# EDGAR Filing Document

**Accession Number:** 0000857490
**File Stem:** 0001752724-23-057194
**Filing Date:** 2023-3
**Character Count:** 737303
**Document Hash:** f0736e66f03f1371d9935513f157f2db
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001752724-23-057194.hdr.sgml**: 20230315

**ACCESSION NUMBER**: 0001752724-23-057194

**CONFORMED SUBMISSION TYPE**: N-CEN

**PUBLIC DOCUMENT COUNT**: 3

**CONFORMED PERIOD OF REPORT**: 20221231

**FILED AS OF DATE**: 20230315

**DATE AS OF CHANGE**: 20230315

**EFFECTIVENESS DATE**: 20230315

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VANGUARD VARIABLE INSURANCE FUNDS
- **CENTRAL INDEX KEY:** 0000857490
- **IRS NUMBER:** 000000000
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 1231

**FILING VALUES:**
- **FORM TYPE:** N-CEN
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-05962
- **FILM NUMBER:** 23734856

**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 VARIABLE INSURANCE FUND
- **DATE OF NAME CHANGE:** 19920703

**FORMER COMPANY:**
- **FORMER CONFORMED NAME:** VANGUARD VARIABLE INSURANCE FUND INC
- **DATE OF NAME CHANGE:** 19910505

## Series and Classes Contracts Data

### Balanced Portfolio (Series ID: S000004390)

| Class ID   | Class Name         | Ticker Symbol   |
|:---|:---|:---|
| C000012146 | Balanced Portfolio |  |

### Money Market Portfolio (Series ID: S000004391)

| Class ID   | Class Name             | Ticker Symbol   |
|:---|:---|:---|
| C000012147 | Money Market Portfolio |  |

### Real Estate Index Portfolio (Series ID: S000004392)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000012148 | Real Estate Index Portfolio |  |

### Short-Term Investment-Grade Portfolio (Series ID: S000004393)

| Class ID   | Class Name                            | Ticker Symbol   |
|:---|:---|:---|
| C000012149 | Short-Term Investment-Grade Portfolio |  |

### Small Company Growth Portfolio (Series ID: S000004394)

| Class ID   | Class Name                     | Ticker Symbol   |
|:---|:---|:---|
| C000012150 | Small Company Growth Portfolio |  |

### Total Bond Market Index Portfolio (Series ID: S000004395)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000012151 | Total Bond Market Index Portfolio |  |

### Total Stock Market Index Portfolio (Series ID: S000004396)

| Class ID   | Class Name                         | Ticker Symbol   |
|:---|:---|:---|
| C000012152 | Total Stock Market Index Portfolio |  |

### Capital Growth Portfolio (Series ID: S000004397)

| Class ID   | Class Name               | Ticker Symbol   |
|:---|:---|:---|
| C000012153 | Capital Growth Portfolio |  |

### Diversified Value Portfolio (Series ID: S000004398)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000012154 | Diversified Value Portfolio |  |

### Equity Income Portfolio (Series ID: S000004399)

| Class ID   | Class Name              | Ticker Symbol   |
|:---|:---|:---|
| C000012155 | Equity Income Portfolio |  |

### Equity Index Portfolio (Series ID: S000004400)

| Class ID   | Class Name             | Ticker Symbol   |
|:---|:---|:---|
| C000012156 | Equity Index Portfolio |  |

### Growth Portfolio (Series ID: S000004401)

| Class ID   | Class Name       | Ticker Symbol   |
|:---|:---|:---|
| C000012157 | Growth Portfolio |  |

### High-Yield Bond Portfolio (Series ID: S000004402)

| Class ID   | Class Name                | Ticker Symbol   |
|:---|:---|:---|
| C000012158 | High-Yield Bond Portfolio |  |

### International Portfolio (Series ID: S000004403)

| Class ID   | Class Name              | Ticker Symbol   |
|:---|:---|:---|
| C000012159 | International Portfolio |  |

### Mid-Cap Index Portfolio (Series ID: S000004404)

| Class ID   | Class Name              | Ticker Symbol   |
|:---|:---|:---|
| C000012160 | Mid-Cap Index Portfolio |  |

### Conservative Allocation Portfolio (Series ID: S000033473)

| Class ID   | Class Name                        | Ticker Symbol   |
|:---|:---|:---|
| C000102905 | Conservative Allocation Portfolio |  |

### Moderate Allocation Portfolio (Series ID: S000033474)

| Class ID   | Class Name                    | Ticker Symbol   |
|:---|:---|:---|
| C000102906 | Moderate Allocation Portfolio |  |

### Global Bond Index Portfolio (Series ID: S000058615)

| Class ID   | Class Name                  | Ticker Symbol   |
|:---|:---|:---|
| C000192542 | Global Bond Index Portfolio |  |

### Total International Stock Market Index Portfolio (Series ID: S000058616)

| Class ID   | Class Name                                       | Ticker Symbol   |
|:---|:---|:---|
| C000192543 | Total International Stock Market Index Portfolio |  |

