# EDGAR Filing Document

**Accession Number:** 0000036405
**File Stem:** 0001752724-23-057197
**Filing Date:** 2023-3
**Character Count:** 555480
**Document Hash:** 9ba01bdbc0e09880803b637a6bdc3c94
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-057197.hdr.sgml**: 20230315

**ACCESSION NUMBER**: 0001752724-23-057197

**CONFORMED SUBMISSION TYPE**: N-CEN

**PUBLIC DOCUMENT COUNT**: 4

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230315

**DATE AS OF CHANGE**: 20230315

**EFFECTIVENESS DATE**: 20230315

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VANGUARD INDEX FUNDS
- **CENTRAL INDEX KEY:** 0000036405
- **IRS NUMBER:** 231999755
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** N-CEN
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-02652
- **FILM NUMBER:** 23734858

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

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

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VANGUARD INDEX FUNDS/
- **DATE OF NAME CHANGE:** 20011121

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VANGUARD INDEX TRUST
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** FIRST INDEX INVESTMENT TRUST
- **DATE OF NAME CHANGE:** 19800904

## Series and Classes Contracts Data

### Vanguard 500 Index Fund (Series ID: S000002839)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000007773 | Investor Shares             | VFINX           |
| C000007774 | Admiral Shares              | VFIAX           |
| C000092055 | ETF Shares                  | VOO             |
| C000170274 | Institutional Select Shares | VFFSX           |
| C000179712 | Institutional Shares        |  |
| C000179713 | Institutional Plus Shares   |  |

### Vanguard Value Index Fund (Series ID: S000002840)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000007775 | Investor Shares      | VIVAX           |
| C000007776 | Admiral Shares       | VVIAX           |
| C000007777 | Institutional Shares | VIVIX           |
| C000007778 | ETF Shares           | VTV             |

### Vanguard Extended Market Index Fund (Series ID: S000002841)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000007779 | Investor Shares             | VEXMX           |
| C000007780 | Admiral Shares              | VEXAX           |
| C000007781 | Institutional Shares        | VIEIX           |
| C000007782 | ETF Shares                  | VXF             |
| C000096110 | Institutional Plus Shares   | VEMPX           |
| C000170275 | Institutional Select Shares | VSEMX           |

### Vanguard Growth Index Fund (Series ID: S000002842)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000007783 | Investor Shares      | VIGRX           |
| C000007784 | Admiral Shares       | VIGAX           |
| C000007785 | Institutional Shares | VIGIX           |
| C000007786 | ETF Shares           | VUG             |

### Vanguard Large-Cap Index Fund (Series ID: S000002843)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000007787 | Investor Shares      | VLACX           |
| C000007788 | Admiral Shares       | VLCAX           |
| C000007789 | Institutional Shares | VLISX           |
| C000007790 | ETF Shares           | VV              |

### Vanguard Mid-Cap Index Fund (Series ID: S000002844)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000007791 | Investor Shares           | VIMSX           |
| C000007792 | Admiral Shares            | VIMAX           |
| C000007793 | Institutional Shares      | VMCIX           |
| C000007794 | ETF Shares                | VO              |
| C000096111 | Institutional Plus Shares | VMCPX           |

### Vanguard Small-Cap Index Fund (Series ID: S000002845)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000007795 | Investor Shares           | NAESX           |
| C000007796 | Admiral Shares            | VSMAX           |
| C000007797 | Institutional Shares      | VSCIX           |
| C000007798 | ETF Shares                | VB              |
| C000096112 | Institutional Plus Shares | VSCPX           |

### Vanguard Small-Cap Growth Index Fund (Series ID: S000002846)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000007799 | Investor Shares      | VISGX           |
| C000007800 | Institutional Shares | VSGIX           |
| C000007801 | ETF Shares           | VBK             |
| C000105304 | Admiral Shares       | VSGAX           |

### Vanguard Small-Cap Value Index Fund (Series ID: S000002847)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000007802 | Investor Shares      | VISVX           |
| C000007803 | Institutional Shares | VSIIX           |
| C000007804 | ETF Shares           | VBR             |
| C000105305 | Admiral Shares       | VSIAX           |

### Vanguard Total Stock Market Index Fund (Series ID: S000002848)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000007805 | Investor Shares             | VTSMX           |
| C000007806 | Admiral Shares              | VTSAX           |
| C000007807 | Institutional Shares        | VITSX           |
| C000007808 | ETF Shares                  | VTI             |
| C000155407 | Institutional Plus Shares   | VSMPX           |
| C000170276 | Institutional Select Shares | VSTSX           |

### Vanguard Mid-Cap Growth Index Fund (Series ID: S000012756)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000034427 | Investor Shares | VMGIX           |
| C000034428 | ETF Shares      | VOT             |
| C000105306 | Admiral Shares  | VMGMX           |

### Vanguard Mid-Cap Value Index Fund (Series ID: S000012757)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000034429 | Investor Shares | VMVIX           |
| C000034430 | ETF Shares      | VOE             |
| C000105307 | Admiral Shares  | VMVAX           |

## Other

```

N-CEN Certification

The undersigned, as Chief Compliance Officer of the Vanguard Funds, hereby
certifies that pursuant to Item G.1.a.v. of Form N-CEN as such Form may be
revised, amended or superseded from time to time, that  each registered open-
end investment company (each, a "Registrant"), on behalf of each portfolio
series of each such Registrant listed on Schedule A hereto ( each, a "Fund",
and collectively, the "Funds"); and The Vanguard Group, Inc. have (i)
implemented procedures reasonably designed to achieve compliance with the terms
and conditions of the exemptive order granted by the U.S. Securities Exchange
Commission ("SEC") on May 13, 2014 (the "Order"), and (ii) such procedures are
reasonably designed to achieve the following objectives:

(a)	that the Interfund Loan Rate will be higher than the Repo Rate, and, if
applicable, the yield of the money market funds, but lower than the
Bank
Loan Rate;

(b)	compliance with the collateral requirements as set forth in the
application for the Order as filed with the SEC on January 28, 2014
(the "Application");

(c)	compliance with the percentage limitations on interfund borrowing and
lending;

(d)	allocation of interfund borrowing and lending demand in an equitable`
manner and in accordance with procedures established by the Trustees;
and

(e)	that the Interfund Loan Rate does not exceed the interest rate on any
third-
party borrowings of a borrowing Fund at the time of the Interfund
Loan.

By: /s/ Jacqueline Angell

Name: Jacqueline Angell

Title: Chief Compliance Officer

Date: 3/15/2023

Schedule A

Lender/Borrower
Fund Name
Registrant
Borrower
Vanguard 500 Index Fund
Vanguard Index
Funds
Lender
Vanguard Total Stock Market Index Fund
Vanguard Index
Funds

```

## Internal

```

Report of Independent Registered Public Accounting
Firm

To the Board of Trustees of Vanguard Index Funds and
Shareholders of
Vanguard Value Index Fund
Vanguard Growth Index Fund
Vanguard 500 Index Fund and
Vanguard Large-Cap Index Fund

In planning and performing our audits of the financial
statements of Vanguard Value Index Fund, Vanguard Growth
Index Fund, Vanguard 500 Index Fund and Vanguard Large-
Cap Index Fund (four of the funds constituting Vanguard
Index Funds, hereafter collectively referred to as the "Funds")
as of and for the year ended December 31, 2022, in
accordance with the standards of the Public Company
Accounting Oversight Board (United States) (PCAOB), we
considered the Funds' internal control over financial reporting,
including controls over safeguarding securities, as a basis for
designing our auditing procedures for the purpose of
expressing our opinion on the financial statements and to
comply with the requirements of Form N-CEN, but not for the
purpose of expressing an opinion on the effectiveness of the
Funds' internal control over financial reporting.  Accordingly,
we do not express an opinion on the effectiveness of the
Funds' internal control over financial reporting.

The management of the Funds is responsible for establishing
and maintaining effective internal control over financial
reporting.  In fulfilling this responsibility, estimates and
judgments by management are required to assess the
expected benefits and related costs of controls.  A company's
internal control over financial reporting is a process designed
to provide reasonable assurance regarding the reliability of
financial reporting and the preparation of financial statements
for external purposes in accordance with generally accepted
accounting principles.  A company's internal control over
financial reporting includes those policies and procedures that
(1) pertain to the maintenance of records that, in reasonable
detail, accurately and fairly reflect the transactions and
dispositions of the assets of the company; (2) provide
reasonable assurance that transactions are recorded as
necessary to permit preparation of financial statements in
accordance with generally accepted accounting principles,
and that receipts and expenditures of the company are being
made only in accordance with authorizations of management
and directors of the company; and (3) provide reasonable
assurance regarding prevention or timely detection of
unauthorized acquisition, use or disposition of a company's
assets that could have a material effect on the financial
statements.

Because of its inherent limitations, internal control over
financial reporting may not prevent or detect misstatements.
Also, projections of any evaluation of effectiveness to future
periods are subject to the risk that controls may become
inadequate because of changes in conditions, or that the
degree of compliance with the policies or procedures may
deteriorate.

A deficiency in internal control over financial reporting exists
when the design or operation of a control does not allow
management or employees, in the normal course of
performing their assigned functions, to prevent or detect
misstatements on a timely basis.  A material weakness is a
deficiency, or a combination of deficiencies, in internal control
over financial reporting, such that there is a reasonable
possibility that a material misstatement of the company's
annual or interim financial statements will not be prevented or
detected on a timely basis.

Our consideration of the Funds' internal control over financial
reporting was for the limited purpose described in the first
paragraph and would not necessarily disclose all deficiencies
in internal control over financial
reporting that might be material weaknesses under standards
established by the PCAOB.  However, we noted no
deficiencies in the Funds' internal control over financial
reporting and its operation, including controls over
safeguarding securities, that we consider to be a material
weakness as defined above as of December 31, 2022.

This report is intended solely for the information and use of
the Board of Trustees of Vanguard Index Funds and the
Securities and Exchange Commission and is not intended to
be and should not be used by anyone other than these
specified parties.

/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 15, 2023

```

## Internal

```

Report of Independent Registered Public
Accounting Firm

To the Board of Trustees of Vanguard Index Funds and
Shareholders of
Vanguard Total Stock Market Index Fund
Vanguard Extended Market Index Fund
Vanguard Mid-Cap Index Fund
Vanguard Mid-Cap Growth Index Fund
Vanguard Mid-Cap Value Index Fund
Vanguard Small-Cap Index Fund
Vanguard Small-Cap Growth Index Fund and
Vanguard Small-Cap Value Index Fund

In planning and performing our audits of the financial
statements of Vanguard Total Stock Market Index
Fund, Vanguard Extended Market Index Fund,
Vanguard Mid-Cap Index Fund, Vanguard Mid-Cap
Growth Index Fund, Vanguard Mid-Cap Value Index
Fund, Vanguard Small-Cap Index Fund, Vanguard
Small-Cap Growth Index Fund, and Vanguard Small-
Cap Value Index Fund (eight of the funds constituting
Vanguard Index Funds, hereafter collectively referred to
as the "Funds") as of and for the year ended December
31, 2022, in accordance with the standards of the
Public Company Accounting Oversight Board (United
States) (PCAOB), we considered the Funds' internal
control over financial reporting, including controls over
safeguarding securities, as a basis for designing our
auditing procedures for the purpose of expressing our
opinion on the financial statements and to comply with
the requirements of Form N-CEN, but not for the
purpose of expressing an opinion on the effectiveness
of the Funds' internal control over financial reporting.
Accordingly, we do not express an opinion on the
effectiveness of the Funds' internal control over
financial reporting.

The management of the Funds is responsible for
establishing and maintaining effective internal control
over financial reporting. In fulfilling this responsibility,
estimates and judgments by management are required
to assess the expected benefits and related costs of
controls. A company's internal control over financial
reporting is a process designed to provide reasonable
assurance regarding the reliability of financial reporting
and the preparation of financial statements for external
purposes in accordance with generally accepted
accounting principles. A company's internal control over
financial reporting includes those policies and
procedures that (1) pertain to the maintenance of
records that, in reasonable detail, accurately and fairly
reflect the transactions and dispositions of the assets of
the company; (2) provide reasonable assurance that
transactions are recorded as necessary to permit
preparation of financial statements in accordance with
generally accepted accounting principles, and that
receipts and expenditures of the company are being
made only in accordance with authorizations of
management and directors of the company; and (3)
provide reasonable assurance regarding prevention or
timely detection of unauthorized acquisition, use or
disposition of a company's assets that could have a
material effect on the financial statements.

Because of its inherent limitations, internal control over
financial reporting may not prevent or detect
misstatements. Also, projections of any evaluation of
effectiveness to future periods are subject to the risk
that controls may become inadequate because of
changes in conditions, or that the degree of compliance
with the policies or procedures may deteriorate.

A deficiency in internal control over financial reporting
exists when the design or operation of a control does
not allow management or employees, in the normal
course of performing their assigned functions, to
prevent or detect misstatements on a timely basis. A
material weakness is a deficiency, or a combination of
deficiencies, in internal control over financial reporting,
such that there is a reasonable possibility that a
material misstatement of the company's annual or
interim financial statements will not be prevented or
detected on a timely basis.

Our consideration of the Funds' internal control over
financial reporting was for the limited purpose described
in the first paragraph and would not necessarily
disclose all deficiencies in internal control over financial
reporting that might be material weaknesses under
standards established by the PCAOB. However, we
noted no deficiencies in the Funds' internal control over
financial reporting and its operation, including controls
over safeguarding securities, that we consider to be a
material weakness as defined above as of December
31, 2022.

This report is intended solely for the information and
use of the Board of Trustees of Vanguard Index Funds
and the Securities and Exchange Commission and is
not intended to be and should not be used by anyone
other than these specified parties.

/s/ PricewaterhouseCoopers LLP
Philadelphia, Pennsylvania
February 16, 2023

```

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

## N-CEN: Filer Information
**Submission Type:** N-CEN
**CIK:** 0000036405

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

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

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

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

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

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

- **Item B.1.b - Investment Company Act file number:** 811-02652

- **Item B.1.c - CIK:** 0000036405

- **Item B.1.d - LEI:** 549300G6KNDK44WUN559

- **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.

**Location books Record: 3**

- **a. Name of person (e.g., a custodian of records):** State Street Bank and Trust

- **b. Street 1:** One Lincoln Street

- **c. City:** Boston

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

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

- **f. Zip code and zip code extension, or foreign postal code:** 20111

- **g. Telephone number:** 617-662-3839

- **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:** 12

- **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                                                                                                                                                                                                                                                                                                                                                   |
|:---|:---|:---|
| Mortimer J. Buckley | Yes                     | 811-05962, 811-01766, 811-06093, 811-07443, 811-01530, 811-04474, 811-00834, 811-04571, 811-05972, 811-07803, 811-06083, 811-02968-99, 811-03919, 811-02687, 811-04526, 811-07043, 811-05628, 811-05445, 811-02554, 811-09005, 811-07175, 811-05340, 811-01027, 811-04570, 811-04681, 811-03916, 811-58431, 811-02368, 811-04098, 811-21478, 811-00121, 811-22114, 811-22619, 811-07239 |
| Emerson U. Fullwood | No                      | 811-07803, 811-07239, 811-04474, 811-03919, 811-02687, 811-04570, 811-04681, 811-02968-99, 811-04098, 811-22114, 811-01530, 811-00834, 811-07043, 811-04571, 811-05962, 811-07443, 811-00121, 811-05340, 811-07175, 811-02554, 811-58431, 811-05628, 811-01027, 811-05972, 811-02368, 811-09005, 811-03916, 811-06093, 811-01766, 811-05445, 811-21478, 811-04526, 811-06083, 811-22619 |
| Mark Loughridge     | No                      | 811-04526, 811-05972, 811-05340, 811-01027, 811-05628, 811-05962, 811-05445, 811-04571, 811-04098, 811-22619, 811-22114, 811-00834, 811-01530, 811-07239, 811-06093, 811-21478, 811-07175, 811-58431, 811-02554, 811-04681, 811-04474, 811-04570, 811-03919, 811-09005, 811-02687, 811-00121, 811-07043, 811-01766, 811-02968-99, 811-02368, 811-03916, 811-07443, 811-06083, 811-07803 |
| Peter F. Volanakis  | No                      | 811-05445, 811-21478, 811-04571, 811-04526, 811-22619, 811-04098, 811-00121, 811-09005, 811-04474, 811-02554, 811-05340, 811-01766, 811-07043, 811-02968-99, 811-05972, 811-04570, 811-07239, 811-22114, 811-58431, 811-01027, 811-01530, 811-05962, 811-03916, 811-02687, 811-07175, 811-05628, 811-02368, 811-03919, 811-07443, 811-07803, 811-06093, 811-06083, 811-00834, 811-04681 |
| F. Joseph Loughrey  | No                      | 811-22114, 811-09005, 811-22619, 811-03919, 811-04526, 811-01766, 811-05445, 811-07043, 811-04571, 811-00121, 811-05628, 811-06083, 811-01530, 811-02368, 811-04681, 811-07443, 811-02687, 811-01027, 811-05962, 811-04474, 811-02554, 811-02968-99, 811-04570, 811-05972, 811-07239, 811-06093, 811-05340, 811-00834, 811-04098, 811-03916, 811-58431, 811-21478, 811-07803, 811-07175 |
| Deanna Mulligan     | No                      | 811-04681, 811-04098, 811-06093, 811-01027, 811-04526, 811-09005, 811-07175, 811-07043, 811-22114, 811-05628, 811-05972, 811-06083, 811-00834, 811-04571, 811-00121, 811-58431, 811-01766, 811-03916, 811-04474, 811-04570, 811-05962, 811-02368, 811-03919, 811-01530, 811-07239, 811-02968-99, 811-02687, 811-07443, 811-02554, 811-05445, 811-05340, 811-07803, 811-21478, 811-22619 |
| Sarah Bloom Raskin  | No                      | 811-09005, 811-07043, 811-01530, 811-07175, 811-21478, 811-05628, 811-05962, 811-02687, 811-58431, 811-22619, 811-04098, 811-02968-99, 811-22114, 811-04570, 811-07443, 811-02368, 811-07239, 811-03916, 811-05445, 811-01766, 811-04571, 811-00121, 811-05340, 811-04681, 811-07803, 811-04526, 811-05972, 811-03919, 811-04474, 811-02554, 811-06093, 811-01027, 811-06083, 811-00834 |
| Tara Bunch          | No                      | 811-01027, 811-03916, 811-04098, 811-07443, 811-02368, 811-02687, 811-04681, 811-02968-99, 811-21478, 811-05340, 811-05972, 811-07803, 811-06083, 811-58431, 811-00834, 811-03919, 811-05962, 811-04526, 811-06093, 811-04571, 811-02554, 811-22114, 811-00121, 811-01530, 811-05445, 811-09005, 811-01766, 811-04474, 811-07043, 811-07175, 811-05628, 811-04570, 811-22619, 811-07239 |
| David Thomas        | No                      | 811-01530, 811-09005, 811-22114, 811-07175, 811-07443, 811-07803, 811-22619, 811-04681, 811-05962, 811-04571, 811-04570, 811-01027, 811-05628, 811-05340, 811-01766, 811-03919, 811-06083, 811-04526, 811-21478, 811-58431, 811-02687, 811-02368, 811-04474, 811-00834, 811-07239, 811-02554, 811-07043, 811-03916, 811-02968-99, 811-06093, 811-05445, 811-00121, 811-05972, 811-04098 |
| Andre F. Perold     | No                      | 811-21478, 811-04570, 811-05972, 811-05340, 811-07239, 811-00834, 811-06083, 811-04098, 811-07443, 811-09005, 811-04681, 811-02968-99, 811-05628, 811-01530, 811-58431, 811-22619, 811-03919, 811-22114, 811-07803, 811-05445, 811-03916, 811-02687, 811-02368, 811-07043, 811-04526, 811-00121, 811-07175, 811-05962, 811-04571, 811-04474, 811-01027, 811-06093, 811-02554, 811-01766 |
| Scott C. Malpass    | No                      | 811-04526, 811-03916, 811-22619, 811-05962, 811-02554, 811-04681, 811-00121, 811-01530, 811-00834, 811-06083, 811-02687, 811-01766, 811-07239, 811-05445, 811-01027, 811-09005, 811-22114, 811-04098, 811-21478, 811-05972, 811-07443, 811-07803, 811-04570, 811-03919, 811-04571, 811-05340, 811-02368, 811-04474, 811-07043, 811-07175, 811-05628, 811-02968-99, 811-06093, 811-58431 |

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

**Chief compliance officer Record: 1**

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

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

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

- **d. City:** Malvern

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

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

- **g. Zip code:** 19355

- **h. Telephone number:** XXXXXX

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

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

**CCO employer Record: 1**

- **i. Name of the person:** —

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

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

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

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

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

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

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

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

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

- **Item B.15.a.i - Release numbers:**
  - IC-19184
  - IC-9205
  - IC-8676
  - IC-9664
  - IC-26436
  - IC-24789
  - IC-26317
  - IC-11645
  - IC-9001
  - IC-27386

### 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 LARGE-CAP INDEX FUND

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

- **a. Full Name of the Fund:** VANGUARD LARGE-CAP INDEX FUND

- **b. Series identification number, if any:** S000002843

- **c. LEI:** E6X2OQ8OM0Z814YUKF70

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Admiral Shares          | C000007788                                | VLCAX                        |
|                           2 | Institutional Shares    | C000007789                                | VLISX                        |
|                           3 | Investor Shares         | C000007787                                | VLACX                        |
|                           4 | ETF Shares              | C000007790                                | VV                           |

**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:** $33,383,752.19

- **g. Provide the net income from securities lending activities:** $2,080,422.22

**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 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 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:** 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:** Refinitiv US LLC

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

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

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

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

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

**Pricing Services Record: 4**

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

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

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

**Pricing Services Record: 5**

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

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

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

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

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

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

**Pricing Services Record: 6**

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

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

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

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

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

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

**Item C.12. Custodians.**

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

**Custodians Record: 1**

- **i. Full name:** 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)

**Custodians Record: 2**

- **i. Full name:** THE BANK OF NEW YORK MELLON SA/NV

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

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

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

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

**Custodians Record: 3**

- **i. Full name:** SKANDINAVISKA ENSKILDA BANKEN, STOCKHOLM

- **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: 4**

- **i. Full name:** EUROCLEAR BANK, BRUSSELS

- **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: 5**

- **i. Full name:** THE BANK OF NEW YORK MELLON SA/NV

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

- **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: 6**

- **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))

**Custodians Record: 7**

- **i. Full name:** CIBC MELLON TRUST COMPANY

- **ii. LEI, if any:** 549300IYUUH221WBZ505

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

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

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 8**

- **i. Full name:** The Bank of New York Mellon SA/NV

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

- **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: 9**

- **i. Full name:** THE BANK OF NEW YORK MELLON SA/NV

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

- **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: 10**

- **i. Full name:** The Hongkong and Shanghai Banking Corporation Limited, Sydney Branch

- **ii. LEI, if any:** 2HI3YI5320L3RW6NJ957

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

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

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 11**

- **i. Full name:** The Bank of New York Mellon

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

- **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: 12**

- **i. Full name:** CREDIT SUISSE(SWITZERLAND)LTD

- **ii. LEI, if any:** 549300CWR0W0BCS9Q144

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

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

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 13**

- **i. Full name:** The Bank of New York Mellon SA/NV, Asset Servicing, Niederlassung Frankfurt am Main

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

- **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 Company

- **ii. LEI, if any, or other identifying number:** 571474TGEMMWANRLN572

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

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

**Brokers Record: 1**

- **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:** $12,577.07

**Brokers Record: 2**

- **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:** $5,713.96

**Brokers Record: 3**

- **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:** $31,319.91

**Brokers Record: 4**

- **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:** $4,680.78

**Brokers Record: 5**

- **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:** $15,954.55

**Brokers Record: 6**

- **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:** $19,729.18

**Brokers Record: 7**

- **i. Full name of broker:** Mizuho Securities USA Inc

- **ii. SEC file number:** 008-37710

- **iii. CRD number:** 000019647

- **iv. LEI, if any:** 5493004GRDTUI7EMIZ82

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $21,328.27

**Brokers Record: 8**

- **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:** $26,612.94

**Brokers Record: 9**

- **i. Full name of broker:** Cantor Fitzgerald & Co.

- **ii. SEC file number:** 008-00201

- **iii. CRD number:** 000000134

- **iv. LEI, if any:** 5493004J7H4GCPG6OB62

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $986.28

**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:** $21,139.33

**Aggregate Commission:** $166,041.30

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

| Name                            | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| RBC Capital Markets, LLC        | 008-45411         | 000031194    | 549300LCO2FLSSVFFR64 | NY      | US        | $8,248.02                 |
| National Financial Services LLC | 008-26740         | 000013041    | 549300JRHF1MHHWUAW04 | MA      | US        | $227,057.85               |
| J.P. Morgan Securities LLC      | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $1,457,078.22             |
| Morgan Stanley & Co. LLC        | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $1,363,456.40             |
| ABN AMRO CLEARING CHICAGO LLC   | N/A               | N/A          | 549300U16G4LU3V6C598 | IL      | US        | $40,651.76                |
| Goldman Sachs & Co. LLC         | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $1,255,719.21             |
| Citigroup Global Markets Inc.   | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $487,600.00               |
| Citadel Securities LLC          | 008-53574         | 000116797    | 12UUJYTN7D3SW8KCSG25 | IL      | US        | $185,697.67               |
| Vanguard Market Liquidity Fund  | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $2,887,639,442.00         |
| BofA Securities, Inc.           | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $332,409.45               |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $2,892,999,601.28

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

- **Item C.19.a - Fund's monthly average net assets:** $37,540,466,650.57

**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 Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 2 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 3 Name of institution:** BNP Paribas

  - **Line Institutions Record: 4 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 5 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 6 Name of institution:** Societe Generale

  - **Line Institutions Record: 7 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 8 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

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

  - **Line Institutions Record: 10 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 11 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 12 Name of institution:** Credit Suisse AG, New York Branch

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

  - **Line Institutions Record: 14 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 15 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 16 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 17 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 18 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 19 Name of institution:** Bank of Montreal, Chicago Branch

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

  - **Line Institutions Record: 21 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 22 Name of institution:** Brown Brothers Harriman & Co.

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

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

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

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

### Management Investment Record: 2 - VANGUARD MID-CAP VALUE INDEX FUND

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

- **a. Full Name of the Fund:** VANGUARD MID-CAP VALUE INDEX FUND

- **b. Series identification number, if any:** S000012757

- **c. LEI:** Q4QUKKUM8YYJ562GIO45

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Admiral Shares          | C000105307                                | VMVAX                        |
|                           2 | Investor Shares         | C000034429                                | VMVIX                        |
|                           3 | ETF Shares              | C000034430                                | VOE                          |

**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:** $115,718,008.70

- **g. Provide the net income from securities lending activities:** $8,027,456.89

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

Did the Fund rely on the following rules?

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

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

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

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

**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:** 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:** 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: 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:** 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:** Bloomberg Finance LP

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

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

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

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

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

**Item C.12. Custodians.**

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

**Custodians Record: 1**

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

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

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

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

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

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

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

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

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

**Shareholder Servicing Agents Record: 1**

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

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

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

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

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

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

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

**Item C.14. Administrators.**

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

**Administrators Record: 1**

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

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

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

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

**Brokers Record: 1**

- **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:** $50,667.69

**Brokers Record: 2**

- **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:** $25,339.57

**Brokers Record: 3**

- **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:** $105,578.76

**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:** $23,545.16

**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:** $129,746.49

**Brokers Record: 6**

- **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:** $111,611.04

**Brokers Record: 7**

- **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:** $36,111.73

**Brokers Record: 8**

- **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:** $115,503.40

**Brokers Record: 9**

- **i. Full name of broker:** Mizuho Securities USA Inc

- **ii. SEC file number:** 008-37710

- **iii. CRD number:** 000019647

- **iv. LEI, if any:** 5493004GRDTUI7EMIZ82

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $88,139.50

**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:** $132,827.67

**Aggregate Commission:** $848,403.60

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

| Name                           | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Virtu ITG LLC                  | 008-44218         | 000029299    | 549300S41SMIODVIT266 | NY      | US        | $843.88                   |
| Goldman Sachs & Co. LLC        | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $9,720,726.68             |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $2,896,321,442.00         |
| Morgan Stanley & Co. LLC       | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $8,621,536.20             |
| J.P. Morgan Securities PLC     | N/A               | N/A          | K6Q0W1PS1L1O4IQL9C32 |  |  | $6,803,266.14             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $2,921,467,814.90

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

- **Item C.19.a - Fund's monthly average net assets:** $28,231,752,244.90

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

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

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

**Line of Credit details Record: 1**

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

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

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

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

  - **Line Institutions Record: 2 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 3 Name of institution:** BNP Paribas

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

  - **Line Institutions Record: 5 Name of institution:** Credit Suisse AG, New York Branch

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

  - **Line Institutions Record: 7 Name of institution:** PNC Bank, National Association

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

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

  - **Line Institutions Record: 10 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 11 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 12 Name of institution:** Goldman Sachs Bank USA

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

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

  - **Line Institutions Record: 15 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 16 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 17 Name of institution:** HSBC Bank USA, N.A.

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

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

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

  - **Line Institutions Record: 21 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 22 Name of institution:** Societe Generale

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

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

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

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

### Management Investment Record: 3 - VANGUARD MID-CAP GROWTH INDEX FUND

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

- **a. Full Name of the Fund:** VANGUARD MID-CAP GROWTH INDEX FUND

- **b. Series identification number, if any:** S000012756

- **c. LEI:** M6JWDO0S7R5FNUM8T614

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares              | C000034428                                | VOT                          |
|                           2 | Admiral Shares          | C000105306                                | VMGMX                        |
|                           3 | Investor Shares         | C000034427                                | VMGIX                        |

**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:** $89,329,010.12

- **g. Provide the net income from securities lending activities:** $3,372,381.00

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

Did the Fund rely on the following rules?

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

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

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

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

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

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

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

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

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

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

**Investment Advisers Record: 1**

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

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

- **iii. CRD number:** 000105958

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

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

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

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

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

**Transfer Agents Record: 1**

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

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

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

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

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

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

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

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

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

**Pricing Services Record: 1**

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

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

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

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

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

**Pricing Services Record: 2**

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

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

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

**Pricing Services Record: 3**

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

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

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

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

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

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

**Pricing Services Record: 7**

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

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

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

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

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

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

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

**Item C.12. Custodians.**

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

**Custodians Record: 1**

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

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

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

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

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

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

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

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

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

**Shareholder Servicing Agents Record: 1**

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

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

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

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

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

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

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

**Item C.14. Administrators.**

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

**Administrators Record: 1**

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

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

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

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

**Brokers Record: 1**

- **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:** $96,209.28

**Brokers Record: 2**

- **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:** $47,369.62

**Brokers Record: 3**

- **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:** $77,507.48

**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:** $17,754.02

**Brokers Record: 5**

- **i. Full name of broker:** Mizuho Securities USA Inc

- **ii. SEC file number:** 008-37710

- **iii. CRD number:** 000019647

- **iv. LEI, if any:** 5493004GRDTUI7EMIZ82

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $43,324.49

**Brokers Record: 6**

- **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:** $52,251.78

**Brokers Record: 7**

- **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:** $84,986.56

**Brokers Record: 8**

- **i. Full name of broker:** Virtu ITG LLC

- **ii. SEC file number:** 008-44218

- **iii. CRD number:** 000029299

- **iv. LEI, if any:** 549300S41SMIODVIT266

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $6,089.90

**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:** $55,546.32

**Brokers Record: 10**

- **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:** $50,010.04

**Aggregate Commission:** $541,387.69

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

| Name                           | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Morgan Stanley & Co. LLC       | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $1,739,020.87             |
| Citigroup Global Markets Inc.  | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $3,169,760.00             |
| Goldman Sachs & Co. LLC        | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $36,646.13                |
| BofA Securities, Inc.          | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $34,959.00                |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $1,034,654,557.03         |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $1,039,634,943.03

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

- **Item C.19.a - Fund's monthly average net assets:** $19,846,095,592.96

**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:** JPMorgan Chase Bank, N.A.

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

  - **Line Institutions Record: 4 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 5 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 6 Name of institution:** The Bank of Nova Scotia, Houston Branch

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

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

  - **Line Institutions Record: 9 Name of institution:** Citibank, N.A.

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

  - **Line Institutions Record: 11 Name of institution:** HSBC Bank USA, N.A.

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

  - **Line Institutions Record: 13 Name of institution:** Bank of America N.A.

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

  - **Line Institutions Record: 15 Name of institution:** Wells Fargo Bank, National Association

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

  - **Line Institutions Record: 17 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 18 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 19 Name of institution:** State Street Bank and Trust Company

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

  - **Line Institutions Record: 21 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 22 Name of institution:** BNP Paribas

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

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

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

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

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

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

### Management Investment Record: 4 - VANGUARD 500 INDEX FUND

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

- **a. Full Name of the Fund:** VANGUARD 500 INDEX FUND

- **b. Series identification number, if any:** S000002839

- **c. LEI:** 12WZ1W76P8QD4VJ6OB47

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class       | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares                  | C000092055                                | VOO                          |
|                           2 | Investor Shares             | C000007773                                | VFINX                        |
|                           3 | Institutional Select Shares | C000170274                                | VFFSX                        |
|                           4 | Admiral Shares              | C000007774                                | VFIAX                        |

**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:** $84,875,436.20

- **g. Provide the net income from securities lending activities:** $3,063,259.61

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

Did the Fund rely on the following rules?

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

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

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

- Rule 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:** 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:** ICE Data Pricing and Reference Data LLC

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

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

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

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

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

**Pricing Services Record: 5**

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

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

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

**Pricing Services Record: 6**

- **i. Full name:** 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:** 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:** BNP Paribas Securities Services, S.C.A.

- **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: 2**

- **i. Full name:** State Street Bank and Trust Company

- **ii. LEI, if any:** 571474TGEMMWANRLN572

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

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

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

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

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

**Custodians Record: 3**

- **i. Full name:** The Hongkong and Shanghai Banking Corporation Limited

- **ii. LEI, if any:** 2HI3YI5320L3RW6NJ957

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

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

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 4**

- **i. Full name:** BNP Paribas Securities Services, S.C.A.

- **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: 5**

- **i. Full name:** State Street Bank and Trust Company, United Kingdom branch

- **ii. LEI, if any:** 213800YAZLPV26WFM449

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

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

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 6**

- **i. Full name:** State Street Trust Company Canada

- **ii. LEI, if any:** 549300L71XG2CTQ2V827

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

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

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 7**

- **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: 8**

- **i. Full name:** Intesa Sanpaolo S.p.A.

- **ii. LEI, if any:** 2W8N8UU78PMDQKZENC08

- **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:** Credit Suisse (Switzerland) Limited

- **ii. LEI, if any:** 549300CWR0W0BCS9Q144

- **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:** Mizuho Bank, Limited

- **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)

**Custodians Record: 11**

- **i. Full name:** BNP Paribas Securities Services, S.C.A.

- **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:** State Street Bank International GmbH

- **ii. LEI, if any:** ZMHGNT7ZPKZ3UFZ8EO46

- **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:** Euroclear Bank S.A./N.V.

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

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

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

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

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

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

**Shareholder Servicing Agents Record: 1**

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

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

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

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

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

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

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

**Item C.14. Administrators.**

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

**Administrators Record: 1**

- **i. Full name:** State Street Bank and Trust Company

- **ii. LEI, if any, or other identifying number:** 571474TGEMMWANRLN572

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

**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:** $132,191.67

**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:** $252,886.50

**Brokers Record: 3**

- **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:** $202,515.61

**Brokers Record: 4**

- **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:** $385,365.96

**Brokers Record: 5**

- **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:** $90,832.69

**Brokers Record: 6**

- **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:** $235,128.08

**Brokers Record: 7**

- **i. Full name of broker:** Credit Suisse AG

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

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

- **iv. LEI, if any:** ANGGYXNX0JLX3X63JN86

- **vii. Gross commissions paid by the Fund for the reporting period:** $56,169.62

**Brokers Record: 8**

- **i. Full name of broker:** Mizuho Securities USA Inc

- **ii. SEC file number:** 008-37710

- **iii. CRD number:** 000019647

- **iv. LEI, if any:** 5493004GRDTUI7EMIZ82

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $125,729.77

**Brokers Record: 9**

- **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:** $291,213.52

**Brokers Record: 10**

- **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:** $394,474.38

**Aggregate Commission:** $2,363,798.03

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

| Name                            | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Citadel Securities LLC          | 008-53574         | 000116797    | 12UUJYTN7D3SW8KCSG25 | IL      | US        | $5,202,771.20             |
| Vanguard Market Liquidity Fund  | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $46,239,269,156.00        |
| RBC Capital Markets, LLC        | 008-45411         | 000031194    | 549300LCO2FLSSVFFR64 | NY      | US        | $605,114.80               |
| National Financial Services LLC | 008-26740         | 000013041    | 549300JRHF1MHHWUAW04 | MA      | US        | $1,330,984.33             |
| J.P. Morgan Securities LLC      | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $29,202,688.00            |
| Morgan Stanley & Co. LLC        | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $23,326,611.37            |
| BofA Securities, Inc.           | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $5,027,398.17             |
| ABN AMRO CLEARING CHICAGO LLC   | N/A               | N/A          | 549300U16G4LU3V6C598 | IL      | US        | $4,425,860.87             |
| Goldman Sachs & Co. LLC         | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $219,203,725.05           |
| HUDSON RIVER TRADING LLC        | 008-68430         | 000152144    | 549300SMOBUC8O5UOE10 | NY      | US        | $12,953,848.02            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $46,540,584,284.05

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

- **Item C.19.a - Fund's monthly average net assets:** $767,112,902,255.60

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

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

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

**Line of Credit details Record: 1**

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

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

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

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

  - **Line Institutions Record: 2 Name of institution:** Wells Fargo Bank, National Association

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

  - **Line Institutions Record: 4 Name of institution:** JPMorgan Chase Bank, N.A.

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

  - **Line Institutions Record: 6 Name of institution:** BNP Paribas

  - **Line Institutions Record: 7 Name of institution:** Morgan Stanley Bank, N.A.

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

  - **Line Institutions Record: 9 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 10 Name of institution:** The Toronto-Dominion Bank, New York Branch

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

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

  - **Line Institutions Record: 13 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 14 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 15 Name of institution:** Societe Generale

  - **Line Institutions Record: 16 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 17 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 18 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 19 Name of institution:** Credit Suisse AG, New York Branch

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

  - **Line Institutions Record: 21 Name of institution:** Bank of America N.A.

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

- **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?** —

### Management Investment Record: 5 - VANGUARD VALUE INDEX FUND

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

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

- **b. Series identification number, if any:** S000002840

- **c. LEI:** HH8Q33B0J5YWPPIGZP55

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares              | C000007778                                | VTV                          |
|                           2 | Admiral Shares          | C000007776                                | VVIAX                        |
|                           3 | Institutional Shares    | C000007777                                | VIVIX                        |
|                           4 | Investor Shares         | C000007775                                | VIVAX                        |

**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:** $113,450,891.47

- **g. Provide the net income from securities lending activities:** $10,247,310.35

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

Did the Fund rely on the following rules?

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

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

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

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

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

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

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

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

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

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

**Investment Advisers Record: 1**

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

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

- **iii. CRD number:** 000105958

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

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

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

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

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

**Transfer Agents Record: 1**

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

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

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

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

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

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

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

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

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

**Pricing Services Record: 1**

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

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

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

**Pricing Services Record: 2**

- **i. Full name:** 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:** 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: 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:** 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:** 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))

**Custodians Record: 2**

- **i. Full name:** SKANDINAVISKA ENSKILDA BANKEN, STOCKHOLM

- **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: 3**

- **i. Full name:** The Bank of New York Mellon

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

- **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: 4**

- **i. Full name:** The Bank of New York Mellon SA/NV

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

- **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: 5**

- **i. Full name:** THE BANK OF NEW YORK MELLON SA/NV

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

- **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: 6**

- **i. Full name:** CREDIT SUISSE(SWITZERLAND)LTD

- **ii. LEI, if any:** 549300CWR0W0BCS9Q144

- **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:** CIBC MELLON TRUST COMPANY

- **ii. LEI, if any:** 549300IYUUH221WBZ505

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

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

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 8**

- **i. Full name:** EUROCLEAR BANK, BRUSSELS

- **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: 9**

- **i. Full name:** The Hongkong and Shanghai Banking Corporation Limited, Sydney Branch

- **ii. LEI, if any:** 2HI3YI5320L3RW6NJ957

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

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

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 10**

- **i. Full name:** The Bank of New York Mellon SA/NV, Asset Servicing, Niederlassung Frankfurt am Main

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

- **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: 11**

- **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)

**Custodians Record: 12**

- **i. Full name:** THE BANK OF NEW YORK MELLON SA/NV

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

- **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: 13**

- **i. Full name:** THE BANK OF NEW YORK MELLON SA/NV

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

- **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 Company

- **ii. LEI, if any, or other identifying number:** 571474TGEMMWANRLN572

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

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

**Brokers Record: 1**

- **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:** $168,965.31

**Brokers Record: 2**

- **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:** $156,817.97

**Brokers Record: 3**

- **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:** $87,401.64

**Brokers Record: 4**

- **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:** $38,519.01

**Brokers Record: 5**

- **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:** $102,205.79

**Brokers Record: 6**

- **i. Full name of broker:** Credit Suisse AG

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

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

- **iv. LEI, if any:** ANGGYXNX0JLX3X63JN86

- **vii. Gross commissions paid by the Fund for the reporting period:** $10,588.75

**Brokers Record: 7**

- **i. Full name of broker:** Mizuho Securities USA Inc

- **ii. SEC file number:** 008-37710

- **iii. CRD number:** 000019647

- **iv. LEI, if any:** 5493004GRDTUI7EMIZ82

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $189,677.09

**Brokers Record: 8**

- **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:** $62,463.05

**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:** $153,201.07

**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:** $25,526.05

**Aggregate Commission:** $1,015,647.33

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

| Name                               | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| HUDSON RIVER TRADING LLC           | 008-68430         | 000152144    | 549300SMOBUC8O5UOE10 | NY      | US        | $1,271,361.27             |
| Vanguard Market Liquidity Fund     | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $15,013,314,137.00        |
| Credit Suisse Securities (USA) LLC | 008-00422         | 000000816    | 1V8Y6QCX6YMJ2OELII46 | NY      | US        | $1,444.65                 |
| J.P. Morgan Securities LLC         | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $1,463.96                 |
| National Financial Services LLC    | 008-26740         | 000013041    | 549300JRHF1MHHWUAW04 | MA      | US        | $2,394,254.24             |
| Goldman Sachs & Co. LLC            | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $10,066,041.34            |
| BofA Securities, Inc.              | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $1,240,968.35             |
| Citadel Securities LLC             | 008-53574         | 000116797    | 12UUJYTN7D3SW8KCSG25 | IL      | US        | $513,345.71               |
| Morgan Stanley & Co. LLC           | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $8,781,774.20             |
| ABN AMRO CLEARING CHICAGO LLC      | N/A               | N/A          | 549300U16G4LU3V6C598 | IL      | US        | $910,929.12               |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $15,038,495,719.84

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

- **Item C.19.a - Fund's monthly average net assets:** $145,491,251,514.17

**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 New York Mellon

  - **Line Institutions Record: 2 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 3 Name of institution:** Citibank, N.A.

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

  - **Line Institutions Record: 5 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 6 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 7 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 8 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 9 Name of institution:** PNC Bank, National Association

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

  - **Line Institutions Record: 11 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 12 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 13 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 14 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 15 Name of institution:** Societe Generale

  - **Line Institutions Record: 16 Name of institution:** Bank of America N.A.

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

  - **Line Institutions Record: 18 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 19 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

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

  - **Line Institutions Record: 21 Name of institution:** JPMorgan Chase Bank, N.A.

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

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

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

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

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

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

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

### Management Investment Record: 6 - VANGUARD SMALL-CAP GROWTH INDEX FUND

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

- **a. Full Name of the Fund:** VANGUARD SMALL-CAP GROWTH INDEX FUND

- **b. Series identification number, if any:** S000002846

- **c. LEI:** UWJDRZIFJ6DZX3P2T284

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Investor Shares         | C000007799                                | VISGX                        |
|                           2 | ETF Shares              | C000007801                                | VBK                          |
|                           3 | Admiral Shares          | C000105304                                | VSGAX                        |
|                           4 | Institutional Shares    | C000007800                                | VSGIX                        |

**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:** $577,443,939.97

- **g. Provide the net income from securities lending activities:** $31,241,151.66

**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)

- 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:** 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:** 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:** 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:** 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: 2**

- **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: 3**

- **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: 4**

- **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: 5**

- **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: 6**

- **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: 7**

- **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: 8**

- **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: 9**

- **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)

**Custodians Record: 10**

- **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: 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:** 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: 13**

- **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: 14**

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

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

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

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

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

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

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

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

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

**Shareholder Servicing Agents Record: 1**

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

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

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

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

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

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

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

**Item C.14. Administrators.**

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

**Administrators Record: 1**

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

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

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

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

**Brokers Record: 1**

- **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:** $485,100.86

**Brokers Record: 2**

- **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:** $155,226.06

**Brokers Record: 3**

- **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:** $81,433.25

**Brokers Record: 4**

- **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:** $33,488.09

**Brokers Record: 5**

- **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:** $213,247.76

**Brokers Record: 6**

- **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:** $192,286.18

**Brokers Record: 7**

- **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:** $56,296.84

**Brokers Record: 8**

- **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:** $342,535.98

**Brokers Record: 9**

- **i. Full name of broker:** Mizuho Securities USA Inc

- **ii. SEC file number:** 008-37710

- **iii. CRD number:** 000019647

- **iv. LEI, if any:** 5493004GRDTUI7EMIZ82

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $149,696.01

**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:** $735,056.61

**Aggregate Commission:** $2,560,815.65

**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        | $29,565,112.35            |
| Jefferies LLC                  | 008-15074         | 000002347    | 58PU97L1C0WSRCWADL48 | NY      | US        | $1,077,037.00             |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $3,187,414,056.00         |
| Goldman Sachs & Co. LLC        | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $11,316,897.66            |
| Morgan Stanley & Co. LLC       | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $17,096,488.27            |
| The Bank of New York Mellon    | N/A               | 000000231    | HPFHU0OQ28E4N0NFVK49 | NY      | US        | $6,801.74                 |
| Wells Fargo Securities, LLC    | 008-22947         | 000007665    | VYVVCKR63DVZZN70PB21 | NC      | US        | $1,949,641.00             |
| Barclays Capital Inc.          | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $5,134,893.75             |
| J.P. Morgan Securities LLC     | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $49,471,757.32            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $3,303,032,685.09

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

- **Item C.19.a - Fund's monthly average net assets:** $28,575,309,195.55

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

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

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

**Line of Credit details Record: 1**

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

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

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

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

  - **Line Institutions Record: 2 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 3 Name of institution:** Societe Generale

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

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

  - **Line Institutions Record: 6 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 7 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

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

  - **Line Institutions Record: 9 Name of institution:** The Bank of New York Mellon

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

  - **Line Institutions Record: 11 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 12 Name of institution:** Credit Suisse AG, New York Branch

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

  - **Line Institutions Record: 14 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 15 Name of institution:** Morgan Stanley Bank, N.A.

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

  - **Line Institutions Record: 17 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 18 Name of institution:** The Bank of Nova Scotia, Houston Branch

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

  - **Line Institutions Record: 20 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 21 Name of institution:** BNP Paribas

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

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

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

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

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

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

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

### Management Investment Record: 7 - VANGUARD SMALL-CAP VALUE INDEX FUND

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

- **a. Full Name of the Fund:** VANGUARD SMALL-CAP VALUE INDEX FUND

- **b. Series identification number, if any:** S000002847

- **c. LEI:** IYAYRN9IGNRICDXDWU21

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Investor Shares         | C000007802                                | VISVX                        |
|                           2 | Institutional Shares    | C000007803                                | VSIIX                        |
|                           3 | Admiral Shares          | C000105305                                | VSIAX                        |
|                           4 | ETF Shares              | C000007804                                | VBR                          |

**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:** $286,399,293.15

- **g. Provide the net income from securities lending activities:** $17,147,670.26

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

Did the Fund rely on the following rules?

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

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

- Rule 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 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:** 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:** 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: 4**

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

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

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

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

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

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

**Pricing Services Record: 5**

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

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

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

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

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

**Pricing Services Record: 6**

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

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

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

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

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

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

**Pricing Services Record: 7**

- **i. Full name:** 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

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

**Item C.12. Custodians.**

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

**Custodians Record: 1**

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

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

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

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

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

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

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

**Custodians Record: 2**

- **i. Full name:** Euroclear

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

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

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

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

**Custodians Record: 3**

- **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: 4**

- **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)

**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:** 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: 7**

- **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: 8**

- **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: 9**

- **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: 10**

- **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: 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:** 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: 13**

- **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: 14**

- **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)

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

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

**Shareholder Servicing Agents Record: 1**

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

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

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

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

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

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

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

**Item C.14. Administrators.**

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

**Administrators Record: 1**

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

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

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

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

**Brokers Record: 1**

- **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:** $343,478.06

**Brokers Record: 2**

- **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:** $211,260.40

**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:** $44,047.80

**Brokers Record: 4**

- **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:** $204,966.43

**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:** $726,683.11

**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:** $49,174.58

**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:** $237,442.81

**Brokers Record: 8**

- **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:** $92,481.49

**Brokers Record: 9**

- **i. Full name of broker:** Mizuho Securities USA Inc

- **ii. SEC file number:** 008-37710

- **iii. CRD number:** 000019647

- **iv. LEI, if any:** 5493004GRDTUI7EMIZ82

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $163,546.41

**Brokers Record: 10**

- **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:** $116,524.30

**Aggregate Commission:** $2,348,112.50

**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        | $4,519,032.00             |
| RBC Capital Markets, LLC           | 008-45411         | 000031194    | 549300LCO2FLSSVFFR64 | NY      | US        | $2,765,846.00             |
| Vanguard Market Liquidity Fund     | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $5,297,291,122.84         |
| Wells Fargo Securities, LLC        | 008-22947         | 000007665    | VYVVCKR63DVZZN70PB21 | NC      | US        | $1,481,100.00             |
| Goldman Sachs & Co. LLC            | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $12,916,437.85            |
| Barclays Capital Inc.              | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $2,931,128.50             |
| Credit Suisse Securities (USA) LLC | 008-00422         | 000000816    | 1V8Y6QCX6YMJ2OELII46 | NY      | US        | $2,639,476.50             |
| Jefferies LLC                      | 008-15074         | 000002347    | 58PU97L1C0WSRCWADL48 | NY      | US        | $632,930.00               |
| J.P. Morgan Securities LLC         | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $4,643,976.14             |
| Morgan Stanley & Co. LLC           | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $5,175,106.26             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $5,335,197,410.66

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

- **Item C.19.a - Fund's monthly average net assets:** $46,775,762,039.27

**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:** PNC Bank, National Association

  - **Line Institutions Record: 2 Name of institution:** Brown Brothers Harriman & Co.

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

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

  - **Line Institutions Record: 5 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 6 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 7 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 8 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 9 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 10 Name of institution:** State Street Bank and Trust Company

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

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

  - **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:** Societe Generale

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

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

  - **Line Institutions Record: 18 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 19 Name of institution:** HSBC Bank USA, N.A.

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

  - **Line Institutions Record: 21 Name of institution:** BNP Paribas

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

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

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

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

### Management Investment Record: 8 - VANGUARD TOTAL STOCK MARKET INDEX FUND

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

- **a. Full Name of the Fund:** VANGUARD TOTAL STOCK MARKET INDEX FUND

- **b. Series identification number, if any:** S000002848

- **c. LEI:** HJ2RZRUQEVF2A5SPRB21

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

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

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 6

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

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

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

|   Shares Outstanding Record | i. Full name of Class       | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Investor Shares             | C000007805                                | VTSMX                        |
|                           2 | Institutional Select Shares | C000170276                                | VSTSX                        |
|                           3 | Institutional Shares        | C000007807                                | VITSX                        |
|                           4 | Institutional Plus Shares   | C000155407                                | VSMPX                        |
|                           5 | Admiral Shares              | C000007806                                | VTSAX                        |
|                           6 | ETF Shares                  | C000007808                                | VTI                          |

**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:** $4,058,407,402.16

- **g. Provide the net income from securities lending activities:** $247,749,245.40

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

Did the Fund rely on the following rules?

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

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

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

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

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

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

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

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

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

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

**Investment Advisers Record: 1**

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

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

- **iii. CRD number:** 000105958

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

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

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

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

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

**Transfer Agents Record: 1**

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

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

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

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

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

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

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

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

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

**Pricing Services Record: 1**

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

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

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

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

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

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

**Pricing Services Record: 2**

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

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

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

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

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

**Pricing Services Record: 3**

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

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

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

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

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

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

**Pricing Services Record: 4**

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

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

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

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

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

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

**Pricing Services Record: 5**

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

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

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

**Pricing Services Record: 7**

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

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

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

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

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

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

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

**Item C.12. Custodians.**

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

**Custodians Record: 1**

- **i. Full name:** 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: 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:** 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)

**Custodians Record: 4**

- **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: 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:** 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: 7**

- **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: 8**

- **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: 9**

- **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: 10**

- **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: 11**

- **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: 12**

- **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: 13**

- **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)

- **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:** 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:** $2,274,106.98

**Brokers Record: 2**

- **i. Full name of broker:** Piper Sandler & Co.

- **ii. SEC file number:** 008-15204

- **iii. CRD number:** 000000665

- **iv. LEI, if any:** 549300GRQCWQ3XGH0H10

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $3,101,143.34

**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:** $1,351,897.84

**Brokers Record: 4**

- **i. Full name of broker:** JonesTrading Institutional Services LLC

- **ii. SEC file number:** 008-26089

- **iii. CRD number:** 000006888

- **iv. LEI, if any:** 2138008JJ5PA8H5UIL69

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,794,334.11

**Brokers Record: 5**

- **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:** $1,355,291.59

**Brokers Record: 6**

- **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:** $1,505,611.75

**Brokers Record: 7**

- **i. Full name of broker:** Cantor Fitzgerald & Co.

- **ii. SEC file number:** 008-00201

- **iii. CRD number:** 000000134

- **iv. LEI, if any:** 5493004J7H4GCPG6OB62

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,326,774.21

**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:** $1,881,894.50

**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:** $3,408,023.81

**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:** $3,589,171.90

**Aggregate Commission:** $28,685,457.43

**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        | $7,523,745.00             |
| Barclays Capital Inc.          | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $17,720,968.75            |
| Citigroup Global Markets Inc.  | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $14,571,540.00            |
| Goldman Sachs & Co. LLC        | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $98,260,196.48            |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $94,463,221,719.00        |
| J.P. Morgan Securities LLC     | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $176,926,619.94           |
| Morgan Stanley & Co. LLC       | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $106,084,701.30           |
| Cowen and Company, LLC         | 008-22522         | 000007616    | 549300WR155U7DVMIW58 | NY      | US        | $17,512,459.50            |
| Jefferies LLC                  | 008-15074         | 000002347    | 58PU97L1C0WSRCWADL48 | NY      | US        | $14,021,849.92            |
| BofA Securities, Inc.          | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $82,474,167.10            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $95,032,679,875.49

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

- **Item C.19.a - Fund's monthly average net assets:** $1,198,460,815,791.77

**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:** Morgan Stanley Bank, N.A.

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

  - **Line Institutions Record: 4 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 5 Name of institution:** The Bank of New York Mellon

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

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

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

  - **Line Institutions Record: 9 Name of institution:** BNP Paribas

  - **Line Institutions Record: 10 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 11 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 12 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 13 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

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

  - **Line Institutions Record: 15 Name of institution:** Bank of Montreal, Chicago Branch

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

  - **Line Institutions Record: 17 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 18 Name of institution:** Societe Generale

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

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

  - **Line Institutions Record: 21 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 22 Name of institution:** Brown Brothers Harriman & Co.

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

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

- **b. Did the Fund engage in interfund lending?** —

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

### Management Investment Record: 9 - VANGUARD MID-CAP INDEX FUND

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

- **a. Full Name of the Fund:** VANGUARD MID-CAP INDEX FUND

- **b. Series identification number, if any:** S000002844

- **c. LEI:** F7RXEPKL33W3OZ8V3S02

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class     | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares                | C000007794                                | VO                           |
|                           2 | Investor Shares           | C000007791                                | VIMSX                        |
|                           3 | Institutional Plus Shares | C000096111                                | VMCPX                        |
|                           4 | Admiral Shares            | C000007792                                | VIMAX                        |
|                           5 | Institutional Shares      | C000007793                                | VMCIX                        |

**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:** $676,482,633.07

- **g. Provide the net income from securities lending activities:** $32,877,414.65

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

Did the Fund rely on the following rules?

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

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

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

- Rule 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:** 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:** 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:** 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:** 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: 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:** 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:** JPMorgan Chase Bank NA

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

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

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

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

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

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

**Custodians Record: 2**

- **i. Full name:** 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: 3**

- **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: 4**

- **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: 5**

- **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: 6**

- **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: 7**

- **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: 8**

- **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)

**Custodians Record: 9**

- **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: 10**

- **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: 11**

- **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: 12**

- **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: 13**

- **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: 14**

- **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)

- **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:** 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:** $421,677.98

**Brokers Record: 2**

- **i. Full name of broker:** Mizuho Securities USA Inc

- **ii. SEC file number:** 008-37710

- **iii. CRD number:** 000019647

- **iv. LEI, if any:** 5493004GRDTUI7EMIZ82

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $288,750.17

**Brokers Record: 3**

- **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:** $452,346.60

**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:** $91,666.71

**Brokers Record: 5**

- **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:** $498,363.49

**Brokers Record: 6**

- **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:** $90,555.67

**Brokers Record: 7**

- **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:** $245,700.38

**Brokers Record: 8**

- **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:** $351,342.82

**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:** $288,062.57

**Brokers Record: 10**

- **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:** $347,082.09

**Aggregate Commission:** $3,152,738.05

**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        | $12,426,728,365.00        |
| Goldman Sachs & Co. LLC        | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $25,870,077.78            |
| Morgan Stanley & Co. LLC       | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $28,753,824.60            |
| Citigroup Global Markets Inc.  | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $10,620,880.00            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $12,491,973,147.38

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

- **Item C.19.a - Fund's monthly average net assets:** $143,103,373,750.11

**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:** Brown Brothers Harriman & Co.

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

  - **Line Institutions Record: 6 Name of institution:** Societe Generale

  - **Line Institutions Record: 7 Name of institution:** Royal Bank of Canada

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

  - **Line Institutions Record: 9 Name of institution:** BNP Paribas

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

  - **Line Institutions Record: 11 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 12 Name of institution:** State Street Bank and Trust Company

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

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

  - **Line Institutions Record: 15 Name of institution:** PNC Bank, National Association

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

  - **Line Institutions Record: 17 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 18 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 19 Name of institution:** HSBC Bank USA, N.A.

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

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

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

### Management Investment Record: 10 - VANGUARD EXTENDED MARKET INDEX FUND

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

- **a. Full Name of the Fund:** VANGUARD EXTENDED MARKET INDEX FUND

- **b. Series identification number, if any:** S000002841

- **c. LEI:** NKRB5RF4FYYMQPL0SY31

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

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

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 6

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

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

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

|   Shares Outstanding Record | i. Full name of Class       | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Institutional Shares        | C000007781                                | VIEIX                        |
|                           2 | Investor Shares             | C000007779                                | VEXMX                        |
|                           3 | Admiral Shares              | C000007780                                | VEXAX                        |
|                           4 | ETF Shares                  | C000007782                                | VXF                          |
|                           5 | Institutional Plus Shares   | C000096110                                | VEMPX                        |
|                           6 | Institutional Select Shares | C000170275                                | VSEMX                        |

**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:** $1,606,542,964.66

- **g. Provide the net income from securities lending activities:** $126,876,492.34

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

Did the Fund rely on the following rules?

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

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

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

- Rule 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:** 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: 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:** Markit North America INC

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

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

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

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

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

**Pricing Services Record: 5**

- **i. Full name:** 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: 6**

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

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

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

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

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

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

**Pricing Services Record: 7**

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

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

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

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

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

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

**Item C.12. Custodians.**

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

**Custodians Record: 1**

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

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

- **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:** 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: 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:** 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: 5**

- **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: 6**

- **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: 7**

- **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: 8**

- **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: 9**

- **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)

**Custodians Record: 10**

- **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: 11**

- **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: 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:** 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: 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)

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

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

**Shareholder Servicing Agents Record: 1**

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

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

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

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

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

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

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

**Item C.14. Administrators.**

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

**Administrators Record: 1**

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

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

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

**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:** $382,577.45

**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:** $1,087,409.54

**Brokers Record: 3**

- **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:** $707,217.69

**Brokers Record: 4**

- **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:** $150,555.50

**Brokers Record: 5**

- **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:** $486,292.11

**Brokers Record: 6**

- **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:** $395,833.21

**Brokers Record: 7**

- **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:** $150,167.92

**Brokers Record: 8**

- **i. Full name of broker:** Virtu ITG LLC

- **ii. SEC file number:** 008-44218

- **iii. CRD number:** 000029299

- **iv. LEI, if any:** 549300S41SMIODVIT266

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $152,809.14

**Brokers Record: 9**

- **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:** $103,251.28

**Brokers Record: 10**

- **i. Full name of broker:** Mizuho Securities USA Inc

- **ii. SEC file number:** 008-37710

- **iii. CRD number:** 000019647

- **iv. LEI, if any:** 5493004GRDTUI7EMIZ82

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $110,677.47

**Aggregate Commission:** $4,287,186.12

**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        | $29,720,564.58            |
| J.P. Morgan Securities PLC     | N/A               | N/A          | K6Q0W1PS1L1O4IQL9C32 |  |  | $4,107,446.16             |
| J.P. Morgan Securities LLC     | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $32,858,597.53            |
| Cowen and Company, LLC         | 008-22522         | 000007616    | 549300WR155U7DVMIW58 | NY      | US        | $4,732,986.88             |
| Citigroup Global Markets Inc.  | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $2,429,557.78             |
| RBC Capital Markets, LLC       | 008-45411         | 000031194    | 549300LCO2FLSSVFFR64 | NY      | US        | $2,278,226.00             |
| Morgan Stanley & Co. LLC       | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $14,807,602.11            |
| Barclays Capital Inc.          | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $4,419,772.75             |
| BofA Securities, Inc.          | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $18,684,432.50            |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $13,522,989,255.00        |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $13,640,161,790.14

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

- **Item C.19.a - Fund's monthly average net assets:** $86,321,802,305.61

**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:** PNC Bank, National Association

  - **Line Institutions Record: 2 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 3 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 4 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 5 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 6 Name of institution:** The Bank of New York Mellon

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

  - **Line Institutions Record: 8 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 10 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 11 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 12 Name of institution:** Bank of America N.A.

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

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

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

  - **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:** BNP Paribas

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

  - **Line Institutions Record: 20 Name of institution:** Societe Generale

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

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

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

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

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

- **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: 11 - VANGUARD SMALL-CAP INDEX FUND

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

- **a. Full Name of the Fund:** VANGUARD SMALL-CAP INDEX FUND

- **b. Series identification number, if any:** S000002845

- **c. LEI:** HZKQM2YGJWB4I8NIZL49

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class     | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Admiral Shares            | C000007796                                | VSMAX                        |
|                           2 | Investor Shares           | C000007795                                | NAESX                        |
|                           3 | Institutional Plus Shares | C000096112                                | VSCPX                        |
|                           4 | Institutional Shares      | C000007797                                | VSCIX                        |
|                           5 | ETF Shares                | C000007798                                | VB                           |

**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:** $1,624,633,508.71

- **g. Provide the net income from securities lending activities:** $82,164,018.79

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

Did the Fund rely on the following rules?

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

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

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(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:** 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: 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:** Markit North America INC

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

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

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

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

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

**Pricing Services Record: 5**

- **i. Full name:** 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: 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:** 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:** 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: 2**

- **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: 3**

- **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: 4**

- **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)

**Custodians Record: 5**

- **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: 6**

- **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: 7**

- **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: 8**

- **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: 9**

- **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: 10**

- **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: 11**

- **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: 12**

- **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: 13**

- **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: 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)

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

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

**Shareholder Servicing Agents Record: 1**

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

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

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

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

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

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

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

**Item C.14. Administrators.**

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

**Administrators Record: 1**

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

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

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

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

**Brokers Record: 1**

- **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:** $127,584.90

**Brokers Record: 2**

- **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:** $538,641.67

**Brokers Record: 3**

- **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:** $993,315.03

**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:** $1,365,754.44

**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:** $2,233,331.35

**Brokers Record: 6**

- **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:** $159,969.77

**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:** $308,995.64

**Brokers Record: 8**

- **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:** $169,543.40

**Brokers Record: 9**

- **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:** $847,374.97

**Brokers Record: 10**

- **i. Full name of broker:** Mizuho Securities USA Inc

- **ii. SEC file number:** 008-37710

- **iii. CRD number:** 000019647

- **iv. LEI, if any:** 5493004GRDTUI7EMIZ82

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $348,800.03

**Aggregate Commission:** $7,463,216.28

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

| Name                               | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| J.P. Morgan Securities LLC         | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $90,171,093.28            |
| Barclays Capital Inc.              | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $12,864,050.00            |
| Goldman Sachs & Co. LLC            | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $38,752,156.77            |
| BofA Securities, Inc.              | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $56,701,672.10            |
| Jefferies LLC                      | 008-15074         | 000002347    | 58PU97L1C0WSRCWADL48 | NY      | US        | $2,786,273.00             |
| RBC Capital Markets, LLC           | 008-45411         | 000031194    | 549300LCO2FLSSVFFR64 | NY      | US        | $4,293,292.00             |
| Vanguard Market Liquidity Fund     | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $13,962,503,516.00        |
| Credit Suisse Securities (USA) LLC | 008-00422         | 000000816    | 1V8Y6QCX6YMJ2OELII46 | NY      | US        | $3,812,024.00             |
| Morgan Stanley & Co. LLC           | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $36,834,942.41            |
| Wells Fargo Securities, LLC        | 008-22947         | 000007665    | VYVVCKR63DVZZN70PB21 | NC      | US        | $5,623,755.00             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $14,214,342,795.61

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

- **Item C.19.a - Fund's monthly average net assets:** $118,924,030,382.79

**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:** State Street Bank and Trust Company

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

  - **Line Institutions Record: 4 Name of institution:** BNP Paribas

  - **Line Institutions Record: 5 Name of institution:** The Bank of Nova Scotia, Houston Branch

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

  - **Line Institutions Record: 7 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

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

  - **Line Institutions Record: 10 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 11 Name of institution:** The Bank of New York Mellon

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

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

  - **Line Institutions Record: 14 Name of institution:** Bank of Montreal, Chicago Branch

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

  - **Line Institutions Record: 16 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

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

  - **Line Institutions Record: 18 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 19 Name of institution:** Barclays Bank plc

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

  - **Line Institutions Record: 21 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 22 Name of institution:** Societe Generale

- **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 2045 Fund                          | 811-04098         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 12 - VANGUARD GROWTH INDEX FUND

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD GROWTH INDEX FUND

- **b. Series identification number, if any:** S000002842

- **c. LEI:** 8DLNZLT9FCSJNCMHQC12

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 4

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares              | C000007786                                | VUG                          |
|                           2 | Institutional Shares    | C000007785                                | VIGIX                        |
|                           3 | Investor Shares         | C000007783                                | VIGRX                        |
|                           4 | Admiral Shares          | C000007784                                | VIGAX                        |

**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:** $173,711,318.76

- **g. Provide the net income from securities lending activities:** $6,626,687.82

**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 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:** 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:** 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: 4**

- **i. Full name:** Markit Group Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** Markit North America INC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-4153988

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 6**

- **i. Full name:** ITG Analytics Inc

- **ii. LEI, if any, or provide and describe other identifying number:** 41-2190282

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 7**

- **i. Full name:** 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

- **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:** SKANDINAVISKA ENSKILDA BANKEN, STOCKHOLM

- **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: 2**

- **i. Full name:** EUROCLEAR BANK, BRUSSELS

- **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: 3**

- **i. Full name:** SKANDINAVISKA ENSKILDA BANKEN, HELSINKI BRANCE

- **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: 4**

- **i. Full name:** The Hongkong and Shanghai Banking Corporation Limited, Sydney Branch

- **ii. LEI, if any:** 2HI3YI5320L3RW6NJ957

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 5**

- **i. Full name:** Citibank Europe Plc

- **ii. LEI, if any:** N1FBEDJ5J41VKZLO2475

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 6**

- **i. Full name:** THE BANK OF NEW YORK MELLON SA/NV

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

- **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: 7**

- **i. Full name:** SKANDINAVISKA ENSKILDA BANKEN AB, OSLO BRANCH

- **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: 8**

- **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))

**Custodians Record: 9**

- **i. Full name:** The Bank of New York Mellon SA/NV, Asset Servicing, Niederlassung Frankfurt am Main

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

- **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: 10**

- **i. Full name:** CITIBANK EUROPE PLC

- **ii. LEI, if any:** N1FBEDJ5J41VKZLO2475

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 11**

- **i. Full name:** DEUTSCHE BANK (DB) MANILA

- **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: 12**

- **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)

**Custodians Record: 13**

- **i. Full name:** HSBC NEW ZEALAND

- **ii. LEI, if any:** 2HI3YI5320L3RW6NJ957

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 14**

- **i. Full name:** THE BANK OF NEW YORK MELLON SA/NV

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

- **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: 15**

- **i. Full name:** The Bank of New York Mellon SA/NV

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

- **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: 16**

- **i. Full name:** THE BANK OF NEW YORK MELLON SA/NV

- **ii. LEI, if any:** MMYX0N4ZEZ13Z4XCG897

- **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: 17**

- **i. Full name:** CIBC MELLON TRUST COMPANY

- **ii. LEI, if any:** 549300IYUUH221WBZ505

- **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:** 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 Company

- **ii. LEI, if any, or other identifying number:** 571474TGEMMWANRLN572

- **iii. State, if applicable:** MA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** Yes

- **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:** 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:** $124,815.98

**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:** $54,751.38

**Brokers Record: 3**

- **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:** $46,883.00

**Brokers Record: 4**

- **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:** $67,082.77

**Brokers Record: 5**

- **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:** $27,482.65

**Brokers Record: 6**

- **i. Full name of broker:** Mizuho Securities USA Inc

- **ii. SEC file number:** 008-37710

- **iii. CRD number:** 000019647

- **iv. LEI, if any:** 5493004GRDTUI7EMIZ82

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $81,330.90

**Brokers Record: 7**

- **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:** $40,772.81

**Brokers Record: 8**

- **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:** $80,060.08

**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:** $112,634.53

**Brokers Record: 10**

- **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:** $13,501.54

**Aggregate Commission:** $684,938.55

**Item C.17.a. Principal transaction counterparties.**

| Name                               | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Credit Suisse Securities (USA) LLC | 008-00422         | 000000816    | 1V8Y6QCX6YMJ2OELII46 | NY      | US        | $1,444.65                 |
| Vanguard Market Liquidity Fund     | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $11,008,766,568.00        |
| Goldman Sachs & Co. LLC            | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $71,520.59                |
| J.P. Morgan Securities LLC         | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $10,856,303.92            |
| HUDSON RIVER TRADING LLC           | 008-68430         | 000152144    | 549300SMOBUC8O5UOE10 | NY      | US        | $9,591.04                 |
| Citigroup Global Markets Inc.      | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $3,734,240.00             |
| Morgan Stanley & Co. LLC           | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $2,143,412.00             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $11,025,583,080.20

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $147,571,366,767.39

**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:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 2 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 3 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 4 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 5 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 6 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 7 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 8 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 10 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 11 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 12 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 13 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 14 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 15 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 16 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 17 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 18 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 19 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 20 Name of institution:** Societe Generale

  - **Line Institutions Record: 21 Name of institution:** BNP Paribas

  - **Line Institutions Record: 22 Name of institution:** Credit Suisse AG, 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 Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Intermediate-Term Treasury 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

## Part E: Additional Questions for ETFs and ETMFs

### VANGUARD LARGE-CAP INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** VV

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value    | Redeem Value    |
|:---|:---|:---|
| State Street Global Mkts        | $0.00             | $0.00           |
| Wedbush                         | $0.00             | $0.00           |
| Interactive Brokers             | $0.00             | $0.00           |
| Merrill Lynch                   | $0.00             | $0.00           |
| BMO Capital Markets             | $0.00             | $0.00           |
| BNP Paribas Prime Brokerage Inc | $0.00             | $0.00           |
| RBC                             | $333,781,250.00   | $0.00           |
| Hudson River Trading            | $0.00             | $0.00           |
| Nomura                          | $0.00             | $0.00           |
| SG Americas                     | $0.00             | $0.00           |
| Jane Street                     | $18,917,000.00    | $0.00           |
| Credit Suisse                   | $0.00             | $0.00           |
| ABN AMRO Clearing               | $64,333,500.00    | $9,984,500.00   |
| CitiGroup                       | $210,848,750.00   | $213,591,250.00 |
| Merrill Lynch Pro               | $1,435,600,000.00 | $266,732,000.00 |
| Cantor Fitzgerald Co            | $0.00             | $0.00           |
| Virtu Financial                 | $0.00             | $0.00           |
| Jefferies Co                    | $0.00             | $0.00           |
| BNP Paribas                     | $0.00             | $0.00           |
| JP Morgan                       | $0.00             | $0.00           |
| EWT LLC                         | $0.00             | $0.00           |
| Barclays Capital                | $0.00             | $0.00           |
| Virtu Americas LLC              | $420,252,500.00   | $141,867,750.00 |
| Citadel Securities              | $762,763,250.00   | $311,972,000.00 |
| Mizuho Securities USA           | $45,756,500.00    | $44,181,500.00  |
| Morgan Stanley                  | $57,193,250.00    | $74,997,000.00  |
| Goldman Sachs                   | $275,966,750.00   | $645,301,500.00 |
| UBS                             | $0.00             | $0.00           |
| Mirae Asset Securities          | $0.00             | $0.00           |
| Deutsche Bank                   | $0.00             | $0.00           |
| HSBC Securities                 | $0.00             | $0.00           |
| Wells Fargo                     | $0.00             | $0.00           |
| Cowen and Company LLC           | $0.00             | $0.00           |
| Timber Hill                     | $0.00             | $0.00           |
| BNY Mellon Capital Markets      | $0.00             | $0.00           |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.01%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.04%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD MID-CAP VALUE INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** VOE

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| SG Americas                     | $0.00             | $0.00             |
| Goldman Sachs                   | $1,660,678,200.00 | $1,564,403,050.00 |
| BNP Paribas Prime Brokerage Inc | $0.00             | $0.00             |
| Nomura                          | $0.00             | $0.00             |
| Virtu Americas LLC              | $237,688,800.00   | $170,543,550.00   |
| Citadel Securities              | $759,775,300.00   | $267,779,500.00   |
| Bank of America                 | $0.00             | $0.00             |
| Merrill Lynch Pro               | $695,911,250.00   | $266,016,950.00   |
| Wells Fargo                     | $0.00             | $0.00             |
| Jefferies Co                    | $0.00             | $0.00             |
| Cowen and Company LLC           | $0.00             | $0.00             |
| Timber Hill                     | $0.00             | $0.00             |
| Mizuho Securities USA           | $0.00             | $0.00             |
| State Street Global Mkts        | $0.00             | $0.00             |
| Barclays Capital                | $441,703,800.00   | $451,648,800.00   |
| JP Morgan                       | $778,736,700.00   | $750,639,650.00   |
| Wedbush                         | $0.00             | $0.00             |
| CitiGroup                       | $721,981,050.00   | $705,432,000.00   |
| HSBC Securities                 | $0.00             | $0.00             |
| BNY Mellon Capital Markets      | $0.00             | $0.00             |
| Credit Suisse                   | $0.00             | $0.00             |
| BMO Capital Markets             | $0.00             | $0.00             |
| RBC                             | $85,059,750.00    | $60,133,000.00    |
| BNP Paribas                     | $0.00             | $0.00             |
| National Financial Services     | $0.00             | $0.00             |
| Morgan Stanley                  | $0.00             | $0.00             |
| Hudson River Trading            | $475,382,250.00   | $103,484,550.00   |
| Interactive Brokers             | $0.00             | $0.00             |
| Virtu Financial                 | $0.00             | $0.00             |
| UBS                             | $0.00             | $0.00             |
| ABN AMRO Clearing               | $145,260,150.00   | $20,510,500.00    |
| Merrill Lynch                   | $0.00             | $0.00             |
| EWT LLC                         | $0.00             | $0.00             |
| Deutsche Bank                   | $0.00             | $0.00             |
| Cantor Fitzgerald Co            | $0.00             | $0.00             |
| Jane Street                     | $10,142,500.00    | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.02%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.01%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD MID-CAP GROWTH INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** VOT

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Wells Fargo                     | $0.00             | $0.00             |
| JP Morgan                       | $352,390,750.00   | $347,177,250.00   |
| SG Americas                     | $0.00             | $0.00             |
| RBC                             | $48,432,250.00    | $19,007,250.00    |
| Mizuho Securities USA           | $0.00             | $0.00             |
| Jane Street                     | $4,347,500.00     | $0.00             |
| EWT LLC                         | $0.00             | $0.00             |
| Merrill Lynch Pro               | $324,284,750.00   | $397,496,220.00   |
| National Financial Services     | $0.00             | $0.00             |
| Interactive Brokers             | $0.00             | $0.00             |
| State Street Global Mkts        | $0.00             | $0.00             |
| Cantor Fitzgerald Co            | $0.00             | $0.00             |
| Morgan Stanley                  | $708,046,000.00   | $706,703,000.00   |
| Hudson River Trading            | $198,498,750.00   | $240,124,000.00   |
| Virtu Americas LLC              | $141,636,000.00   | $105,396,250.00   |
| Bank of America                 | $0.00             | $0.00             |
| BMO Capital Markets             | $0.00             | $0.00             |
| BNP Paribas                     | $0.00             | $0.00             |
| Credit Suisse                   | $0.00             | $0.00             |
| CitiGroup                       | $1,218,201,250.00 | $1,179,388,750.00 |
| Cowen and Company LLC           | $0.00             | $0.00             |
| BNP Paribas Prime Brokerage Inc | $0.00             | $0.00             |
| Goldman Sachs                   | $117,639,500.00   | $62,081,750.00    |
| Virtu Financial                 | $0.00             | $0.00             |
| BNY Mellon Capital Markets      | $0.00             | $0.00             |
| Timber Hill                     | $0.00             | $0.00             |
| Deutsche Bank                   | $0.00             | $0.00             |
| UBS                             | $0.00             | $0.00             |
| Barclays Capital                | $661,096,250.00   | $710,677,500.00   |
| HSBC Securities                 | $0.00             | $0.00             |
| Wedbush                         | $0.00             | $0.00             |
| ABN AMRO Clearing               | $22,494,000.00    | $14,645,000.00    |
| Nomura                          | $0.00             | $0.00             |
| Citadel Securities              | $491,601,500.00   | $228,360,000.00   |
| Jefferies Co                    | $0.00             | $0.00             |
| Merrill Lynch                   | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.01%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.01%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD 500 INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** VOO

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value     | Redeem Value       |
|:---|:---|:---|
| Deutsche Bank                   | $0.00              | $0.00              |
| Virtu Americas LLC              | $3,101,083,250.00  | $3,079,212,250.00  |
| Cantor Fitzgerald Co            | $0.00              | $0.00              |
| Mizuho Securities USA           | $52,260,500.00     | $0.00              |
| Mirae Asset Securities          | $0.00              | $0.00              |
| JP Morgan                       | $351,866,000.00    | $451,896,750.00    |
| Citadel Securities              | $7,204,552,250.00  | $2,416,923,250.00  |
| Merrill Lynch Pro               | $28,809,984,500.00 | $25,218,546,000.00 |
| Jefferies Co                    | $0.00              | $0.00              |
| RBC                             | $1,240,739,250.00  | $156,856,000.00    |
| SG Americas                     | $0.00              | $0.00              |
| Wells Fargo                     | $1,120,924,500.00  | $1,148,056,000.00  |
| Barclays Capital                | $422,246,000.00    | $407,192,000.00    |
| CitiGroup                       | $0.00              | $27,217,750.00     |
| Goldman Sachs                   | $13,984,535,117.50 | $5,475,525,750.00  |
| Wedbush                         | $0.00              | $0.00              |
| UBS                             | $160,316,500.00    | $104,519,500.00    |
| Credit Suisse                   | $9,469,750.00      | $0.00              |
| Virtu Financial                 | $0.00              | $0.00              |
| BNP Paribas Prime Brokerage Inc | $0.00              | $63,689,000.00     |
| Nomura                          | $0.00              | $0.00              |
| BNY Mellon Capital Markets      | $0.00              | $0.00              |
| BMO Capital Markets             | $0.00              | $0.00              |
| Hudson River Trading            | $13,850,547,500.00 | $2,391,803,250.00  |
| ABN AMRO Clearing               | $5,830,260,000.00  | $1,331,656,250.00  |
| Merrill Lynch                   | $0.00              | $0.00              |
| Jane Street                     | $4,422,781,500.00  | $0.00              |
| Cowen and Company LLC           | $0.00              | $0.00              |
| Morgan Stanley                  | $2,638,245,250.00  | $2,870,311,500.00  |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.09%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD VALUE INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** VTV

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| CitiGroup                       | $1,552,267,000.00 | $1,571,833,500.00 |
| ABN AMRO Clearing               | $1,604,653,500.00 | $110,888,500.00   |
| BMO Capital Markets             | $0.00             | $0.00             |
| Wells Fargo                     | $0.00             | $21,730,000.00    |
| BNP Paribas                     | $0.00             | $0.00             |
| RBC                             | $1,141,523,000.00 | $112,799,000.00   |
| Cowen and Company LLC           | $0.00             | $0.00             |
| Cantor Fitzgerald Co            | $0.00             | $0.00             |
| Jefferies Co                    | $0.00             | $0.00             |
| BNY Mellon Capital Markets      | $0.00             | $0.00             |
| HSBC Securities                 | $0.00             | $0.00             |
| EWT LLC                         | $0.00             | $0.00             |
| Merrill Lynch                   | $0.00             | $0.00             |
| Credit Suisse                   | $0.00             | $0.00             |
| State Street Global Mkts        | $0.00             | $0.00             |
| UBS                             | $0.00             | $0.00             |
| Timber Hill                     | $0.00             | $0.00             |
| BNP Paribas Prime Brokerage Inc | $0.00             | $0.00             |
| Virtu Americas LLC              | $1,408,308,500.00 | $263,168,750.00   |
| Citadel Securities              | $3,668,697,500.00 | $2,171,043,000.00 |
| JP Morgan                       | $18,782,000.00    | $0.00             |
| Hudson River Trading            | $3,443,678,250.00 | $305,829,500.00   |
| Mirae Asset Securities          | $0.00             | $0.00             |
| Interactive Brokers             | $0.00             | $0.00             |
| SG Americas                     | $0.00             | $0.00             |
| Barclays Capital                | $20,019,000.00    | $0.00             |
| Deutsche Bank                   | $0.00             | $0.00             |
| Wedbush                         | $0.00             | $0.00             |
| Merrill Lynch Pro               | $9,550,641,500.00 | $7,333,159,000.00 |
| Jane Street                     | $366,641,000.00   | $0.00             |
| Virtu Financial                 | $0.00             | $0.00             |
| Mizuho Securities USA           | $2,000,554,500.00 | $1,951,102,000.00 |
| Goldman Sachs                   | $3,147,181,575.00 | $2,940,105,500.00 |
| Nomura                          | $0.00             | $0.00             |
| Morgan Stanley                  | $0.00             | $133,709,500.00   |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.06%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD SMALL-CAP GROWTH INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** VBK

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Nomura                          | $0.00             | $0.00             |
| State Street Global Mkts        | $0.00             | $0.00             |
| BNY Mellon Capital Markets      | $0.00             | $0.00             |
| Cantor Fitzgerald Co            | $0.00             | $0.00             |
| Credit Suisse                   | $0.00             | $0.00             |
| UBS                             | $0.00             | $0.00             |
| Deutsche Bank                   | $0.00             | $0.00             |
| SG Americas                     | $0.00             | $0.00             |
| Timber Hill                     | $0.00             | $0.00             |
| RBC                             | $124,660,750.00   | $36,152,750.00    |
| BMO Capital Markets             | $0.00             | $0.00             |
| Jefferies Co                    | $0.00             | $0.00             |
| Cowen and Company LLC           | $0.00             | $0.00             |
| National Financial Services     | $0.00             | $0.00             |
| Morgan Stanley                  | $1,685,551,000.00 | $1,709,756,500.00 |
| Citadel Securities              | $441,193,000.00   | $486,713,250.00   |
| Goldman Sachs                   | $139,541,500.00   | $137,249,250.00   |
| Virtu Americas LLC              | $70,563,000.00    | $75,560,000.00    |
| JP Morgan                       | $0.00             | $0.00             |
| Interactive Brokers             | $0.00             | $0.00             |
| Bank of America                 | $0.00             | $0.00             |
| Jane Street                     | $82,730,000.00    | $0.00             |
| ABN AMRO Clearing               | $126,654,250.00   | $28,053,750.00    |
| Mizuho Securities USA           | $0.00             | $0.00             |
| CitiGroup                       | $544,149,250.00   | $531,824,750.00   |
| Hudson River Trading            | $451,004,500.00   | $437,113,750.00   |
| Virtu Financial                 | $0.00             | $0.00             |
| Merrill Lynch Pro               | $553,626,750.00   | $427,691,750.00   |
| Merrill Lynch                   | $0.00             | $0.00             |
| Wedbush                         | $0.00             | $0.00             |
| Barclays Capital                | $0.00             | $0.00             |
| HSBC Securities                 | $0.00             | $0.00             |
| BNP Paribas                     | $0.00             | $0.00             |
| Wells Fargo                     | $209,568,000.00   | $203,704,500.00   |
| BNP Paribas Prime Brokerage Inc | $0.00             | $0.00             |
| EWT LLC                         | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.10%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD SMALL-CAP VALUE INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** VBR

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Cantor Fitzgerald Co            | $0.00             | $0.00             |
| JP Morgan                       | $0.00             | $17,358,500.00    |
| Nomura                          | $0.00             | $0.00             |
| BMO Capital Markets             | $0.00             | $0.00             |
| UBS                             | $0.00             | $0.00             |
| Timber Hill                     | $0.00             | $0.00             |
| Cowen and Company LLC           | $0.00             | $0.00             |
| BNY Mellon Capital Markets      | $0.00             | $0.00             |
| ABN AMRO Clearing               | $393,252,500.00   | $121,119,000.00   |
| Mizuho Securities USA           | $0.00             | $0.00             |
| EWT LLC                         | $0.00             | $0.00             |
| Goldman Sachs                   | $478,266,500.00   | $248,860,250.00   |
| Wedbush                         | $0.00             | $0.00             |
| BNP Paribas                     | $0.00             | $0.00             |
| RBC                             | $187,774,250.00   | $70,194,000.00    |
| Barclays Capital                | $1,620,037,750.00 | $1,586,822,500.00 |
| Hudson River Trading            | $0.00             | $0.00             |
| Jefferies Co                    | $0.00             | $0.00             |
| CitiGroup                       | $1,387,702,500.00 | $1,376,140,500.00 |
| Virtu Financial                 | $0.00             | $0.00             |
| Bank of America                 | $0.00             | $0.00             |
| SG Americas                     | $0.00             | $0.00             |
| Deutsche Bank                   | $0.00             | $0.00             |
| Wells Fargo                     | $66,508,250.00    | $67,506,500.00    |
| HSBC Securities                 | $0.00             | $0.00             |
| Merrill Lynch                   | $0.00             | $0.00             |
| Jane Street                     | $87,829,750.00    | $0.00             |
| Virtu Americas LLC              | $297,344,500.00   | $128,678,250.00   |
| Citadel Securities              | $851,814,250.00   | $1,982,048,000.00 |
| Interactive Brokers             | $0.00             | $0.00             |
| National Financial Services     | $0.00             | $0.00             |
| Credit Suisse                   | $0.00             | $0.00             |
| Morgan Stanley                  | $1,176,143,250.00 | $1,253,287,000.00 |
| BNP Paribas Prime Brokerage Inc | $0.00             | $0.00             |
| Merrill Lynch Pro               | $2,143,683,000.00 | $1,926,323,550.00 |
| State Street Global Mkts        | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.10%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.01%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD TOTAL STOCK MARKET INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** VTI

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value     | Redeem Value      |
|:---|:---|:---|
| Jefferies Co                    | $0.00              | $0.00             |
| Virtu Americas LLC              | $1,789,459,000.00  | $1,851,822,000.00 |
| JP Morgan                       | $5,867,221,000.00  | $3,623,040,000.00 |
| Nomura                          | $0.00              | $0.00             |
| Merrill Lynch Pro               | $10,504,729,100.00 | $4,591,556,000.00 |
| CitiGroup                       | $8,578,796,000.00  | $8,932,450,000.00 |
| Barclays Capital                | $0.00              | $19,704,000.00    |
| Cowen and Company LLC           | $0.00              | $0.00             |
| RBC                             | $3,317,112,000.00  | $566,980,000.00   |
| BNP Paribas                     | $0.00              | $0.00             |
| Jane Street                     | $2,427,525,000.00  | $0.00             |
| State Street Global Mkts        | $0.00              | $0.00             |
| National Financial Services     | $0.00              | $0.00             |
| Cantor Fitzgerald Co            | $0.00              | $0.00             |
| Wells Fargo                     | $21,016,000.00     | $83,467,000.00    |
| Mizuho Securities USA           | $1,605,475,000.00  | $1,550,927,000.00 |
| UBS                             | $0.00              | $0.00             |
| Morgan Stanley                  | $1,054,516,000.00  | $1,049,290,000.00 |
| Deutsche Bank                   | $0.00              | $0.00             |
| HSBC Securities                 | $0.00              | $0.00             |
| BNY Mellon Capital Markets      | $0.00              | $0.00             |
| BNP Paribas Prime Brokerage Inc | $0.00              | $0.00             |
| Virtu Financial                 | $0.00              | $0.00             |
| ABN AMRO Clearing               | $1,014,307,000.00  | $120,887,000.00   |
| Bank of America                 | $0.00              | $0.00             |
| Goldman Sachs                   | $2,565,334,050.00  | $285,037,000.00   |
| BMO Capital Markets             | $0.00              | $0.00             |
| Interactive Brokers             | $0.00              | $0.00             |
| SG Americas                     | $0.00              | $0.00             |
| Citadel Securities              | $7,605,546,000.00  | $2,171,328,000.00 |
| EWT LLC                         | $0.00              | $0.00             |
| Credit Suisse                   | $0.00              | $0.00             |
| Merrill Lynch                   | $0.00              | $0.00             |
| Timber Hill                     | $0.00              | $0.00             |
| Wedbush                         | $0.00              | $0.00             |
| Hudson River Trading            | $0.00              | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 100,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.11%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.01%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD MID-CAP INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** VO

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Jane Street                     | $24,311,500.00    | $0.00             |
| BNP Paribas                     | $0.00             | $0.00             |
| HSBC Securities                 | $0.00             | $0.00             |
| ABN AMRO Clearing               | $264,193,750.00   | $35,195,000.00    |
| National Financial Services     | $0.00             | $0.00             |
| CitiGroup                       | $3,017,921,000.00 | $2,920,999,500.00 |
| BMO Capital Markets             | $0.00             | $0.00             |
| Merrill Lynch Pro               | $3,217,269,250.00 | $2,003,348,375.00 |
| SG Americas                     | $0.00             | $0.00             |
| Wells Fargo                     | $96,028,750.00    | $408,246,250.00   |
| Barclays Capital                | $6,454,834,250.00 | $6,547,875,500.00 |
| Merrill Lynch                   | $0.00             | $0.00             |
| BNY Mellon Capital Markets      | $0.00             | $0.00             |
| Jefferies Co                    | $89,764,250.00    | $92,139,500.00    |
| State Street Global Mkts        | $0.00             | $0.00             |
| Wedbush                         | $0.00             | $0.00             |
| Nomura                          | $0.00             | $0.00             |
| Mizuho Securities USA           | $0.00             | $0.00             |
| Hudson River Trading            | $1,392,195,500.00 | $235,957,250.00   |
| JP Morgan                       | $3,823,307,500.00 | $3,742,737,500.00 |
| Credit Suisse                   | $0.00             | $0.00             |
| Virtu Americas LLC              | $250,812,750.00   | $472,130,500.00   |
| Timber Hill                     | $0.00             | $0.00             |
| Bank of America                 | $0.00             | $0.00             |
| UBS                             | $0.00             | $0.00             |
| Interactive Brokers             | $0.00             | $0.00             |
| Goldman Sachs                   | $342,179,750.00   | $400,126,250.00   |
| Virtu Financial                 | $0.00             | $0.00             |
| Morgan Stanley                  | $847,802,500.00   | $887,045,750.00   |
| RBC                             | $38,122,750.00    | $16,851,500.00    |
| Citadel Securities              | $2,317,346,750.00 | $704,103,000.00   |
| BNP Paribas Prime Brokerage Inc | $0.00             | $0.00             |
| EWT LLC                         | $0.00             | $0.00             |
| Cantor Fitzgerald Co            | $0.00             | $0.00             |
| Deutsche Bank                   | $0.00             | $0.00             |
| Cowen and Company LLC           | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.05%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.01%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD EXTENDED MARKET INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** VXF

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| National Financial Services     | $0.00             | $0.00             |
| JP Morgan                       | $226,517,000.00   | $225,585,000.00   |
| Barclays Capital                | $0.00             | $0.00             |
| Mizuho Securities USA           | $1,188,353,000.00 | $1,168,354,500.00 |
| ABN AMRO Clearing               | $250,141,500.00   | $38,092,000.00    |
| CitiGroup                       | $312,468,000.00   | $559,699,000.00   |
| BNP Paribas Prime Brokerage Inc | $0.00             | $0.00             |
| HSBC Securities                 | $0.00             | $0.00             |
| Nomura                          | $0.00             | $0.00             |
| Virtu Americas LLC              | $117,694,500.00   | $104,179,000.00   |
| Credit Suisse                   | $0.00             | $0.00             |
| Cowen and Company LLC           | $0.00             | $0.00             |
| Jefferies Co                    | $0.00             | $0.00             |
| UBS                             | $0.00             | $0.00             |
| RBC                             | $282,079,500.00   | $168,666,000.00   |
| Timber Hill                     | $0.00             | $0.00             |
| EWT LLC                         | $0.00             | $0.00             |
| BNY Mellon Capital Markets      | $0.00             | $0.00             |
| SG Americas                     | $0.00             | $0.00             |
| Merrill Lynch Pro               | $3,347,215,500.00 | $2,948,056,000.00 |
| Bank of America                 | $0.00             | $0.00             |
| Morgan Stanley                  | $366,250,500.00   | $371,575,000.00   |
| State Street Global Mkts        | $0.00             | $0.00             |
| BMO Capital Markets             | $0.00             | $0.00             |
| Interactive Brokers             | $0.00             | $0.00             |
| Citadel Securities              | $794,826,000.00   | $989,702,500.00   |
| Deutsche Bank                   | $0.00             | $0.00             |
| Virtu Financial                 | $0.00             | $0.00             |
| Cantor Fitzgerald Co            | $0.00             | $0.00             |
| Goldman Sachs                   | $273,818,500.00   | $269,805,500.00   |
| Wells Fargo                     | $358,943,000.00   | $596,913,000.00   |
| Hudson River Trading            | $0.00             | $0.00             |
| Merrill Lynch                   | $0.00             | $0.00             |
| Jane Street                     | $7,347,000.00     | $0.00             |
| BNP Paribas                     | $0.00             | $0.00             |
| Wedbush                         | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 50,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.01%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD SMALL-CAP INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** VB

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Merrill Lynch                   | $0.00             | $0.00             |
| Credit Suisse                   | $0.00             | $0.00             |
| RBC                             | $211,523,250.00   | $189,347,250.00   |
| Morgan Stanley                  | $4,059,211,500.00 | $4,138,805,000.00 |
| Merrill Lynch Pro               | $1,296,048,000.00 | $1,572,987,000.00 |
| Barclays Capital                | $0.00             | $0.00             |
| Jefferies Co                    | $0.00             | $0.00             |
| State Street Global Mkts        | $0.00             | $0.00             |
| Hudson River Trading            | $0.00             | $0.00             |
| BNP Paribas Prime Brokerage Inc | $0.00             | $0.00             |
| Cantor Fitzgerald Co            | $0.00             | $0.00             |
| CitiGroup                       | $4,133,670,000.00 | $4,195,655,250.00 |
| Wedbush                         | $0.00             | $0.00             |
| Interactive Brokers             | $0.00             | $0.00             |
| Citadel Securities              | $1,229,009,000.00 | $1,812,189,500.00 |
| JP Morgan                       | $51,775,000.00    | $15,446,000.00    |
| Nomura                          | $0.00             | $0.00             |
| Bank of America                 | $0.00             | $0.00             |
| Mizuho Securities USA           | $0.00             | $0.00             |
| BNY Mellon Capital Markets      | $0.00             | $0.00             |
| BNP Paribas                     | $0.00             | $0.00             |
| Virtu Financial                 | $0.00             | $0.00             |
| Deutsche Bank                   | $0.00             | $0.00             |
| SG Americas                     | $0.00             | $0.00             |
| HSBC Securities                 | $0.00             | $0.00             |
| Cowen and Company LLC           | $0.00             | $0.00             |
| National Financial Services     | $0.00             | $0.00             |
| Goldman Sachs                   | $360,990,000.00   | $195,520,250.00   |
| BMO Capital Markets             | $0.00             | $0.00             |
| Virtu Americas LLC              | $252,795,500.00   | $173,925,750.00   |
| Timber Hill                     | $0.00             | $0.00             |
| Jane Street                     | $204,349,500.00   | $0.00             |
| ABN AMRO Clearing               | $484,339,750.00   | $139,778,000.00   |
| EWT LLC                         | $0.00             | $0.00             |
| Wells Fargo                     | $195,380,000.00   | $189,889,000.00   |
| UBS                             | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.13%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD GROWTH INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** ARCX

- **Ticker:** VUG

**Item E.2 - Authorized Participants**

| Name                            | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| JP Morgan                       | $85,212,100.00    | $112,578,050.00   |
| Barclays Capital                | $11,500,350.00    | $0.00             |
| UBS                             | $0.00             | $0.00             |
| State Street Global Mkts        | $0.00             | $0.00             |
| SG Americas                     | $0.00             | $0.00             |
| Goldman Sachs                   | $2,007,869,707.50 | $781,109,400.00   |
| BMO Capital Markets             | $0.00             | $0.00             |
| Jefferies Co                    | $0.00             | $0.00             |
| Merrill Lynch                   | $0.00             | $0.00             |
| Wedbush                         | $0.00             | $0.00             |
| EWT LLC                         | $0.00             | $0.00             |
| Cowen and Company LLC           | $0.00             | $0.00             |
| Cantor Fitzgerald Co            | $0.00             | $0.00             |
| Wells Fargo                     | $0.00             | $0.00             |
| BNY Mellon Capital Markets      | $0.00             | $0.00             |
| Mirae Asset Securities          | $0.00             | $0.00             |
| BNP Paribas Prime Brokerage Inc | $0.00             | $0.00             |
| HSBC Securities                 | $0.00             | $0.00             |
| CitiGroup                       | $2,063,367,400.00 | $2,045,788,600.00 |
| Interactive Brokers             | $0.00             | $0.00             |
| Jane Street                     | $327,281,000.00   | $0.00             |
| Citadel Securities              | $3,985,471,850.00 | $562,227,800.00   |
| RBC                             | $802,168,400.00   | $196,385,450.00   |
| Hudson River Trading            | $1,478,921,900.00 | $941,992,600.00   |
| Virtu Financial                 | $0.00             | $0.00             |
| Timber Hill                     | $0.00             | $0.00             |
| Morgan Stanley                  | $1,172,512,300.00 | $1,180,026,450.00 |
| Virtu Americas LLC              | $512,099,700.00   | $255,310,500.00   |
| BNP Paribas                     | $0.00             | $0.00             |
| Mizuho Securities USA           | $75,117,500.00    | $75,274,650.00    |
| ABN AMRO Clearing               | $521,760,200.00   | $237,947,200.00   |
| Merrill Lynch Pro               | $3,765,080,300.00 | $1,281,392,450.00 |
| Credit Suisse                   | $0.00             | $0.00             |
| Deutsche Bank                   | $0.00             | $0.00             |
| Nomura                          | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.08%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

## 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 INDEX FUNDS

**Date:** 2023-03-15

**Signature:** Ashley Grim

**Title:** Treasurer