0001752724-23-122708.txt : 20230526 0001752724-23-122708.hdr.sgml : 20230526 20230526152655 ACCESSION NUMBER: 0001752724-23-122708 CONFORMED SUBMISSION TYPE: NPORT-P PUBLIC DOCUMENT COUNT: 2 CONFORMED PERIOD OF REPORT: 20230331 FILED AS OF DATE: 20230526 DATE AS OF CHANGE: 20230526 PERIOD START: 20231231 FILER: COMPANY DATA: COMPANY CONFORMED NAME: VANGUARD BOND INDEX FUNDS CENTRAL INDEX KEY: 0000794105 IRS NUMBER: 000000000 STATE OF INCORPORATION: DE FISCAL YEAR END: 1231 FILING VALUES: FORM TYPE: NPORT-P SEC ACT: 1940 Act SEC FILE NUMBER: 811-04681 FILM NUMBER: 23967951 BUSINESS ADDRESS: STREET 1: PO BOX 2600 STREET 2: V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 BUSINESS PHONE: 6106691000 MAIL ADDRESS: STREET 1: P.O. BOX 2600 V26 CITY: VALLEY FORGE STATE: PA ZIP: 19482 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD BOND INDEX FUND INC DATE OF NAME CHANGE: 19940111 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD BOND MARKET FUND INC DATE OF NAME CHANGE: 19920703 FORMER COMPANY: FORMER CONFORMED NAME: VANGUARD INDEX BOND FUND DATE OF NAME CHANGE: 19870105 0000794105 S000019554 Vanguard Inflation-Protected Securities Fund C000054349 Investor Shares VIPSX C000054350 Admiral Shares VAIPX C000054351 Institutional Shares VIPIX NPORT-P 1 primary_doc.xml NPORT-P false 0000794105 XXXXXXXX S000019554 C000054351 C000054349 C000054350 VANGUARD BOND INDEX FUNDS 811-04681 0000794105 549300INE5BF80OGAZ51 100 Vanguard Boulevard Malvern 19355 610-669-1000 VANGUARD INFLATION-PROTECTED SECURITIES FUND S000019554 F8K6630RFYVJPTW32U17 2023-12-31 2023-03-31 N 32787267442.54 114947115.68 32672320326.86 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 0.00000000 USD N N/A N/A US 5YR NOTE (CBT) Jun23 N/A 4628.00000000 NC USD 11015447.47000000 0.033714922478 N/A DIR N/A N 1 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 Long N/A CBOT 5 Year US Treasury Note 2023-06-30 495786711.09000000 USD 11015447.47000000 N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912828ZJ2 687400000.00000000 PA USD 771653654.63000000 2.361796306201 Long SN UST US N 2 2025-04-15 Fixed 0.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810SG4 226000000.00000000 PA USD 237707922.94000000 0.727551396907 Long SN UST US N 2 2049-02-15 Fixed 1.00000000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 91282CDC2 980000000.00000000 PA USD 1030183656.20000000 3.153077730304 Long SN UST US N 2 2026-10-15 Fixed 0.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912828ZZ6 897000000.00000000 PA USD 973725021.14000000 2.980275081165 Long SN UST US N 2 2030-07-15 Fixed 0.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912828N71 777522000.00000000 PA USD 957081058.20000000 2.929332990816 Long SN UST US N 2 2026-01-15 Fixed 0.62500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810TP3 202000000.00000000 PA USD 204764139.59000000 0.626720531451 Long SN UST US N 2 2053-02-15 Fixed 1.50000000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810FR4 425650700.00000000 PA USD 683906319.04000000 2.093228494940 Long SN UST US N 2 2025-01-15 Fixed 2.37500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810SV1 343500000.00000000 PA USD 272662288.52000000 0.834536040881 Long SN UST US N 2 2051-02-15 Fixed 0.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912828S50 769304000.00000000 PA USD 924754706.15000000 2.830391894112 Long SN UST US N 2 2026-07-15 Fixed 0.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810RR1 254302000.00000000 PA USD 286218756.45000000 0.876028251396 Long SN UST US N 2 2046-02-15 Fixed 1.00000000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912828Y38 694000000.00000000 PA USD 810587419.60000000 2.480960677083 Long SN UST US N 2 2028-07-15 Fixed 0.75000000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810RW0 321600000.00000000 PA USD 343957754.94000000 1.052749702191 Long SN UST US N 2 2047-02-15 Fixed 0.87500000 N N N N N N N/A N/A US ULTRA BOND CBT Jun23 N/A -1839.00000000 NC USD -6072389.56000000 -0.01858573097 N/A DIR N/A N 1 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 Short N/A Ultra U.S. Treasury Bond Futures 2023-06-21 -253456485.44000000 USD -6072389.56000000 N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 9128286N5 568000000.00000000 PA USD 663023524.50000000 2.029312634875 Long SN UST US N 2 2024-04-15 Fixed 0.50000000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810SM1 335000000.00000000 PA USD 281892998.56000000 0.862788426839 Long SN UST US N 2 2050-02-15 Fixed 0.25000000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810QF8 163655500.00000000 PA USD 249459291.06000000 0.763518747870 Long SN UST US N 2 2040-02-15 Fixed 2.