## Internal

```

Report of Independent Registered Public Accounting
Firm

To the Board of Trustees of Vanguard Variable
Insurance Funds and Shareholders of
Vanguard Variable Insurance Funds Equity Index
Portfolio
Vanguard Variable Insurance Funds Mid-Cap Index
Portfolio
Vanguard Variable Insurance Funds Small Company
Growth Portfolio
Vanguard Variable Insurance Funds Capital Growth
Portfolio
Vanguard Variable Insurance Funds Total Stock Market
Index Portfolio
Vanguard Variable Insurance Funds Conservative
Allocation Portfolio
Vanguard Variable Insurance Funds Total International
Stock Market Index Portfolio and
Vanguard Variable Insurance Funds Moderate Allocation
Portfolio

In planning and performing our audits of the financial
statements of Vanguard Variable Insurance Funds
Equity Index Portfolio, Vanguard Variable Insurance
Funds Mid-Cap Index Portfolio, Vanguard Variable
Insurance Funds Small Company Growth Portfolio,
Vanguard Variable Insurance Funds Capital Growth
Portfolio, Vanguard Variable Insurance Funds Total
Stock Market Index Portfolio, Vanguard Variable
Insurance Funds Conservative Allocation Portfolio,
Vanguard Variable Insurance Funds Total International
Stock Market Index Portfolio and Vanguard Variable
Insurance Funds Moderate Allocation Portfolio (eight of
the portfolios constituting Vanguard Variable Insurance
Funds, hereafter collectively referred to as the
"Portfolios") 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 Portfolios' 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 Portfolios' internal control over financial reporting.
Accordingly, we do not express an opinion on the
effectiveness of the Portfolios' internal control over
financial reporting.

The management of the Portfolios 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 Portfolios' 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 Portfolios' 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 Variable Insurance
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 Variable
Insurance Funds and Shareholders of
Vanguard Variable Insurance Funds Equity Income
Portfolio
Vanguard Variable Insurance Funds Growth Portfolio
Vanguard Variable Insurance Funds Money Market
Portfolio
Vanguard Variable Insurance Funds Total Bond
Market Index Portfolio
Vanguard Variable Insurance Funds Balanced
Portfolio
Vanguard Variable Insurance Funds International
Portfolio
Vanguard Variable Insurance Funds Short-Term
Investment-Grade Portfolio
Vanguard Variable Insurance Funds Diversified Value
Portfolio
Vanguard Variable Insurance Funds High Yield Bond
Portfolio
Vanguard Variable Insurance Funds Real Estate Index
Portfolio and
Vanguard Variable Insurance Funds Global Bond
Index Portfolio

In planning and performing our audits of the financial
statements of Vanguard Variable Insurance Funds
Equity Income Portfolio, Vanguard Variable Insurance
Funds Growth Portfolio, Vanguard Variable Insurance
Funds Money Market Portfolio, Vanguard Variable
Insurance Funds Total Bond Market Index Portfolio,
Vanguard Variable Insurance Funds Balanced
Portfolio, Vanguard Variable Insurance Funds
International Portfolio, Vanguard Variable Insurance
Funds Short-Term Investment-Grade Portfolio,
Vanguard Variable Insurance Funds Diversified Value
Portfolio, Vanguard Variable Insurance Funds High
Yield Bond Portfolio, Vanguard Variable Insurance
Funds Real Estate Index Portfolio and Vanguard
Variable Insurance Funds Global Bond Index Portfolio
(eleven of the portfolios constituting Vanguard Variable
Insurance Funds, hereafter collectively referred to as
the "Portfolios") 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
Portfolios' 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 Portfolios' internal
control over financial reporting. Accordingly, we do not
express an opinion on the effectiveness of the
Portfolios' internal control over financial reporting.

The management of the Portfolios 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 Portfolios' 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
Portfolios' 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 Variable
Insurance 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:** 0000857490

## 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 VARIABLE INSURANCE FUNDS

- **Item B.1.b - Investment Company Act file number:** 811-05962

- **Item B.1.c - CIK:** 0000857490

- **Item B.1.d - LEI:** 549300N9FZ0B1IR95761

- **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):** 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.

**Location books Record: 3**

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

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

- **c. City:** New York

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

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

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

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

- **h. Briefly describe the books and records kept at this location:** The accounts, books, and other documents required to be maintained by Registrant pursuant to section 31(a) of the Investment Company Act of 1940 and the Rules thereunder.

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

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

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

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

### Item B.6 - Organization

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

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

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

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

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

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

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

- **Item B.6.i - Total number of Series:** 19

- **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                                                                                                                                                                                                                                                                                                                                                   |
|:---|:---|:---|
| Tara Bunch          | No                      | 811-04571, 811-01766, 811-00121, 811-01027, 811-06083, 811-05628, 811-07043, 811-02554, 811-03916, 811-04474, 811-02368, 811-02968-99, 811-07803, 811-22619, 811-07175, 811-05972, 811-06093, 811-02652, 811-04570, 811-01530, 811-58431, 811-09005, 811-05445, 811-21478, 811-04098, 811-04526, 811-00834, 811-07239, 811-07443, 811-05340, 811-22114, 811-03919, 811-02687, 811-04681 |
| David Thomas        | No                      | 811-07175, 811-07239, 811-22619, 811-02368, 811-04526, 811-00121, 811-01027, 811-04474, 811-01766, 811-02687, 811-01530, 811-00834, 811-03919, 811-04570, 811-05972, 811-02652, 811-02968-99, 811-07043, 811-05445, 811-05628, 811-21478, 811-22114, 811-02554, 811-09005, 811-07803, 811-07443, 811-05340, 811-04681, 811-58431, 811-04098, 811-04571, 811-06093, 811-03916, 811-06083 |
| Mortimer J. Buckley | Yes                     | 811-01530, 811-05972, 811-04681, 811-02554, 811-03916, 811-58431, 811-00834, 811-04570, 811-06083, 811-04474, 811-05340, 811-04098, 811-06093, 811-05445, 811-00121, 811-05628, 811-02368, 811-03919, 811-22619, 811-07175, 811-02652, 811-09005, 811-04526, 811-07239, 811-07443, 811-07043, 811-01027, 811-02687, 811-21478, 811-01766, 811-02968-99, 811-07803, 811-22114, 811-04571 |
| Emerson U. Fullwood | No                      | 811-04681, 811-58431, 811-04098, 811-00834, 811-02687, 811-02652, 811-06083, 811-05628, 811-05445, 811-00121, 811-07443, 811-07803, 811-07043, 811-02554, 811-05340, 811-04474, 811-01530, 811-04526, 811-02968-99, 811-01766, 811-22619, 811-07175, 811-03916, 811-01027, 811-02368, 811-05972, 811-22114, 811-04571, 811-21478, 811-09005, 811-04570, 811-07239, 811-06093, 811-03919 |
| F. Joseph Loughrey  | No                      | 811-02554, 811-06093, 811-04570, 811-04098, 811-07239, 811-07043, 811-22114, 811-07803, 811-02687, 811-02968-99, 811-09005, 811-04474, 811-22619, 811-03916, 811-07175, 811-01766, 811-05340, 811-01027, 811-02652, 811-58431, 811-05445, 811-04526, 811-21478, 811-05972, 811-00834, 811-07443, 811-02368, 811-01530, 811-00121, 811-04571, 811-06083, 811-05628, 811-03919, 811-04681 |
| Deanna Mulligan     | No                      | 811-21478, 811-04570, 811-07175, 811-06093, 811-02968-99, 811-06083, 811-03916, 811-02652, 811-04571, 811-02368, 811-00121, 811-04526, 811-04681, 811-03919, 811-22114, 811-07239, 811-07443, 811-01027, 811-02554, 811-58431, 811-05628, 811-05972, 811-07043, 811-05340, 811-02687, 811-22619, 811-09005, 811-01530, 811-04098, 811-07803, 811-01766, 811-05445, 811-04474, 811-00834 |
| Andre F. Perold     | No                      | 811-05445, 811-58431, 811-04474, 811-02968-99, 811-07803, 811-21478, 811-05972, 811-07043, 811-04526, 811-04681, 811-04571, 811-22619, 811-06093, 811-01027, 811-07175, 811-00834, 811-05340, 811-01766, 811-00121, 811-02554, 811-05628, 811-02652, 811-04570, 811-03919, 811-01530, 811-22114, 811-07443, 811-03916, 811-04098, 811-02368, 811-02687, 811-06083, 811-07239, 811-09005 |
| Peter F. Volanakis  | No                      | 811-01766, 811-02368, 811-00834, 811-04526, 811-22619, 811-05972, 811-22114, 811-07803, 811-09005, 811-04098, 811-03916, 811-06083, 811-01530, 811-07239, 811-58431, 811-02687, 811-06093, 811-04570, 811-02652, 811-07175, 811-03919, 811-05340, 811-05445, 811-07443, 811-04681, 811-00121, 811-07043, 811-04571, 811-01027, 811-02968-99, 811-02554, 811-05628, 811-04474, 811-21478 |
| Mark Loughridge     | No                      | 811-22619, 811-04098, 811-07043, 811-22114, 811-05972, 811-04571, 811-04526, 811-09005, 811-06093, 811-07175, 811-02368, 811-00121, 811-01530, 811-00834, 811-02652, 811-04681, 811-07443, 811-05628, 811-01027, 811-58431, 811-04570, 811-01766, 811-05445, 811-05340, 811-03916, 811-02968-99, 811-03919, 811-07803, 811-06083, 811-07239, 811-04474, 811-02687, 811-21478, 811-02554 |
| Sarah Bloom Raskin  | No                      | 811-05628, 811-04098, 811-07175, 811-21478, 811-00834, 811-07239, 811-04681, 811-05445, 811-07443, 811-04571, 811-09005, 811-07043, 811-02368, 811-03916, 811-01530, 811-02554, 811-06083, 811-01766, 811-00121, 811-06093, 811-58431, 811-04570, 811-22114, 811-04474, 811-05972, 811-02687, 811-02652, 811-01027, 811-02968-99, 811-07803, 811-22619, 811-05340, 811-03919, 811-04526 |
| Scott C. Malpass    | No                      | 811-09005, 811-03916, 811-07239, 811-00834, 811-02554, 811-01530, 811-07443, 811-07175, 811-04474, 811-07803, 811-03919, 811-06083, 811-05340, 811-06093, 811-04098, 811-00121, 811-02968-99, 811-04570, 811-01027, 811-02652, 811-04681, 811-02368, 811-21478, 811-05972, 811-02687, 811-07043, 811-22114, 811-04526, 811-01766, 811-05628, 811-05445, 811-04571, 811-22619, 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-26089
  - IC-18075
  - IC-9664
  - IC-9241
  - IC-8676
  - IC-10896
  - IC-21611
  - IC-21426
  - IC-18183
  - IC-11645
  - IC-9001
  - IC-19184
  - IC-26436
  - IC-28024
  - IC-9205

### Item B.16. Principal underwriters.

**Principal underwriter Record: 1**

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

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

- **iii. CRD number:** 000007452

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

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

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

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

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

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

**Public accountant Record: 1**

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

- **b. PCAOB Number:** 000000238

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

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

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

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

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

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

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

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

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

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

## Part C: Additional Questions for Management Investment Companies

### Management Investment Record: 1 - CONSERVATIVE ALLOCATION PORTFOLIO

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

- **a. Full Name of the Fund:** CONSERVATIVE ALLOCATION PORTFOLIO

- **b. Series identification number, if any:** S000033473

- **c. LEI:** VLNHEQD6T0P0GC1HM259

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class             | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | CONSERVATIVE ALLOCATION PORTFOLIO | C000102905                                | N/A                          |

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

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

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [x] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] N/A

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

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

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

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

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

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

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

Did the Fund rely on the following rules?

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

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

- Rule 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:** 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:** Markit North America INC

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

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

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

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

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

**Pricing Services Record: 3**

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

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

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

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

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

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

**Pricing Services Record: 4**

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

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

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

