Expenses 3,870
Net Investment Income 347,800
Realized Net Gain (Loss)  
Investment Securities Sold1 (127,852)
Futures Contracts (519)
Realized Net Gain (Loss) (128,371)
Change in Unrealized Appreciation (Depreciation)  
Investment Securities1 215,516
Futures Contracts (231)
Change in Unrealized Appreciation (Depreciation) 215,285
Net Increase (Decrease) in Net Assets Resulting from Operations 434,714
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 $10,654,000, $48,000, $1,000, and ($51,000), respectively. Purchases and sales are for temporary cash investment purposes.
See accompanying Notes, which are an integral part of the Financial Statements.
8

 

Mortgage-Backed Securities Index Fund
Statement of Changes in Net Assets
  Six Months Ended
February 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 347,800   510,492
Realized Net Gain (Loss) (128,371)   (297,152)
Change in Unrealized Appreciation (Depreciation) 215,285   (522,125)
Net Increase (Decrease) in Net Assets Resulting from Operations 434,714   (308,785)
Distributions      
ETF Shares (313,556)   (450,787)
Admiral Shares (21,704)   (36,725)
Institutional Shares (5,070)   (6,820)
Total Distributions (340,330)   (494,332)
Capital Share Transactions      
ETF Shares 874,863   2,666,471
Admiral Shares (152,860)   87,714
Institutional Shares 55,030   67,440
Net Increase (Decrease) from Capital Share Transactions 777,033   2,821,625
Total Increase (Decrease) 871,417   2,018,508
Net Assets      
Beginning of Period 17,821,607   15,803,099
End of Period 18,693,024   17,821,607
See accompanying Notes, which are an integral part of the Financial Statements.
9

 

Mortgage-Backed Securities Index Fund
Financial Highlights
ETF Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $45.23 $47.53 $53.47 $54.36 $53.26 $51.38
Investment Operations            
Net Investment Income1 .842 1.424 .842 .581 1.197 1.564
Net Realized and Unrealized Gain (Loss) on Investments .074 (2.344) (5.995) (.768) 1.146 1.859
Total from Investment Operations .916 (.920) (5.153) (.187) 2.343 3.423
Distributions            
Dividends from Net Investment Income (.826) (1.380) (.787) (.594) (1.243) (1.543)
Distributions from Realized Capital Gains (.109)
Total Distributions (.826) (1.380) (.787) (.703) (1.243) (1.543)
Net Asset Value, End of Period $45.32 $45.23 $47.53 $53.47 $54.36 $53.26
Total Return 2.06% -1.94% -9.71% -0.35% 4.45% 6.80%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $17,309 $16,343 $14,405 $15,055 $11,643 $10,316
Ratio of Total Expenses to Average Net Assets 0.04%2 0.04%2 0.04%2 0.04% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 3.78% 3.10% 1.67% 1.08% 2.22% 3.01%
Portfolio Turnover Rate3 47% 101% 170% 316% 218% 190%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%.
3 Includes 36%, 80%, 113%, 237%, 11%, and 34%, respectively, attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
10

 

Mortgage-Backed Securities Index Fund
Financial Highlights
Admiral Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $18.05 $18.98 $21.37 $21.72 $21.26 $20.51
Investment Operations            
Net Investment Income1 .334 .563 .328 .211 .470 .622
Net Realized and Unrealized Gain (Loss) on Investments .020 (.934) (2.391) (.292) .463 .742
Total from Investment Operations .354 (.371) (2.063) (.081) .933 1.364
Distributions            
Dividends from Net Investment Income (.334) (.559) (.327) (.225) (.473) (.614)
Distributions from Realized Capital Gains (.044)
Total Distributions (.334) (.559) (.327) (.269) (.473) (.614)
Net Asset Value, End of Period $18.07 $18.05 $18.98 $21.37 $21.72 $21.26
Total Return2 1.99% -1.96% -9.72% -0.38% 4.43% 6.77%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $1,091 $1,242 $1,219 $1,419 $1,159 $841
Ratio of Total Expenses to Average Net Assets 0.07%3 0.07%3 0.07%3 0.07% 0.07% 0.07%
Ratio of Net Investment Income to Average Net Assets 3.75% 3.07% 1.62% 0.98% 2.18% 2.99%
Portfolio Turnover Rate4 47% 101% 170% 316% 218% 190%
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 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.07%.
4 Includes 36%, 80%, 113%, 237%, 11%, and 34%, respectively, attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
11

 

Mortgage-Backed Securities Index Fund
Financial Highlights
Institutional Shares            
For a Share Outstanding
Throughout Each Period
Six Months
Ended
February 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $24.45 $25.72 $28.96 $29.44 $28.81 $27.79
Investment Operations            
Net Investment Income1 .455 .771 .467 .393 .641 .846
Net Realized and Unrealized Gain (Loss) on Investments .040 (1.278) (3.258) (.503) .636 1.011
Total from Investment Operations .495 (.507) (2.791) (.110) 1.277 1.857
Distributions            
Dividends from Net Investment Income (.455) (.763) (.449) (.311) (.647) (.837)
Distributions from Realized Capital Gains (.059)
Total Distributions (.455) (.763) (.449) (.370) (.647) (.837)
Net Asset Value, End of Period $24.49 $24.45 $25.72 $28.96 $29.44 $28.81
Total Return 2.06% -1.98% -9.70% -0.38% 4.48% 6.80%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $293 $237 $179 $122 $171 $119
Ratio of Total Expenses to Average Net Assets 0.05%2 0.05%2 0.05%2 0.05% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 3.77% 3.10% 1.71% 1.35% 2.20% 3.01%
Portfolio Turnover Rate3 47% 101% 170% 316% 218% 190%
The expense ratio and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.05%.
3 Includes 36%, 80%, 113%, 237%, 11%, and 34%, respectively, attributable to mortgage-dollar-roll activity.
See accompanying Notes, which are an integral part of the Financial Statements.
12

 

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.
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 other 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 valuation designee to represent fair value and subject to oversight by the board of trustees.
2. 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.
At February 29, 2024, counterparties had deposited in segregated accounts cash of $100,000 in connection with TBA transactions.
3. 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
13

 

Mortgage-Backed Securities Index Fund
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.
4. 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 29, 2024, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at February 29, 2024.
5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually 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.
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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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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 29, 2024, 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.
15

 

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 29, 2024, the fund had contributed to Vanguard capital in the amount of $611,000, representing less than 0.01% of the fund’s net assets and 0.24% of Vanguard’s capital received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C.  The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the six months ended February 29, 2024, custodian fee offset arrangements reduced the fund’s expenses by $2,000 (an annual rate of less than 0.01% of average net assets).
D.  Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments as of February 29, 2024, 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 18,582,444 18,582,444
Temporary Cash Investments 321,181 321,181
Total 321,181 18,582,444 18,903,625
E.  As of February 29, 2024, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 20,792,107
Gross Unrealized Appreciation 50,392
Gross Unrealized Depreciation (1,938,874)
Net Unrealized Appreciation (Depreciation) (1,888,482)
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, 2023, the fund had available capital losses totaling $416,200,000 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, 2024;
16

 

Mortgage-Backed Securities Index Fund
should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
F.  During the six months ended February 29, 2024, the fund purchased $9,440,439,000 of investment securities and sold $8,701,529,000 of investment securities, other than temporary cash investments.
G.  Capital share transactions for each class of shares were:
  Six Months Ended
February 29, 2024
  Year Ended
August 31, 2023
  Amount
($000)
Shares
(000)
  Amount
($000)
Shares
(000)
ETF Shares          
Issued 1,706,889 39,057   3,283,280 71,834
Issued in Lieu of Cash Distributions  
Redeemed (832,026) (18,425)   (616,809) (13,575)
Net Increase (Decrease)—ETF Shares 874,863 20,632   2,666,471 58,259
Admiral Shares          
Issued 162,132 9,005   507,368 27,567
Issued in Lieu of Cash Distributions 16,736 938   28,376 1,549
Redeemed (331,728) (18,407)   (448,030) (24,490)
Net Increase (Decrease)—Admiral Shares (152,860) (8,464)   87,714 4,626
Institutional Shares          
Issued 56,316 2,346   88,292 3,568
Issued in Lieu of Cash Distributions 4,928 203   6,744 272
Redeemed (6,214) (260)   (27,596) (1,116)
Net Increase (Decrease)—Institutional Shares 55,030 2,289   67,440 2,724
H.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, acts of terrorism, or other events, can adversely affect local and global ‎markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.
The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can,
17

 

Mortgage-Backed Securities Index Fund
therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.
At February 29, 2024, one shareholder was the record or beneficial owner of 44% 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.
I.  Management has determined that no events or transactions occurred subsequent to February 29, 2024, that would require recognition or disclosure in these financial statements.
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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.
© 2024 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q16482 042024

Semiannual Report  |  February 29, 2024
Vanguard Total Corporate Bond ETF
See the inside front cover for important information about your fund’s annual and semiannual shareholder reports.

 

Important information about shareholder reports
Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

 

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 29, 2024      
Total Corporate Bond ETF Beginning
Account Value
8/31/2023
Ending
Account Value
2/29/2024
Expenses
Paid During
Period
Based on Actual Fund Return $1,000.00 $1,037.60 $0.20
Based on Hypothetical 5% Yearly Return 1,000.00 1,024.66 0.20
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 0.04%. 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 (182/366).
2

 

Total Corporate Bond ETF
Underlying Vanguard Funds
As of February 29, 2024
Vanguard Short-Term Corporate Bond ETF 38.9%
Vanguard Long-Term Corporate Bond ETF 33.4
Vanguard Intermediate-Term Corporate Bond ETF 27.7
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 29, 2024
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 Short-Term Corporate Bond ETF 4,812,367 370,696
  Vanguard Long-Term Corporate Bond ETF 4,125,939 317,780
  Vanguard Intermediate-Term Corporate Bond ETF 3,299,971 263,305
Total Investment Companies (Cost $1,057,181) 951,781
Temporary Cash Investments (0.0%)
Money Market Fund (0.0%)
1 Vanguard Market Liquidity Fund, 5.400% (Cost $404)     4,043        404
Total Investments (100.0%) (Cost $1,057,585)   952,185
Other Assets and Liabilities—Net (0.0%)   (50)
Net Assets (100%)   952,135
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 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value—Affiliated Funds (Cost $1,057,585) 952,185
Receivables for Investment Securities Sold 4,473
Receivables for Accrued Income 2
Receivables for Capital Shares Issued 1
Total Assets 956,661
Liabilities  
Due to Custodian 4
Payables for Investment Securities Purchased 4,522
Total Liabilities 4,526
Net Assets 952,135

At February 29, 2024, net assets consisted of:

   
Paid-in Capital 1,080,026
Total Distributable Earnings (Loss) (127,891)
Net Assets 952,135
   
Net Assets  
Applicable to 12,540,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
952,135
Net Asset Value Per Share $75.93
See accompanying Notes, which are an integral part of the Financial Statements.
5

 

Total Corporate Bond ETF
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Income Distributions Received from Affiliated Funds 19,702
Net Investment Income—Note B 19,702
Realized Net Gain (Loss)  
Capital Gain Distributions Received from Affiliated Funds
Affiliated Funds Sold1 (7,855)
Realized Net Gain (Loss) (7,855)
Change in Unrealized Appreciation (Depreciation) from Affiliated Funds 9,799
Net Increase (Decrease) in Net Assets Resulting from Operations 21,646
1 Includes ($5,332,000) 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 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 19,702   32,421
Realized Net Gain (Loss) (7,855)   (5,962)
Change in Unrealized Appreciation (Depreciation) 9,799   (6,108)
Net Increase (Decrease) in Net Assets Resulting from Operations 21,646   20,351
Distributions      
Total Distributions (19,716)   (32,389)
Capital Share Transactions      
Issued 147,325   686,441
Issued in Lieu of Cash Distributions  
Redeemed (380,282)   (70,310)
Net Increase (Decrease) from Capital Share Transactions (232,957)   616,131
Total Increase (Decrease) (231,027)   604,093
Net Assets      
Beginning of Period 1,183,162   579,069
End of Period 952,135   1,183,162
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 29,
2024
Year Ended August 31,
2023 2022 2021 2020 2019
Net Asset Value, Beginning of Period $74.74 $76.60 $92.55 $92.62 $89.19 $81.59
Investment Operations            
Net Investment Income1 1.577 2.644 2.141 2.229 2.638 2.825
Capital Gain Distributions Received1 .0002 .237 .053
Net Realized and Unrealized Gain (Loss) on Investments 1.191 (1.806) (16.168) (.131) 3.614 7.717
Total from Investment Operations 2.768 .838 (13.790) 2.151 6.252 10.542
Distributions            
Dividends from Net Investment Income (1.578) (2.698) (2.148) (2.221) (2.822) (2.942)
Distributions from Realized Capital Gains (.012)
Total Distributions (1.578) (2.698) (2.160) (2.221) (2.822) (2.942)
Net Asset Value, End of Period $75.93 $74.74 $76.60 $92.55 $92.62 $89.19
Total Return 3.76% 1.13% -15.11% 2.37% 7.18% 13.29%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $952 $1,183 $579 $695 $619 $203
Ratio of Total Expenses to Average Net Assets
Acquired Fund Fees and Expenses 0.04% 0.04% 0.04% 0.04% 0.05% 0.05%
Ratio of Net Investment Income to Average Net Assets 4.25% 3.52% 2.52% 2.43% 2.94% 3.38%
Portfolio Turnover Rate3 4% 10% 14% 10% 40% 12%
The expense ratio, acquired fund fees and expenses, and net investment income ratio for the current period have been annualized.
1 Calculated based on average shares outstanding.
2 Distribution was less than $.001 per share.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
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 Vanguard bond index ETF shares. 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.
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 virtually 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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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.
9

 

Total Corporate Bond ETF
For the six months ended February 29, 2024, 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 six months ended February 29, 2024, 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 29, 2024, 100% of the market value of the fund's investments was determined based on Level 1 inputs.
D.  As of February 29, 2024, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 1,065,592
Gross Unrealized Appreciation 1,958
Gross Unrealized Depreciation (115,365)
Net Unrealized Appreciation (Depreciation) (113,407)
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, 2023, the fund had available capital losses totaling $7,163,000 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, 2024;
10

 

Total Corporate Bond ETF
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 29, 2024
  Year Ended
August 31, 2023
  Shares
(000)
  Shares
(000)
Issued 1,960   9,210
Issued in Lieu of Cash Distributions  
Redeemed (5,250)   (940)
Net Increase (Decrease) in Shares Outstanding (3,290)   8,270
F.  Transactions during the period in affiliated underlying Vanguard funds were as follows:
    Current Period Transactions  
  Aug. 31, 2023
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. 29, 2024
Market Value
($000)
Vanguard Intermediate-Term Corporate Bond ETF 324,133 45,670 107,808 (1,874) 3,184 5,259 263,305
Vanguard Long-Term Corporate Bond ETF 394,676 64,553 138,044 (5,906) 2,501 7,985 317,780
Vanguard Market Liquidity Fund 486 NA3 NA3 11 404
Vanguard Short-Term Corporate Bond ETF 463,868 71,563 168,774 (75) 4,114 6,447 370,696
Total 1,183,163 181,786 414,626 (7,855) 9,799 19,702 952,185
1 Includes $147,262,000 of portfolio securities received as a result of in-kind purchases of the fund’s capital shares.
2 Includes $380,181,000 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.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, acts of terrorism, or other events, can adversely affect local and global ‎markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
11

 

Total Corporate Bond ETF
H.  Management has determined that no events or transactions occurred subsequent to February 29, 2024, 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.
© 2024 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q9852 042024

Semiannual Report  |  February 29, 2024
Vanguard Total World Bond ETF
See the inside front cover for important information about your fund’s annual and semiannual shareholder reports.

 

Important information about shareholder reports
Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.
You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

 

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 29, 2024      
Total World Bond ETF Beginning
Account Value
8/31/2023
Ending
Account Value
2/29/2024
Expenses
Paid During
Period
Based on Actual Fund Return $1,000.00 $1,029.50 $0.25
Based on Hypothetical 5% Yearly Return 1,000.00 1,024.61 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 (182/366).
2

 

Total World Bond ETF
Underlying Vanguard Funds
As of February 29, 2024
Vanguard Total Bond Market ETF 51.2%
Vanguard Total International Bond 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 29, 2024
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 (51.2%)
  Vanguard Total Bond Market ETF 5,312,576 383,674
International Bond Fund (48.8%)
  Vanguard Total International Bond ETF 7,496,940 365,326
Total Investment Companies (Cost $835,041) 749,000
Temporary Cash Investments (0.0%)
Money Market Fund (0.0%)
1 Vanguard Market Liquidity Fund, 5.400% (Cost $114)     1,140        114
Total Investments (100.0%) (Cost $835,155)   749,114
Other Assets and Liabilities—Net (0.0%)   5
Net Assets (100%)   749,119
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 29, 2024
($000s, except shares, footnotes, and per-share amounts) Amount
Assets  
Investments in Securities, at Value—Affiliated Funds (Cost $835,155) 749,114
Receivables for Investment Securities Sold 912
Receivables for Accrued Income 1
Total Assets 750,027
Liabilities  
Payables for Investment Securities Purchased 908
Total Liabilities 908
Net Assets 749,119

At February 29, 2024, net assets consisted of:

   
Paid-in Capital 848,519
Total Distributable Earnings (Loss) (99,400)
Net Assets 749,119
   
Net Assets  
Applicable to 11,000,000 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)
749,119
Net Asset Value Per Share $68.10
See accompanying Notes, which are an integral part of the Financial Statements.
5

 

Total World Bond ETF
Statement of Operations
  Six Months Ended
February 29, 2024
  ($000)
Investment Income  
Income  
Income Distributions Received from Affiliated Funds 18,652
Net Investment Income—Note B 18,652
Realized Net Gain (Loss)  
Capital Gain Distributions Received from Affiliated Funds
Affiliated Funds Sold1 (4,289)
Realized Net Gain (Loss) (4,289)
Change in Unrealized Appreciation (Depreciation) from Affiliated Funds 6,638
Net Increase (Decrease) in Net Assets Resulting from Operations 21,001
1 Includes $195,000 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 29,
2024
  Year Ended
August 31,
2023
  ($000)   ($000)
Increase (Decrease) in Net Assets      
Operations      
Net Investment Income 18,652   14,472
Realized Net Gain (Loss) (4,289)   (4,654)
Change in Unrealized Appreciation (Depreciation) 6,638   (10,246)
Net Increase (Decrease) in Net Assets Resulting from Operations 21,001   (428)
Distributions      
Total Distributions (18,659)   (14,468)
Capital Share Transactions      
Issued 80,561   179,865
Issued in Lieu of Cash Distributions  
Redeemed (12,067)   (56,515)
Net Increase (Decrease) from Capital Share Transactions 68,494   123,350
Total Increase (Decrease) 70,836   108,454
Net Assets      
Beginning of Period 678,283   569,829
End of Period 749,119   678,283
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 29,
2024
Year Ended August 31, September 4,
20181 to
August 31,
2019
2023 2022 2021 2020  
Net Asset Value, Beginning of Period $67.90 $69.58 $80.76 $81.56 $80.97 $75.00
Investment Operations            
Net Investment Income2 1.785 1.623 1.912 1.108 2.125 2.004
Capital Gain Distributions Received2 .0003 .327 .146
Net Realized and Unrealized Gain (Loss) on Investments .208 (1.668) (11.356) (.929) .782 6.071
Total from Investment Operations 1.993 (.045) (9.117) .325 2.907 8.075
Distributions            
Dividends from Net Investment Income (1.793) (1.635) (1.984) (1.125) (2.317) (2.105)
Distributions from Realized Capital Gains (.079)
Total Distributions (1.793) (1.635) (2.063) (1.125) (2.317) (2.105)
Net Asset Value, End of Period $68.10 $67.90 $69.58 $80.76 $81.56 $80.97
Total Return 2.95% -0.03% -11.51% 0.40% 3.69% 11.00%
Ratios/Supplemental Data            
Net Assets, End of Period (Millions) $749 $678 $570 $581 $448 $160
Ratio of Total Expenses to Average Net Assets 4
Acquired Fund Fees and Expenses 0.05% 0.05% 0.05% 0.06% 0.06% 0.06%4
Ratio of Net Investment Income to Average Net Assets 5.31% 2.38% 2.55% 1.37% 2.64% 2.62%4
Portfolio Turnover Rate5 7% 14% 13% 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 Distribution was less than $.001 per share.
4 Annualized.
5 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
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 perfomance of its target index by investing in select Vanguard bond index ETF shares. 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.
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 virtually 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 and are 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, which 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 an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, 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.
9