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810PZ5 264170200.00000000 PA USD 394042436.05000000 1.206043623801 Long SN UST US N 2 2029-01-15 Fixed 2.50000000 N N N N N N United States Treasury 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US N 2 2045-02-15 Fixed 0.75000000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912828H45 785300000.00000000 PA USD 968044537.15000000 2.962888853517 Long SN UST US N 2 2025-01-15 Fixed 0.25000000 N N N N N N N/A N/A US 10YR NOTE (CBT)Jun23 N/A 4254.00000000 NC USD 861954.58000000 0.002638179876 N/A DIR N/A N 1 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 GOLDMAN SACHS & CO. LLC FOR8UP27PHTHYVLBNG30 Long N/A CBOT 10 Year US Treasury Note 2023-06-21 488015701.67000000 USD 861954.58000000 N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810RF7 437735200.00000000 PA USD 542943164.57000000 1.661783305067 Long SN UST US N 2 2044-02-15 Fixed 1.37500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810PV4 268865600.00000000 PA USD 392649698.25000000 1.201780878498 Long SN UST US N 2 2028-01-15 Fixed 1.75000000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 9128285W6 600000000.00000000 PA USD 698118123.83000000 2.136726491555 Long SN UST US N 2 2029-01-15 Fixed 0.87500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 91282CCA7 687000000.00000000 PA USD 752122314.39000000 2.302016835246 Long SN UST US N 2 2026-04-15 Fixed 0.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810FQ6 106028600.00000000 PA USD 211069687.38000000 0.646019888604 Long SN UST US N 2 2032-04-15 Fixed 3.37500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 9128282L3 798000000.00000000 PA USD 942413286.94000000 2.884439420010 Long SN UST US N 2 2027-07-15 Fixed 0.37500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912828WU0 859771400.00000000 PA USD 1061772802.54000000 3.249762465346 Long SN UST US N 2 2024-07-15 Fixed 0.12500000 N N N N N N Vanguard Cmt Funds-Vanguard Market Liquidity Fund 1I6HV0TLSTR3A4XQ6L78 Vanguard Market Liquidity Fund N/A 394681.02100000 NS USD 39464155.29000000 0.120787733761 Long STIV CORP US N 1 N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 91282CEZ0 1197000000.00000000 PA USD 1176474012.42000000 3.600827858720 Long SN UST US N 2 2032-07-15 Fixed 0.62500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 91282CCM1 955700000.00000000 PA USD 981596367.38000000 3.004366869447 Long SN UST US N 2 2031-07-15 Fixed 0.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912828V49 705138525.00000000 PA USD 841656428.42000000 2.576053429936 Long SN UST US N 2 2027-01-15 Fixed 0.37500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 91282CGK1 680171500.00000000 PA USD 679601123.21000000 2.080051604572 Long SN UST US N 2 2033-01-15 Fixed 1.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810FH6 274241900.00000000 PA USD 574249758.93000000 1.757603234741 Long SN UST US N 2 2029-04-15 Fixed 3.87500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810RA8 316755100.00000000 PA USD 346870523.82000000 1.061664798673 Long SN UST US N 2 2043-02-15 Fixed 0.62500000 N N N N N N N/A N/A US 10yr Ultra Fut Jun23 N/A 3381.00000000 NC USD -1364085.69000000 -0.00417504993 N/A DIR N/A N 1 MORGAN STANLEY & CO LLC 9R7GPTSO7KV3UQJZQ078 MERRILL LYNCH, PIERCE, FENNER & SMITH INCORPORATED 8NAV47T0Y26Q87Y0QP81 Long N/A Ultra 10-Year US Treasury Note Futures 2023-06-21 410940538.82000000 USD -1364085.69000000 N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 91282CAQ4 854500000.00000000 PA USD 954757683.91000000 2.922221851274 Long SN UST US N 2 2025-10-15 Fixed 0.