**Shareholder Servicing Agents Record: 1**

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

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

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

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

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

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

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

**Item C.14. Administrators.**

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

**Administrators Record: 1**

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

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

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

No Brokers reported.

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

| Name                           | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $43,950,906.10            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $43,950,906.10

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

- **Item C.19.a - Fund's monthly average net assets:** $466,258,674.47

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

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

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

**Line of Credit details Record: 1**

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

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

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

  - **Line Institutions Record: 1 Name of institution:** BNP Paribas

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

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

  - **Line Institutions Record: 4 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 5 Name of institution:** The Bank of New York Mellon

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

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

  - **Line Institutions Record: 8 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

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

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

  - **Line Institutions Record: 11 Name of institution:** Societe Generale

  - **Line Institutions Record: 12 Name of institution:** Citibank, N.A.

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

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

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

  - **Line Institutions Record: 16 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 17 Name of institution:** Royal Bank of Canada

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

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

  - **Line Institutions Record: 20 Name of institution:** Morgan Stanley Bank, N.A.

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

  - **Line Institutions Record: 22 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

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

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

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

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

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

### Management Investment Record: 2 - GROWTH PORTFOLIO

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

- **a. Full Name of the Fund:** GROWTH PORTFOLIO

- **b. Series identification number, if any:** S000004401

- **c. LEI:** 8GPO0HVVK2EH3X06HD40

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | GROWTH PORTFOLIO        | C000012157                                | N/A                          |

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

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

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** Yes

**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:** $180,366.85

- **g. Provide the net income from securities lending activities:** $5,755.69

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

Did the Fund rely on the following rules?

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

- Rule 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:** Wellington Management Company LLP

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

- **iii. CRD number:** 000106595

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

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

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

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

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

**Transfer Agents Record: 1**

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

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

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

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

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

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

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

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

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

**Pricing Services Record: 1**

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

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

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

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

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

**Pricing Services Record: 3**

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

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

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

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

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

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

**Pricing Services Record: 5**

- **i. Full name:** 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:** 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:** 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:** 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: 2**

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

- **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:** 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: 4**

- **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: 5**

- **i. Full name:** Citibank Europe plc, Dublin, Ireland

- **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:** Citibank, N.A.

- **ii. LEI, if any:** E57ODZWZ7FF32TWEFA76

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

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

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

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

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

**Custodians Record: 8**

- **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: 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:** 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: 11**

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

- **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:** 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: 13**

- **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: 14**

- **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: 15**

- **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: 16**

- **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: 17**

- **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: 18**

- **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: 19**

- **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)

- **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:** $7,660.99

**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:** $5,637.68

**Brokers Record: 3**

- **i. Full name of broker:** ALLEN & COMPANY LLC

- **ii. SEC file number:** 008-12123

- **iii. CRD number:** 000001042

- **iv. LEI, if any:** 549300RO3RYDN328JY68

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $3,920.67

**Brokers Record: 4**

- **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:** $8,355.22

**Brokers Record: 5**

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

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

- **iii. CRD number:** 000104474

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

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $3,444.34

**Brokers Record: 6**

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

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

- **iii. CRD number:** 000007654

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

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $8,436.51

**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:** $8,972.51

**Brokers Record: 8**

- **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:** $5,925.05

**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:** $8,751.21

**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:** $8,282.69

**Aggregate Commission:** $104,559.39

**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        | $249,900.00               |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $22,271,000.00            |
| Morgan Stanley & Co. LLC       | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $2,243,288.54             |
| BofA Securities, Inc.          | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $7,594,100,000.00         |
| J.P. Morgan Securities LLC     | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $1,253,888.00             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $7,620,118,076.54

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

- **Item C.19.a - Fund's monthly average net assets:** $988,287,803.26

**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:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 2 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 3 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 4 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 5 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 6 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 7 Name of institution:** BNP Paribas

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

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

  - **Line Institutions Record: 10 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

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

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

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

  - **Line Institutions Record: 14 Name of institution:** Morgan Stanley Bank, N.A.

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

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

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

  - **Line Institutions Record: 18 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 19 Name of institution:** The Northern Trust Company

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

  - **Line Institutions Record: 21 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

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

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

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

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

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

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

### Management Investment Record: 3 - HIGH-YIELD BOND PORTFOLIO

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

- **a. Full Name of the Fund:** HIGH-YIELD BOND PORTFOLIO

- **b. Series identification number, if any:** S000004402

- **c. LEI:** 4D0OP9VY0PK1J6L3W040

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class     | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | HIGH-YIELD BOND PORTFOLIO | C000012158                                | N/A                          |

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

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

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] N/A

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

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

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

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

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

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

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

Did the Fund rely on the following rules?

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

- Rule 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

**Investment Advisers Record: 2**

- **i. Full name:** Wellington Management Company LLP

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

- **iii. CRD number:** 000106595

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

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

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

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

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

**Transfer Agents Record: 1**

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

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

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

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

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

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

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

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

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

**Pricing Services Record: 1**

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

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

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

**Pricing Services Record: 4**

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

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

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

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

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

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

**Pricing Services Record: 5**

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

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

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

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

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

**Pricing Services Record: 6**

- **i. Full name:** 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:** 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: 2**

- **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: 3**

- **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: 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:** 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.**

No Brokers reported.

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

