# EDGAR Filing Document

**Accession Number:** 0000794105
**File Stem:** 0001752724-23-057192
**Filing Date:** 2023-3
**Character Count:** 266286
**Document Hash:** 57528b2533b093a96a420a75a20c7f88
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-057192.hdr.sgml**: 20230315

**ACCESSION NUMBER**: 0001752724-23-057192

**CONFORMED SUBMISSION TYPE**: N-CEN

**PUBLIC DOCUMENT COUNT**: 3

**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 BOND INDEX FUNDS
- **CENTRAL INDEX KEY:** 0000794105
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** N-CEN
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-04681
- **FILM NUMBER:** 23734854

**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

## Series and Classes Contracts Data

### Vanguard Intermediate-Term Bond Index Fund (Series ID: S000002561)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000007057 | Investor Shares           | VBIIX           |
| C000007058 | Admiral Shares            | VBILX           |
| C000024520 | Institutional Shares      | VBIMX           |
| C000035214 | Signal Shares             | VIBSX           |
| C000046841 | ETF Shares                | BIV             |
| C000105308 | Institutional Plus Shares | VBIUX           |

### Vanguard Long-Term Bond Index Fund (Series ID: S000002562)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000007059 | Investor Shares           | VBLTX           |
| C000024522 | Institutional Shares      | VBLLX           |
| C000046842 | ETF Shares                | BLV             |
| C000105309 | Institutional Plus Shares | VBLIX           |
| C000209800 | Admiral Shares            | VBLAX           |

### Vanguard Short-Term Bond Index Fund (Series ID: S000002563)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000007060 | Investor Shares           | VBISX           |
| C000007061 | Admiral Shares            | VBIRX           |
| C000035215 | Signal Shares             | VBSSX           |
| C000046843 | ETF Shares                | BSV             |
| C000105310 | Institutional Shares      | VBITX           |
| C000105311 | Institutional Plus Shares | VBIPX           |

### Vanguard Total Bond Market Index Fund (Series ID: S000002564)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000007062 | Investor Shares             | VBMFX           |
| C000007063 | Admiral Shares              | VBTLX           |
| C000007064 | Institutional Shares        | VBTIX           |
| C000035216 | Signal Shares               | VBTSX           |
| C000046844 | ETF Shares                  | BND             |
| C000081425 | Institutional Plus Shares   | VBMPX           |
| C000170279 | Institutional Select Shares | VTBSX           |

### Vanguard Inflation-Protected Securities Fund (Series ID: S000019554)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000054349 | Investor Shares      | VIPSX           |
| C000054350 | Admiral Shares       | VAIPX           |
| C000054351 | Institutional Shares | VIPIX           |

### Vanguard Total Bond Market II Index Fund (Series ID: S000025158)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000075027 | Investor Shares      | VTBIX           |
| C000075028 | Institutional Shares | VTBNX           |

### Vanguard Ultra-Short Bond ETF (Series ID: S000071399)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000226472 | ETF Shares   | VUSB            |

## Internal

```

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Bond Index Funds and
Shareholders of
Vanguard Total Bond Market Index Fund
Vanguard Inflation-Protected Securities Fund
Vanguard Short-Term Bond Index Fund
Vanguard Intermediate-Term Bond Index Fund and
Vanguard Long-Term Bond Index Fund

In planning and performing our audits of the financial
statements of Vanguard Total Bond Market Index Fund,
Vanguard Inflation-Protected Securities Fund, Vanguard Short-
Term Bond Index Fund, Vanguard Intermediate-Term Bond
Index Fund and Vanguard Long-Term Bond Index Fund (five
of the funds constituting Vanguard Bond 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 Bond 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

```

Report of Independent Registered Public Accounting
Firm

To the Board of Trustees of Vanguard Bond Index Funds
and Shareholders of
Vanguard Total Bond Market II Index Fund and
Vanguard Ultra-Short Bond ETF