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810FS2 325727300.00000000 PA USD 497882916.70000000 1.523867640005 Long SN UST US N 2 2026-01-15 Fixed 2.00000000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810TE8 438000000.00000000 PA USD 325899104.25000000 0.997477684442 Long SN UST US N 2 2052-02-15 Fixed 0.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 9128283R9 718000000.00000000 PA USD 840762554.94000000 2.573317556050 Long SN UST US N 2 2028-01-15 Fixed 0.50000000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912828YL8 833000000.00000000 PA USD 948714299.03000000 2.903724894769 Long SN UST US N 2 2024-10-15 Fixed 0.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 9128287D6 699000000.00000000 PA USD 774488058.76000000 2.370471552102 Long SN UST US N 2 2029-07-15 Fixed 0.25000000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810SB5 242000000.00000000 PA USD 260335674.05000000 0.796808036422 Long SN UST US N 2 2048-02-15 Fixed 1.00000000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912828Z37 825000000.00000000 PA USD 893507281.72000000 2.734753065534 Long SN UST US N 2 2030-01-15 Fixed 0.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912828XL9 936844000.00000000 PA USD 1156215794.51000000 3.538823637081 Long SN UST US N 2 2025-07-15 Fixed 0.37500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 91282CBF7 926000000.00000000 PA USD 983234614.90000000 3.009381045066 Long SN UST US N 2 2031-01-15 Fixed 0.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 91282CEJ6 1015000000.00000000 PA USD 1024052613.72000000 3.134312480641 Long SN UST US N 2 2027-04-15 Fixed 0.12500000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810QV3 393144700.00000000 PA USD 453258726.63000000 1.387286614772 Long SN UST US N 2 2042-02-15 Fixed 0.75000000 N N N N N N United States Treasury Inflation Indexed Bonds 254900HROIFWPRGM1V77 TSY INFL IX N/B 912810FD5 276575200.00000000 PA USD 570013332.20000000 1.744636825598 Long SN UST US N 2 2028-04-15 Fixed 3.62500000 N N N N N N 2023-05-25 VANGUARD BOND INDEX FUNDS Ashley Grim Ashley Grim Treasurer XXXX NPORT-EX 2 vg_inflationprotectedsec.htm
Vanguard® Inflation-Protected Securities Fund
Schedule of Investments (unaudited)
As of March 31, 2023
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 (99.9%)
U.S. Government Securities (99.9%)
  United States Treasury Inflation Indexed Bonds 0.500% 4/15/24   638,014    628,005
  United States Treasury Inflation Indexed Bonds 0.125% 7/15/24 1,082,994  1,061,773
  United States Treasury Inflation Indexed Bonds 0.125% 10/15/24   971,078    948,714
  United States Treasury Inflation Indexed Bonds 0.250% 1/15/25   991,661    968,045
  United States Treasury Inflation Indexed Bonds 2.375% 1/15/25   675,393    683,906
  United States Treasury Inflation Indexed Bonds 0.125% 4/15/25   795,961    771,654
  United States Treasury Inflation Indexed Bonds 0.375% 7/15/25 1,181,576  1,156,216
  United States Treasury Inflation Indexed Bonds 0.125% 10/15/25   984,991    954,758
  United States Treasury Inflation Indexed Bonds 0.625% 1/15/26   978,706    957,081
  United States Treasury Inflation Indexed Bonds 2.000% 1/15/26   490,852    497,883
  United States Treasury Inflation Indexed Bonds 0.125% 4/15/26   783,517    752,122
  United States Treasury Inflation Indexed Bonds 0.125% 7/15/26   959,922    924,755
  United States Treasury Inflation Indexed Bonds 0.125% 10/15/26 1,072,659 1,030,184
  United States Treasury Inflation Indexed Bonds 0.375% 1/15/27 873,088 841,656
  United States Treasury Inflation Indexed Bonds 2.375% 1/15/27 465,770 482,923
  United States Treasury Inflation Indexed Bonds 0.125% 4/15/27 1,075,200 1,024,053
  United States Treasury Inflation Indexed Bonds 0.375% 7/15/27 975,707 942,413
  United States Treasury Inflation Indexed Bonds 1.625% 10/15/27 1,253,000 1,277,606
  United States Treasury Inflation Indexed Bonds 0.500% 1/15/28 870,611 840,763