| Name                           | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $170,994,529.00           |
| Wells Fargo Securities, LLC    | 008-22947         | 000007665    | VYVVCKR63DVZZN70PB21 | NC      | US        | $12,393,696.59            |
| Morgan Stanley & Co. LLC       | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $28,498,159.40            |
| MarketAxess Corporation        | 008-50727         | 000044542    | GPSMMRI21JE7ZCVYF972 | NY      | US        | $11,094,227.94            |
| Deutsche Bank Securities Inc.  | 008-17822         | 000002525    | 9J6MBOOO7BECTDTUZW19 | NY      | US        | $16,392,121.99            |
| BofA Securities, Inc.          | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $6,244,165,318.32         |
| Citigroup Global Markets Inc.  | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $35,456,862.32            |
| J.P. Morgan Securities LLC     | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $79,618,967.82            |
| Goldman Sachs & Co. LLC        | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $90,395,448.18            |
| Barclays Capital Inc.          | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $39,350,291.18            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $6,819,272,744.52

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

- **Item C.19.a - Fund's monthly average net assets:** $659,952,340.67

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

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

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

**Line of Credit details Record: 1**

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

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

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

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

  - **Line Institutions Record: 2 Name of institution:** Societe Generale

  - **Line Institutions Record: 3 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **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 Northern Trust Company

  - **Line Institutions Record: 7 Name of institution:** Brown Brothers Harriman & Co.

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

  - **Line Institutions Record: 9 Name of institution:** BNP Paribas

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

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

  - **Line Institutions Record: 12 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 13 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 14 Name of institution:** Wells Fargo Bank, National Association

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

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

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

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

  - **Line Institutions Record: 19 Name of institution:** Morgan Stanley Bank, N.A.

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

  - **Line Institutions Record: 21 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 22 Name of institution:** Bank of Montreal, Chicago Branch

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

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

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

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

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

### Management Investment Record: 4 - INTERNATIONAL PORTFOLIO

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

- **a. Full Name of the Fund:** INTERNATIONAL PORTFOLIO

- **b. Series identification number, if any:** S000004403

- **c. LEI:** OT40UIT5RF6NRFJZGB59

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | INTERNATIONAL PORTFOLIO | C000012159                                | N/A                          |

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

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

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] 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

**Securities Lending Record: 2**

- **i. Full name of securities lending agent:** Brown Brothers Harriman & Co.

- **ii. LEI, if any:** 5493006KMX1VFTPYPW14

- **iii. Is the securities lending agent an affiliated person...?** No

- **iv. Does the securities lending agent... indemnify the Fund against borrower default?** Yes

- **v. If the entity providing the indemnification is not the securities lending agent, provide the following information:**

  **Idemnity Providers Record: 1**

  - **1. Name of person providing indemnification:** —

  - **2. LEI, if any:** —

- **vi. Did the Fund exercise its indemnification rights during the reporting period?** No

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

- [x] 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:** $18,326,316.03

- **g. Provide the net income from securities lending activities:** $458,570.61

**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))

**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:** Baillie Gifford Overseas Ltd

- **ii. SEC file number:** 801-21051

- **iii. CRD number:** 000110296

- **iv. LEI, if any:** 549300OJXEENXLO4FW52

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

**Investment Advisers Record: 2**

- **i. Full name:** Schroder Investment Management North America Inc.

- **ii. SEC file number:** 801-15834

- **iii. CRD number:** 000105820

- **iv. LEI, if any:** 5493003P29LAPF3HFV10

- **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:** Bloomberg Finance LP

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

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

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

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

**Pricing Services Record: 3**

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

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

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

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

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

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

**Pricing Services Record: 4**

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

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

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

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

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

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

**Pricing Services Record: 5**

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

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

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

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

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

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

**Pricing Services Record: 6**

- **i. Full name:** 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:** 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:** AO Citibank

- **ii. LEI, if any:** CHSQDSVI1UI96Y2SW097

- **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:** 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: 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:** 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: 5**

- **i. Full name:** Bank Hapoalim B.M.

- **ii. LEI, if any:** B6ARUI4946ST4S7WOU88

- **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:** Standard Chartered Bank (Tanzania) Limited

- **ii. LEI, if any:** 549300RLNUU3GJS6MK84

- **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:** 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: 8**

- **i. Full name:** Standard Chartered Bank (Hong Kong) Limited

- **ii. LEI, if any:** X5AV1MBDXGRPX5UGMX13

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

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

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

**Custodians Record: 9**

- **i. Full name:** Citibank, N.A.

- **ii. LEI, if any:** E57ODZWZ7FF32TWEFA76

- **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:** 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: 11**

- **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: 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:** 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: 14**

- **i. Full name:** Citibank N.A.

- **ii. LEI, if any:** E57ODZWZ7FF32TWEFA76

- **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: 15**

- **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: 16**

- **i. Full name:** Citibank Europe plc, Dublin, Ireland

- **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: 17**

- **i. Full name:** Banco Nacional de Mexico, S.A.

- **ii. LEI, if any:** 2SFFM4FUIE05S37WFU55

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

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

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

**Custodians Record: 18**

- **i. Full name:** AS SEB Pank

- **ii. LEI, if any:** 549300ND1MQ8SNNYMJ22

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

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

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

**Custodians Record: 19**

- **i. Full name:** UniCredit Bank Hungary Zrt.

- **ii. LEI, if any:** Y28RT6GGYJ696PMW8T44

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

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

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

**Custodians Record: 20**

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

- **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: 21**

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

- **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: 22**

- **i. Full name:** FirstRand Bank Limited

- **ii. LEI, if any:** ZAYQDKTCATIXF9OQY690

- **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: 23**

- **i. Full name:** Ceskoslovenska obchodni banka, a.s.

- **ii. LEI, if any:** Q5BP2UEQ48R75BOTCB92

- **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: 24**

- **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: 25**

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

- **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: 26**

- **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: 27**

- **i. Full name:** Citibank, N.A.

- **ii. LEI, if any:** E57ODZWZ7FF32TWEFA76

- **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: 28**

- **i. Full name:** Standard Chartered Bank

- **ii. LEI, if any:** RILFO74KP1CM8P6PCT96

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

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

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

**Custodians Record: 29**

- **i. Full name:** Standard Chartered Bank Malaysia Berhad

- **ii. LEI, if any:** 549300JTJBG2QBI8KD48

- **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: 30**

- **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: 31**

- **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: 32**

- **i. Full name:** Bank Handlowy w Warszawie S.A.

- **ii. LEI, if any:** XLEZHWWOI4HFQDGL4793

- **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: 33**

- **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: 34**

- **i. Full name:** Euroclear Bank S.A./N.V.

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

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

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

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

**Custodians Record: 35**

- **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: 36**

- **i. Full name:** Standard Chartered Bank (Thai) Public Company Limited

- **ii. LEI, if any:** 549300O1LQYCQ7G1IM57

- **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: 37**

- **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: 38**

- **i. Full name:** Citibank Europe plc, Dublin, Ireland

- **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: 39**

- **i. Full name:** Citibank, A.S.

- **ii. LEI, if any:** CWZ8NZDH5SKY12Q4US31

- **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: 40**

- **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: 41**

- **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: 42**

- **i. Full name:** UniCredit Bank Austria AG

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

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

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

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

**Custodians Record: 43**

- **i. Full name:** Standard Chartered Bank

- **ii. LEI, if any:** RILFO74KP1CM8P6PCT96

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

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

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

- **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 International

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

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

- **iv. LEI, if any:** W22LROWP2IHZNBB6K528

- **vii. Gross commissions paid by the Fund for the reporting period:** $25,662.96

**Brokers Record: 2**

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

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

- **iii. CRD number:** 000104474

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

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $18,310.02

**Brokers Record: 3**

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

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

- **iii. CRD number:** 000007654

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

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $34,024.34

**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:** $12,695.42

**Brokers Record: 5**

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

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

- **iii. CRD number:** 000000361

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

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $47,442.23

**Brokers Record: 6**

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

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

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

- **iv. LEI, if any:** K6Q0W1PS1L1O4IQL9C32

- **vii. Gross commissions paid by the Fund for the reporting period:** $14,925.69

**Brokers Record: 7**

- **i. Full name of broker:** Credit Suisse Securities (Europe) Limited

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

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

- **iv. LEI, if any:** DL6FFRRLF74S01HE2M14

- **vii. Gross commissions paid by the Fund for the reporting period:** $27,671.85

**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:** $14,762.35

**Brokers Record: 9**

- **i. Full name of broker:** Redburn (Europe) Limited

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

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

- **iv. LEI, if any:** 213800PKEJQZQXQCOJ04

- **vii. Gross commissions paid by the Fund for the reporting period:** $15,124.34

**Brokers Record: 10**

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

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

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

- **iv. LEI, if any:** 4PQUHN3JPFGFNF3BB653

- **vii. Gross commissions paid by the Fund for the reporting period:** $25,866.11

**Aggregate Commission:** $429,504.84

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

| Name                                          | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Goldman Sachs International                   | N/A               | N/A          | W22LROWP2IHZNBB6K528 |  |  | $24,345,556.94            |
| J.P. Morgan Securities (Asia Pacific) Limited | N/A               | N/A          | 871JPXVZ0Z8I863B6V34 |  |  | $2,911,167.37             |
| Vanguard Market Liquidity Fund                | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $2,189,811,259.05         |
| J.P. Morgan Securities PLC                    | N/A               | N/A          | K6Q0W1PS1L1O4IQL9C32 |  |  | $6,578,974.97             |
| Joh. Berenberg, Gossler & Co. KG              | N/A               | N/A          | 529900UC2OD7II24Z667 |  |  | $2,050,826.99             |
| UBS Securities LLC                            | 008-22651         | 000007654    | T6FIZBDPKLYJKFCRVK44 | NY      | US        | $6,308,021.37             |
| Morgan Stanley & Co. International PLC        | N/A               | N/A          | 4PQUHN3JPFGFNF3BB653 |  |  | $6,998,954.92             |
| BNP Paribas Securities Services SCA           | N/A               | N/A          | 549300WCGB70D06XZS54 |  |  | $4,988,577.03             |
| CLSA SINGAPORE PTE LTD                        | N/A               | N/A          | 2138007HCL683ZPDD829 |  |  | $1,598,815.65             |
| J.P. MORGAN BROKING (HONG KONG) LIMITED       | N/A               | N/A          | 549300UDYFQABX57QF97 |  |  | $1,691,941.51             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $2,259,393,232.70

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

- **Item C.19.a - Fund's monthly average net assets:** $3,066,528,674.20

**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:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 3 Name of institution:** The Toronto-Dominion Bank, New York Branch

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

  - **Line Institutions Record: 5 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 6 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 7 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 8 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 9 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 10 Name of institution:** Barclays Bank plc

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

  - **Line Institutions Record: 12 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 13 Name of institution:** State Street Bank and Trust Company

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

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

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

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

  - **Line Institutions Record: 18 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 19 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

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

  - **Line Institutions Record: 21 Name of institution:** The Bank of New York Mellon

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

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

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

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

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

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

### Management Investment Record: 5 - EQUITY INCOME PORTFOLIO

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

- **a. Full Name of the Fund:** EQUITY INCOME PORTFOLIO

- **b. Series identification number, if any:** S000004399

- **c. LEI:** 96AP3GOUQTGE7FOIAH76

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | EQUITY INCOME PORTFOLIO | C000012155                                | N/A                          |

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

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

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] 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:** $2,469,016.77

- **g. Provide the net income from securities lending activities:** $17,822.18

**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)

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

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

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

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

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

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

**Investment Advisers Record: 1**

- **i. Full name:** Wellington Management Company LLP

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

- **iii. CRD number:** 000106595

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

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

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

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

**Investment Advisers Record: 2**

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

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

- **iii. CRD number:** 000105958

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

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

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

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

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

**Transfer Agents Record: 1**

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

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

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

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

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

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

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

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

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

**Pricing Services Record: 1**

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

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

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

**Pricing Services Record: 2**

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

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

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

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

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

**Pricing Services Record: 3**

- **i. Full name:** 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:** 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 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:** 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:** 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:** 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: 2**

- **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: 3**

- **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: 4**

- **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: 5**

- **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: 6**

- **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: 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:** 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: 9**

- **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: 10**

- **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: 11**

- **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: 12**

- **i. Full name:** Euroclear Bank S.A./N.V.

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

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

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

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

**Custodians Record: 13**

- **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: 14**

- **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: 15**

- **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: 16**

- **i. Full name:** Citibank Europe plc, Dublin, Ireland

- **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: 17**

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

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

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

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

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

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

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

**Shareholder Servicing Agents Record: 1**

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

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

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

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

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

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

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

**Item C.14. Administrators.**

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

**Administrators Record: 1**

- **i. Full name:** 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:** $20,529.46

**Brokers Record: 2**

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

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

- **iii. CRD number:** 000031194

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

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $26,855.21

**Brokers Record: 3**

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

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

- **iii. CRD number:** 000002347

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

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $29,969.16

**Brokers Record: 4**

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

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

- **iii. CRD number:** 000019714

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

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $18,320.21

**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:** $25,005.21

**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:** $25,760.82

**Brokers Record: 7**

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

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

- **iii. CRD number:** 000007654

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

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $10,748.31

**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:** $23,507.46

**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:** $50,003.94

**Brokers Record: 10**

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

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

- **iii. CRD number:** 000021013

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

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $8,881.51

**Aggregate Commission:** $320,606.80

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

| Name                                 | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Barclays Capital Inc.                | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $2,146,204.56             |
| J.P. Morgan Securities LLC           | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $1,211,078.06             |
| BofA Securities, Inc.                | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $1,090,396.03             |
| BNP Paribas Securities Corp.         | 008-32682         | 000015794    | RCNB6OTYUAMMP879YW96 | NY      | US        | $3,123,600,000.00         |
| Jefferies LLC                        | 008-15074         | 000002347    | 58PU97L1C0WSRCWADL48 | NY      | US        | $1,310,357.94             |
| Vanguard Market Liquidity Fund       | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $651,167,621.00           |
| Morgan Stanley & Co. LLC             | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $150,512.31               |
| Cowen and Company, LLC               | 008-22522         | 000007616    | 549300WR155U7DVMIW58 | NY      | US        | $77,338.43                |
| UBS Securities International Limited | N/A               | N/A          | EP50CUEHE876XUVAWT56 |  |  | $101,172.49               |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $3,780,854,680.82

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

- **Item C.19.a - Fund's monthly average net assets:** $1,898,687,269.04

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

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

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

**Line of Credit details Record: 1**

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

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

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

  - **Line Institutions Record: 1 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 2 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 3 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **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:** Brown Brothers Harriman & Co.

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

  - **Line Institutions Record: 8 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 9 Name of institution:** Societe Generale

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

  - **Line Institutions Record: 11 Name of institution:** Bank of Montreal, Chicago Branch

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

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

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

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

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

  - **Line Institutions Record: 17 Name of institution:** JPMorgan Chase Bank, N.A.

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

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

  - **Line Institutions Record: 20 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 21 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 22 Name of institution:** The Toronto-Dominion Bank, New York Branch

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