In planning and performing our audits of the financial
statements of Vanguard Total Bond Market II Index Fund
and Vanguard Ultra-Short Bond ETF (two of the funds
constituting Vanguard Bond 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 Bond 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

```

# Form N-CEN: Annual Report for Registered Investment Companies

## N-CEN: Filer Information
**Submission Type:** N-CEN
**CIK:** 0000794105

## N-CEN: Series/Class (Contract) Information

### N-CEN: Part A: General Information

**Item A.1.a - Report for period ending:** 2022-12-31

**Item A.1.b - Does this report cover a period of less than 12 months?:** No

## N-CEN: Part B: Information About the Registrant

- **Item B.1.a - Full name of Registrant:** VANGUARD BOND INDEX FUNDS

- **Item B.1.b - Investment Company Act file number:** 811-04681

- **Item B.1.c - CIK:** 0000794105

- **Item B.1.d - LEI:** 549300INE5BF80OGAZ51

- **Item B.2.a - Street 1:** 100 Vanguard Boulevard

- **Item B.2.b - City:** Malvern

- **Item B.2.c - State:** PA

- **Item B.2.e - Zip Code:** 19355

- **Item B.2.f - Telephone:** 6106691000

- **Item B.2.g - Public Website:** www.vanguard.com

### Item B.3 - Location of books and records

**Location books Record: 1**

- **a. Name of person (e.g., a custodian of records):** JPMorgan Chase Bank

- **b. Street 1:** 383 Madison Avenue

- **c. City:** New York

- **d. State, if applicable:** NY

- **e. Foreign country, if applicable:** US

- **f. Zip code and zip code extension, or foreign postal code:** 10179

- **g. Telephone number:** 212-648-0466

- **h. Briefly describe the books and records kept at this location:** 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.

- **Item B.4.a - Is this the first filing by the Registrant?:** No

- **Item B.4.b - Is this the last filing by the Registrant?:** No

- **Item B.5.a - Is the Registrant part of a family of investment companies?:** Yes

- **Item B.5.a.i - Full name of family of investment companies:** The Vanguard Group, Inc.

### Item B.6 - Organization

- [x] a. Open-end management investment company registered under the Act on Form N-1A

- [ ] b. Closed-end management investment company registered under the Act on Form N-2

- [ ] c. Separate account offering variable annuity contracts which is registered under the Act as a management investment company on Form N-3

- [ ] d. Separate account offering variable annuity contracts which is registered under the Act as a unit investment trust on Form N-4

- [ ] e. Small business investment company registered under the Act on Form N-5

- [ ] f. Separate account offering variable insurance contracts which is registered under the Act as a unit investment trust on Form N-6

- [ ] g. Unit investment trust registered under the Act on Form N-8B-2

- **Item B.6.i - Total number of Series:** 7

- **Item B.7 - Is the Registrant the issuer of a class of securities registered under the Securities Act?:** Yes

### Item B.8 - Directors

| Name                | Is Interested Person?   | Other Investment Company File Numbers                                                                                                                                                                                                                                                                                                                                                   |
|:---|:---|:---|
| Scott C. Malpass    | No                      | 811-00834, 811-05340, 811-22619, 811-05628, 811-04571, 811-01530, 811-07803, 811-22114, 811-07239, 811-03919, 811-04098, 811-02968-99, 811-00121, 811-04570, 811-02554, 811-07043, 811-58431, 811-02652, 811-06093, 811-04526, 811-03916, 811-02687, 811-06083, 811-01766, 811-04474, 811-01027, 811-05962, 811-05972, 811-09005, 811-05445, 811-21478, 811-07443, 811-02368, 811-07175 |
| Mark Loughridge     | No                      | 811-01530, 811-05340, 811-06083, 811-07803, 811-02554, 811-02652, 811-05972, 811-04474, 811-02968-99, 811-06093, 811-00834, 811-07043, 811-05445, 811-05962, 811-01766, 811-07175, 811-04098, 811-04570, 811-04526, 811-01027, 811-05628, 811-07443, 811-03919, 811-02687, 811-03916, 811-21478, 811-22114, 811-07239, 811-09005, 811-22619, 811-58431, 811-00121, 811-02368, 811-04571 |
| Peter F. Volanakis  | No                      | 811-04098, 811-01766, 811-07175, 811-58431, 811-22619, 811-02652, 811-07443, 811-02368, 811-21478, 811-04571, 811-01027, 811-06083, 811-05340, 811-07239, 811-04526, 811-07043, 811-07803, 811-02687, 811-05628, 811-05445, 811-00121, 811-00834, 811-22114, 811-05972, 811-02554, 811-04570, 811-09005, 811-03919, 811-05962, 811-04474, 811-03916, 811-01530, 811-06093, 811-02968-99 |
| Andre F. Perold     | No                      | 811-58431, 811-02368, 811-02968-99, 811-07043, 811-01027, 811-02652, 811-02687, 811-00121, 811-06093, 811-04526, 811-02554, 811-05962, 811-03916, 811-07443, 811-07803, 811-05628, 811-04474, 811-00834, 811-05445, 811-22619, 811-07175, 811-01766, 811-01530, 811-04098, 811-21478, 811-09005, 811-07239, 811-05972, 811-05340, 811-04570, 811-06083, 811-03919, 811-04571, 811-22114 |
| Emerson U. Fullwood | No                      | 811-21478, 811-03919, 811-22114, 811-04474, 811-58431, 811-07803, 811-02652, 811-01530, 811-02554, 811-07443, 811-00834, 811-01766, 811-04571, 811-01027, 811-05962, 811-04570, 811-05340, 811-22619, 811-05972, 811-04526, 811-06083, 811-06093, 811-03916, 811-09005, 811-04098, 811-07239, 811-02968-99, 811-07175, 811-07043, 811-02368, 811-00121, 811-02687, 811-05445, 811-05628 |
| David Thomas        | No                      | 811-09005, 811-07443, 811-05972, 811-01530, 811-02554, 811-07175, 811-07239, 811-03916, 811-06093, 811-01027, 811-04570, 811-04571, 811-21478, 811-00834, 811-04526, 811-02652, 811-05445, 811-02368, 811-05340, 811-06083, 811-02968-99, 811-07803, 811-58431, 811-02687, 811-22114, 811-04474, 811-03919, 811-01766, 811-07043, 811-05628, 811-05962, 811-04098, 811-22619, 811-00121 |
| Tara Bunch          | No                      | 811-04526, 811-05445, 811-00121, 811-05962, 811-06093, 811-22619, 811-02687, 811-02968-99, 811-04474, 811-02554, 811-04570, 811-03916, 811-05972, 811-04098, 811-07175, 811-03919, 811-07443, 811-02368, 811-04571, 811-22114, 811-01530, 811-05340, 811-01027, 811-07043, 811-09005, 811-02652, 811-05628, 811-58431, 811-06083, 811-01766, 811-21478, 811-07239, 811-00834, 811-07803 |
| Mortimer J. Buckley | Yes                     | 811-02687, 811-05445, 811-00121, 811-22114, 811-01530, 811-04571, 811-05962, 811-07043, 811-02554, 811-04570, 811-02652, 811-06083, 811-09005, 811-02968-99, 811-01766, 811-07175, 811-03916, 811-21478, 811-06093, 811-01027, 811-07239, 811-04474, 811-02368, 811-07803, 811-03919, 811-04526, 811-05972, 811-58431, 811-07443, 811-00834, 811-22619, 811-05628, 811-05340, 811-04098 |
| Deanna Mulligan     | No                      | 811-09005, 811-05628, 811-04526, 811-06083, 811-07803, 811-00834, 811-01530, 811-07239, 811-07443, 811-02687, 811-02652, 811-04570, 811-00121, 811-03919, 811-07043, 811-04098, 811-04474, 811-05340, 811-03916, 811-06093, 811-02368, 811-58431, 811-05445, 811-22114, 811-01027, 811-05972, 811-01766, 811-02554, 811-21478, 811-04571, 811-02968-99, 811-07175, 811-05962, 811-22619 |
| Sarah Bloom Raskin  | No                      | 811-04571, 811-05972, 811-01530, 811-02554, 811-06083, 811-22114, 811-02652, 811-03919, 811-07443, 811-09005, 811-05340, 811-58431, 811-07043, 811-01027, 811-00121, 811-05628, 811-06093, 811-02968-99, 811-04474, 811-04098, 811-01766, 811-04570, 811-21478, 811-07175, 811-00834, 811-07803, 811-02368, 811-07239, 811-03916, 811-05445, 811-02687, 811-04526, 811-05962, 811-22619 |
| F. Joseph Loughrey  | No                      | 811-22619, 811-03919, 811-06093, 811-03916, 811-05340, 811-09005, 811-07803, 811-04098, 811-04570, 811-00834, 811-02687, 811-02554, 811-04571, 811-01530, 811-02968-99, 811-22114, 811-07239, 811-05445, 811-05628, 811-07443, 811-06083, 811-07043, 811-04526, 811-21478, 811-04474, 811-05962, 811-02652, 811-05972, 811-02368, 811-07175, 811-01027, 811-01766, 811-00121, 811-58431 |

### Item B.9. Chief compliance officer.

**Chief compliance officer Record: 1**

- **a. Full Name:** Jacqueline Angell

- **b. CRD Number, if any:** 005606776

- **c. Street Address 1:** 100 Vanguard Boulevard

- **d. City:** Malvern

- **e. State, if applicable:** PA

- **f. Foreign country, if applicable:** US

- **g. Zip code:** 19355

- **h. Telephone number:** XXXXXX

- **i. Has the chief compliance officer changed since the last filing?:** Yes

If the chief compliance officer is compensated or employed by any person other than the Registrant, provide:

**CCO employer Record: 1**

- **i. Name of the person:** —

- **ii. Person’s IRS Employer Identification Number:** —

### Item B.10. Matters for security holder vote.

- **Were any matters submitted by the Registrant for its security holders’ vote during the reporting period?** No

- **Item B.11.a - Have there been any material legal proceedings?:** No

- **Item B.11.b - Has any proceeding previously reported been terminated?:** No

- **Item B.12.a - Were any claims with respect to the Registrant filed under a fidelity bond?:** No

- **Item B.13.a - Are the Registrant's officers or directors covered under any insurance policy?:** Yes

- **Item B.13.a.i - If yes, were any claims filed under the policy during the reporting period?:** No

- **Item B.14 - Did an affiliated person provide any form of financial support to the Registrant?:** No

- **Item B.15.a.i - Release numbers:**
  - IC-9664
  - IC-27386
  - IC-8676
  - IC-27773
  - IC-9001
  - IC-19184
  - IC-26436
  - IC-11645
  - IC-9205

### Item B.16. Principal underwriters.

**Principal underwriter Record: 1**

- **i. Full name:** VANGUARD MARKETING CORP.

- **ii. SEC file number:** 8-21570

- **iii. CRD number:** 000007452

- **iv. LEI, if any:** N/A

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Is the principal underwriter an affiliated person...?:** Yes

- **b. Have any principal underwriters been hired or terminated during the reporting period?** No

### Item B.17. Independent public accountant.

**Public accountant Record: 1**

- **a. Full Name:** PRICEWATERHOUSECOOPERS LLP

- **b. PCAOB Number:** 000000238

- **c. LEI, if any:** 5493002GVO7EO8RNNS37

- **d. State, if applicable:** PA

- **e. Foreign country, if applicable:** US

- **f. Has the independent public accountant changed since the last filing?** No

- **Item B.18 - Did an independent public accountant's report on internal control note any material weaknesses?:** No

- **Item B.19 - Did an independent public accountant issue an opinion other than an unqualified opinion?:** No

- **Item B.20 - Have there been material changes in the method of valuation?:** No

- **Item B.21 - Have there been any changes in accounting principles or practices?:** No

- **Item B.22.a - Were any payments made to shareholders as a result of an error in calculating NAV?:** No

- **Item B.23 - Did the Registrant pay any dividend or make any distribution required to be accompanied by a written statement?:** No

## Part C: Additional Questions for Management Investment Companies

### Management Investment Record: 1 - VANGUARD INFLATION-PROTECTED SECURITIES FUND

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD INFLATION-PROTECTED SECURITIES FUND

- **b. Series identification number, if any:** S000019554

- **c. LEI:** F8K6630RFYVJPTW32U17

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 3

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Institutional Shares    | C000054351                                | VIPIX                        |
|                           2 | Admiral Shares          | C000054350                                | VAIPX                        |
|                           3 | Investor Shares         | C000054349                                | VIPSX                        |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [x] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** —

- **g. Provide the net income from securities lending activities:** —

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- 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))

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Refinitiv US LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** JPMorgan Chase Bank

- **ii. LEI, if any, or provide and describe other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** Markit North America INC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-4153988

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-36687789

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NJ

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** Markit Group Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 6**

- **i. Full name:** Bloomberg Finance LP

- **ii. LEI, if any, or provide and describe other identifying number:** 5493001KJTIIGC8Y1R12

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 7**

- **i. Full name:** ITG Analytics Inc

- **ii. LEI, if any, or provide and describe other identifying number:** 41-2190282

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** JPMorgan Chase Bank NA

- **ii. LEI, if any:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

**Shareholder Servicing Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the shareholder servicing agent an affiliated person?:** Yes

- **vi. Is the shareholder servicing agent a sub-shareholder servicing agent?:** No

- **b. Has a shareholder servicing agent been hired or terminated during the reporting period?** No

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. LEI, if any, or other identifying number:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vi. Is the administrator a sub-administrator?:** No

**Administrators Record: 2**

- **i. Full name:** JPMORGAN CHASE BANK, N.A.

- **ii. LEI, if any, or other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** Yes

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

No Brokers reported.

**Item C.17.a. Principal transaction counterparties.**

| Name                                  | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Wells Fargo Securities, LLC           | 008-22947         | 000007665    | VYVVCKR63DVZZN70PB21 | NC      | US        | $1,713,792,061.05         |
| J.P. Morgan Securities LLC            | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $2,677,882,300.57         |
| Deutsche Bank Securities Inc.         | 008-17822         | 000002525    | 9J6MBOOO7BECTDTUZW19 | NY      | US        | $2,549,269,255.99         |
| Vanguard Market Liquidity Fund        | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $16,777,032,886.84        |
| Citigroup Global Markets Inc.         | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $2,349,126,581.37         |
| Barclays Capital Inc.                 | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $2,880,530,476.72         |
| Credit Agricole Securities (USA) Inc. | 008-13753         | 000000190    | 549300WO2DKF0Q3YMV43 | NY      | US        | $3,360,186,299.87         |
| Goldman Sachs & Co. LLC               | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $2,493,488,240.22         |
| UBS Securities LLC                    | 008-22651         | 000007654    | T6FIZBDPKLYJKFCRVK44 | NY      | US        | $2,147,355,272.49         |
| Morgan Stanley & Co. LLC              | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $2,194,917,197.14         |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $43,601,901,705.18

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $36,847,931,007.73

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **a. Does the Fund have available a line of credit?** Yes

**If yes, for each line of credit, provide the information requested below:**

**Line of Credit details Record: 1**

- **i. Is the line of credit a committed or uncommitted line of credit?** Committed

- **ii. What size is the line of credit?** $4,385,000,000.00

- **iii. With which institution(s) is the line of credit?**

  - **Line Institutions Record: 1 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 2 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 3 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 4 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 5 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 6 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 7 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 8 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 9 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 10 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 11 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 12 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 13 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 14 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 15 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 16 Name of institution:** Societe Generale

  - **Line Institutions Record: 17 Name of institution:** BNP Paribas

  - **Line Institutions Record: 18 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 19 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 20 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 21 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 22 Name of institution:** JPMorgan Chase Bank, N.A.

- **iv. Is the line of credit just for the Fund, or is it shared among multiple funds?** Shared

  - **1. If shared, list the names of other funds that may use the line of credit:**

| Name of fund                                                  | SEC File number   |
|:---|:---|
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Balanced Portfolio                                   | 811-05962         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

**Item C.21. Swing pricing.**

- **a. Did the Fund (if not a Money Market Fund, Exchange-Traded Fund, or Exchange-Traded Managed Fund) engage in swing pricing?** No

### Management Investment Record: 2 - VANGUARD LONG-TERM BOND INDEX FUND

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD LONG-TERM BOND INDEX FUND

- **b. Series identification number, if any:** S000002562

- **c. LEI:** YR27VTYY4DXT8BLRVZ12

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 4

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class     | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Institutional Shares      | C000024522                                | VBLLX                        |
|                           2 | ETF Shares                | C000046842                                | BLV                          |
|                           3 | Institutional Plus Shares | C000105309                                | VBLIX                        |
|                           4 | Admiral Shares            | C000209800                                | VBLAX                        |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** —

- **g. Provide the net income from securities lending activities:** —

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- 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))

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Markit Group Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** Bloomberg Finance LP

- **ii. LEI, if any, or provide and describe other identifying number:** 5493001KJTIIGC8Y1R12

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** Markit North America INC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-4153988

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** ITG Analytics Inc

- **ii. LEI, if any, or provide and describe other identifying number:** 41-2190282

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-36687789

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NJ

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 6**

- **i. Full name:** Refinitiv US LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 7**

- **i. Full name:** JPMorgan Chase Bank

- **ii. LEI, if any, or provide and describe other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** JPMorgan Chase Bank NA

- **ii. LEI, if any:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

**Custodians Record: 2**

- **i. Full name:** Euroclear

- **ii. LEI, if any:** 549300OZ46BRLZ8Y6F65

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

**Shareholder Servicing Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the shareholder servicing agent an affiliated person?:** Yes

- **vi. Is the shareholder servicing agent a sub-shareholder servicing agent?:** No

- **b. Has a shareholder servicing agent been hired or terminated during the reporting period?** No

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** JPMORGAN CHASE BANK, N.A.

- **ii. LEI, if any, or other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** Yes

**Administrators Record: 2**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any, or other identifying number:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

No Brokers reported.

**Item C.17.a. Principal transaction counterparties.**

| Name                           | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| BofA Securities, Inc.          | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $407,204,114.48           |
| J.P. Morgan Securities PLC     | N/A               | N/A          | K6Q0W1PS1L1O4IQL9C32 |  |  | $349,350,749.26           |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $1,619,009,595.00         |
| Morgan Stanley & Co. LLC       | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $244,069,499.98           |
| Goldman Sachs & Co. LLC        | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $802,981,371.94           |
| J.P. Morgan Securities LLC     | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $387,248,054.85           |
| Deutsche Bank Securities Inc.  | 008-17822         | 000002525    | 9J6MBOOO7BECTDTUZW19 | NY      | US        | $385,762,016.27           |
| Citigroup Global Markets Inc.  | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $293,985,939.57           |
| Barclays Capital Inc.          | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $242,302,625.68           |
| HSBC Securities (USA) Inc.     | 008-41562         | 000019585    | CYYGQCGNHMHPSMRL3R97 | NY      | US        | $471,433,761.36           |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $6,208,556,458.72

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $8,571,570,640.89

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **a. Does the Fund have available a line of credit?** Yes

**If yes, for each line of credit, provide the information requested below:**

**Line of Credit details Record: 1**

- **i. Is the line of credit a committed or uncommitted line of credit?** Committed

- **ii. What size is the line of credit?** $4,385,000,000.00

- **iii. With which institution(s) is the line of credit?**

  - **Line Institutions Record: 1 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 2 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 3 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 4 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 5 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 6 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 7 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 8 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 9 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 10 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 11 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 12 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 13 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 14 Name of institution:** Societe Generale

  - **Line Institutions Record: 15 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 16 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 17 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 18 Name of institution:** BNP Paribas

  - **Line Institutions Record: 19 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 20 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 21 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 22 Name of institution:** Barclays Bank plc

- **iv. Is the line of credit just for the Fund, or is it shared among multiple funds?** Shared

  - **1. If shared, list the names of other funds that may use the line of credit:**

| Name of fund                                                  | SEC File number   |
|:---|:---|
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 3 - VANGUARD SHORT-TERM BOND INDEX FUND

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD SHORT-TERM BOND INDEX FUND

- **b. Series identification number, if any:** S000002563

- **c. LEI:** 8HCQSCIN7KY15DIET796

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 5

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class     | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Institutional Shares      | C000105310                                | VBITX                        |
|                           2 | ETF Shares                | C000046843                                | BSV                          |
|                           3 | Institutional Plus Shares | C000105311                                | VBIPX                        |
|                           4 | Admiral Shares            | C000007061                                | VBIRX                        |
|                           5 | Investor Shares           | C000007060                                | VBISX                        |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** —

- **g. Provide the net income from securities lending activities:** —

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 17a-7 (17 CFR 270.17a-7)

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))

- Rule 12d1-4 (17 CFR 270.12d1-4)

- Rule 32a-4 (17 CFR 270.32a-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Bloomberg Finance LP

- **ii. LEI, if any, or provide and describe other identifying number:** 5493001KJTIIGC8Y1R12

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** Markit Group Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-36687789

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NJ

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** Refinitiv US LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** Markit North America INC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-4153988

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 6**

- **i. Full name:** ITG Analytics Inc

- **ii. LEI, if any, or provide and describe other identifying number:** 41-2190282

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 7**

- **i. Full name:** JPMorgan Chase Bank

- **ii. LEI, if any, or provide and describe other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** JPMorgan Chase Bank NA

- **ii. LEI, if any:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

**Shareholder Servicing Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the shareholder servicing agent an affiliated person?:** Yes

- **vi. Is the shareholder servicing agent a sub-shareholder servicing agent?:** No

- **b. Has a shareholder servicing agent been hired or terminated during the reporting period?** No

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any, or other identifying number:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vi. Is the administrator a sub-administrator?:** No

**Administrators Record: 2**

- **i. Full name:** JPMORGAN CHASE BANK, N.A.

- **ii. LEI, if any, or other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** Yes

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

No Brokers reported.

**Item C.17.a. Principal transaction counterparties.**

| Name                               | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Credit Suisse Securities (USA) LLC | 008-00422         | 000000816    | 1V8Y6QCX6YMJ2OELII46 | NY      | US        | $2,449,786,006.59         |
| J.P. Morgan Securities LLC         | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $4,188,548,454.29         |
| Citigroup Global Markets Inc.      | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $4,692,428,168.79         |
| J.P. Morgan Securities PLC         | N/A               | N/A          | K6Q0W1PS1L1O4IQL9C32 |  |  | $4,867,631,917.70         |
| Deutsche Bank Securities Inc.      | 008-17822         | 000002525    | 9J6MBOOO7BECTDTUZW19 | NY      | US        | $4,158,957,334.04         |
| Goldman Sachs & Co. LLC            | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $7,912,556,151.14         |
| Vanguard Market Liquidity Fund     | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $12,342,275,915.74        |
| Morgan Stanley & Co. LLC           | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $4,311,245,376.28         |
| HSBC Securities (USA) Inc.         | 008-41562         | 000019585    | CYYGQCGNHMHPSMRL3R97 | NY      | US        | $4,600,620,056.39         |
| Wells Fargo Securities, LLC        | 008-22947         | 000007665    | VYVVCKR63DVZZN70PB21 | NC      | US        | $2,855,065,263.79         |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $69,956,150,180.46

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $68,162,198,499.47

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **a. Does the Fund have available a line of credit?** Yes

**If yes, for each line of credit, provide the information requested below:**

**Line of Credit details Record: 1**

- **i. Is the line of credit a committed or uncommitted line of credit?** Committed

- **ii. What size is the line of credit?** $4,385,000,000.00

- **iii. With which institution(s) is the line of credit?**

  - **Line Institutions Record: 1 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 2 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 3 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 4 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 5 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 6 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 7 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 8 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 9 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 10 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 11 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 12 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 13 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 14 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 15 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 16 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 17 Name of institution:** Societe Generale

  - **Line Institutions Record: 18 Name of institution:** BNP Paribas

  - **Line Institutions Record: 19 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 20 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 21 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 22 Name of institution:** The Northern Trust Company

- **iv. Is the line of credit just for the Fund, or is it shared among multiple funds?** Shared

  - **1. If shared, list the names of other funds that may use the line of credit:**

| Name of fund                                                  | SEC File number   |
|:---|:---|
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 4 - VANGUARD INTERMEDIATE-TERM BOND INDEX FUND

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD INTERMEDIATE-TERM BOND INDEX FUND

- **b. Series identification number, if any:** S000002561

- **c. LEI:** 88SDBTPMKCC30PH6VU70

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 5

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class     | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares                | C000046841                                | BIV                          |
|                           2 | Investor Shares           | C000007057                                | VBIIX                        |
|                           3 | Institutional Shares      | C000024520                                | VBIMX                        |
|                           4 | Institutional Plus Shares | C000105308                                | VBIUX                        |
|                           5 | Admiral Shares            | C000007058                                | VBILX                        |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** —

- **g. Provide the net income from securities lending activities:** —

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 17a-7 (17 CFR 270.17a-7)

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))

- Rule 12d1-4 (17 CFR 270.12d1-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Markit North America INC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-4153988

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** JPMorgan Chase Bank

- **ii. LEI, if any, or provide and describe other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** ITG Analytics Inc

- **ii. LEI, if any, or provide and describe other identifying number:** 41-2190282

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** Markit Group Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-36687789

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NJ

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 6**

- **i. Full name:** Refinitiv US LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 7**

- **i. Full name:** Bloomberg Finance LP

- **ii. LEI, if any, or provide and describe other identifying number:** 5493001KJTIIGC8Y1R12

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** JPMorgan Chase Bank NA

- **ii. LEI, if any:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

**Shareholder Servicing Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the shareholder servicing agent an affiliated person?:** Yes

- **vi. Is the shareholder servicing agent a sub-shareholder servicing agent?:** No

- **b. Has a shareholder servicing agent been hired or terminated during the reporting period?** No

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** JPMORGAN CHASE BANK, N.A.

- **ii. LEI, if any, or other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** Yes

**Administrators Record: 2**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any, or other identifying number:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

No Brokers reported.

**Item C.17.a. Principal transaction counterparties.**

| Name                               | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| J.P. Morgan Securities PLC         | N/A               | N/A          | K6Q0W1PS1L1O4IQL9C32 |  |  | $5,333,969,975.54         |
| Goldman Sachs & Co. LLC            | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $4,502,308,217.55         |
| Deutsche Bank Securities Inc.      | 008-17822         | 000002525    | 9J6MBOOO7BECTDTUZW19 | NY      | US        | $1,649,420,102.10         |
| J.P. Morgan Securities LLC         | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $1,542,426,739.85         |
| Morgan Stanley & Co. LLC           | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $2,291,696,986.04         |
| BofA Securities, Inc.              | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $1,585,865,146.48         |
| Credit Suisse Securities (USA) LLC | 008-00422         | 000000816    | 1V8Y6QCX6YMJ2OELII46 | NY      | US        | $1,655,368,278.36         |
| HSBC Securities (USA) Inc.         | 008-41562         | 000019585    | CYYGQCGNHMHPSMRL3R97 | NY      | US        | $2,832,781,413.58         |
| Vanguard Market Liquidity Fund     | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $5,185,399,858.20         |
| Citigroup Global Markets Inc.      | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $1,811,289,507.85         |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $36,452,343,922.94

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $33,818,358,773.12

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **a. Does the Fund have available a line of credit?** Yes

**If yes, for each line of credit, provide the information requested below:**

**Line of Credit details Record: 1**

- **i. Is the line of credit a committed or uncommitted line of credit?** Committed

- **ii. What size is the line of credit?** $4,385,000,000.00

- **iii. With which institution(s) is the line of credit?**

  - **Line Institutions Record: 1 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 2 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 3 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 4 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 5 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 6 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 7 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 8 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 9 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 10 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 11 Name of institution:** BNP Paribas

  - **Line Institutions Record: 12 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 13 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 14 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 15 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 16 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 17 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 18 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 19 Name of institution:** Societe Generale

  - **Line Institutions Record: 20 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 21 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 22 Name of institution:** JPMorgan Chase Bank, N.A.

- **iv. Is the line of credit just for the Fund, or is it shared among multiple funds?** Shared

  - **1. If shared, list the names of other funds that may use the line of credit:**

| Name of fund                                                  | SEC File number   |
|:---|:---|
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Financials Index Fund                                | 811-01027         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 5 - VANGUARD ULTRA-SHORT BOND ETF

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD ULTRA-SHORT BOND ETF

- **b. Series identification number, if any:** S000071399

- **c. LEI:** 5493007JE7V8J9D1LN10

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 1

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares              | C000226472                                | VUSB                         |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** —

- **g. Provide the net income from securities lending activities:** —

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- 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 6c-11 (17 CFR 270.6c-11)

- Rule 12d1-4 (17 CFR 270.12d1-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** ITG Analytics Inc

- **ii. LEI, if any, or provide and describe other identifying number:** 41-2190282

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** Bloomberg Finance LP

- **ii. LEI, if any, or provide and describe other identifying number:** 5493001KJTIIGC8Y1R12

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** Refinitiv US LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** Markit North America INC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-4153988

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** JPMorgan Chase Bank

- **ii. LEI, if any, or provide and describe other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 6**

- **i. Full name:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-36687789

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NJ

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 7**

- **i. Full name:** Markit Group Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** State Street Bank and Trust Company, United Kingdom branch

- **ii. LEI, if any:** 213800YAZLPV26WFM449

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 2**

- **i. Full name:** State Street Bank and Trust Company

- **ii. LEI, if any:** 571474TGEMMWANRLN572

- **iii. State, if applicable:** MA

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

**Custodians Record: 3**

- **i. Full name:** The Hongkong and Shanghai Banking Corporation Limited

- **ii. LEI, if any:** 2HI3YI5320L3RW6NJ957

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 4**

- **i. Full name:** Citibank Europe plc, Dublin Romania Branch

- **ii. LEI, if any:** N1FBEDJ5J41VKZLO2475

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 5**

- **i. Full name:** Banco Nacional de Mexico, S.A.

- **ii. LEI, if any:** 2SFFM4FUIE05S37WFU55

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 6**

- **i. Full name:** UniCredit Bank Hungary Zrt.

- **ii. LEI, if any:** Y28RT6GGYJ696PMW8T44

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 7**

- **i. Full name:** Cititrust Colombia S.A. Sociedad Fiduciaria

- **ii. LEI, if any:** SSER7O0CV66FF0PRYK94

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 8**

- **i. Full name:** The Hongkong and Shanghai Banking Corporation Limited

- **ii. LEI, if any:** 2HI3YI5320L3RW6NJ957

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 9**

- **i. Full name:** Standard Chartered Bank (Hong Kong) Limited

- **ii. LEI, if any:** X5AV1MBDXGRPX5UGMX13

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 10**

- **i. Full name:** State Street Trust Company Canada

- **ii. LEI, if any:** 549300L71XG2CTQ2V827

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 11**

- **i. Full name:** Euroclear Bank S.A./N.V.

- **ii. LEI, if any:** 549300OZ46BRLZ8Y6F65

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)

**Custodians Record: 12**

- **i. Full name:** Standard Chartered Bank

- **ii. LEI, if any:** RILFO74KP1CM8P6PCT96

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 13**

- **i. Full name:** The Hongkong and Shanghai Banking Corporation Limited

- **ii. LEI, if any:** 2HI3YI5320L3RW6NJ957

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

**Shareholder Servicing Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the shareholder servicing agent an affiliated person?:** Yes

- **vi. Is the shareholder servicing agent a sub-shareholder servicing agent?:** No

- **b. Has a shareholder servicing agent been hired or terminated during the reporting period?** No

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** State Street Bank and Trust Company

- **ii. LEI, if any, or other identifying number:** 571474TGEMMWANRLN572

- **iii. State, if applicable:** MA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** Yes

**Administrators Record: 2**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any, or other identifying number:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

No Brokers reported.

**Item C.17.a. Principal transaction counterparties.**

| Name                                  | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Goldman Sachs & Co. LLC               | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $691,036,747.14           |
| State Street Global Markets, LLC      | 008-69862         | 000285852    | 549300FDEDF5ORXCMQ56 | MA      | US        | $412,326,299.54           |
