# EDGAR Filing Document

**Accession Number:** 0000105563
**File Stem:** 0001752724-23-021408
**Filing Date:** 2023-2
**Character Count:** 287648
**Document Hash:** 5e3541cf8b15e1d9f3374f758dc91e2a
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-021408.hdr.sgml**: 20230210

**ACCESSION NUMBER**: 0001752724-23-021408

**CONFORMED SUBMISSION TYPE**: N-CEN

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20221130

**FILED AS OF DATE**: 20230210

**DATE AS OF CHANGE**: 20230210

**EFFECTIVENESS DATE**: 20230210

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VANGUARD WELLINGTON FUND
- **CENTRAL INDEX KEY:** 0000105563
- **IRS NUMBER:** 510071687
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1130

**FILING VALUES:**
- **FORM TYPE:** N-CEN
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-00121
- **FILM NUMBER:** 23611349

**BUSINESS ADDRESS:**
- **STREET 1:** PO BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482
- **BUSINESS PHONE:** 6106691000

**MAIL ADDRESS:**
- **STREET 1:** PO BOX 2600
- **STREET 2:** V26
- **CITY:** VALLEY FORGE
- **STATE:** PA
- **ZIP:** 19482

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VANGUARD/WELLINGTON FUND INC
- **DATE OF NAME CHANGE:** 19940608

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** WELLINGTON FUND INC
- **DATE OF NAME CHANGE:** 19920703

## Series and Classes Contracts Data

### VANGUARD WELLINGTON FUND (Series ID: S000004406)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000012163 | Investor Shares | VWELX           |
| C000012164 | Admiral Shares  | VWENX           |

### Vanguard U.S. Liquidity Factor ETF (Series ID: S000061300)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000198464 | ETF Shares   | VFLQ            |

### Vanguard U.S. Minimum Volatility ETF (Series ID: S000061301)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000198465 | ETF Shares   | VFMV            |

### Vanguard U.S. Momentum Factor ETF (Series ID: S000061302)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000198466 | ETF Shares   | VFMO            |

### Vanguard U.S. Multifactor Fund (Series ID: S000061303)

| Class ID   | Class Name     | Ticker Symbol   |
|:---|:---|:---|
| C000198467 | Admiral Shares | VFMFX           |

### Vanguard U.S. Quality Factor ETF (Series ID: S000061304)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000198469 | ETF Shares   | VFQY            |

### Vanguard U.S. Value Factor ETF (Series ID: S000061305)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000198470 | ETF Shares   | VFVA            |

### Vanguard U.S. Multifactor ETF (Series ID: S000061310)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000198481 | ETF Shares   | VFMF            |

### Vanguard Short-Term Tax-Exempt Bond ETF (Series ID: S000079862)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000241270 | ETF Shares   |  |

## Internal

```

Report of Independent Registered
Public Accounting Firm

To the Board of Trustees of Vanguard
Wellington Fund and Shareholders of
Vanguard Wellington Fund
Vanguard U.S. Multifactor Fund
Vanguard U.S. Minimum Volatility ETF
Vanguard U.S. Momentum Factor ETF
Vanguard U.S. Multifactor ETF
Vanguard U.S. Quality Factor ETF and
Vanguard U.S. Value Factor ETF

In planning and performing our audits of
the financial statements of Vanguard
Wellington Fund, Vanguard U.S.
Multifactor Fund, Vanguard U.S. Minimum
Volatility ETF, Vanguard U.S. Momentum
Factor ETF, Vanguard U.S. Multifactor
ETF, Vanguard U.S. Quality Factor ETF
and Vanguard U.S. Value Factor ETF
(constituting Vanguard Wellington Fund,
hereafter collectively referred to as the
"Funds") as of and for the year ended
November 30, 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 November 30, 2022.

This report is intended solely for the
information and use of the Board of
Trustees of Vanguard Wellington Fund 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
January 19, 2023
1

```

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

## N-CEN: Filer Information
**Submission Type:** N-CEN
**CIK:** 0000105563

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

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

**Item A.1.a - Report for period ending:** 2022-11-30

**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 WELLINGTON FUND

- **Item B.1.b - Investment Company Act file number:** 811-00121

- **Item B.1.c - CIK:** 0000105563

- **Item B.1.d - LEI:** 549300X1E8M3H6XRMS84

- **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):** Bank of New York Mellon

- **b. Street 1:** 240 Greenwich Street

- **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:** 10286

- **g. Telephone number:** 212-495-1784

- **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.

**Location books Record: 2**

- **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                      | 811-02652, 811-07443, 811-01530, 811-05628, 811-09005, 811-58431, 811-03919, 811-04681, 811-02968-99, 811-05962, 811-02368, 811-04474, 811-01766, 811-22619, 811-06083, 811-21478, 811-07043, 811-05340, 811-04571, 811-04526, 811-02554, 811-00834, 811-05972, 811-06093, 811-01027, 811-22114, 811-05445, 811-07239, 811-03916, 811-07175, 811-07803, 811-04098, 811-04570, 811-02687 |
| Sarah Bloom Raskin  | No                      | 811-01027, 811-04570, 811-58431, 811-07043, 811-22114, 811-07803, 811-04098, 811-09005, 811-03916, 811-00834, 811-05445, 811-07239, 811-02554, 811-21478, 811-04571, 811-01530, 811-06083, 811-01766, 811-04681, 811-02968-99, 811-05340, 811-07443, 811-03919, 811-05962, 811-07175, 811-05972, 811-04474, 811-02652, 811-06093, 811-02368, 811-05628, 811-04526, 811-02687, 811-22619 |
| Peter F. Volanakis  | No                      | 811-22114, 811-02652, 811-04526, 811-04570, 811-07443, 811-07803, 811-05962, 811-21478, 811-06083, 811-03919, 811-06093, 811-01530, 811-07239, 811-07043, 811-22619, 811-04474, 811-01027, 811-01766, 811-05628, 811-09005, 811-03916, 811-00834, 811-05445, 811-02968-99, 811-04571, 811-02687, 811-58431, 811-02368, 811-04098, 811-02554, 811-05340, 811-05972, 811-04681, 811-07175 |
| F. Joseph Loughrey  | No                      | 811-04571, 811-02368, 811-06083, 811-06093, 811-22114, 811-22619, 811-04098, 811-01766, 811-04570, 811-04474, 811-00834, 811-03919, 811-58431, 811-02687, 811-04681, 811-02652, 811-05972, 811-07803, 811-07043, 811-07239, 811-05628, 811-05962, 811-03916, 811-07443, 811-01530, 811-01027, 811-02554, 811-04526, 811-05340, 811-02968-99, 811-09005, 811-07175, 811-05445, 811-21478 |
| Deanna Mulligan     | No                      | 811-07043, 811-06093, 811-22619, 811-07175, 811-02687, 811-02652, 811-04571, 811-04098, 811-03919, 811-07803, 811-07239, 811-01027, 811-01530, 811-22114, 811-00834, 811-07443, 811-02554, 811-21478, 811-02968-99, 811-06083, 811-02368, 811-05962, 811-04474, 811-04681, 811-05340, 811-05445, 811-04570, 811-01766, 811-05972, 811-05628, 811-09005, 811-58431, 811-04526, 811-03916 |
| David Thomas        | No                      | 811-03916, 811-02368, 811-00834, 811-02652, 811-04681, 811-05445, 811-04098, 811-07239, 811-04570, 811-05340, 811-58431, 811-01027, 811-01766, 811-03919, 811-05972, 811-06093, 811-09005, 811-05962, 811-22619, 811-07803, 811-07175, 811-06083, 811-02687, 811-22114, 811-01530, 811-07043, 811-21478, 811-04526, 811-05628, 811-04571, 811-02968-99, 811-02554, 811-04474, 811-07443 |
| Mortimer J. Buckley | Yes                     | 811-06093, 811-05628, 811-07175, 811-22114, 811-02554, 811-01530, 811-22619, 811-04474, 811-05445, 811-03916, 811-05340, 811-07239, 811-58431, 811-04570, 811-00834, 811-09005, 811-01766, 811-02968-99, 811-03919, 811-04571, 811-07803, 811-02652, 811-04098, 811-04681, 811-21478, 811-07043, 811-05962, 811-06083, 811-05972, 811-01027, 811-07443, 811-02687, 811-04526, 811-02368 |
| Mark Loughridge     | No                      | 811-03916, 811-06083, 811-06093, 811-02968-99, 811-09005, 811-02554, 811-03919, 811-05972, 811-21478, 811-05628, 811-07443, 811-04526, 811-07239, 811-05445, 811-58431, 811-04474, 811-01530, 811-04098, 811-05340, 811-01766, 811-04571, 811-02368, 811-22114, 811-04681, 811-01027, 811-04570, 811-07803, 811-22619, 811-07175, 811-02687, 811-02652, 811-05962, 811-07043, 811-00834 |
| Andre F. Perold     | No                      | 811-05962, 811-07175, 811-01766, 811-03919, 811-02687, 811-04098, 811-00834, 811-04474, 811-02968-99, 811-04681, 811-04570, 811-58431, 811-09005, 811-04571, 811-07803, 811-05340, 811-04526, 811-05628, 811-06083, 811-07443, 811-05445, 811-03916, 811-07043, 811-22114, 811-22619, 811-07239, 811-05972, 811-06093, 811-01027, 811-02554, 811-01530, 811-02368, 811-21478, 811-02652 |
| Tara Bunch          | No                      | 811-09005, 811-04571, 811-06083, 811-04474, 811-03919, 811-03916, 811-22114, 811-58431, 811-04570, 811-05972, 811-05628, 811-06093, 811-05340, 811-05962, 811-04098, 811-07043, 811-07239, 811-21478, 811-01027, 811-04681, 811-02687, 811-02652, 811-07443, 811-02554, 811-02368, 811-22619, 811-07803, 811-01766, 811-05445, 811-02968-99, 811-07175, 811-04526, 811-00834, 811-01530 |
| Emerson U. Fullwood | No                      | 811-05628, 811-02968-99, 811-05445, 811-01027, 811-06083, 811-58431, 811-04526, 811-07803, 811-03916, 811-04681, 811-04570, 811-02554, 811-04474, 811-02652, 811-04571, 811-09005, 811-03919, 811-21478, 811-07239, 811-02368, 811-06093, 811-07043, 811-02687, 811-01530, 811-05972, 811-01766, 811-00834, 811-07443, 811-05962, 811-07175, 811-04098, 811-05340, 811-22619, 811-22114 |

### 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-27386
  - IC-8676
  - IC-19184
  - IC-9001
  - IC-26436
  - IC-11645 
  - IC-9664
  - IC-26089
  - 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 U.S. MULTIFACTOR ETF

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

- **a. Full Name of the Fund:** VANGUARD U.S. MULTIFACTOR ETF

- **b. Series identification number, if any:** S000061310

- **c. LEI:** 549300TF163DVIT4PX53

- **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              | C000198481                                | VFMF                         |

**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?** Yes

- **b. Did the Fund lend any of its securities during the reporting period?** Yes

  - **i. If yes, during the reporting period, did any borrower fail to return the loaned securities by the contractual deadline with the result that:**

    - **1. The Fund (or it securities lending agent) liquidated collateral pledged to secure the loaned securities?** No

    - **2. The Fund was otherwise adversely impacted?** No

**c. Provide the information requested below about each securities lending agent, if any, retained by the Fund:**

**Securities Lending Record: 1**

- **i. Full name of securities lending agent:** The Vanguard Group, Inc.

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

- **iii. Is the securities lending agent an affiliated person...?** Yes

**e. Types of payments made to one or more securities lending agents and cash collateral managers (check all that apply):**

- [ ] Revenue sharing split

- [ ] Fee-based revenue split (other than administrative fee)

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $13,320.78

- **g. Provide the net income from securities lending activities:** $320.11

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

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

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

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

**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:** 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:** 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:** 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:** 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: 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:** THE BANK OF NEW YORK MELLON

- **ii. LEI, if any:** HPFHU0OQ28E4N0NFVK49

- **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:** STATE STREET BANK AND TRUST

- **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

- **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.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** Goldman Sachs & Co. LLC

- **ii. SEC file number:** 008-00129

- **iii. CRD number:** 000000361

- **iv. LEI, if any:** FOR8UP27PHTHYVLBNG30

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $3,514.78

**Brokers Record: 2**

- **i. Full name of broker:** Sanford C. Bernstein & Co., LLC

- **ii. SEC file number:** 008-52942

- **iii. CRD number:** 000104474

- **iv. LEI, if any:** 549300I7JYZHT7D5CO04

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $336.69

**Brokers Record: 3**

- **i. Full name of broker:** RBC Capital Markets, LLC

- **ii. SEC file number:** 008-45411

- **iii. CRD number:** 000031194

- **iv. LEI, if any:** 549300LCO2FLSSVFFR64

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $566.17

**Brokers Record: 4**

- **i. Full name of broker:** Morgan Stanley & Co. LLC

- **ii. SEC file number:** 008-15869

- **iii. CRD number:** 000008209

- **iv. LEI, if any:** 9R7GPTSO7KV3UQJZQ078

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $3,683.95

**Brokers Record: 5**

- **i. Full name of broker:** BofA Securities, Inc.

- **ii. SEC file number:** 008-69787

- **iii. CRD number:** 000283942

- **iv. LEI, if any:** 549300HN4UKV1E2R3U73

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,017.50

**Brokers Record: 6**

- **i. Full name of broker:** Credit Suisse Securities (USA) LLC

- **ii. SEC file number:** 008-00422

- **iii. CRD number:** 000000816

- **iv. LEI, if any:** 1V8Y6QCX6YMJ2OELII46

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $885.53

**Brokers Record: 7**

- **i. Full name of broker:** National Financial Services LLC

- **ii. SEC file number:** 008-26740

- **iii. CRD number:** 000013041

- **iv. LEI, if any:** 549300JRHF1MHHWUAW04

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $239.56

**Brokers Record: 8**

- **i. Full name of broker:** Instinet, LLC

- **ii. SEC file number:** 008-23669

- **iii. CRD number:** 000007897

- **iv. LEI, if any:** 549300MGMN3RKMU8FT57

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $887.47

**Brokers Record: 9**

- **i. Full name of broker:** Jefferies LLC

- **ii. SEC file number:** 008-15074

- **iii. CRD number:** 000002347

- **iv. LEI, if any:** 58PU97L1C0WSRCWADL48

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,803.21

**Brokers Record: 10**

- **i. Full name of broker:** BMO Capital Markets Corp.

- **ii. SEC file number:** N/A

- **iii. CRD number:** 000016686

- **iv. LEI, if any:** RUC0QBLBRPRCU4W1NE59

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $527.22

**Aggregate Commission:** $14,716.46

**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        | $9,554,493.09             |
| Sanford C. Bernstein & Co., LLC | 008-52942         | 000104474    | 549300I7JYZHT7D5CO04 | NY      | US        | $519.94                   |
| Vanguard Market Liquidity Fund  | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $53,864,043.00            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $63,419,056.03

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

- **Item C.19.a - Fund's monthly average net assets:** $142,430,624.32

**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:** State Street Bank and Trust Company

  - **Line Institutions Record: 2 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 3 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 4 Name of institution:** Bank of Montreal, Chicago Branch

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

  - **Line Institutions Record: 6 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 7 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 8 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 9 Name of institution:** The Toronto-Dominion Bank, New York Branch

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

  - **Line Institutions Record: 11 Name of institution:** Credit Suisse AG, New York Branch

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

  - **Line Institutions Record: 13 Name of institution:** Societe Generale

  - **Line Institutions Record: 14 Name of institution:** BNP Paribas

  - **Line Institutions Record: 15 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 16 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 17 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 18 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 19 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 20 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 21 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 22 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. 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 International Core Stock Fund                        | 811-07239         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |

- **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: 2 - VANGUARD U.S. QUALITY FACTOR ETF

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

- **a. Full Name of the Fund:** VANGUARD U.S. QUALITY FACTOR ETF

- **b. Series identification number, if any:** S000061304

- **c. LEI:** 549300I8KZDQSXMOHC80

- **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              | C000198469                                | VFQY                         |

**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?** Yes

- **b. Did the Fund lend any of its securities during the reporting period?** Yes

  - **i. If yes, during the reporting period, did any borrower fail to return the loaned securities by the contractual deadline with the result that:**

    - **1. The Fund (or it securities lending agent) liquidated collateral pledged to secure the loaned securities?** No

    - **2. The Fund was otherwise adversely impacted?** No

**c. Provide the information requested below about each securities lending agent, if any, retained by the Fund:**

**Securities Lending Record: 1**

- **i. Full name of securities lending agent:** The Vanguard Group, Inc.

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

- **iii. Is the securities lending agent an affiliated person...?** Yes

**e. Types of payments made to one or more securities lending agents and cash collateral managers (check all that apply):**

- [ ] Revenue sharing split

- [ ] Fee-based revenue split (other than administrative fee)

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $149,393.82

- **g. Provide the net income from securities lending activities:** $9,328.58

**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 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)

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

**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 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: 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 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:** 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:** 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:** THE BANK OF NEW YORK MELLON

- **ii. LEI, if any:** HPFHU0OQ28E4N0NFVK49

- **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:** STATE STREET BANK AND TRUST

- **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?** Yes

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** BofA Securities, Inc.

- **ii. SEC file number:** 008-69787

- **iii. CRD number:** 000283942

- **iv. LEI, if any:** 549300HN4UKV1E2R3U73

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,340.10

**Brokers Record: 2**

- **i. Full name of broker:** Morgan Stanley & Co. LLC

- **ii. SEC file number:** 008-15869

- **iii. CRD number:** 000008209

- **iv. LEI, if any:** 9R7GPTSO7KV3UQJZQ078

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,881.25

**Brokers Record: 3**

- **i. Full name of broker:** GUZMAN & COMPANY

- **ii. SEC file number:** 008-38646

- **iii. CRD number:** 000021013

- **iv. LEI, if any:** 549300E7R8O8EHE8SN83

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $232.41

**Brokers Record: 4**

- **i. Full name of broker:** Jefferies LLC

- **ii. SEC file number:** 008-15074

- **iii. CRD number:** 000002347

- **iv. LEI, if any:** 58PU97L1C0WSRCWADL48

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,445.18

**Brokers Record: 5**

- **i. Full name of broker:** National Financial Services LLC

- **ii. SEC file number:** 008-26740

- **iii. CRD number:** 000013041

- **iv. LEI, if any:** 549300JRHF1MHHWUAW04

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $514.42

**Brokers Record: 6**

- **i. Full name of broker:** Credit Suisse Securities (USA) LLC

- **ii. SEC file number:** 008-00422

- **iii. CRD number:** 000000816

- **iv. LEI, if any:** 1V8Y6QCX6YMJ2OELII46

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $562.70

**Brokers Record: 7**

- **i. Full name of broker:** ROSENBLATT SECURITIES INC.

- **ii. SEC file number:** 008-24255

- **iii. CRD number:** 000018377

- **iv. LEI, if any:** 549300KXQP6H4QO07E91

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $211.73

**Brokers Record: 8**

- **i. Full name of broker:** RBC Capital Markets, LLC

- **ii. SEC file number:** 008-45411

- **iii. CRD number:** 000031194

- **iv. LEI, if any:** 549300LCO2FLSSVFFR64

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $653.51

**Brokers Record: 9**

- **i. Full name of broker:** Goldman Sachs & Co. LLC

- **ii. SEC file number:** 008-00129

- **iii. CRD number:** 000000361

- **iv. LEI, if any:** FOR8UP27PHTHYVLBNG30

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $15,430.94

**Brokers Record: 10**

- **i. Full name of broker:** Citigroup Global Markets Inc.

- **ii. SEC file number:** 008-08177

- **iii. CRD number:** 000007059

- **iv. LEI, if any:** MBNUM2BPBDO7JBLYG310

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $343.01

**Aggregate Commission:** $28,861.18

**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        | $53,123,310.59            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $53,123,310.59

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

- **Item C.19.a - Fund's monthly average net assets:** $188,922,036.35

**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:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 2 Name of institution:** BNP Paribas

  - **Line Institutions Record: 3 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 4 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 5 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 6 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 7 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 8 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 9 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 10 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 11 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 12 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 13 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 14 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 15 Name of institution:** Credit Suisse AG, New York Branch

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

  - **Line Institutions Record: 17 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 18 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 19 Name of institution:** The Toronto-Dominion Bank, New York Branch

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

  - **Line Institutions Record: 21 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 22 Name of institution:** Canadian Imperial Bank of Commerce, 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 Industrials Index Fund                               | 811-01027         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |

- **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 WELLINGTON FUND

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

- **a. Full Name of the Fund:** VANGUARD WELLINGTON FUND

- **b. Series identification number, if any:** S000004406

- **c. LEI:** E3QB1G8NW83S4GO70B86

- **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         | C000012163                                | VWELX                        |
|                           2 | Admiral Shares          | C000012164                                | VWENX                        |

**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?** Yes

- **b. Did the Fund lend any of its securities during the reporting period?** Yes

  - **i. If yes, during the reporting period, did any borrower fail to return the loaned securities by the contractual deadline with the result that:**

    - **1. The Fund (or it securities lending agent) liquidated collateral pledged to secure the loaned securities?** No

    - **2. The Fund was otherwise adversely impacted?** No

**c. Provide the information requested below about each securities lending agent, if any, retained by the Fund:**

**Securities Lending Record: 1**

- **i. Full name of securities lending agent:** The Vanguard Group, Inc.

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

- **iii. Is the securities lending agent an affiliated person...?** Yes

**e. Types of payments made to one or more securities lending agents and cash collateral managers (check all that apply):**

- [ ] Revenue sharing split

- [ ] Fee-based revenue split (other than administrative fee)

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $5,180,858.87

- **g. Provide the net income from securities lending activities:** $29,822.41

**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(f)(17 CFR 270.18f-4(f))

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(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:** Wellington Management Company LLP

- **ii. SEC file number:** 801-15908

- **iii. CRD number:** 000106595

- **iv. LEI, if any:** 549300YHP12TEZNLCX41

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

- **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:** 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 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:** 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:** 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:** UniCredit Bank Austria AG

- **ii. LEI, if any:** D1HEB8VEU6D9M8ZUXG17

- **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:** Royal Bank of Canada

- **ii. LEI, if any:** ES7IP3U3RHIGC71XBU11

- **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: 3**

- **i. Full name:** BNP Paribas Securities Services SCA

- **ii. LEI, if any:** 549300WCGB70D06XZS54

- **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:** Skandinaviska Enskilda Banken AB (publ)

- **ii. LEI, if any:** F3JS33DEI6XQ4ZBPTN86

- **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:** J.P. MORGAN SE - LUXEMBOURG BRANCH

- **ii. LEI, if any:** 549300ZK53CNGEEI6A29

- **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:** Deutsche Bank AG

- **ii. LEI, if any:** 7LTWFZYICNSX8D621K86

- **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:** 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: 8**

- **i. Full name:** Skandinaviska Enskilda Banken AB (publ)

- **ii. LEI, if any:** F3JS33DEI6XQ4ZBPTN86

- **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:** CACEIS Bank Spain SAU

- **ii. LEI, if any:** 95980020140005970915

- **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:** JPMorgan Chase Bank NA

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

- **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:** BNP Paribas Securities Services SCA

- **ii. LEI, if any:** 549300WCGB70D06XZS54

- **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: 12**

- **i. Full name:** J.P. MORGAN SE - LUXEMBOURG BRANCH

- **ii. LEI, if any:** 549300ZK53CNGEEI6A29

- **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:** Standard Chartered Bank Korea Limited

- **ii. LEI, if any:** NUXTG47HHHM1K2L0SG39

- **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: 14**

- **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)

**Custodians Record: 15**

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

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

- **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: 16**

- **i. Full name:** UBS Switzerland AG

- **ii. LEI, if any:** 549300WOIFUSNYH0FL22

- **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: 17**

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

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

- **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: 18**

- **i. Full name:** J.P. MORGAN SE - LUXEMBOURG BRANCH

- **ii. LEI, if any:** 549300ZK53CNGEEI6A29

- **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: 19**

- **i. Full name:** Mizuho Bank Ltd

- **ii. LEI, if any:** RB0PEZSDGCO3JS6CEU02

- **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:** 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.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** Jefferies LLC

- **ii. SEC file number:** 008-15074

- **iii. CRD number:** 000002347

- **iv. LEI, if any:** 58PU97L1C0WSRCWADL48

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $565,760.26

**Brokers Record: 2**

- **i. Full name of broker:** RBC Capital Markets, LLC

- **ii. SEC file number:** 008-45411

- **iii. CRD number:** 000031194

- **iv. LEI, if any:** 549300LCO2FLSSVFFR64

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $767,779.36

**Brokers Record: 3**

- **i. Full name of broker:** J.P. Morgan Securities LLC

- **ii. SEC file number:** 008-35008

- **iii. CRD number:** 000000079

- **iv. LEI, if any:** ZBUT11V806EZRVTWT807

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,390,759.04

**Brokers Record: 4**

- **i. Full name of broker:** Barclays Capital Inc.

- **ii. SEC file number:** 008-41342

- **iii. CRD number:** 000019714

- **iv. LEI, if any:** AC28XWWI3WIBK2824319

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $232,903.54

**Brokers Record: 5**

- **i. Full name of broker:** Goldman Sachs & Co. LLC

- **ii. SEC file number:** 008-00129

- **iii. CRD number:** 000000361

- **iv. LEI, if any:** FOR8UP27PHTHYVLBNG30

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $723,293.17

**Brokers Record: 6**

- **i. Full name of broker:** UBS Securities LLC

- **ii. SEC file number:** 008-22651

- **iii. CRD number:** 000007654

- **iv. LEI, if any:** T6FIZBDPKLYJKFCRVK44

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $609,368.02

**Brokers Record: 7**

- **i. Full name of broker:** BofA Securities, Inc.

- **ii. SEC file number:** 008-69787

- **iii. CRD number:** 000283942

- **iv. LEI, if any:** 549300HN4UKV1E2R3U73

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $499,004.81

**Brokers Record: 8**

- **i. Full name of broker:** Citigroup Global Markets Inc.

- **ii. SEC file number:** 008-08177

- **iii. CRD number:** 000007059

- **iv. LEI, if any:** MBNUM2BPBDO7JBLYG310

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $388,498.04

**Brokers Record: 9**

- **i. Full name of broker:** UBS Securities International Limited

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** EP50CUEHE876XUVAWT56

- **vii. Gross commissions paid by the Fund for the reporting period:** $276,270.01

**Brokers Record: 10**

- **i. Full name of broker:** Morgan Stanley & Co. LLC

- **ii. SEC file number:** 008-15869

- **iii. CRD number:** 000008209

- **iv. LEI, if any:** 9R7GPTSO7KV3UQJZQ078

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $864,199.09

**Aggregate Commission:** $8,699,235.48

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

| Name                                  | SEC file number   |   CRD number | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|---:|:---|:---|:---|:---|
| TD Securities (USA) LLC               | 008-36747         |    000018476 | SUVUFHICNZMP2WKHG940 | NY      | US        | $10,146,441,413.09        |
| Deutsche Bank Securities Inc.         | 008-17822         |    000002525 | 9J6MBOOO7BECTDTUZW19 | NY      | US        | $26,284,248,425.97        |
| J.P. Morgan Securities LLC            | 008-35008         |    000000079 | ZBUT11V806EZRVTWT807 | NY      | US        | $13,352,982,678.20        |
| Citigroup Global Markets Inc.         | 008-08177         |    000007059 | MBNUM2BPBDO7JBLYG310 | NY      | US        | $17,415,839,862.17        |
| Credit Agricole Securities (USA) Inc. | 008-13753         |    000000190 | 549300WO2DKF0Q3YMV43 | NY      | US        | $12,077,600,000.00        |
| Morgan Stanley & Co. LLC              | 008-15869         |    000008209 | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $18,404,878,929.31        |
| SG Americas Securities, LLC           | 008-66125         |    000128351 | 549300F35UE0BOM1WJ55 | NY      | US        | $15,904,809,759.37        |
| Nomura Securities International, Inc. | 008-15255         |    000004297 | OXTKY6Q8X53C9ILVV871 | NY      | US        | $23,072,960,147.20        |
| BofA Securities, Inc.                 | 008-69787         |    000283942 | 549300HN4UKV1E2R3U73 | NY      | US        | $10,716,527,232.87        |
| HSBC Securities (USA) Inc.            | 008-41562         |    000019585 | CYYGQCGNHMHPSMRL3R97 | NY      | US        | $34,785,548,345.50        |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $214,369,502,654.57

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** Yes

- **Item C.19.a - Fund's monthly average net assets:** $110,952,381,695.76

**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:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 2 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 3 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 4 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 5 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 6 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 7 Name of institution:** Societe Generale

  - **Line Institutions Record: 8 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 9 Name of institution:** The Northern Trust Company

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

  - **Line Institutions Record: 11 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 12 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 13 Name of institution:** Wells Fargo Bank, National Association

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

  - **Line Institutions Record: 15 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 16 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 17 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 18 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 19 Name of institution:** BNP Paribas

  - **Line Institutions Record: 20 Name of institution:** Credit Suisse AG, New York Branch

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

  - **Line Institutions Record: 22 Name of institution:** Canadian Imperial Bank of Commerce, 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 Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |

- **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: 4 - VANGUARD U.S. VALUE FACTOR ETF

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

- **a. Full Name of the Fund:** VANGUARD U.S. VALUE FACTOR ETF

- **b. Series identification number, if any:** S000061305

- **c. LEI:** 5493006GU7KMEUQILY06

- **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              | C000198470                                | VFVA                         |

**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?** Yes

- **b. Did the Fund lend any of its securities during the reporting period?** Yes

  - **i. If yes, during the reporting period, did any borrower fail to return the loaned securities by the contractual deadline with the result that:**

    - **1. The Fund (or it securities lending agent) liquidated collateral pledged to secure the loaned securities?** No

    - **2. The Fund was otherwise adversely impacted?** No

**c. Provide the information requested below about each securities lending agent, if any, retained by the Fund:**

**Securities Lending Record: 1**

- **i. Full name of securities lending agent:** The Vanguard Group, Inc.

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

- **iii. Is the securities lending agent an affiliated person...?** Yes

**e. Types of payments made to one or more securities lending agents and cash collateral managers (check all that apply):**

- [ ] Revenue sharing split

- [ ] Fee-based revenue split (other than administrative fee)

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $685,009.06

- **g. Provide the net income from securities lending activities:** $38,936.61

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

Did the Fund rely on the following rules?

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

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

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

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

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

**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:** 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: 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:** 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: 6**

- **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: 7**

- **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

- **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:** THE BANK OF NEW YORK MELLON

- **ii. LEI, if any:** HPFHU0OQ28E4N0NFVK49

- **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:** STATE STREET BANK AND TRUST

- **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

- **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.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** Credit Suisse Securities (USA) LLC

- **ii. SEC file number:** 008-00422

- **iii. CRD number:** 000000816

- **iv. LEI, if any:** 1V8Y6QCX6YMJ2OELII46

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $8,613.54

**Brokers Record: 2**

- **i. Full name of broker:** Jefferies LLC

- **ii. SEC file number:** 008-15074

- **iii. CRD number:** 000002347

- **iv. LEI, if any:** 58PU97L1C0WSRCWADL48

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $57,851.17

**Brokers Record: 3**

- **i. Full name of broker:** Goldman Sachs & Co. LLC

- **ii. SEC file number:** 008-00129

- **iii. CRD number:** 000000361

- **iv. LEI, if any:** FOR8UP27PHTHYVLBNG30

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $53,945.71

**Brokers Record: 4**

- **i. Full name of broker:** GUZMAN & COMPANY

- **ii. SEC file number:** 008-38646

- **iii. CRD number:** 000021013

- **iv. LEI, if any:** 549300E7R8O8EHE8SN83

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $7,645.81

**Brokers Record: 5**

- **i. Full name of broker:** Sanford C. Bernstein & Co., LLC

- **ii. SEC file number:** 008-52942

- **iii. CRD number:** 000104474

- **iv. LEI, if any:** 549300I7JYZHT7D5CO04

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,548.63

**Brokers Record: 6**

- **i. Full name of broker:** National Financial Services LLC

- **ii. SEC file number:** 008-26740

- **iii. CRD number:** 000013041

- **iv. LEI, if any:** 549300JRHF1MHHWUAW04

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,036.68

**Brokers Record: 7**

- **i. Full name of broker:** BofA Securities, Inc.

- **ii. SEC file number:** 008-69787

- **iii. CRD number:** 000283942

- **iv. LEI, if any:** 549300HN4UKV1E2R3U73

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $33,469.66

**Brokers Record: 8**

- **i. Full name of broker:** RBC Capital Markets, LLC

- **ii. SEC file number:** 008-45411

- **iii. CRD number:** 000031194

- **iv. LEI, if any:** 549300LCO2FLSSVFFR64

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $13,114.26

**Brokers Record: 9**

- **i. Full name of broker:** Morgan Stanley & Co. LLC

- **ii. SEC file number:** 008-15869

- **iii. CRD number:** 000008209

- **iv. LEI, if any:** 9R7GPTSO7KV3UQJZQ078

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $22,073.28

**Brokers Record: 10**

- **i. Full name of broker:** ROSENBLATT SECURITIES INC.

- **ii. SEC file number:** 008-24255

- **iii. CRD number:** 000018377

- **iv. LEI, if any:** 549300KXQP6H4QO07E91

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $8,991.92

**Aggregate Commission:** $221,259.95

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

| Name                           | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Jefferies LLC                  | 008-15074         | 000002347    | 58PU97L1C0WSRCWADL48 | NY      | US        | $9.89                     |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $297,690,476.51           |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $297,690,486.40

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

- **Item C.19.a - Fund's monthly average net assets:** $640,808,192.40

**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:** Citibank, N.A.

  - **Line Institutions Record: 3 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 4 Name of institution:** Societe Generale

  - **Line Institutions Record: 5 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 6 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 7 Name of institution:** The Bank of Nova Scotia, Houston Branch

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

  - **Line Institutions Record: 9 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 10 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 11 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 12 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 13 Name of institution:** BNP Paribas

  - **Line Institutions Record: 14 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 15 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 16 Name of institution:** PNC Bank, National Association

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

  - **Line Institutions Record: 18 Name of institution:** Brown Brothers Harriman & Co.

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

  - **Line Institutions Record: 20 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 21 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 22 Name of institution:** Wells Fargo Bank, National Association

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

- **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 U.S. MOMENTUM FACTOR ETF

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

- **a. Full Name of the Fund:** VANGUARD U.S. MOMENTUM FACTOR ETF

- **b. Series identification number, if any:** S000061302

- **c. LEI:** 549300EXHTSUFP48MT41

- **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              | C000198466                                | VFMO                         |

**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?** Yes

- **b. Did the Fund lend any of its securities during the reporting period?** Yes

  - **i. If yes, during the reporting period, did any borrower fail to return the loaned securities by the contractual deadline with the result that:**

    - **1. The Fund (or it securities lending agent) liquidated collateral pledged to secure the loaned securities?** No

    - **2. The Fund was otherwise adversely impacted?** No

**c. Provide the information requested below about each securities lending agent, if any, retained by the Fund:**

**Securities Lending Record: 1**

- **i. Full name of securities lending agent:** The Vanguard Group, Inc.

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

- **iii. Is the securities lending agent an affiliated person...?** Yes

**e. Types of payments made to one or more securities lending agents and cash collateral managers (check all that apply):**

- [ ] Revenue sharing split

- [ ] Fee-based revenue split (other than administrative fee)

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $369,672.93

- **g. Provide the net income from securities lending activities:** $39,943.23

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

Did the Fund rely on the following rules?

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

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

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

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

- 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 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:** 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:** 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:** 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:** THE BANK OF NEW YORK MELLON

- **ii. LEI, if any:** HPFHU0OQ28E4N0NFVK49

- **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:** STATE STREET BANK AND TRUST

- **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

- **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.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** Credit Suisse Securities (USA) LLC

- **ii. SEC file number:** 008-00422

- **iii. CRD number:** 000000816

- **iv. LEI, if any:** 1V8Y6QCX6YMJ2OELII46

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $169.79

**Brokers Record: 2**

- **i. Full name of broker:** Citigroup Global Markets Inc.

- **ii. SEC file number:** 008-08177

- **iii. CRD number:** 000007059

- **iv. LEI, if any:** MBNUM2BPBDO7JBLYG310

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $353.47

**Brokers Record: 3**

- **i. Full name of broker:** RBC Capital Markets, LLC

- **ii. SEC file number:** 008-45411

- **iii. CRD number:** 000031194

- **iv. LEI, if any:** 549300LCO2FLSSVFFR64

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,654.13

**Brokers Record: 4**

- **i. Full name of broker:** National Financial Services LLC

- **ii. SEC file number:** 008-26740

- **iii. CRD number:** 000013041

- **iv. LEI, if any:** 549300JRHF1MHHWUAW04

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,198.34

**Brokers Record: 5**

- **i. Full name of broker:** BofA Securities, Inc.

- **ii. SEC file number:** 008-69787

- **iii. CRD number:** 000283942

- **iv. LEI, if any:** 549300HN4UKV1E2R3U73

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,420.71

**Brokers Record: 6**

- **i. Full name of broker:** Jefferies LLC

- **ii. SEC file number:** 008-15074

- **iii. CRD number:** 000002347

- **iv. LEI, if any:** 58PU97L1C0WSRCWADL48

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $17,335.63

**Brokers Record: 7**

- **i. Full name of broker:** Sanford C. Bernstein & Co., LLC

- **ii. SEC file number:** 008-52942

- **iii. CRD number:** 000104474

- **iv. LEI, if any:** 549300I7JYZHT7D5CO04

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,948.19

**Brokers Record: 8**

- **i. Full name of broker:** Morgan Stanley & Co. LLC

- **ii. SEC file number:** 008-15869

- **iii. CRD number:** 000008209

- **iv. LEI, if any:** 9R7GPTSO7KV3UQJZQ078

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $5,211.87

**Brokers Record: 9**

- **i. Full name of broker:** Instinet, LLC

- **ii. SEC file number:** 008-23669

- **iii. CRD number:** 000007897

- **iv. LEI, if any:** 549300MGMN3RKMU8FT57

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $347.26

**Brokers Record: 10**

- **i. Full name of broker:** Goldman Sachs & Co. LLC

- **ii. SEC file number:** 008-00129

- **iii. CRD number:** 000000361

- **iv. LEI, if any:** FOR8UP27PHTHYVLBNG30

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $26,888.79

**Aggregate Commission:** $63,060.67

**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        | $105,208,728.94           |
| Goldman Sachs & Co. LLC        | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $7,968.02                 |
| BofA Securities, Inc.          | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $17,983,504.64            |
| Jefferies LLC                  | 008-15074         | 000002347    | 58PU97L1C0WSRCWADL48 | NY      | US        | $133.49                   |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $123,200,335.09

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

- **Item C.19.a - Fund's monthly average net assets:** $209,661,144.52

**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:** Goldman Sachs Bank USA

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

  - **Line Institutions Record: 3 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 4 Name of institution:** Brown Brothers Harriman & Co.

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

  - **Line Institutions Record: 6 Name of institution:** The Toronto-Dominion Bank, New York Branch

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

  - **Line Institutions Record: 8 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 9 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 10 Name of institution:** Societe Generale

  - **Line Institutions Record: 11 Name of institution:** JPMorgan Chase Bank, N.A.

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

  - **Line Institutions Record: 13 Name of institution:** Bank of Montreal, Chicago Branch

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

  - **Line Institutions Record: 15 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 16 Name of institution:** BNP Paribas

  - **Line Institutions Record: 17 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 18 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 19 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 20 Name of institution:** Barclays Bank plc

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

  - **Line Institutions Record: 22 Name of institution:** State Street Bank and 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 ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |

- **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 U.S. MULTIFACTOR FUND

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

- **a. Full Name of the Fund:** VANGUARD U.S. MULTIFACTOR FUND

- **b. Series identification number, if any:** S000061303

- **c. LEI:** 5493005NZF0BI7FF3014

- **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 | Admiral Shares          | C000198467                                | VFMFX                        |

**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?** Yes

- **b. Did the Fund lend any of its securities during the reporting period?** Yes

  - **i. If yes, during the reporting period, did any borrower fail to return the loaned securities by the contractual deadline with the result that:**

    - **1. The Fund (or it securities lending agent) liquidated collateral pledged to secure the loaned securities?** No

    - **2. The Fund was otherwise adversely impacted?** No

**c. Provide the information requested below about each securities lending agent, if any, retained by the Fund:**

**Securities Lending Record: 1**

- **i. Full name of securities lending agent:** The Vanguard Group, Inc.

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

- **iii. Is the securities lending agent an affiliated person...?** Yes

**e. Types of payments made to one or more securities lending agents and cash collateral managers (check all that apply):**

- [ ] Revenue sharing split

- [ ] Fee-based revenue split (other than administrative fee)

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $1,167.50

- **g. Provide the net income from securities lending activities:** $33.66

**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 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:** 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: 2**

- **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: 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:** 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: 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:** 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: 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:** THE BANK OF NEW YORK MELLON

- **ii. LEI, if any:** HPFHU0OQ28E4N0NFVK49

- **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:** STATE STREET BANK AND TRUST

- **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

- **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.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** National Financial Services LLC

- **ii. SEC file number:** 008-26740

- **iii. CRD number:** 000013041

- **iv. LEI, if any:** 549300JRHF1MHHWUAW04

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $111.47

**Brokers Record: 2**

- **i. Full name of broker:** Morgan Stanley & Co. LLC

- **ii. SEC file number:** 008-15869

- **iii. CRD number:** 000008209

- **iv. LEI, if any:** 9R7GPTSO7KV3UQJZQ078

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,922.89

**Brokers Record: 3**

- **i. Full name of broker:** Credit Suisse Securities (USA) LLC

- **ii. SEC file number:** 008-00422

- **iii. CRD number:** 000000816

- **iv. LEI, if any:** 1V8Y6QCX6YMJ2OELII46

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $315.39

**Brokers Record: 4**

- **i. Full name of broker:** Goldman Sachs & Co. LLC

- **ii. SEC file number:** 008-00129

- **iii. CRD number:** 000000361

- **iv. LEI, if any:** FOR8UP27PHTHYVLBNG30

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $3,169.04

**Brokers Record: 5**

- **i. Full name of broker:** Jefferies LLC

- **ii. SEC file number:** 008-15074

- **iii. CRD number:** 000002347

- **iv. LEI, if any:** 58PU97L1C0WSRCWADL48

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,779.07

**Brokers Record: 6**

- **i. Full name of broker:** Instinet, LLC

- **ii. SEC file number:** 008-23669

- **iii. CRD number:** 000007897

- **iv. LEI, if any:** 549300MGMN3RKMU8FT57

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $532.47

**Brokers Record: 7**

- **i. Full name of broker:** Sanford C. Bernstein & Co., LLC

- **ii. SEC file number:** 008-52942

- **iii. CRD number:** 000104474

- **iv. LEI, if any:** 549300I7JYZHT7D5CO04

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $74.89

**Brokers Record: 8**

- **i. Full name of broker:** BMO Capital Markets Corp.

- **ii. SEC file number:** N/A

- **iii. CRD number:** 000016686

- **iv. LEI, if any:** RUC0QBLBRPRCU4W1NE59

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $249.43

**Brokers Record: 9**

- **i. Full name of broker:** BofA Securities, Inc.

- **ii. SEC file number:** 008-69787

- **iii. CRD number:** 000283942

- **iv. LEI, if any:** 549300HN4UKV1E2R3U73

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $60.15

**Brokers Record: 10**

- **i. Full name of broker:** RBC Capital Markets, LLC

- **ii. SEC file number:** 008-45411

- **iii. CRD number:** 000031194

- **iv. LEI, if any:** 549300LCO2FLSSVFFR64

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $45.89

**Aggregate Commission:** $8,392.54

**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        | $29,946.49                |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $43,472,519.00            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $43,502,465.49

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

- **Item C.19.a - Fund's monthly average net assets:** $52,991,174.47

**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:** Barclays Bank plc

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

  - **Line Institutions Record: 3 Name of institution:** Credit Suisse AG, New York Branch

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

  - **Line Institutions Record: 5 Name of institution:** Societe Generale

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

  - **Line Institutions Record: 7 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 8 Name of institution:** Wells Fargo Bank, National Association

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

  - **Line Institutions Record: 10 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 11 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 12 Name of institution:** BNP Paribas

  - **Line Institutions Record: 13 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 14 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 15 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 16 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 17 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 18 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

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

  - **Line Institutions Record: 20 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 21 Name of institution:** The Northern Trust Company

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

- **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 U.S. MINIMUM VOLATILITY ETF

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

- **a. Full Name of the Fund:** VANGUARD U.S. MINIMUM VOLATILITY ETF

- **b. Series identification number, if any:** S000061301

- **c. LEI:** 549300RP1YLUB1WLOT10

- **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              | C000198465                                | VFMV                         |

**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?** Yes

- **b. Did the Fund lend any of its securities during the reporting period?** Yes

  - **i. If yes, during the reporting period, did any borrower fail to return the loaned securities by the contractual deadline with the result that:**

    - **1. The Fund (or it securities lending agent) liquidated collateral pledged to secure the loaned securities?** No

    - **2. The Fund was otherwise adversely impacted?** No

**c. Provide the information requested below about each securities lending agent, if any, retained by the Fund:**

**Securities Lending Record: 1**

- **i. Full name of securities lending agent:** The Vanguard Group, Inc.

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

- **iii. Is the securities lending agent an affiliated person...?** Yes

**e. Types of payments made to one or more securities lending agents and cash collateral managers (check all that apply):**

- [ ] Revenue sharing split

- [ ] Fee-based revenue split (other than administrative fee)

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $161,450.24

- **g. Provide the net income from securities lending activities:** $17,385.50

**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 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)

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

**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:** 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: 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:** 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:** 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: 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:** 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:** THE BANK OF NEW YORK MELLON

- **ii. LEI, if any:** HPFHU0OQ28E4N0NFVK49

- **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:** STATE STREET BANK AND TRUST

- **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

- **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.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** BofA Securities, Inc.

- **ii. SEC file number:** 008-69787

- **iii. CRD number:** 000283942

- **iv. LEI, if any:** 549300HN4UKV1E2R3U73

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $278.72

**Brokers Record: 2**

- **i. Full name of broker:** Instinet, LLC

- **ii. SEC file number:** 008-23669

- **iii. CRD number:** 000007897

- **iv. LEI, if any:** 549300MGMN3RKMU8FT57

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $43.42

**Brokers Record: 3**

- **i. Full name of broker:** Jefferies LLC

- **ii. SEC file number:** 008-15074

- **iii. CRD number:** 000002347

- **iv. LEI, if any:** 58PU97L1C0WSRCWADL48

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,478.06

**Brokers Record: 4**

- **i. Full name of broker:** Credit Suisse Securities (USA) LLC

- **ii. SEC file number:** 008-00422

- **iii. CRD number:** 000000816

- **iv. LEI, if any:** 1V8Y6QCX6YMJ2OELII46

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $120.68

**Brokers Record: 5**

- **i. Full name of broker:** Citigroup Global Markets Inc.

- **ii. SEC file number:** 008-08177

- **iii. CRD number:** 000007059

- **iv. LEI, if any:** MBNUM2BPBDO7JBLYG310

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $30.97

**Brokers Record: 6**

- **i. Full name of broker:** National Financial Services LLC

- **ii. SEC file number:** 008-26740

- **iii. CRD number:** 000013041

- **iv. LEI, if any:** 549300JRHF1MHHWUAW04

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $227.90

**Brokers Record: 7**

- **i. Full name of broker:** Goldman Sachs & Co. LLC

- **ii. SEC file number:** 008-00129

- **iii. CRD number:** 000000361

- **iv. LEI, if any:** FOR8UP27PHTHYVLBNG30

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,873.31

**Brokers Record: 8**

- **i. Full name of broker:** Wells Fargo Securities, LLC

- **ii. SEC file number:** 008-22947

- **iii. CRD number:** 000007665

- **iv. LEI, if any:** VYVVCKR63DVZZN70PB21

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $105.45

**Brokers Record: 9**

- **i. Full name of broker:** Morgan Stanley & Co. LLC

- **ii. SEC file number:** 008-15869

- **iii. CRD number:** 000008209

- **iv. LEI, if any:** 9R7GPTSO7KV3UQJZQ078

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $487.46

**Brokers Record: 10**

- **i. Full name of broker:** RBC Capital Markets, LLC

- **ii. SEC file number:** 008-45411

- **iii. CRD number:** 000031194

- **iv. LEI, if any:** 549300LCO2FLSSVFFR64

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $34.72

**Aggregate Commission:** $4,682.42

**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        | $3,826,700.35             |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $11,847,772.00            |
| BofA Securities, Inc.          | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $4,049,348.25             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $19,723,820.60

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

- **Item C.19.a - Fund's monthly average net assets:** $61,001,772.99

**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:** 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:** PNC Bank, National Association

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

  - **Line Institutions Record: 6 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 7 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 8 Name of institution:** Credit Suisse AG, New York Branch

  - **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:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 12 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 13 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 14 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 15 Name of institution:** BNP Paribas

  - **Line Institutions Record: 16 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 17 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 18 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 19 Name of institution:** The Northern Trust Company

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

  - **Line Institutions Record: 21 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 22 Name of institution:** Morgan Stanley 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 California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard International Explorer Fund                          | 811-07443         |

- **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 U.S. MULTIFACTOR ETF

**Item E.1 - Exchange**

- **Exchange:** CBSX

- **Ticker:** VFMF

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| BNP Paribas Prime Brokerage Inc | $0.00            | $0.00          |
| Virtu Financial                 | $0.00            | $0.00          |
| UBS                             | $0.00            | $0.00          |
| Citadel Securities              | $0.00            | $5,390,850.00  |
| JP Morgan                       | $0.00            | $0.00          |
| ABN AMRO Clearing               | $0.00            | $0.00          |
| Virtu Americas LLC              | $22,119,061.56   | $0.00          |
| Hudson River Trading            | $0.00            | $0.00          |
| SG Americas                     | $0.00            | $0.00          |
| Goldman Sachs                   | $1,040,353.99    | $968,000.00    |
| Merrill Lynch                   | $0.00            | $0.00          |
| Jane Street                     | $0.00            | $0.00          |
| CitiGroup                       | $0.00            | $0.00          |
| State Street Global Mkts        | $0.00            | $0.00          |
| Morgan Stanley                  | $0.00            | $0.00          |
| Cowen and Company LLC           | $0.00            | $0.00          |
| Barclays Capital                | $0.00            | $0.00          |
| Timber Hill                     | $0.00            | $0.00          |
| RBC                             | $0.00            | $0.00          |
| EWT LLC                         | $0.00            | $0.00          |
| Mizuho Securities USA           | $0.00            | $0.00          |
| Wedbush                         | $0.00            | $0.00          |
| BNP Paribas                     | $0.00            | $0.00          |
| Interactive Brokers             | $0.00            | $0.00          |
| HSBC Securities                 | $0.00            | $0.00          |
| Deutsche Bank                   | $0.00            | $0.00          |
| Nomura                          | $0.00            | $0.00          |
| Credit Suisse                   | $0.00            | $0.00          |
| BNY Mellon Capital Markets      | $0.00            | $0.00          |
| BMO Capital Markets             | $0.00            | $0.00          |
| Cantor Fitzgerald Co            | $0.00            | $0.00          |
| Merrill Lynch Pro               | $60,509,355.92   | $21,990,650.00 |
| Jefferies Co                    | $0.00            | $0.00          |
| Wells Fargo                     | $0.00            | $0.00          |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 5,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 1.00%

- **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):** 0.43%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD U.S. QUALITY FACTOR ETF

**Item E.1 - Exchange**

- **Exchange:** CBSX

- **Ticker:** VFQY

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| Mizuho Securities USA           | $0.00            | $0.00          |
| HSBC Securities                 | $0.00            | $0.00          |
| Morgan Stanley                  | $0.00            | $0.00          |
| ABN AMRO Clearing               | $0.00            | $0.00          |
| Barclays Capital                | $0.00            | $0.00          |
| Wells Fargo                     | $0.00            | $0.00          |
| Credit Suisse                   | $0.00            | $0.00          |
| Jefferies Co                    | $0.00            | $0.00          |
| Timber Hill                     | $0.00            | $0.00          |
| CitiGroup                       | $0.00            | $0.00          |
| Citadel Securities              | $0.00            | $14,999,450.00 |
| BNY Mellon Capital Markets      | $0.00            | $0.00          |
| BMO Capital Markets             | $0.00            | $0.00          |
| Wedbush                         | $0.00            | $0.00          |
| Virtu Financial                 | $0.00            | $0.00          |
| Hudson River Trading            | $0.00            | $0.00          |
| JP Morgan                       | $0.00            | $0.00          |
| EWT LLC                         | $0.00            | $0.00          |
| Merrill Lynch                   | $0.00            | $0.00          |
| Cantor Fitzgerald Co            | $0.00            | $0.00          |
| Jane Street                     | $0.00            | $0.00          |
| State Street Global Mkts        | $0.00            | $0.00          |
| Merrill Lynch Pro               | $60,761,945.00   | $5,522,250.00  |
| UBS                             | $0.00            | $0.00          |
| SG Americas                     | $0.00            | $0.00          |
| BNP Paribas Prime Brokerage Inc | $0.00            | $0.00          |
| Cowen and Company LLC           | $0.00            | $0.00          |
| Deutsche Bank                   | $0.00            | $0.00          |
| BNP Paribas                     | $0.00            | $0.00          |
| RBC                             | $7,601,265.02    | $0.00          |
| Virtu Americas LLC              | $40,310,655.50   | $3,538,795.00  |
| Nomura                          | $0.00            | $0.00          |
| Interactive Brokers             | $0.00            | $0.00          |
| Goldman Sachs                   | $0.00            | $6,791,095.00  |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 5,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 1.00%

- **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):** 0.49%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD U.S. VALUE FACTOR ETF

**Item E.1 - Exchange**

- **Exchange:** CBSX

- **Ticker:** VFVA

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| ABN AMRO Clearing               | $1,789,857.82    | $0.00          |
| BNP Paribas                     | $0.00            | $0.00          |
| Mizuho Securities USA           | $0.00            | $0.00          |
| Jefferies Co                    | $0.00            | $0.00          |
| Interactive Brokers             | $0.00            | $0.00          |
| Merrill Lynch Pro               | $123,094,401.67  | $37,391,440.00 |
| Wells Fargo                     | $0.00            | $0.00          |
| Hudson River Trading            | $0.00            | $0.00          |
| EWT LLC                         | $0.00            | $0.00          |
| Jane Street                     | $0.00            | $0.00          |
| Nomura                          | $0.00            | $0.00          |
| Cantor Fitzgerald Co            | $0.00            | $0.00          |
| Wedbush                         | $0.00            | $0.00          |
| Merrill Lynch                   | $0.00            | $0.00          |
| Morgan Stanley                  | $0.00            | $0.00          |
| Citadel Securities              | $7,890,577.76    | $51,490,620.00 |
| BNY Mellon Capital Markets      | $0.00            | $0.00          |
| Credit Suisse                   | $0.00            | $0.00          |
| BNP Paribas Prime Brokerage Inc | $0.00            | $0.00          |
| HSBC Securities                 | $0.00            | $0.00          |
| BMO Capital Markets             | $0.00            | $0.00          |
| Virtu Americas LLC              | $90,883,512.30   | $93,321,850.00 |
| State Street Global Mkts        | $0.00            | $0.00          |
| Timber Hill                     | $0.00            | $0.00          |
| CitiGroup                       | $0.00            | $0.00          |
| Cowen and Company LLC           | $0.00            | $0.00          |
| SG Americas                     | $0.00            | $0.00          |
| RBC                             | $30,890,276.54   | $9,709,770.00  |
| Barclays Capital                | $0.00            | $0.00          |
| UBS                             | $0.00            | $0.00          |
| Virtu Financial                 | $0.00            | $0.00          |
| Goldman Sachs                   | $159,286,170.40  | $18,875,820.00 |
| JP Morgan                       | $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:** 5,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 1.00%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.03%

- **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):** 0.66%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD U.S. MOMENTUM FACTOR ETF

**Item E.1 - Exchange**

- **Exchange:** CBSX

- **Ticker:** VFMO

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| Deutsche Bank                   | $0.00            | $0.00          |
| Citadel Securities              | $0.00            | $1,054,425.00  |
| CitiGroup                       | $0.00            | $0.00          |
| BNP Paribas                     | $0.00            | $0.00          |
| Merrill Lynch Pro               | $115,835,503.51  | $44,246,275.00 |
| Credit Suisse                   | $0.00            | $0.00          |
| RBC                             | $16,956,045.40   | $0.00          |
| ABN AMRO Clearing               | $0.00            | $0.00          |
| Cowen and Company LLC           | $0.00            | $0.00          |
| Interactive Brokers             | $0.00            | $0.00          |
| Cantor Fitzgerald Co            | $0.00            | $0.00          |
| Virtu Americas LLC              | $14,764,026.19   | $0.00          |
| BNP Paribas Prime Brokerage Inc | $0.00            | $0.00          |
| SG Americas                     | $0.00            | $0.00          |
| UBS                             | $0.00            | $0.00          |
| Barclays Capital                | $0.00            | $0.00          |
| Merrill Lynch                   | $0.00            | $0.00          |
| Nomura                          | $0.00            | $0.00          |
| Timber Hill                     | $0.00            | $0.00          |
| EWT LLC                         | $0.00            | $0.00          |
| HSBC Securities                 | $0.00            | $0.00          |
| Goldman Sachs                   | $0.00            | $0.00          |
| Hudson River Trading            | $0.00            | $0.00          |
| Jefferies Co                    | $0.00            | $0.00          |
| Virtu Financial                 | $0.00            | $0.00          |
| BMO Capital Markets             | $0.00            | $0.00          |
| JP Morgan                       | $0.00            | $0.00          |
| BNY Mellon Capital Markets      | $0.00            | $0.00          |
| Mizuho Securities USA           | $0.00            | $0.00          |
| Wells Fargo                     | $0.00            | $0.00          |
| Jane Street                     | $0.00            | $0.00          |
| Wedbush                         | $0.00            | $0.00          |
| Morgan Stanley                  | $0.00            | $0.00          |
| State Street Global Mkts        | $0.00            | $0.00          |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 5,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 1.00%

- **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):** 0.49%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD U.S. MINIMUM VOLATILITY ETF

**Item E.1 - Exchange**

- **Exchange:** CBSX

- **Ticker:** VFMV

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| SG Americas                     | $0.00            | $0.00          |
| EWT LLC                         | $0.00            | $0.00          |
| Wedbush                         | $0.00            | $0.00          |
| BNP Paribas Prime Brokerage Inc | $0.00            | $0.00          |
| Jane Street                     | $0.00            | $0.00          |
| Nomura                          | $0.00            | $0.00          |
| Virtu Americas LLC              | $3,530,705.96    | $0.00          |
| HSBC Securities                 | $0.00            | $0.00          |
| Merrill Lynch Pro               | $34,720,318.09   | $4,414,950.00  |
| Wells Fargo                     | $3,834,400.00    | $3,837,200.00  |
| Interactive Brokers             | $0.00            | $0.00          |
| Deutsche Bank                   | $0.00            | $0.00          |
| Hudson River Trading            | $0.00            | $0.00          |
| Citadel Securities              | $0.00            | $2,408,550.00  |
| Cowen and Company LLC           | $0.00            | $0.00          |
| Mizuho Securities USA           | $0.00            | $0.00          |
| Virtu Financial                 | $0.00            | $0.00          |
| Merrill Lynch                   | $0.00            | $0.00          |
| Barclays Capital                | $0.00            | $0.00          |
| State Street Global Mkts        | $0.00            | $0.00          |
| ABN AMRO Clearing               | $0.00            | $0.00          |
| UBS                             | $0.00            | $0.00          |
| Jefferies Co                    | $0.00            | $0.00          |
| RBC                             | $0.00            | $0.00          |
| Cantor Fitzgerald Co            | $0.00            | $0.00          |
| Goldman Sachs                   | $0.00            | $0.00          |
| Morgan Stanley                  | $0.00            | $0.00          |
| CitiGroup                       | $0.00            | $0.00          |
| JP Morgan                       | $0.00            | $0.00          |
| BMO Capital Markets             | $0.00            | $0.00          |
| BNY Mellon Capital Markets      | $0.00            | $0.00          |
| BNP Paribas                     | $0.00            | $0.00          |
| Credit Suisse                   | $0.00            | $0.00          |
| Timber Hill                     | $0.00            | $0.00          |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 5,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 1.00%

- **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):** 0.73%

- **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 WELLINGTON FUND

**Date:** 2023-02-09

**Signature:** Ashley Grim

**Title:** Treasurer