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

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

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

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

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

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

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

### Management Investment Record: 6 - TOTAL STOCK MARKET INDEX PORTFOLIO

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

- **a. Full Name of the Fund:** TOTAL STOCK MARKET INDEX PORTFOLIO

- **b. Series identification number, if any:** S000004396

- **c. LEI:** QIGYNF4GGYKYSEDPL239

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class              | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | TOTAL STOCK MARKET INDEX PORTFOLIO | C000012152                                | N/A                          |

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

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

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [x] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] N/A

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

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

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

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

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

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

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

Did the Fund rely on the following rules?

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

- Rule 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:** ITG Analytics Inc

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

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

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

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

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

**Pricing Services Record: 2**

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

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

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

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

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

**Pricing Services Record: 3**

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

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

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

**Shareholder Servicing Agents Record: 1**

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

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

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

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

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

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

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

**Item C.14. Administrators.**

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

**Administrators Record: 1**

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

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

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

No Brokers reported.

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

| Name                           | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $190,305,477.97           |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $190,305,477.97

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

- **Item C.19.a - Fund's monthly average net assets:** $3,696,089,752.81

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

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

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

**Line of Credit details Record: 1**

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

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

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

  - **Line Institutions Record: 1 Name of institution:** Barclays Bank plc

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

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

  - **Line Institutions Record: 4 Name of institution:** The Bank of Nova Scotia, Houston Branch

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

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

  - **Line Institutions Record: 7 Name of institution:** JPMorgan Chase Bank, N.A.

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

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

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

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

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

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

  - **Line Institutions Record: 14 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 15 Name of institution:** BNP Paribas

  - **Line Institutions Record: 16 Name of institution:** Morgan Stanley Bank, N.A.

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

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

  - **Line Institutions Record: 19 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 Name of institution:** Societe Generale

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

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

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

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

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

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

### Management Investment Record: 7 - MODERATE ALLOCATION PORTFOLIO

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

- **a. Full Name of the Fund:** MODERATE ALLOCATION PORTFOLIO

- **b. Series identification number, if any:** S000033474

- **c. LEI:** LO8HTLND48FQ3OSHAQ70

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class         | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | MODERATE ALLOCATION PORTFOLIO | C000102906                                | N/A                          |

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

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

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [x] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] N/A

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

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

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

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

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

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

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

Did the Fund rely on the following rules?

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

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

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

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

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

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

**Pricing Services Record: 2**

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

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

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

**Pricing Services Record: 3**

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

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

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

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

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

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

**Pricing Services Record: 4**

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

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

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

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

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

**Pricing Services Record: 5**

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

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

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

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

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

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

**Pricing Services Record: 6**

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

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

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

No Brokers reported.

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

| Name                           | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $58,050,129.68            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $58,050,129.68

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

- **Item C.19.a - Fund's monthly average net assets:** $635,234,747.12

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

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

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

**Line of Credit details Record: 1**

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

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

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

  - **Line Institutions Record: 1 Name of institution:** Morgan Stanley Bank, N.A.

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

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

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

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

  - **Line Institutions Record: 8 Name of institution:** Brown Brothers Harriman & Co.

  - **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:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 12 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 13 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 14 Name of institution:** PNC Bank, National Association

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

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

  - **Line Institutions Record: 17 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 18 Name of institution:** Societe Generale

  - **Line Institutions Record: 19 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 20 Name of institution:** State Street Bank and Trust Company

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

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

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

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

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

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

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

### Management Investment Record: 8 - GLOBAL BOND INDEX PORTFOLIO

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

- **a. Full Name of the Fund:** GLOBAL BOND INDEX PORTFOLIO

- **b. Series identification number, if any:** S000058615

- **c. LEI:** 5493000M7H01XFWLUI64

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class       | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | GLOBAL BOND INDEX PORTFOLIO | C000192542                                | N/A                          |

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

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

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [x] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] N/A

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

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

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

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

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

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

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

Did the Fund rely on the following rules?

- Rule 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)

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

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

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

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

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

**Pricing Services Record: 5**

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

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

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

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

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

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

**Pricing Services Record: 6**

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

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

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

**Pricing Services Record: 7**

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

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

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

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

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

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

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

**Item C.12. Custodians.**

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

**Custodians Record: 1**

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

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

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

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

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

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

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

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

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

**Shareholder Servicing Agents Record: 1**

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

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

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

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

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

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

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

**Item C.14. Administrators.**

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

**Administrators Record: 1**

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

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

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

No Brokers reported.

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

| Name                           | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $41,813,272.22            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $41,813,272.22

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

- **Item C.19.a - Fund's monthly average net assets:** $414,549,779.11

**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:** Royal Bank of Canada

  - **Line Institutions Record: 2 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 3 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

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

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

  - **Line Institutions Record: 6 Name of institution:** Bank of America N.A.

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

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

  - **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:** PNC Bank, National Association

  - **Line Institutions Record: 12 Name of institution:** Societe Generale

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

  - **Line Institutions Record: 14 Name of institution:** JPMorgan Chase Bank, N.A.

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

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

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

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

  - **Line Institutions Record: 19 Name of institution:** The Northern Trust Company

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

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

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

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

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

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

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

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

### Management Investment Record: 9 - MID-CAP INDEX PORTFOLIO

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

- **a. Full Name of the Fund:** MID-CAP INDEX PORTFOLIO

- **b. Series identification number, if any:** S000004404

- **c. LEI:** FU4G3B84SVW07HHVW178

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | MID-CAP INDEX PORTFOLIO | C000012160                                | N/A                          |

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

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

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] 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:** $6,996,501.87

- **g. Provide the net income from securities lending activities:** $493,253.20

**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)

**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:** Refinitiv US LLC

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

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

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

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

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

**Pricing Services Record: 5**

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

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

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

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

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

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

**Pricing Services Record: 6**

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

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

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

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

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

**Pricing Services Record: 7**

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

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

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

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

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

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

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

**Item C.12. Custodians.**

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

**Custodians Record: 1**

- **i. Full name:** 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:** 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:** 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: 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:** 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:** Deutsche Bank AG

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

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

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

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

**Custodians Record: 7**

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

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

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

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

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

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

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

**Custodians Record: 8**

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

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

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

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

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

**Custodians Record: 11**

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

- **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:** 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:** $5,002.85

**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:** $6,026.79

**Brokers Record: 3**

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

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

- **iii. CRD number:** 000000816

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

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,716.08

**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:** $4,073.91

**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:** $4,104.39

**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:** $6,608.63

**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:** $4,351.12

**Brokers Record: 8**

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

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

- **iii. CRD number:** 000031194

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

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,091.49

**Brokers Record: 9**

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

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

- **iii. CRD number:** 000000361

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

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $6,448.54

**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:** $8,032.60

**Aggregate Commission:** $50,171.21

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

| Name                               | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Credit Suisse Securities (USA) LLC | 008-00422         | 000000816    | 1V8Y6QCX6YMJ2OELII46 | NY      | US        | $2,981.56                 |
| Sanford C. Bernstein & Co., LLC    | 008-52942         | 000104474    | 549300I7JYZHT7D5CO04 | NY      | US        | $3,641.99                 |
| J.P. Morgan Securities LLC         | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $232.07                   |
| Goldman Sachs & Co. LLC            | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $459,337.74               |
| Vanguard Market Liquidity Fund     | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $276,212,064.00           |
| Mizuho Securities USA Inc          | 008-37710         | 000019647    | 5493004GRDTUI7EMIZ82 | NY      | US        | $2,001.11                 |
| Wells Fargo Securities, LLC        | 008-22947         | 000007665    | VYVVCKR63DVZZN70PB21 | NC      | US        | $2,032.07                 |
| Morgan Stanley & Co. LLC           | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $451,376.20               |
| Citigroup Global Markets Inc.      | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $173,760.00               |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $277,307,426.74

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

- **Item C.19.a - Fund's monthly average net assets:** $2,329,842,423.14

**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:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 3 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 4 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 5 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 6 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 7 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 8 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 9 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 10 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 11 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 12 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **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:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 16 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 17 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 18 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 19 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 20 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 21 Name of institution:** Societe Generale

  - **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 Municipal Money Market Fund                          | 811-02687         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

**Item C.21. Swing pricing.**

- **a. Did the Fund (if not a Money Market Fund, Exchange-Traded Fund, or Exchange-Traded Managed Fund) engage in swing pricing?** No

### Management Investment Record: 10 - TOTAL INTERNATIONAL STOCK MARKET INDEX PORTFOLIO

**Item C.1. Background information.**

- **a. Full Name of the Fund:** TOTAL INTERNATIONAL STOCK MARKET INDEX PORTFOLIO

- **b. Series identification number, if any:** S000058616

- **c. LEI:** 549300CQX1WJSDBCM082

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 1

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class                            | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | TOTAL INTERNATIONAL STOCK MARKET INDEX PORTFOLIO | C000192543                                | N/A                          |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [x] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** —

- **g. Provide the net income from securities lending activities:** —

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))

- Rule 12d1-4 (17 CFR 270.12d1-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Markit North America INC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-4153988

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** 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:** 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:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-36687789

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NJ

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** JPMorgan Chase Bank

- **ii. LEI, if any, or provide and describe other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 6**

- **i. Full name:** 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:** 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))

- **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:** NATIONAL BANK OF CANADA

- **ii. SEC file number:** 008-39947

- **iii. CRD number:** 000022698

- **iv. LEI, if any:** BSGEFEIOM18Y80CKCV46

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,433.98

**Aggregate Commission:** $2,433.98

**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        | $217,004,250.71           |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $217,004,250.71

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $1,147,011,364.13

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **a. Does the Fund have available a line of credit?** Yes

**If yes, for each line of credit, provide the information requested below:**

**Line of Credit details Record: 1**

- **i. Is the line of credit a committed or uncommitted line of credit?** Committed

- **ii. What size is the line of credit?** $4,385,000,000.00

- **iii. With which institution(s) is the line of credit?**

  - **Line Institutions Record: 1 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 2 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 3 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 4 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 5 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 6 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 7 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 8 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 9 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 10 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 11 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 12 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 13 Name of institution:** Societe Generale

  - **Line Institutions Record: 14 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 15 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 16 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 17 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 18 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 19 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 20 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 21 Name of institution:** BNP Paribas

  - **Line Institutions Record: 22 Name of institution:** The Bank of New York Mellon

- **iv. Is the line of credit just for the Fund, or is it shared among multiple funds?** Shared

  - **1. If shared, list the names of other funds that may use the line of credit:**

| Name of fund                                                  | SEC File number   |
|:---|:---|
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Municipal Money Market 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

**Item C.21. Swing pricing.**

- **a. Did the Fund (if not a Money Market Fund, Exchange-Traded Fund, or Exchange-Traded Managed Fund) engage in swing pricing?** No

### Management Investment Record: 11 - DIVERSIFIED VALUE PORTFOLIO

**Item C.1. Background information.**

- **a. Full Name of the Fund:** DIVERSIFIED VALUE PORTFOLIO

- **b. Series identification number, if any:** S000004398

- **c. LEI:** 147HBSXFO6HWZRQP8T25

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 1

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class       | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | DIVERSIFIED VALUE PORTFOLIO | C000012154                                | N/A                          |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] 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:** $167,172.32