| Morgan Stanley & Co. LLC              | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $451,369,454.99           |
| BofA Securities, Inc.                 | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $1,231,392,827.35         |
| Citigroup Global Markets Inc.         | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $1,047,065,548.59         |
| Barclays Capital Inc.                 | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $207,344,239.94           |
| Nomura Securities International, Inc. | 008-15255         | 000004297    | OXTKY6Q8X53C9ILVV871 | NY      | US        | $668,121,959.78           |
| Wells Fargo Securities, LLC           | 008-22947         | 000007665    | VYVVCKR63DVZZN70PB21 | NC      | US        | $602,834,776.37           |
| Vanguard Market Liquidity Fund        | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $3,562,510,727.00         |
| J.P. Morgan Securities LLC            | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $517,348,613.86           |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $11,237,209,576.20

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $2,723,327,416.19

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **a. Does the Fund have available a line of credit?** Yes

**If yes, for each line of credit, provide the information requested below:**

**Line of Credit details Record: 1**

- **i. Is the line of credit a committed or uncommitted line of credit?** Committed

- **ii. What size is the line of credit?** $4,385,000,000.00

- **iii. With which institution(s) is the line of credit?**

  - **Line Institutions Record: 1 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 2 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 3 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 4 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 5 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 6 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 7 Name of institution:** BNP Paribas

  - **Line Institutions Record: 8 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 9 Name of institution:** Societe Generale

  - **Line Institutions Record: 10 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 11 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 12 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 13 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 14 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 15 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 16 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 17 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 18 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 19 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 20 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 21 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 22 Name of institution:** Goldman Sachs Bank USA

- **iv. Is the line of credit just for the Fund, or is it shared among multiple funds?** Shared

  - **1. If shared, list the names of other funds that may use the line of credit:**

| Name of fund                                                  | SEC File number   |
|:---|:---|
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 6 - VANGUARD TOTAL BOND MARKET II INDEX FUND

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD TOTAL BOND MARKET II INDEX FUND

- **b. Series identification number, if any:** S000025158

- **c. LEI:** E3F24BZCDA1UXGFMYX67

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 2

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Investor Shares         | C000075027                                | VTBIX                        |
|                           2 | Institutional Shares    | C000075028                                | VTBNX                        |

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** —

- **g. Provide the net income from securities lending activities:** —

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 17a-7 (17 CFR 270.17a-7)

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))

- Rule 12d1-4 (17 CFR 270.12d1-4)

- Rule 18f-4(f)(17 CFR 270.18f-4(f))

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-36687789

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NJ

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** Bloomberg Finance LP

- **ii. LEI, if any, or provide and describe other identifying number:** 5493001KJTIIGC8Y1R12

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** Refinitiv US LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** JPMorgan Chase Bank

- **ii. LEI, if any, or provide and describe other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** Markit North America INC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-4153988

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 6**

- **i. Full name:** Markit Group Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 7**

- **i. Full name:** ITG Analytics Inc

- **ii. LEI, if any, or provide and describe other identifying number:** 41-2190282

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** JPMorgan Chase Bank NA

- **ii. LEI, if any:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

**Shareholder Servicing Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the shareholder servicing agent an affiliated person?:** Yes

- **vi. Is the shareholder servicing agent a sub-shareholder servicing agent?:** No

- **b. Has a shareholder servicing agent been hired or terminated during the reporting period?** No

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any, or other identifying number:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vi. Is the administrator a sub-administrator?:** No

**Administrators Record: 2**

- **i. Full name:** JPMORGAN CHASE BANK, N.A.

- **ii. LEI, if any, or other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** Yes

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

No Brokers reported.

**Item C.17.a. Principal transaction counterparties.**

| Name                                  | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Vanguard Market Liquidity Fund        | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $49,844,784,337.00        |
| J.P. Morgan Securities LLC            | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $23,099,969,393.59        |
| Goldman Sachs & Co. LLC               | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $38,348,313,495.37        |
| Wells Fargo Securities, LLC           | 008-22947         | 000007665    | VYVVCKR63DVZZN70PB21 | NC      | US        | $13,846,001,730.07        |
| BofA Securities, Inc.                 | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $17,999,443,951.90        |
| Credit Suisse Securities (USA) LLC    | 008-00422         | 000000816    | 1V8Y6QCX6YMJ2OELII46 | NY      | US        | $13,032,053,113.60        |
| HSBC Securities (USA) Inc.            | 008-41562         | 000019585    | CYYGQCGNHMHPSMRL3R97 | NY      | US        | $11,702,607,341.14        |
| Nomura Securities International, Inc. | 008-15255         | 000004297    | OXTKY6Q8X53C9ILVV871 | NY      | US        | $11,877,302,334.64        |
| Morgan Stanley & Co. LLC              | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $32,409,061,946.53        |
| Citigroup Global Markets Inc.         | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $17,922,211,274.09        |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $292,976,443,874.65

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $233,565,394,316.48

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **a. Does the Fund have available a line of credit?** Yes

**If yes, for each line of credit, provide the information requested below:**

**Line of Credit details Record: 1**

- **i. Is the line of credit a committed or uncommitted line of credit?** Committed

- **ii. What size is the line of credit?** $4,385,000,000.00

- **iii. With which institution(s) is the line of credit?**

  - **Line Institutions Record: 1 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 2 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 3 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 4 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 5 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 6 Name of institution:** Societe Generale

  - **Line Institutions Record: 7 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 8 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 9 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 10 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 11 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 12 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 13 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 14 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 15 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 16 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 17 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 18 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 19 Name of institution:** BNP Paribas

  - **Line Institutions Record: 20 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 21 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 22 Name of institution:** The Bank of New York Mellon

- **iv. Is the line of credit just for the Fund, or is it shared among multiple funds?** Shared

  - **1. If shared, list the names of other funds that may use the line of credit:**

| Name of fund                                                  | SEC File number   |
|:---|:---|
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

**Item C.21. Swing pricing.**

- **a. Did the Fund (if not a Money Market Fund, Exchange-Traded Fund, or Exchange-Traded Managed Fund) engage in swing pricing?** No

### Management Investment Record: 7 - VANGUARD TOTAL BOND MARKET INDEX FUND

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD TOTAL BOND MARKET INDEX FUND

- **b. Series identification number, if any:** S000002564

- **c. LEI:** CIJB0QNLPT2SSWMJ5W92

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 6

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class       | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Institutional Select Shares | C000170279                                | VTBSX                        |
|                           2 | Institutional Plus Shares   | C000081425                                | VBMPX                        |
|                           3 | Admiral Shares              | C000007063                                | VBTLX                        |
|                           4 | Institutional Shares        | C000007064                                | VBTIX                        |
|                           5 | Investor Shares             | C000007062                                | VBMFX                        |
|                           6 | ETF Shares                  | C000046844                                | BND                          |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** —

- **g. Provide the net income from securities lending activities:** —

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- 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))

- Rule 18f-4(f)(17 CFR 270.18f-4(f))

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Refinitiv US LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** ITG Analytics Inc

- **ii. LEI, if any, or provide and describe other identifying number:** 41-2190282

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** Markit Group Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-36687789

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NJ

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** JPMorgan Chase Bank

- **ii. LEI, if any, or provide and describe other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 6**

- **i. Full name:** Bloomberg Finance LP

- **ii. LEI, if any, or provide and describe other identifying number:** 5493001KJTIIGC8Y1R12

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 7**

- **i. Full name:** Markit North America INC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-4153988

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** JPMorgan Chase Bank NA

- **ii. LEI, if any:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

**Shareholder Servicing Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the shareholder servicing agent an affiliated person?:** Yes

- **vi. Is the shareholder servicing agent a sub-shareholder servicing agent?:** No

- **b. Has a shareholder servicing agent been hired or terminated during the reporting period?** No

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. LEI, if any, or other identifying number:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vi. Is the administrator a sub-administrator?:** No

**Administrators Record: 2**

- **i. Full name:** JPMORGAN CHASE BANK, N.A.

- **ii. LEI, if any, or other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** Yes

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

No Brokers reported.

**Item C.17.a. Principal transaction counterparties.**

| Name                                  | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| J.P. Morgan Securities LLC            | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $23,672,992,326.06        |
| Wells Fargo Securities, LLC           | 008-22947         | 000007665    | VYVVCKR63DVZZN70PB21 | NC      | US        | $12,391,564,940.67        |
| Nomura Securities International, Inc. | 008-15255         | 000004297    | OXTKY6Q8X53C9ILVV871 | NY      | US        | $14,065,097,660.69        |
| Credit Suisse Securities (USA) LLC    | 008-00422         | 000000816    | 1V8Y6QCX6YMJ2OELII46 | NY      | US        | $13,633,875,008.78        |
| BofA Securities, Inc.                 | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $14,585,697,110.12        |
| Morgan Stanley & Co. LLC              | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $32,105,604,388.55        |
| Citigroup Global Markets Inc.         | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $15,608,102,007.92        |
| Goldman Sachs & Co. LLC               | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $32,761,804,905.60        |
| Vanguard Market Liquidity Fund        | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $55,327,902,024.00        |
| Barclays Capital Inc.                 | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $11,597,747,521.00        |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $283,900,976,986.88

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $286,103,111,229.31

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **a. Does the Fund have available a line of credit?** Yes

**If yes, for each line of credit, provide the information requested below:**

**Line of Credit details Record: 1**

- **i. Is the line of credit a committed or uncommitted line of credit?** Committed

- **ii. What size is the line of credit?** $4,385,000,000.00

- **iii. With which institution(s) is the line of credit?**

  - **Line Institutions Record: 1 Name of institution:** BNP Paribas

  - **Line Institutions Record: 2 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 3 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 4 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 5 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 6 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 7 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 10 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 11 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 12 Name of institution:** Societe Generale

  - **Line Institutions Record: 13 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 14 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 15 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 16 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 17 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 18 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 19 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 20 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 21 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 22 Name of institution:** The Toronto-Dominion Bank, New York Branch

- **iv. Is the line of credit just for the Fund, or is it shared among multiple funds?** Shared

  - **1. If shared, list the names of other funds that may use the line of credit:**

| Name of fund                                                  | SEC File number   |
|:---|:---|
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

## Part E: Additional Questions for ETFs and ETMFs

### VANGUARD LONG-TERM BOND INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** BLV

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value   | Redeem Value    |
|:---|:---|:---|
| UBS                             | $0.00            | $0.00           |
| Cowen and Company LLC           | $0.00            | $0.00           |
| Wells Fargo                     | $0.00            | $0.00           |
| National Financial Services     | $0.00            | $0.00           |
| BMO Capital Markets             | $0.00            | $0.00           |
| Barclays Capital                | $0.00            | $0.00           |
| RBC                             | $0.00            | $0.00           |
| Bank of America                 | $0.00            | $0.00           |
| Nomura                          | $0.00            | $0.00           |
| State Street Global Mkts        | $0.00            | $0.00           |
| Jane Street                     | $198,834,356.10  | $91,005,750.00  |
| BNP Paribas Prime Brokerage Inc | $0.00            | $0.00           |
| SG Americas                     | $0.00            | $0.00           |
| Goldman Sachs                   | $280,142,050.00  | $129,015,700.00 |
| BNP Paribas                     | $0.00            | $0.00           |
| Timber Hill                     | $0.00            | $0.00           |
| Merrill Lynch Pro               | $437,365,100.00  | $455,228,650.00 |
| ABN AMRO Clearing               | $0.00            | $0.00           |
| Interactive Brokers             | $0.00            | $0.00           |
| Morgan Stanley                  | $0.00            | $0.00           |
| BNY Mellon Capital Markets      | $0.00            | $0.00           |
| Citadel Securities              | $0.00            | $0.00           |
| Virtu Financial                 | $0.00            | $0.00           |
| Merrill Lynch                   | $0.00            | $0.00           |
| Hudson River Trading            | $0.00            | $0.00           |
| JP Morgan                       | $158,013,150.00  | $712,655,200.00 |
| Deutsche Bank                   | $0.00            | $0.00           |
| CitiGroup                       | $0.00            | $0.00           |
| Jefferies Co                    | $0.00            | $0.00           |
| Credit Suisse                   | $0.00            | $0.00           |
| Cantor Fitzgerald Co            | $0.00            | $0.00           |
| Virtu Americas LLC              | $0.00            | $0.00           |
| HSBC Securities                 | $0.00            | $0.00           |
| Mizuho Securities USA           | $0.00            | $0.00           |
| Wedbush                         | $0.00            | $0.00           |
| EWT LLC                         | $0.00            | $0.00           |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 100,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.11%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD SHORT-TERM BOND INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** BSV

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Interactive Brokers             | $0.00             | $0.00             |
| Deutsche Bank                   | $0.00             | $0.00             |
| BNP Paribas                     | $0.00             | $0.00             |
| Barclays Capital                | $0.00             | $0.00             |
| Bank of America                 | $0.00             | $0.00             |
| JP Morgan                       | $4,582,779,445.60 | $8,604,761,091.43 |
| BMO Capital Markets             | $0.00             | $0.00             |
| Virtu Americas LLC              | $0.00             | $0.00             |
| Merrill Lynch Pro               | $3,092,661,602.00 | $1,326,595,450.00 |
| State Street Global Mkts        | $0.00             | $0.00             |
| Goldman Sachs                   | $1,903,448,550.00 | $1,166,862,550.00 |
| Nomura                          | $0.00             | $0.00             |
| Mizuho Securities USA           | $0.00             | $0.00             |
| Credit Suisse                   | $0.00             | $0.00             |
| Citadel Securities              | $0.00             | $0.00             |
| Hudson River Trading            | $0.00             | $0.00             |
| UBS                             | $0.00             | $0.00             |
| HSBC Securities                 | $0.00             | $0.00             |
| RBC                             | $0.00             | $0.00             |
| Timber Hill                     | $0.00             | $0.00             |
| SG Americas                     | $0.00             | $0.00             |
| National Financial Services     | $0.00             | $0.00             |
| Jefferies Co                    | $0.00             | $0.00             |
| Virtu Financial                 | $0.00             | $0.00             |
| Jane Street                     | $0.00             | $55,341,950.00    |
| Merrill Lynch                   | $0.00             | $0.00             |
| Wells Fargo                     | $0.00             | $0.00             |
| ABN AMRO Clearing               | $0.00             | $0.00             |
| Cowen and Company LLC           | $0.00             | $0.00             |
| EWT LLC                         | $0.00             | $0.00             |
| Morgan Stanley                  | $0.00             | $0.00             |
| CitiGroup                       | $0.00             | $0.00             |
| BNY Mellon Capital Markets      | $0.00             | $0.00             |
| Cantor Fitzgerald Co            | $0.00             | $0.00             |
| BNP Paribas Prime Brokerage Inc | $0.00             | $0.00             |
| Wedbush                         | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 100,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.01%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.01%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD INTERMEDIATE-TERM BOND INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** BIV

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Hudson River Trading            | $0.00             | $0.00             |
| Bank of America                 | $0.00             | $0.00             |
| National Financial Services     | $0.00             | $0.00             |
| Merrill Lynch                   | $0.00             | $0.00             |
| Timber Hill                     | $0.00             | $0.00             |
| Merrill Lynch Pro               | $1,628,001,750.00 | $204,889,400.00   |
| Morgan Stanley                  | $0.00             | $0.00             |
| Virtu Americas LLC              | $0.00             | $0.00             |
| RBC                             | $0.00             | $0.00             |
| Mizuho Securities USA           | $0.00             | $0.00             |
| Interactive Brokers             | $0.00             | $0.00             |
| BNY Mellon Capital Markets      | $0.00             | $0.00             |
| Deutsche Bank                   | $0.00             | $0.00             |
| CitiGroup                       | $0.00             | $0.00             |
| BMO Capital Markets             | $0.00             | $0.00             |
| Credit Suisse                   | $0.00             | $0.00             |
| Cantor Fitzgerald Co            | $0.00             | $0.00             |
| Jane Street                     | $121,658,450.00   | $43,457,850.00    |
| SG Americas                     | $0.00             | $0.00             |
| Citadel Securities              | $0.00             | $0.00             |
| UBS                             | $0.00             | $0.00             |
| State Street Global Mkts        | $0.00             | $0.00             |
| Barclays Capital                | $0.00             | $0.00             |
| JP Morgan                       | $791,034,965.00   | $1,855,074,208.30 |
| Wells Fargo                     | $0.00             | $0.00             |
| BNP Paribas                     | $0.00             | $0.00             |
| Cowen and Company LLC           | $0.00             | $0.00             |
| Wedbush                         | $0.00             | $0.00             |
| Goldman Sachs                   | $349,017,350.00   | $30,657,850.00    |
| Jefferies Co                    | $0.00             | $0.00             |
| EWT LLC                         | $0.00             | $0.00             |
| HSBC Securities                 | $0.00             | $0.00             |
| ABN AMRO Clearing               | $0.00             | $0.00             |
| Virtu Financial                 | $0.00             | $0.00             |
| BNP Paribas Prime Brokerage Inc | $0.00             | $0.00             |
| Nomura                          | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 100,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.00%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD ULTRA-SHORT BOND ETF

**Item E.1 - Exchange**

- **Exchange:** CBSX

- **Ticker:** VUSB

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value   | Redeem Value    |
|:---|:---|:---|
| Wells Fargo                     | $0.00            | $0.00           |
| BNY Mellon Capital Markets      | $39,889,034.50   | $12,272,450.00  |
| Cowen and Company LLC           | $0.00            | $0.00           |
| Hudson River Trading            | $0.00            | $0.00           |
| Citadel Securities              | $0.00            | $0.00           |
| Virtu Financial                 | $0.00            | $0.00           |
| SG Americas                     | $0.00            | $0.00           |
| RBC                             | $0.00            | $0.00           |
| Goldman Sachs                   | $448,413,160.93  | $24,609,900.00  |
| Jefferies Co                    | $0.00            | $0.00           |
| Deutsche Bank                   | $0.00            | $0.00           |
| CitiGroup                       | $22,114,851.75   | $4,890,400.00   |
| Wedbush                         | $0.00            | $0.00           |
| Mizuho Securities USA           | $0.00            | $0.00           |
| Nomura                          | $0.00            | $0.00           |
| Barclays Capital                | $0.00            | $0.00           |
| Merrill Lynch                   | $0.00            | $0.00           |
| Credit Suisse                   | $0.00            | $0.00           |
| Jane Street                     | $106,232,850.00  | $0.00           |
| Virtu Americas LLC              | $76,438,818.75   | $93,273,700.00  |
| Cantor Fitzgerald Co            | $0.00            | $0.00           |
| UBS                             | $0.00            | $0.00           |
| ABN AMRO Clearing               | $0.00            | $0.00           |
| JP Morgan                       | $621,489,322.12  | $123,994,850.00 |
| BNP Paribas Prime Brokerage Inc | $0.00            | $0.00           |
| Morgan Stanley                  | $0.00            | $0.00           |
| Merrill Lynch Pro               | $219,409,134.59  | $0.00           |
| BMO Capital Markets             | $0.00            | $0.00           |
| Mirae Asset Securities          | $0.00            | $0.00           |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 50,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.68%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.95%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.67%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD TOTAL BOND MARKET INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** BND

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Nomura                          | $0.00             | $0.00             |
| Morgan Stanley                  | $0.00             | $0.00             |
| Wedbush                         | $0.00             | $0.00             |
| BNP Paribas                     | $0.00             | $0.00             |
| BNP Paribas Prime Brokerage Inc | $0.00             | $0.00             |
| Virtu Americas LLC              | $0.00             | $0.00             |
| Merrill Lynch                   | $0.00             | $0.00             |
| RBC                             | $0.00             | $0.00             |
| Merrill Lynch Pro               | $5,843,739,629.57 | $143,419,900.00   |
| Wells Fargo                     | $0.00             | $0.00             |
| Jane Street                     | $154,275,091.34   | $231,774,529.80   |
| Goldman Sachs                   | $3,892,118,947.74 | $22,802,900.00    |
| Hudson River Trading            | $0.00             | $0.00             |
| UBS                             | $0.00             | $0.00             |
| State Street Global Mkts        | $0.00             | $0.00             |
| Cowen and Company LLC           | $0.00             | $0.00             |
| JP Morgan                       | $8,503,941,758.93 | $3,736,685,786.80 |
| National Financial Services     | $0.00             | $0.00             |
| Bank of America                 | $0.00             | $0.00             |
| Barclays Capital                | $0.00             | $0.00             |
| BNY Mellon Capital Markets      | $0.00             | $0.00             |
| BMO Capital Markets             | $0.00             | $0.00             |
| EWT LLC                         | $0.00             | $0.00             |
| SG Americas                     | $0.00             | $0.00             |
| HSBC Securities                 | $0.00             | $0.00             |
| ABN AMRO Clearing               | $0.00             | $0.00             |
| Timber Hill                     | $0.00             | $0.00             |
| Citadel Securities              | $0.00             | $0.00             |
| Credit Suisse                   | $0.00             | $0.00             |
| Mizuho Securities USA           | $0.00             | $0.00             |
| Virtu Financial                 | $0.00             | $0.00             |
| Interactive Brokers             | $0.00             | $0.00             |
| Jefferies Co                    | $0.00             | $0.00             |
| Cantor Fitzgerald Co            | $0.00             | $0.00             |
| CitiGroup                       | $0.00             | $0.00             |
| Deutsche Bank                   | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 100,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.21%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.21%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.95%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

## N-CEN: Part G: Attachments

**Item G.1a. Attachments.**

Attachments applicable to all Registrants. All Registrants shall file the following attachments, as applicable, with the current report. Indicate the attachments filed with the current report by checking the applicable items below:

- [ ] i. Legal proceedings

- [ ] ii. Provision of financial support

- [x] iii. Independent public accountant's report on internal control (management investment companies other than small business investment companies only)

- [ ] iv. Change in accounting principles and practices

- [ ] v. Information required to be filed pursuant to exemptive orders

- [ ] vi. Other information required to be included as an attachment pursuant to Commission rules and regulations

## N-CEN: Signature

Pursuant to the requirements of the Investment Company Act of 1940, the Registrant has duly caused this report to a be signed on its behalf by the undersigned hereunto duly authorized.

**Registrant:** VANGUARD BOND INDEX FUNDS

**Date:** 2023-03-15

**Signature:** Ashley Grim

**Title:** Treasurer