  United States Treasury Inflation Indexed Bonds 1.750% 1/15/28 383,854 392,650
  United States Treasury Inflation Indexed Bonds 3.625% 4/15/28 511,448 570,013
  United States Treasury Inflation Indexed Bonds 0.750% 7/15/28 826,922 810,587
  United States Treasury Inflation Indexed Bonds 0.875% 1/15/29 710,712 698,118
  United States Treasury Inflation Indexed Bonds 2.500% 1/15/29 368,010 394,042
  United States Treasury Inflation Indexed Bonds 3.875% 4/15/29 498,950 574,250
  United States Treasury Inflation Indexed Bonds 0.250% 7/15/29 817,327 774,488
  United States Treasury Inflation Indexed Bonds 0.125% 1/15/30 959,063 893,507
  United States Treasury Inflation Indexed Bonds 0.125% 7/15/30 1,046,395 973,725
  United States Treasury Inflation Indexed Bonds 0.125% 1/15/31 1,063,937 983,235
  United States Treasury Inflation Indexed Bonds 0.125% 7/15/31 1,066,494 981,596
  United States Treasury Inflation Indexed Bonds 0.125% 1/15/32 1,192,801 1,089,646
  United States Treasury Inflation Indexed Bonds 3.375% 4/15/32 178,661 211,070
  United States Treasury Inflation Indexed Bonds 0.625% 7/15/32 1,232,204 1,176,474
  United States Treasury Inflation Indexed Bonds 1.125% 1/15/33 741,191 737,552
  United States Treasury Inflation Indexed Bonds 2.125% 2/15/40 226,466 249,459
  United States Treasury Inflation Indexed Bonds 2.125% 2/15/41 319,945 352,430
  United States Treasury Inflation Indexed Bonds 0.750% 2/15/42 520,386 453,259
  United States Treasury Inflation Indexed Bonds 0.625% 2/15/43 412,070 346,870
  United States Treasury Inflation Indexed Bonds 1.375% 2/15/44 561,763 542,943
  United States Treasury Inflation Indexed Bonds 0.750% 2/15/45 618,431 524,639
  United States Treasury Inflation Indexed Bonds 1.000% 2/15/46 321,003 286,219
      Coupon Maturity
Date 		Face
Amount
($000) 		Market
Value
($000)
  United States Treasury Inflation Indexed Bonds 0.875% 2/15/47   391,038    337,541
  United States Treasury Inflation Indexed Bonds 1.000% 2/15/48   283,816    251,730
  United States Treasury Inflation Indexed Bonds 1.000% 2/15/49   268,624    237,708
1 United States Treasury Inflation Indexed Bonds 0.250% 2/15/50   389,726    281,893
  United States Treasury Inflation Indexed Bonds 0.125% 2/15/51   394,616    272,662
  United States Treasury Inflation Indexed Bonds 0.125% 2/15/52   470,600    325,899
  United States Treasury Inflation Indexed Bonds 1.500% 2/15/53   203,250    204,764
Total U.S. Government and Agency Obligations (Cost $34,433,315) 32,673,479
          Shares  
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
2 Vanguard Market Liquidity Fund
(Cost $30,265) 		4.839%     302,791           30,276
Total Investments (100.0%) (Cost $34,463,580)   32,703,755
Other Assets and Liabilities—Net (0.0%)   13,253
Net Assets (100%)   32,717,008
Cost is in $000.
1 Securities with a value of $21,710,000 have been segregated as initial margin for open futures contracts.
2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
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 2023 4,628 506,802 11,015
10-Year U.S. Treasury Note June 2023 1,938 222,719 865
Ultra 10-Year U.S. Treasury Note June 2023 4,063 492,194 (1,426)
        10,454
 
Short Futures Contracts
Ultra Long U.S. Treasury Bond June 2023 (1,839) (259,529) (6,072)
        4,382
A. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund's pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.
B. 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. Fluctuations in the value of the contracts are recorded as an asset (liability).
C.  Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.
The following table summarizes the market value of the fund's investments and derivatives as of March 31, 2023, 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 — 32,673,479 — 32,673,479
Temporary Cash Investments 30,276 — — 30,276
Total 30,276 32,673,479 — 32,703,755
Derivative Financial Instruments        
Assets        
Futures Contracts1 11,880 — — 11,880
Liabilities        
Futures Contracts1 7,498 — — 7,498
1 Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments.