0001752724-23-057197.txt : 20230315
0001752724-23-057197.hdr.sgml : 20230315
20230315152131
ACCESSION NUMBER: 0001752724-23-057197
CONFORMED SUBMISSION TYPE: N-CEN
PUBLIC DOCUMENT COUNT: 4
CONFORMED PERIOD OF REPORT: 20221231
FILED AS OF DATE: 20230315
DATE AS OF CHANGE: 20230315
EFFECTIVENESS DATE: 20230315
FILER:
COMPANY DATA:
COMPANY CONFORMED NAME: VANGUARD INDEX FUNDS
CENTRAL INDEX KEY: 0000036405
IRS NUMBER: 231999755
STATE OF INCORPORATION: DE
FISCAL YEAR END: 1231
FILING VALUES:
FORM TYPE: N-CEN
SEC ACT: 1940 Act
SEC FILE NUMBER: 811-02652
FILM NUMBER: 23734858
BUSINESS ADDRESS:
STREET 1: PO BOX 2600
STREET 2: V26
CITY: VALLEY FORGE
STATE: PA
ZIP: 19482
BUSINESS PHONE: 6106691000
MAIL ADDRESS:
STREET 1: PO BOX 2600
STREET 2: V26
CITY: VALLEY FORGE
STATE: PA
ZIP: 19482
FORMER COMPANY:
FORMER CONFORMED NAME: VANGUARD INDEX FUNDS/
DATE OF NAME CHANGE: 20011121
FORMER COMPANY:
FORMER CONFORMED NAME: VANGUARD INDEX TRUST
DATE OF NAME CHANGE: 19920703
FORMER COMPANY:
FORMER CONFORMED NAME: FIRST INDEX INVESTMENT TRUST
DATE OF NAME CHANGE: 19800904
0000036405
S000002839
Vanguard 500 Index Fund
C000007773
Investor Shares
VFINX
C000007774
Admiral Shares
VFIAX
C000092055
ETF Shares
VOO
C000170274
Institutional Select Shares
VFFSX
C000179712
Institutional Shares
C000179713
Institutional Plus Shares
0000036405
S000002840
Vanguard Value Index Fund
C000007775
Investor Shares
VIVAX
C000007776
Admiral Shares
VVIAX
C000007777
Institutional Shares
VIVIX
C000007778
ETF Shares
VTV
0000036405
S000002841
Vanguard Extended Market Index Fund
C000007779
Investor Shares
VEXMX
C000007780
Admiral Shares
VEXAX
C000007781
Institutional Shares
VIEIX
C000007782
ETF Shares
VXF
C000096110
Institutional Plus Shares
VEMPX
C000170275
Institutional Select Shares
VSEMX
0000036405
S000002842
Vanguard Growth Index Fund
C000007783
Investor Shares
VIGRX
C000007784
Admiral Shares
VIGAX
C000007785
Institutional Shares
VIGIX
C000007786
ETF Shares
VUG
0000036405
S000002843
Vanguard Large-Cap Index Fund
C000007787
Investor Shares
VLACX
C000007788
Admiral Shares
VLCAX
C000007789
Institutional Shares
VLISX
C000007790
ETF Shares
VV
0000036405
S000002844
Vanguard Mid-Cap Index Fund
C000007791
Investor Shares
VIMSX
C000007792
Admiral Shares
VIMAX
C000007793
Institutional Shares
VMCIX
C000007794
ETF Shares
VO
C000096111
Institutional Plus Shares
VMCPX
0000036405
S000002845
Vanguard Small-Cap Index Fund
C000007795
Investor Shares
NAESX
C000007796
Admiral Shares
VSMAX
C000007797
Institutional Shares
VSCIX
C000007798
ETF Shares
VB
C000096112
Institutional Plus Shares
VSCPX
0000036405
S000002846
Vanguard Small-Cap Growth Index Fund
C000007799
Investor Shares
VISGX
C000007800
Institutional Shares
VSGIX
C000007801
ETF Shares
VBK
C000105304
Admiral Shares
VSGAX
0000036405
S000002847
Vanguard Small-Cap Value Index Fund
C000007802
Investor Shares
VISVX
C000007803
Institutional Shares
VSIIX
C000007804
ETF Shares
VBR
C000105305
Admiral Shares
VSIAX
0000036405
S000002848
Vanguard Total Stock Market Index Fund
C000007805
Investor Shares
VTSMX
C000007806
Admiral Shares
VTSAX
C000007807
Institutional Shares
VITSX
C000007808
ETF Shares
VTI
C000155407
Institutional Plus Shares
VSMPX
C000170276
Institutional Select Shares
VSTSX
0000036405
S000012756
Vanguard Mid-Cap Growth Index Fund
C000034427
Investor Shares
VMGIX
C000034428
ETF Shares
VOT
C000105306
Admiral Shares
VMGMX
0000036405
S000012757
Vanguard Mid-Cap Value Index Fund
C000034429
Investor Shares
VMVIX
C000034430
ETF Shares
VOE
C000105307
Admiral Shares
VMVAX
N-CEN
1
primary_doc.xml
X0404
N-CEN
LIVE
0000036405
XXXXXXXX
811-02652
true
false
false
N-1A
true
VANGUARD INDEX FUNDS
811-02652
0000036405
549300G6KNDK44WUN559
100 Vanguard Boulevard
Malvern
19355
US-PA
US
6106691000
Bank of New York Mellon
240 Greenwich Street
New York
10286
212-495-1784
The accounts, books, and other documents required to be maintained by Registrant pursuant to section 31(a) of the Investment Company Act of 1940 and the Rules thereunder.
JPMorgan Chase Bank
383 Madison Avenue
New York
10179
212-648-0466
The accounts, books, and other documents required to be maintained by Registrant pursuant to section 31(a) of the Investment Company Act of 1940 and the Rules thereunder.
State Street Bank and Trust
One Lincoln Street
Boston
20111
617-662-3839
The accounts, books, and other documents required to be maintained by Registrant pursuant to section 31(a) of the Investment Company Act of 1940 and the Rules thereunder.
N
N
N-1A
12
Y
Mortimer J. Buckley
002167630
Y
Emerson U. Fullwood
N/A
N
Mark Loughridge
N/A
N
Peter F. Volanakis
N/A
N
F. Joseph Loughrey
N/A
N
Deanna Mulligan
N/A
N
Sarah Bloom Raskin
N/A
N
Tara Bunch
N/A
N
David Thomas
N/A
N
Andre F. Perold
N/A
N
Scott C. Malpass
N/A
N
Jacqueline Angell
005606776
100 Vanguard Boulevard
Malvern
19355
XXXXXX
Y
N
N
N
N
N
VANGUARD MARKETING CORP.
8-21570
000007452
N/A
Y
N
PRICEWATERHOUSECOOPERS LLP
000000238
5493002GVO7EO8RNNS37
N
N
N
N
N
N
N
VANGUARD LARGE-CAP INDEX FUND
S000002843
E6X2OQ8OM0Z814YUKF70
N
4
0
0
Exchange-Traded Fund
N
N
0.01843
-0.11806
0.090467673
0.089634557
N
N
Y
N
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
Cash collateral reinvestment fee
Administrative fee
33383752.19000000
2080422.22000000
Rule 32a-4 (17 CFR 270.32a-4)
Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))
Rule 12d1-4 (17 CFR 270.12d1-4)
Rule 17a-7 (17 CFR 270.17a-7)
N
N
N
N
The Vanguard Group, Inc.
801-11953
000105958
5493002789CX3L0CJP65
N
The Vanguard Group, Inc.
084-00772
5493002789CX3L0CJP65
Y
N
N
Markit North America INC
13-4153988
TIN
N
ITG Analytics Inc
41-2190282
TIN
N
Refinitiv US LLC
20-4530702
TIN
N
Markit Group Limited
549300HLPTRASHS0E726
GB
N
ICE Data Pricing and Reference Data LLC
13-36687789
TIN
N
Bloomberg Finance LP
5493001KJTIIGC8Y1R12
N
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
N
N
MIZUHO BANK, LTD
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
THE BANK OF NEW YORK MELLON SA/NV
MMYX0N4ZEZ13Z4XCG897
IT
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
SKANDINAVISKA ENSKILDA BANKEN, STOCKHOLM
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
EUROCLEAR BANK, BRUSSELS
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
THE BANK OF NEW YORK MELLON SA/NV
MMYX0N4ZEZ13Z4XCG897
NL
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
THE BANK OF NEW YORK MELLON
HPFHU0OQ28E4N0NFVK49
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
CIBC MELLON TRUST COMPANY
549300IYUUH221WBZ505
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Bank of New York Mellon SA/NV
MMYX0N4ZEZ13Z4XCG897
FR
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
THE BANK OF NEW YORK MELLON SA/NV
MMYX0N4ZEZ13Z4XCG897
BE
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
The Hongkong and Shanghai Banking Corporation Limited, Sydney Branch
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
GB
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
CREDIT SUISSE(SWITZERLAND)LTD
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Bank of New York Mellon SA/NV, Asset Servicing, Niederlassung Frankfurt am Main
MMYX0N4ZEZ13Z4XCG897
DE
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
Y
THE VANGUARD GROUP, INC.
5493002789CX3L0CJP65
Y
N
N
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
12577.06999999
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
5713.95999999
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
31319.90999999
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
4680.78000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
15954.55000000
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
19729.17999999
Mizuho Securities USA Inc
008-37710
000019647
5493004GRDTUI7EMIZ82
21328.27000000
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
26612.94000000
Cantor Fitzgerald & Co.
008-00201
000000134
5493004J7H4GCPG6OB62
986.28000000
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
21139.32999999
166041.29999992
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
8248.02000000
National Financial Services LLC
008-26740
000013041
549300JRHF1MHHWUAW04
227057.85000000
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
1457078.22000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
1363456.39999999
ABN AMRO CLEARING CHICAGO LLC
N/A
N/A
549300U16G4LU3V6C598
40651.75999999
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
1255719.20999999
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
487600.00000000
Citadel Securities LLC
008-53574
000116797
12UUJYTN7D3SW8KCSG25
185697.67000000
Vanguard Market Liquidity Fund
N/A
N/A
1I6HV0TLSTR3A4XQ6L78
2887639442.00000000
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
332409.45000000
2892999601.27999997
N
37540466650.56500000
Committed
4385000000.00000000
N
N
N
VANGUARD MID-CAP VALUE INDEX FUND
S000012757
Q4QUKKUM8YYJ562GIO45
N
3
0
0
Exchange-Traded Fund
N
N
0.01488
-0.16009
0.124108587
0.124522628
N
N
Y
N
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
Administrative fee
Cash collateral reinvestment fee
115718008.70000000
8027456.88999999
Rule 12d1-4 (17 CFR 270.12d1-4)
Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))
Rule 32a-4 (17 CFR 270.32a-4)
Rule 17a-7 (17 CFR 270.17a-7)
N
N
N
N
The Vanguard Group, Inc.
801-11953
000105958
5493002789CX3L0CJP65
N
The Vanguard Group, Inc.
084-00772
5493002789CX3L0CJP65
Y
N
N
Markit North America INC
13-4153988
TIN
N
Refinitiv US LLC
20-4530702
TIN
N
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
N
ITG Analytics Inc
41-2190282
TIN
N
Markit Group Limited
549300HLPTRASHS0E726
GB
N
ICE Data Pricing and Reference Data LLC
13-36687789
TIN
N
Bloomberg Finance LP
5493001KJTIIGC8Y1R12
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
Y
THE VANGUARD GROUP, INC.
5493002789CX3L0CJP65
Y
N
N
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
50667.69000000
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
25339.57000000
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
105578.76000000
Credit Suisse Securities (USA) LLC
008-00422
000000816
1V8Y6QCX6YMJ2OELII46
23545.15999999
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
129746.49000001
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
111611.04000000
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
36111.72999999
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
115503.39999999
Mizuho Securities USA Inc
008-37710
000019647
5493004GRDTUI7EMIZ82
88139.50000000
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
132827.67000000
848403.59999997
Virtu ITG LLC
008-44218
000029299
549300S41SMIODVIT266
843.87999999
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
9720726.68000000
Vanguard Market Liquidity Fund
N/A
N/A
1I6HV0TLSTR3A4XQ6L78
2896321442.00000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
8621536.19999999
J.P. Morgan Securities PLC
N/A
N/A
K6Q0W1PS1L1O4IQL9C32
GB
6803266.13999999
2921467814.89999997
N
28231752244.89666666
Committed
4385000000.00000000
N
N
N
VANGUARD MID-CAP GROWTH INDEX FUND
S000012756
M6JWDO0S7R5FNUM8T614
N
3
0
0
Exchange-Traded Fund
N
N
0.03537
-0.09981
0.080013861
0.080261702
N
N
Y
N
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
Administrative fee
Cash collateral reinvestment fee
89329010.12000000
3372381.00000000
Rule 12d1-4 (17 CFR 270.12d1-4)
Rule 17a-7 (17 CFR 270.17a-7)
Rule 32a-4 (17 CFR 270.32a-4)
Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))
N
N
N
N
The Vanguard Group, Inc.
801-11953
000105958
5493002789CX3L0CJP65
N
The Vanguard Group, Inc.
084-00772
5493002789CX3L0CJP65
Y
N
N
Bloomberg Finance LP
5493001KJTIIGC8Y1R12
N
Markit Group Limited
549300HLPTRASHS0E726
GB
N
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
N
ICE Data Pricing and Reference Data LLC
13-36687789
TIN
N
Refinitiv US LLC
20-4530702
TIN
N
ITG Analytics Inc
41-2190282
TIN
N
Markit North America INC
13-4153988
TIN
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
N
THE VANGUARD GROUP, INC.
5493002789CX3L0CJP65
Y
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
Y
N
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
96209.27999999
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
47369.61999999
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
77507.48000001
Credit Suisse Securities (USA) LLC
008-00422
000000816
1V8Y6QCX6YMJ2OELII46
17754.02000000
Mizuho Securities USA Inc
008-37710
000019647
5493004GRDTUI7EMIZ82
43324.49000000
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
52251.77999999
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
84986.56000000
Virtu ITG LLC
008-44218
000029299
549300S41SMIODVIT266
6089.89999999
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
55546.32000001
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
50010.04000000
541387.68999995
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
1739020.87000000
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
3169760.00000000
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
36646.12999999
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
34959.00000000
Vanguard Market Liquidity Fund
N/A
N/A
1I6HV0TLSTR3A4XQ6L78
1034654557.03000000
1039634943.02999999
N
19846095592.96166666
Committed
4385000000.00000000
N
N
N
VANGUARD 500 INDEX FUND
S000002839
12WZ1W76P8QD4VJ6OB47
N
4
0
0
Exchange-Traded Fund
N
N
-0.00376
-0.11833
0.017861939
0.017883631
N
N
Y
N
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
Cash collateral reinvestment fee
Administrative fee
84875436.20000000
3063259.61000000
Rule 17a-7 (17 CFR 270.17a-7)
Rule 32a-4 (17 CFR 270.32a-4)
Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))
Rule 12d1-4 (17 CFR 270.12d1-4)
N
N
N
N
The Vanguard Group, Inc.
801-11953
000105958
5493002789CX3L0CJP65
N
The Vanguard Group, Inc.
084-00772
5493002789CX3L0CJP65
Y
N
N
Bloomberg Finance LP
5493001KJTIIGC8Y1R12
N
Markit North America INC
13-4153988
TIN
N
Refinitiv US LLC
20-4530702
TIN
N
ICE Data Pricing and Reference Data LLC
13-36687789
TIN
N
Markit Group Limited
549300HLPTRASHS0E726
GB
N
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
N
ITG Analytics Inc
41-2190282
TIN
N
N
BNP Paribas Securities Services, S.C.A.
549300WCGB70D06XZS54
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
The Hongkong and Shanghai Banking Corporation Limited
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services, S.C.A.
549300WCGB70D06XZS54
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank and Trust Company, United Kingdom branch
213800YAZLPV26WFM449
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Trust Company Canada
549300L71XG2CTQ2V827
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (publ)
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Intesa Sanpaolo S.p.A.
2W8N8UU78PMDQKZENC08
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Credit Suisse (Switzerland) Limited
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank, Limited
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services, S.C.A.
549300WCGB70D06XZS54
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
State Street Bank International GmbH
ZMHGNT7ZPKZ3UFZ8EO46
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear Bank S.A./N.V.
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
Y
THE VANGUARD GROUP, INC.
5493002789CX3L0CJP65
Y
N
N
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
132191.66999999
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
252886.50000000
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
202515.60999998
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
385365.96000000
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
90832.69000000
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
235128.08000000
Credit Suisse AG
N/A
N/A
ANGGYXNX0JLX3X63JN86
CH
56169.62000000
Mizuho Securities USA Inc
008-37710
000019647
5493004GRDTUI7EMIZ82
125729.77000000
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
291213.52000000
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
394474.37999999
2363798.02999993
Citadel Securities LLC
008-53574
000116797
12UUJYTN7D3SW8KCSG25
5202771.20000000
Vanguard Market Liquidity Fund
N/A
N/A
1I6HV0TLSTR3A4XQ6L78
46239269156.00000000
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
605114.80000000
National Financial Services LLC
008-26740
000013041
549300JRHF1MHHWUAW04
1330984.33000000
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
29202688.00000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
23326611.37000000
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
5027398.16999999
ABN AMRO CLEARING CHICAGO LLC
N/A
N/A
549300U16G4LU3V6C598
4425860.87000000
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
219203725.05000001
HUDSON RIVER TRADING LLC
008-68430
000152144
549300SMOBUC8O5UOE10
12953848.02000000
46540584284.04999999
N
767112902255.60500000
Committed
4385000000.00000000
N
N
VANGUARD VALUE INDEX FUND
S000002840
HH8Q33B0J5YWPPIGZP55
N
4
0
0
Exchange-Traded Fund
N
N
-0.00321
-0.16965
0.119082545
0.118455237
N
N
Y
N
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
Cash collateral reinvestment fee
Administrative fee
113450891.47000000
10247310.35000000
Rule 32a-4 (17 CFR 270.32a-4)
Rule 12d1-4 (17 CFR 270.12d1-4)
Rule 17a-7 (17 CFR 270.17a-7)
Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))
N
N
N
N
The Vanguard Group, Inc.
801-11953
000105958
5493002789CX3L0CJP65
N
The Vanguard Group, Inc.
084-00772
5493002789CX3L0CJP65
Y
N
N
Markit Group Limited
549300HLPTRASHS0E726
GB
N
ITG Analytics Inc
41-2190282
TIN
N
Bloomberg Finance LP
5493001KJTIIGC8Y1R12
N
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
N
ICE Data Pricing and Reference Data LLC
13-36687789
TIN
N
Refinitiv US LLC
20-4530702
TIN
N
Markit North America INC
13-4153988
TIN
N
N
THE BANK OF NEW YORK MELLON
HPFHU0OQ28E4N0NFVK49
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
SKANDINAVISKA ENSKILDA BANKEN, STOCKHOLM
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Bank of New York Mellon
HPFHU0OQ28E4N0NFVK49
GB
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
The Bank of New York Mellon SA/NV
MMYX0N4ZEZ13Z4XCG897
FR
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
THE BANK OF NEW YORK MELLON SA/NV
MMYX0N4ZEZ13Z4XCG897
BE
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
CREDIT SUISSE(SWITZERLAND)LTD
549300CWR0W0BCS9Q144
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
CIBC MELLON TRUST COMPANY
549300IYUUH221WBZ505
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
EUROCLEAR BANK, BRUSSELS
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
The Hongkong and Shanghai Banking Corporation Limited, Sydney Branch
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Bank of New York Mellon SA/NV, Asset Servicing, Niederlassung Frankfurt am Main
MMYX0N4ZEZ13Z4XCG897
DE
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
MIZUHO BANK, LTD
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
THE BANK OF NEW YORK MELLON SA/NV
MMYX0N4ZEZ13Z4XCG897
IT
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
THE BANK OF NEW YORK MELLON SA/NV
MMYX0N4ZEZ13Z4XCG897
NL
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
Y
THE VANGUARD GROUP, INC.
5493002789CX3L0CJP65
Y
N
N
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
168965.30999998
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
156817.96999998
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
87401.63999998
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
38519.00999999
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
102205.78999999
Credit Suisse AG
N/A
N/A
ANGGYXNX0JLX3X63JN86
CH
10588.75000000
Mizuho Securities USA Inc
008-37710
000019647
5493004GRDTUI7EMIZ82
189677.08999999
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
62463.04999998
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
153201.06999999
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
25526.05000000
1015647.32999987
HUDSON RIVER TRADING LLC
008-68430
000152144
549300SMOBUC8O5UOE10
1271361.27000000
Vanguard Market Liquidity Fund
N/A
N/A
1I6HV0TLSTR3A4XQ6L78
15013314137.00000000
Credit Suisse Securities (USA) LLC
008-00422
000000816
1V8Y6QCX6YMJ2OELII46
1444.65000000
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
1463.96000000
National Financial Services LLC
008-26740
000013041
549300JRHF1MHHWUAW04
2394254.24000000
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
10066041.33999999
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
1240968.35000000
Citadel Securities LLC
008-53574
000116797
12UUJYTN7D3SW8KCSG25
513345.71000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
8781774.19999999
ABN AMRO CLEARING CHICAGO LLC
N/A
N/A
549300U16G4LU3V6C598
910929.12000000
15038495719.83999998
N
145491251514.16666666
Committed
4385000000.00000000
N
N
N
VANGUARD SMALL-CAP GROWTH INDEX FUND
S000002846
UWJDRZIFJ6DZX3P2T284
N
4
0
0
Exchange-Traded Fund
N
N
0.07729
-0.05871
0.11322744
0.1136072
N
N
Y
N
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
Cash collateral reinvestment fee
Administrative fee
577443939.97000003
31241151.66000000
Rule 17a-7 (17 CFR 270.17a-7)
Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))
Rule 32a-4 (17 CFR 270.32a-4)
Rule 12d1-4 (17 CFR 270.12d1-4)
N
N
N
N
The Vanguard Group, Inc.
801-11953
000105958
5493002789CX3L0CJP65
N
The Vanguard Group, Inc.
084-00772
5493002789CX3L0CJP65
Y
N
N
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
N
ITG Analytics Inc
41-2190282
TIN
N
Markit Group Limited
549300HLPTRASHS0E726
GB
N
ICE Data Pricing and Reference Data LLC
13-36687789
TIN
N
Refinitiv US LLC
20-4530702
TIN
N
Markit North America INC
13-4153988
TIN
N
Bloomberg Finance LP
5493001KJTIIGC8Y1R12
N
N
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
IE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank Ltd
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services SCA
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (publ)
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
Y
THE VANGUARD GROUP, INC.
5493002789CX3L0CJP65
Y
N
N
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
485100.85999999
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
155226.05999999
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
81433.25000000
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
33488.08999999
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
213247.76000000
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
192286.18000000
Credit Suisse Securities (USA) LLC
008-00422
000000816
1V8Y6QCX6YMJ2OELII46
56296.84000000
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
342535.98000000
Mizuho Securities USA Inc
008-37710
000019647
5493004GRDTUI7EMIZ82
149696.01000000
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
735056.61000000
2560815.64999995
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
29565112.35000000
Jefferies LLC
008-15074
000002347
58PU97L1C0WSRCWADL48
1077037.00000000
Vanguard Market Liquidity Fund
N/A
N/A
1I6HV0TLSTR3A4XQ6L78
3187414056.00000000
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
11316897.66000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
17096488.27000000
The Bank of New York Mellon
N/A
000000231
HPFHU0OQ28E4N0NFVK49
6801.74000000
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
1949641.00000000
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
5134893.75000000
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
49471757.31999999
3303032685.08999999
N
28575309195.55250000
Committed
4385000000.00000000
N
N
N
VANGUARD SMALL-CAP VALUE INDEX FUND
S000002847
IYAYRN9IGNRICDXDWU21
N
4
0
0
Exchange-Traded Fund
N
N
0.00956
-0.16269
0.163794
0.163820
N
N
Y
N
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
Cash collateral reinvestment fee
Administrative fee
286399293.14999998
17147670.26000000
Rule 32a-4 (17 CFR 270.32a-4)
Rule 17a-7 (17 CFR 270.17a-7)
Rule 12d1-4 (17 CFR 270.12d1-4)
Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))
N
N
N
N
The Vanguard Group, Inc.
801-11953
000105958
5493002789CX3L0CJP65
N
The Vanguard Group, Inc.
084-00772
5493002789CX3L0CJP65
Y
N
N
Markit Group Limited
549300HLPTRASHS0E726
GB
N
Refinitiv US LLC
20-4530702
TIN
N
Bloomberg Finance LP
5493001KJTIIGC8Y1R12
N
Markit North America INC
13-4153988
TIN
N
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
N
ITG Analytics Inc
41-2190282
TIN
N
ICE Data Pricing and Reference Data LLC
13-36687789
TIN
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Euroclear
549300OZ46BRLZ8Y6F65
IE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank Ltd
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services SCA
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (publ)
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
N
THE VANGUARD GROUP, INC.
5493002789CX3L0CJP65
Y
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
Y
N
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
343478.05999999
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
211260.40000000
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
44047.80000000
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
204966.42999999
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
726683.11000000
Credit Suisse Securities (USA) LLC
008-00422
000000816
1V8Y6QCX6YMJ2OELII46
49174.57999999
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
237442.80999999
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
92481.49000000
Mizuho Securities USA Inc
008-37710
000019647
5493004GRDTUI7EMIZ82
163546.40999999
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
116524.29999999
2348112.49999991
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
4519032.00000000
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
2765846.00000000
Vanguard Market Liquidity Fund
N/A
N/A
1I6HV0TLSTR3A4XQ6L78
5297291122.84000020
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
1481100.00000000
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
12916437.85000000
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
2931128.50000000
Credit Suisse Securities (USA) LLC
008-00422
000000816
1V8Y6QCX6YMJ2OELII46
2639476.50000000
Jefferies LLC
008-15074
000002347
58PU97L1C0WSRCWADL48
632930.00000000
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
4643976.14000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
5175106.26000000
5335197410.66000020
N
46775762039.27166666
Committed
4385000000.00000000
N
N
N
VANGUARD TOTAL STOCK MARKET INDEX FUND
S000002848
HJ2RZRUQEVF2A5SPRB21
N
6
0
0
Exchange-Traded Fund
N
N
0.00319
-0.10945
0.067482304
0.067571864
N
N
Y
N
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
Cash collateral reinvestment fee
Administrative fee
4058407402.15999980
247749245.40000001
Rule 12d1-4 (17 CFR 270.12d1-4)
Rule 17a-7 (17 CFR 270.17a-7)
Rule 32a-4 (17 CFR 270.32a-4)
Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))
N
N
N
N
The Vanguard Group, Inc.
801-11953
000105958
5493002789CX3L0CJP65
N
The Vanguard Group, Inc.
084-00772
5493002789CX3L0CJP65
Y
N
N
Refinitiv US LLC
20-4530702
TIN
N
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
N
Markit North America INC
13-4153988
TIN
N
ICE Data Pricing and Reference Data LLC
13-36687789
TIN
N
Bloomberg Finance LP
5493001KJTIIGC8Y1R12
N
Markit Group Limited
549300HLPTRASHS0E726
GB
N
ITG Analytics Inc
41-2190282
TIN
N
N
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank Ltd
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
Skandinaviska Enskilda Banken AB (publ)
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services SCA
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
Y
THE VANGUARD GROUP, INC.
5493002789CX3L0CJP65
Y
N
N
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
2274106.98000000
Piper Sandler & Co.
008-15204
000000665
549300GRQCWQ3XGH0H10
3101143.33999999
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
1351897.83999999
JonesTrading Institutional Services LLC
008-26089
000006888
2138008JJ5PA8H5UIL69
1794334.11000001
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
1355291.59000000
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
1505611.75000001
Cantor Fitzgerald & Co.
008-00201
000000134
5493004J7H4GCPG6OB62
1326774.21000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
1881894.50000000
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
3408023.80999998
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
3589171.89999999
28685457.42999982
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
7523745.00000000
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
17720968.75000000
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
14571540.00000000
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
98260196.48000003
Vanguard Market Liquidity Fund
N/A
N/A
1I6HV0TLSTR3A4XQ6L78
94463221719.00000000
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
176926619.94000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
106084701.30000000
Cowen and Company, LLC
008-22522
000007616
549300WR155U7DVMIW58
17512459.50000000
Jefferies LLC
008-15074
000002347
58PU97L1C0WSRCWADL48
14021849.92000000
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
82474167.09999999
95032679875.49000001
N
1198460815791.76666666
Committed
4385000000.00000000
N
N
VANGUARD MID-CAP INDEX FUND
S000002844
F7RXEPKL33W3OZ8V3S02
N
5
0
0
Exchange-Traded Fund
N
N
0.01889
-0.11927
0.115826845
0.115905381
N
N
Y
N
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
Cash collateral reinvestment fee
Administrative fee
676482633.07000005
32877414.64999999
Rule 17a-7 (17 CFR 270.17a-7)
Rule 32a-4 (17 CFR 270.32a-4)
Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))
Rule 12d1-4 (17 CFR 270.12d1-4)
N
N
N
N
The Vanguard Group, Inc.
801-11953
000105958
5493002789CX3L0CJP65
N
The Vanguard Group, Inc.
084-00772
5493002789CX3L0CJP65
Y
N
N
Markit Group Limited
549300HLPTRASHS0E726
GB
N
Markit North America INC
13-4153988
TIN
N
ICE Data Pricing and Reference Data LLC
13-36687789
TIN
N
Bloomberg Finance LP
5493001KJTIIGC8Y1R12
N
ITG Analytics Inc
41-2190282
TIN
N
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
N
Refinitiv US LLC
20-4530702
TIN
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services SCA
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank Ltd
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Euroclear
549300OZ46BRLZ8Y6F65
IE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (publ)
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
Y
THE VANGUARD GROUP, INC.
5493002789CX3L0CJP65
Y
N
N
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
421677.97999999
Mizuho Securities USA Inc
008-37710
000019647
5493004GRDTUI7EMIZ82
288750.16999999
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
452346.59999999
Credit Suisse Securities (USA) LLC
008-00422
000000816
1V8Y6QCX6YMJ2OELII46
91666.71000000
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
498363.48999999
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
90555.67000000
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
245700.37999999
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
351342.82000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
288062.56999999
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
347082.09000000
3152738.04999993
Vanguard Market Liquidity Fund
N/A
N/A
1I6HV0TLSTR3A4XQ6L78
12426728365.00000000
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
25870077.78000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
28753824.60000000
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
10620880.00000000
12491973147.38000000
N
143103373750.11166666
Committed
4385000000.00000000
N
N
N
VANGUARD EXTENDED MARKET INDEX FUND
S000002841
NKRB5RF4FYYMQPL0SY31
N
6
0
0
Exchange-Traded Fund
N
N
0.11642
-0.02326
0.084186579
0.083995967
N
N
Y
N
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
Administrative fee
Cash collateral reinvestment fee
1606542964.66000010
126876492.34000000
Rule 17a-7 (17 CFR 270.17a-7)
Rule 32a-4 (17 CFR 270.32a-4)
Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))
Rule 12d1-4 (17 CFR 270.12d1-4)
N
N
N
N
The Vanguard Group, Inc.
801-11953
000105958
5493002789CX3L0CJP65
N
The Vanguard Group, Inc.
084-00772
5493002789CX3L0CJP65
Y
N
N
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
N
ICE Data Pricing and Reference Data LLC
13-36687789
TIN
N
Markit Group Limited
549300HLPTRASHS0E726
GB
N
Markit North America INC
13-4153988
TIN
N
ITG Analytics Inc
41-2190282
TIN
N
Refinitiv US LLC
20-4530702
TIN
N
Bloomberg Finance LP
5493001KJTIIGC8Y1R12
N
N
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (publ)
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services SCA
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank Ltd
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
IE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
N
THE VANGUARD GROUP, INC.
5493002789CX3L0CJP65
Y
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
Y
N
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
382577.45000000
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
1087409.54000000
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
707217.69000000
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
150555.50000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
486292.11000000
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
395833.21000000
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
150167.91999999
Virtu ITG LLC
008-44218
000029299
549300S41SMIODVIT266
152809.14000000
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
103251.28000000
Mizuho Securities USA Inc
008-37710
000019647
5493004GRDTUI7EMIZ82
110677.47000000
4287186.11999993
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
29720564.57999999
J.P. Morgan Securities PLC
N/A
N/A
K6Q0W1PS1L1O4IQL9C32
GB
4107446.16000000
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
32858597.53000000
Cowen and Company, LLC
008-22522
000007616
549300WR155U7DVMIW58
4732986.88000000
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
2429557.77999999
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
2278226.00000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
14807602.10999999
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
4419772.75000000
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
18684432.50000000
Vanguard Market Liquidity Fund
N/A
N/A
1I6HV0TLSTR3A4XQ6L78
13522989255.00000000
13640161790.13999996
N
86321802305.61250000
Committed
4385000000.00000000
N
N
N
VANGUARD SMALL-CAP INDEX FUND
S000002845
HZKQM2YGJWB4I8NIZL49
N
5
0
0
Exchange-Traded Fund
N
N
0.06803
-0.07199
0.066486
0.066662
N
N
Y
N
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
Administrative fee
Cash collateral reinvestment fee
1624633508.71000000
82164018.79000000
Rule 32a-4 (17 CFR 270.32a-4)
Rule 12d1-4 (17 CFR 270.12d1-4)
Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))
Rule 17a-7 (17 CFR 270.17a-7)
N
N
N
N
The Vanguard Group, Inc.
801-11953
000105958
5493002789CX3L0CJP65
N
The Vanguard Group, Inc.
084-00772
5493002789CX3L0CJP65
Y
N
N
Bloomberg Finance LP
5493001KJTIIGC8Y1R12
N
ICE Data Pricing and Reference Data LLC
13-36687789
TIN
N
Markit Group Limited
549300HLPTRASHS0E726
GB
N
Markit North America INC
13-4153988
TIN
N
ITG Analytics Inc
41-2190282
TIN
N
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
N
Refinitiv US LLC
20-4530702
TIN
N
N
Royal Bank of Canada
ES7IP3U3RHIGC71XBU11
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
FR
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
GB
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Mizuho Bank Ltd
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
UBS Switzerland AG
549300WOIFUSNYH0FL22
CH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
BNP Paribas Securities Services SCA
549300WCGB70D06XZS54
IT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Deutsche Bank AG
7LTWFZYICNSX8D621K86
DE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
BE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Skandinaviska Enskilda Banken AB (publ)
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
J.P. MORGAN SE - LUXEMBOURG BRANCH
549300ZK53CNGEEI6A29
NL
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
IE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
JPMorgan Chase Bank NA
7H6GLXDRUGQFU57RNE97
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Euroclear
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
N
THE VANGUARD GROUP, INC.
5493002789CX3L0CJP65
Y
N
JPMORGAN CHASE BANK, N.A.
7H6GLXDRUGQFU57RNE97
N
Y
N
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
127584.90000000
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
538641.66999999
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
993315.03000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
1365754.43999999
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
2233331.35000000
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
159969.77000000
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
308995.64000000
Credit Suisse Securities (USA) LLC
008-00422
000000816
1V8Y6QCX6YMJ2OELII46
169543.40000000
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
847374.96999999
Mizuho Securities USA Inc
008-37710
000019647
5493004GRDTUI7EMIZ82
348800.03000000
7463216.27999991
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
90171093.28000000
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
12864050.00000000
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
38752156.76999998
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
56701672.10000000
Jefferies LLC
008-15074
000002347
58PU97L1C0WSRCWADL48
2786273.00000000
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
4293292.00000000
Vanguard Market Liquidity Fund
N/A
N/A
1I6HV0TLSTR3A4XQ6L78
13962503516.00000000
Credit Suisse Securities (USA) LLC
008-00422
000000816
1V8Y6QCX6YMJ2OELII46
3812024.00000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
36834942.40999999
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
5623755.00000000
14214342795.60999997
N
118924030382.79166666
Committed
4385000000.00000000
N
N
N
VANGUARD GROWTH INDEX FUND
S000002842
8DLNZLT9FCSJNCMHQC12
N
4
0
0
Exchange-Traded Fund
N
N
0.01741
-0.09621
0.052029338
0.053043078
N
N
Y
N
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
Cash collateral reinvestment fee
Administrative fee
173711318.75999999
6626687.82000000
Rule 32a-4 (17 CFR 270.32a-4)
Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))
Rule 17a-7 (17 CFR 270.17a-7)
Rule 12d1-4 (17 CFR 270.12d1-4)
N
N
N
N
The Vanguard Group, Inc.
801-11953
000105958
5493002789CX3L0CJP65
N
The Vanguard Group, Inc.
084-00772
5493002789CX3L0CJP65
Y
N
N
JPMorgan Chase Bank
7H6GLXDRUGQFU57RNE97
N
Refinitiv US LLC
20-4530702
TIN
N
Bloomberg Finance LP
5493001KJTIIGC8Y1R12
N
Markit Group Limited
549300HLPTRASHS0E726
GB
N
Markit North America INC
13-4153988
TIN
N
ITG Analytics Inc
41-2190282
TIN
N
ICE Data Pricing and Reference Data LLC
13-36687789
TIN
N
N
SKANDINAVISKA ENSKILDA BANKEN, STOCKHOLM
F3JS33DEI6XQ4ZBPTN86
SE
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
EUROCLEAR BANK, BRUSSELS
549300OZ46BRLZ8Y6F65
BE
N
Y
Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)
SKANDINAVISKA ENSKILDA BANKEN, HELSINKI BRANCE
F3JS33DEI6XQ4ZBPTN86
FI
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
The Hongkong and Shanghai Banking Corporation Limited, Sydney Branch
2HI3YI5320L3RW6NJ957
AU
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
Citibank Europe Plc
N1FBEDJ5J41VKZLO2475
PT
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
THE BANK OF NEW YORK MELLON SA/NV
MMYX0N4ZEZ13Z4XCG897
IT
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
SKANDINAVISKA ENSKILDA BANKEN AB, OSLO BRANCH
F3JS33DEI6XQ4ZBPTN86
NO
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
THE BANK OF NEW YORK MELLON
HPFHU0OQ28E4N0NFVK49
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
The Bank of New York Mellon SA/NV, Asset Servicing, Niederlassung Frankfurt am Main
MMYX0N4ZEZ13Z4XCG897
DE
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
CITIBANK EUROPE PLC
N1FBEDJ5J41VKZLO2475
CZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
DEUTSCHE BANK (DB) MANILA
7LTWFZYICNSX8D621K86
PH
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
MIZUHO BANK, LTD
RB0PEZSDGCO3JS6CEU02
JP
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
HSBC NEW ZEALAND
2HI3YI5320L3RW6NJ957
NZ
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
THE BANK OF NEW YORK MELLON SA/NV
MMYX0N4ZEZ13Z4XCG897
BE
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
The Bank of New York Mellon SA/NV
MMYX0N4ZEZ13Z4XCG897
FR
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
THE BANK OF NEW YORK MELLON SA/NV
MMYX0N4ZEZ13Z4XCG897
NL
N
N
Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))
CIBC MELLON TRUST COMPANY
549300IYUUH221WBZ505
CA
N
Y
Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)
N
The Vanguard Group, Inc.
5493002789CX3L0CJP65
Y
N
N
THE VANGUARD GROUP, INC.
5493002789CX3L0CJP65
Y
N
State Street Bank and Trust Company
571474TGEMMWANRLN572
N
Y
N
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
124815.97999999
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
54751.37999999
Barclays Capital Inc.
008-41342
000019714
AC28XWWI3WIBK2824319
46882.99999999
Wells Fargo Securities, LLC
008-22947
000007665
VYVVCKR63DVZZN70PB21
67082.76999998
RBC Capital Markets, LLC
008-45411
000031194
549300LCO2FLSSVFFR64
27482.65000000
Mizuho Securities USA Inc
008-37710
000019647
5493004GRDTUI7EMIZ82
81330.89999998
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
40772.81000000
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
80060.07999999
BofA Securities, Inc.
008-69787
000283942
549300HN4UKV1E2R3U73
112634.52999999
Jefferies LLC
008-15074
000002347
58PU97L1C0WSRCWADL48
13501.54000000
684938.54999988
Credit Suisse Securities (USA) LLC
008-00422
000000816
1V8Y6QCX6YMJ2OELII46
1444.65000000
Vanguard Market Liquidity Fund
N/A
N/A
1I6HV0TLSTR3A4XQ6L78
11008766568.00000000
Goldman Sachs & Co. LLC
008-00129
000000361
FOR8UP27PHTHYVLBNG30
71520.58999999
J.P. Morgan Securities LLC
008-35008
000000079
ZBUT11V806EZRVTWT807
10856303.92000000
HUDSON RIVER TRADING LLC
008-68430
000152144
549300SMOBUC8O5UOE10
9591.04000000
Citigroup Global Markets Inc.
008-08177
000007059
MBNUM2BPBDO7JBLYG310
3734240.00000000
Morgan Stanley & Co. LLC
008-15869
000008209
9R7GPTSO7KV3UQJZQ078
2143412.00000000
11025583080.19999999
N
147571366767.39333333
Committed
4385000000.00000000
N
N
N
VANGUARD LARGE-CAP INDEX FUND
S000002843
N
25000.00000000
0.01246100
0.10972848
0.98753899
0.10972848
0.04107100
0.11002540
0.95892899
0.11002540
493.90243902
0.00000000
0.00000000
434.78260869
0.00000000
0.00000000
364.86486486
0.00000000
0.00000000
500.00000000
0.00000000
0.00000000
N
VANGUARD MID-CAP VALUE INDEX FUND
S000012757
N
25000.00000000
0.01752450
0.13013378
0.98247549
0.13013378
0.00782358
0.02862132
0.99217641
0.02862132
343.96551724
0.00000000
0.00000000
257.89473684
0.00000000
0.00000000
285.18518518
0.00000000
0.00000000
350.00000000
0.00000000
0.00000000
N
VANGUARD MID-CAP GROWTH INDEX FUND
S000012756
N
25000.00000000
0.01479325
0.11611969
0.98520674
0.11611969
0.00832832
0.01861304
0.99167167
0.01861304
246.57534246
0.00000000
0.00000000
239.79591836
0.00000000
0.00000000
203.25203252
0.00000000
0.00000000
250.00000000
0.00000000
0.00000000
N
VANGUARD 500 INDEX FUND
S000002839
N
25000.00000000
0.09364455
0.28999320
0.90635544
0.28999320
0.00243242
0.00548481
0.99756757
0.00548481
453.57142857
0.00000000
0.00000000
310.67961165
0.00000000
0.00000000
487.71929824
0.00000000
0.00000000
500.00000000
0.00000000
0.00000000
N
VANGUARD VALUE INDEX FUND
S000002840
N
25000.00000000
0.06258635
0.24074305
0.93741364
0.24074305
0.00482809
0.01945351
0.99517190
0.01945351
469.06474820
0.00000000
0.00000000
363.05732484
0.00000000
0.00000000
437.50000000
0.00000000
0.00000000
500.00000000
0.00000000
0.00000000
N
VANGUARD SMALL-CAP GROWTH INDEX FUND
S000002846
N
25000.00000000
0.09858294
0.29558825
0.90141705
0.29558825
0.00393239
0.01685889
0.99606760
0.01685889
451.45631067
0.00000000
0.00000000
444.44444444
0.00000000
0.00000000
437.88819875
0.00000000
0.00000000
500.00000000
0.00000000
0.00000000
N
VANGUARD SMALL-CAP VALUE INDEX FUND
S000002847
N
25000.00000000
0.09593679
0.29155610
0.90406320
0.29155610
0.01079833
0.04560946
0.98920166
0.04560946
452.89855072
0.00000000
0.00000000
449.01960784
0.00000000
0.00000000
411.76470588
0.00000000
0.00000000
500.00000000
0.00000000
0.00000000
N
VANGUARD TOTAL STOCK MARKET INDEX FUND
S000002848
N
100000.00000000
0.10574612
0.30673203
0.89425387
0.30673203
0.01063897
0.02809288
0.98936102
0.02809288
896.92982456
0.00000000
0.00000000
800.00000000
0.00000000
0.00000000
805.30973451
0.00000000
0.00000000
1000.00000000
0.00000000
0.00000000
N
VANGUARD MID-CAP INDEX FUND
S000002844
N
25000.00000000
0.05262107
0.22295574
0.94737892
0.22295574
0.00967734
0.03679311
0.99032265
0.03679311
473.76093294
0.00000000
0.00000000
200.00000000
0.00000000
0.00000000
414.17910447
0.00000000
0.00000000
500.00000000
0.00000000
0.00000000
N
VANGUARD EXTENDED MARKET INDEX FUND
S000002841
N
50000.00000000
0.01326156
0.11032775
0.98673843
0.11032775
0.00168124
0.01208711
0.99831875
0.01208711
493.82716049
0.00000000
0.00000000
491.86991869
0.00000000
0.00000000
433.03571428
0.00000000
0.00000000
500.00000000
0.00000000
0.00000000
N
VANGUARD SMALL-CAP INDEX FUND
S000002845
N
25000.00000000
0.13304022
0.33879167
0.86695977
0.33879167
0.00445785
0.01909028
0.99554214
0.01909028
867.52136752
0.00000000
0.00000000
808.64197530
0.00000000
0.00000000
798.16513761
0.00000000
0.00000000
1000.00000000
0.00000000
0.00000000
N
VANGUARD GROWTH INDEX FUND
S000002842
N
25000.00000000
0.07607055
0.26476463
0.92392944
0.26476463
0.00225659
0.00975699
0.99774340
0.00975699
324.62057335
0.00000000
0.00000000
85.96491228
0.00000000
0.00000000
320.95435684
0.00000000
0.00000000
350.00000000
0.00000000
0.00000000
N
true
true
OTHER REQUIRED INFO
2
ncencertinterfundlend12.31.txt
N-CEN Certification
The undersigned, as Chief Compliance Officer of the Vanguard Funds, hereby
certifies that pursuant to Item G.1.a.v. of Form N-CEN as such Form may be
revised, amended or superseded from time to time, that each registered open-
end investment company (each, a "Registrant"), on behalf of each portfolio
series of each such Registrant listed on Schedule A hereto ( each, a "Fund",
and collectively, the "Funds"); and The Vanguard Group, Inc. have (i)
implemented procedures reasonably designed to achieve compliance with the terms
and conditions of the exemptive order granted by the U.S. Securities Exchange
Commission ("SEC") on May 13, 2014 (the "Order"), and (ii) such procedures are
reasonably designed to achieve the following objectives:
(a) that the Interfund Loan Rate will be higher than the Repo Rate, and, if
applicable, the yield of the money market funds, but lower than the
Bank
Loan Rate;
(b) compliance with the collateral requirements as set forth in the
application for the Order as filed with the SEC on January 28, 2014
(the "Application");
(c) compliance with the percentage limitations on interfund borrowing and
lending;
(d) allocation of interfund borrowing and lending demand in an equitable`
manner and in accordance with procedures established by the Trustees;
and
(e) that the Interfund Loan Rate does not exceed the interest rate on any
third-
party borrowings of a borrowing Fund at the time of the Interfund
Loan.
By: /s/ Jacqueline Angell
Name: Jacqueline Angell
Title: Chief Compliance Officer
Date: 3/15/2023
Schedule A
Lender/Borrower
Fund Name
Registrant
Borrower
Vanguard 500 Index Fund
Vanguard Index
Funds
Lender
Vanguard Total Stock Market Index Fund
Vanguard Index
Funds
INTERNAL CONTROL RPT
3
indexfunds2.15.txt
Report of Independent Registered Public Accounting
Firm
To the Board of Trustees of Vanguard Index Funds and
Shareholders of
Vanguard Value Index Fund
Vanguard Growth Index Fund
Vanguard 500 Index Fund and
Vanguard Large-Cap Index Fund
In planning and performing our audits of the financial
statements of Vanguard Value Index Fund, Vanguard Growth
Index Fund, Vanguard 500 Index Fund and Vanguard Large-
Cap Index Fund (four of the funds constituting Vanguard
Index Funds, hereafter collectively referred to as the "Funds")
as of and for the year ended December 31, 2022, in
accordance with the standards of the Public Company
Accounting Oversight Board (United States) (PCAOB), we
considered the Funds' internal control over financial reporting,
including controls over safeguarding securities, as a basis for
designing our auditing procedures for the purpose of
expressing our opinion on the financial statements and to
comply with the requirements of Form N-CEN, but not for the
purpose of expressing an opinion on the effectiveness of the
Funds' internal control over financial reporting. Accordingly,
we do not express an opinion on the effectiveness of the
Funds' internal control over financial reporting.
The management of the Funds is responsible for establishing
and maintaining effective internal control over financial
reporting. In fulfilling this responsibility, estimates and
judgments by management are required to assess the
expected benefits and related costs of controls. A company's
internal control over financial reporting is a process designed
to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements
for external purposes in accordance with generally accepted
accounting principles. A company's internal control over
financial reporting includes those policies and procedures that
(1) pertain to the maintenance of records that, in reasonable
detail, accurately and fairly reflect the transactions and
dispositions of the assets of the company; (2) provide
reasonable assurance that transactions are recorded as
necessary to permit preparation of financial statements in
accordance with generally accepted accounting principles,
and that receipts and expenditures of the company are being
made only in accordance with authorizations of management
and directors of the company; and (3) provide reasonable
assurance regarding prevention or timely detection of
unauthorized acquisition, use or disposition of a company's
assets that could have a material effect on the financial
statements.
Because of its inherent limitations, internal control over
financial reporting may not prevent or detect misstatements.
Also, projections of any evaluation of effectiveness to future
periods are subject to the risk that controls may become
inadequate because of changes in conditions, or that the
degree of compliance with the policies or procedures may
deteriorate.
A deficiency in internal control over financial reporting exists
when the design or operation of a control does not allow
management or employees, in the normal course of
performing their assigned functions, to prevent or detect
misstatements on a timely basis. A material weakness is a
deficiency, or a combination of deficiencies, in internal control
over financial reporting, such that there is a reasonable
possibility that a material misstatement of the company's
annual or interim financial statements will not be prevented or
detected on a timely basis.
Our consideration of the Funds' internal control over financial
reporting was for the limited purpose described in the first
paragraph and would not necessarily disclose all deficiencies
in internal control over financial
reporting that might be material weaknesses under standards
established by the PCAOB. However, we noted no
deficiencies in the Funds' internal control over financial
reporting and its operation, including controls over
safeguarding securities, that we consider to be a material
weakness as defined above as of December 31, 2022.
This report is intended solely for the information and use of
the Board of Trustees of Vanguard Index Funds and the
Securities and Exchange Commission and is not intended to
be and should not be used by anyone other than these
specified parties.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 15, 2023
INTERNAL CONTROL RPT
4
indexfunds2.16.txt
Report of Independent Registered Public
Accounting Firm
To the Board of Trustees of Vanguard Index Funds and
Shareholders of
Vanguard Total Stock Market Index Fund
Vanguard Extended Market Index Fund
Vanguard Mid-Cap Index Fund
Vanguard Mid-Cap Growth Index Fund
Vanguard Mid-Cap Value Index Fund
Vanguard Small-Cap Index Fund
Vanguard Small-Cap Growth Index Fund and
Vanguard Small-Cap Value Index Fund
In planning and performing our audits of the financial
statements of Vanguard Total Stock Market Index
Fund, Vanguard Extended Market Index Fund,
Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap
Growth Index Fund, Vanguard Mid-Cap Value Index
Fund, Vanguard Small-Cap Index Fund, Vanguard
Small-Cap Growth Index Fund, and Vanguard Small-
Cap Value Index Fund (eight of the funds constituting
Vanguard Index Funds, hereafter collectively referred to
as the "Funds") as of and for the year ended December
31, 2022, in accordance with the standards of the
Public Company Accounting Oversight Board (United
States) (PCAOB), we considered the Funds' internal
control over financial reporting, including controls over
safeguarding securities, as a basis for designing our
auditing procedures for the purpose of expressing our
opinion on the financial statements and to comply with
the requirements of Form N-CEN, but not for the
purpose of expressing an opinion on the effectiveness
of the Funds' internal control over financial reporting.
Accordingly, we do not express an opinion on the
effectiveness of the Funds' internal control over
financial reporting.
The management of the Funds is responsible for
establishing and maintaining effective internal control
over financial reporting. In fulfilling this responsibility,
estimates and judgments by management are required
to assess the expected benefits and related costs of
controls. A company's internal control over financial
reporting is a process designed to provide reasonable
assurance regarding the reliability of financial reporting
and the preparation of financial statements for external
purposes in accordance with generally accepted
accounting principles. A company's internal control over
financial reporting includes those policies and
procedures that (1) pertain to the maintenance of
records that, in reasonable detail, accurately and fairly
reflect the transactions and dispositions of the assets of
the company; (2) provide reasonable assurance that
transactions are recorded as necessary to permit
preparation of financial statements in accordance with
generally accepted accounting principles, and that
receipts and expenditures of the company are being
made only in accordance with authorizations of
management and directors of the company; and (3)
provide reasonable assurance regarding prevention or
timely detection of unauthorized acquisition, use or
disposition of a company's assets that could have a
material effect on the financial statements.
Because of its inherent limitations, internal control over
financial reporting may not prevent or detect
misstatements. Also, projections of any evaluation of
effectiveness to future periods are subject to the risk
that controls may become inadequate because of
changes in conditions, or that the degree of compliance
with the policies or procedures may deteriorate.
A deficiency in internal control over financial reporting
exists when the design or operation of a control does
not allow management or employees, in the normal
course of performing their assigned functions, to
prevent or detect misstatements on a timely basis. A
material weakness is a deficiency, or a combination of
deficiencies, in internal control over financial reporting,
such that there is a reasonable possibility that a
material misstatement of the company's annual or
interim financial statements will not be prevented or
detected on a timely basis.
Our consideration of the Funds' internal control over
financial reporting was for the limited purpose described
in the first paragraph and would not necessarily
disclose all deficiencies in internal control over financial
reporting that might be material weaknesses under
standards established by the PCAOB. However, we
noted no deficiencies in the Funds' internal control over
financial reporting and its operation, including controls
over safeguarding securities, that we consider to be a
material weakness as defined above as of December
31, 2022.
This report is intended solely for the information and
use of the Board of Trustees of Vanguard Index Funds
and the Securities and Exchange Commission and is
not intended to be and should not be used by anyone
other than these specified parties.
/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 16, 2023