 

Total World Bond ETF
For the six months ended February 29, 2024, 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 six months ended February 29, 2024, 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 29, 2024, 100% of the market value of the fund's investments was determined based on Level 1 inputs.
D.  As of February 29, 2024, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:
  Amount
($000)
Tax Cost 838,814
Gross Unrealized Appreciation 919
Gross Unrealized Depreciation (90,619)
Net Unrealized Appreciation (Depreciation) (89,700)
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, 2023, the fund had available capital losses totaling $5,837,000 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, 2024;
10

 

Total World Bond ETF
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 29, 2024
  Year Ended
August 31, 2023
  Shares
(000)
  Shares
(000)
Issued 1,190   2,630
Issued in Lieu of Cash Distributions  
Redeemed (180)   (830)
Net Increase (Decrease) in Shares Outstanding 1,010   1,800
F.  Transactions during the period in affiliated underlying Vanguard funds were as follows:
    Current Period Transactions  
  Aug. 31, 2023
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. 29, 2024
Market Value
($000)
Vanguard Market Liquidity Fund 128 NA3 NA3 3 114
Vanguard Total Bond Market ETF 346,358 64,257 29,719 (1,930) 4,708 6,114 383,674
Vanguard Total International Bond ETF 331,803 62,806 28,854 (2,359) 1,930 12,535 365,326
Total 678,289 127,063 58,573 (4,289) 6,638 18,652 749,114
1 Includes $80,552,000 of portfolio securities received as a result of in-kind purchases of the fund’s capital shares.
2 Includes $12,067,000 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.  Significant market disruptions, such as those caused by pandemics, natural or environmental ‎disasters, war, acts of terrorism, or other events, can adversely affect local and global ‎markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.
To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.
At February 29, 2024, one shareholder was the record or beneficial owner of 26% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might lead to the realization of taxable capital gains.
H.  Management has determined that no events or transactions occurred subsequent to February 29, 2024, 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.
© 2024 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
Q30612 042024

 

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. In February 2024, a third-party service provider began performing security pricing services for the Registrant. There were no other changes in the Registrant’s internal control over financial reporting that occurred during the period covered by this report that has materially affected, or is reasonably likely to materially affect, the Registrant’s internal control over financial reporting.

 

Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

 

Not applicable.

 

Item 13: Exhibits.

 

(a)(2)Certifications filed herewith.
(a)(2)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 25, 2024

 

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 25, 2024

 

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

 

Date: April 25, 2024

 

*By:/s/ Anne E. Robinson  

 

Anne E. Robinson, pursuant to a Power of Attorney  filed on July 21, 2023 (see File Number 33-53683) and to a Power of Attorney  filed on March 29, 2023 (see File Number 2-11444), Incorporated by Reference.