- **g. Provide the net income from securities lending activities:** $4,874.47

**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))

**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:** Lazard Asset Management LLC

- **ii. SEC file number:** 801-61701

- **iii. CRD number:** 000122836

- **iv. LEI, if any:** P1IBQ1I6K7EXV2Q96E20

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Investment Advisers Record: 2**

- **i. Full name:** Hotchkis and Wiley Capital Management, LLC

- **ii. SEC file number:** 801-60512

- **iii. CRD number:** 000114649

- **iv. LEI, if any:** M35WBEXQYIYXS60OGD30

- **v. State, if applicable:** CA

- **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:** 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 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:** 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:** 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:** 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: 2**

- **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)

- **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:** $10,757.04

**Brokers Record: 2**

- **i. Full name of broker:** BMO Capital Markets Corp.

- **ii. SEC file number:** N/A

- **iii. CRD number:** 000016686

- **iv. LEI, if any:** RUC0QBLBRPRCU4W1NE59

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $7,829.73

**Brokers Record: 3**

- **i. Full name of broker:** Jefferies LLC

- **ii. SEC file number:** 008-15074

- **iii. CRD number:** 000002347

- **iv. LEI, if any:** 58PU97L1C0WSRCWADL48

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $6,440.02

**Brokers Record: 4**

- **i. Full name of broker:** Sanford C. Bernstein & Co., LLC

- **ii. SEC file number:** 008-52942

- **iii. CRD number:** 000104474

- **iv. LEI, if any:** 549300I7JYZHT7D5CO04

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $5,375.38

**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:** $7,258.13

**Brokers Record: 6**

- **i. Full name of broker:** UBS Securities LLC

- **ii. SEC file number:** 008-22651

- **iii. CRD number:** 000007654

- **iv. LEI, if any:** T6FIZBDPKLYJKFCRVK44

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $5,648.39

**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:** $52,520.10

**Brokers Record: 8**

- **i. Full name of broker:** Merrill Lynch, Pierce, Fenner & Smith Inc.

- **ii. SEC file number:** 008-07221

- **iii. CRD number:** 000007691

- **iv. LEI, if any:** 8NAV47T0Y26Q87Y0QP81

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $5,928.30

**Brokers Record: 9**

- **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:** $10,988.15

**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:** $10,370.02

**Aggregate Commission:** $168,991.84

**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        | $2,152,500.00             |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $533,552,529.00           |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $535,705,029.00

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** Yes

- **Item C.19.a - Fund's monthly average net assets:** $1,115,344,656.10

**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 Northern Trust Company

  - **Line Institutions Record: 2 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 3 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 4 Name of institution:** Societe Generale

  - **Line Institutions Record: 5 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 6 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 7 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 8 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 9 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 10 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 11 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 12 Name of institution:** BNP Paribas

  - **Line Institutions Record: 13 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 14 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 15 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 16 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 17 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 18 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 19 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 20 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 21 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 22 Name of institution:** JPMorgan Chase Bank, N.A.

- **iv. Is the line of credit just for the Fund, or is it shared among multiple funds?** Shared

  - **1. If shared, list the names of other funds that may use the line of credit:**

| Name of fund                                                  | SEC File number   |
|:---|:---|
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

**Item C.21. Swing pricing.**

- **a. Did the Fund (if not a Money Market Fund, Exchange-Traded Fund, or Exchange-Traded Managed Fund) engage in swing pricing?** No

### Management Investment Record: 12 - BALANCED PORTFOLIO

**Item C.1. Background information.**

- **a. Full Name of the Fund:** BALANCED PORTFOLIO

- **b. Series identification number, if any:** S000004390

- **c. LEI:** QTPD0S14VORK5FC2PT42

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 1

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | BALANCED PORTFOLIO      | C000012146                                | N/A                          |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] 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:** $17,462.69

- **g. Provide the net income from securities lending activities:** $514.90

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 17a-7 (17 CFR 270.17a-7)

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** Wellington Management Company LLP

- **ii. SEC file number:** 801-15908

- **iii. CRD number:** 000106595

- **iv. LEI, if any:** 549300YHP12TEZNLCX41

- **v. State, if applicable:** MA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Bloomberg Finance LP

- **ii. LEI, if any, or provide and describe other identifying number:** 5493001KJTIIGC8Y1R12

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** 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:** 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:** 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:** 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:** Standard Chartered Bank

- **ii. LEI, if any:** RILFO74KP1CM8P6PCT96

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 3**

- **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: 4**

- **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: 5**

- **i. Full name:** UniCredit Bank Austria AG

- **ii. LEI, if any:** D1HEB8VEU6D9M8ZUXG17

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 6**

- **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: 7**

- **i. Full name:** Citibank Europe plc, Dublin, Ireland

- **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: 8**

- **i. Full name:** Citibank N.A.

- **ii. LEI, if any:** E57ODZWZ7FF32TWEFA76

- **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:** Skandinaviska Enskilda Banken AB (publ), Sweden

- **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: 11**

- **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: 12**

- **i. Full name:** Banco Nacional de Mexico, S.A.

- **ii. LEI, if any:** 2SFFM4FUIE05S37WFU55

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 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:** Euroclear Bank S.A./N.V.

- **ii. LEI, if any:** 549300OZ46BRLZ8Y6F65

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)

**Custodians Record: 15**

- **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: 16**

- **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: 17**

- **i. Full name:** Skandinaviska Enskilda Banken AB (publ), Sweden

- **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: 18**

- **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: 19**

- **i. Full name:** Standard Chartered Bank (Thai) Public Company Limited

- **ii. LEI, if any:** 549300O1LQYCQ7G1IM57

- **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: 20**

- **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: 21**

- **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: 22**

- **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: 23**

- **i. Full name:** HSBC Bank Bermuda Limited

- **ii. LEI, if any:** 0W1U67PTV5WY3WYWKD79

- **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: 24**

- **i. Full name:** The Hongkong and Shanghai Banking Corporation Limited

- **ii. LEI, if any:** 2HI3YI5320L3RW6NJ957

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

**Shareholder Servicing Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the shareholder servicing agent an affiliated person?:** Yes

- **vi. Is the shareholder servicing agent a sub-shareholder servicing agent?:** No

- **b. Has a shareholder servicing agent been hired or terminated during the reporting period?** No

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** State Street Bank and Trust Company

- **ii. LEI, if any, or other identifying number:** 571474TGEMMWANRLN572

- **iii. State, if applicable:** MA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** Yes

**Administrators Record: 2**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any, or other identifying number:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

**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:** $11,808.96

**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:** $13,047.60

**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:** $15,324.18

**Brokers Record: 4**

- **i. Full name of broker:** Jefferies LLC

- **ii. SEC file number:** 008-15074

- **iii. CRD number:** 000002347

- **iv. LEI, if any:** 58PU97L1C0WSRCWADL48

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $12,502.78

**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:** $32,664.25

**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:** $20,948.19

**Brokers Record: 7**

- **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:** $24,007.82

**Brokers Record: 8**

- **i. Full name of broker:** UBS Securities LLC

- **ii. SEC file number:** 008-22651

- **iii. CRD number:** 000007654

- **iv. LEI, if any:** T6FIZBDPKLYJKFCRVK44

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $25,161.05

**Brokers Record: 9**

- **i. Full name of broker:** J.P. Morgan Securities PLC

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** K6Q0W1PS1L1O4IQL9C32

- **vii. Gross commissions paid by the Fund for the reporting period:** $13,271.10

**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:** $22,744.14

**Aggregate Commission:** $252,990.17

**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        | $85,004,536.73            |
| Citigroup Global Markets Inc.   | 008-08177         |    000007059 | MBNUM2BPBDO7JBLYG310 | NY      | US        | $106,227,751.92           |
| Barclays Capital Inc.           | 008-41342         |    000019714 | AC28XWWI3WIBK2824319 | NY      | US        | $96,917,356.20            |
| Morgan Stanley & Co. LLC        | 008-15869         |    000008209 | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $353,828,221.87           |
| Natixis Securities Americas LLC | 008-00719         |    000001101 | 549300L8G1E7ZHVEOG75 | NY      | US        | $5,108,950,656.65         |
| J.P. Morgan Securities LLC      | 008-35008         |    000000079 | ZBUT11V806EZRVTWT807 | NY      | US        | $238,180,464.94           |
| BofA Securities, Inc.           | 008-69787         |    000283942 | 549300HN4UKV1E2R3U73 | NY      | US        | $140,977,069.98           |
| Deutsche Bank Securities Inc.   | 008-17822         |    000002525 | 9J6MBOOO7BECTDTUZW19 | NY      | US        | $76,424,897.62            |
| Natwest Markets Securities Inc. | 008-37135         |    000011707 | ZE2ZWJ5BTIQJ8M0C6K34 | CT      | US        | $6,734,855,755.82         |
| Goldman Sachs & Co. LLC         | 008-00129         |    000000361 | FOR8UP27PHTHYVLBNG30 | NY      | US        | $160,498,230.85           |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $13,441,744,357.83

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** Yes

- **Item C.19.a - Fund's monthly average net assets:** $3,223,670,557.82

**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:** Royal Bank of Canada

  - **Line Institutions Record: 3 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 4 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 5 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 6 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 7 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 10 Name of institution:** Societe Generale

  - **Line Institutions Record: 11 Name of institution:** Wells Fargo Bank, National Association

  - **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:** State Street Bank and Trust Company

  - **Line Institutions Record: 15 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 16 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 17 Name of institution:** BNP Paribas

  - **Line Institutions Record: 18 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 19 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 20 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 21 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 22 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

- **iv. Is the line of credit just for the Fund, or is it shared among multiple funds?** Shared

  - **1. If shared, list the names of other funds that may use the line of credit:**

| Name of fund                                                  | SEC File number   |
|:---|:---|
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

**Item C.21. Swing pricing.**

- **a. Did the Fund (if not a Money Market Fund, Exchange-Traded Fund, or Exchange-Traded Managed Fund) engage in swing pricing?** No

### Management Investment Record: 13 - SHORT-TERM INVESTMENT-GRADE PORTFOLIO

**Item C.1. Background information.**

- **a. Full Name of the Fund:** SHORT-TERM INVESTMENT-GRADE PORTFOLIO

- **b. Series identification number, if any:** S000004393

- **c. LEI:** TH75LL6OWODFQ3T29L81

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 1

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class                 | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | SHORT-TERM INVESTMENT-GRADE PORTFOLIO | C000012149                                | N/A                          |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** —

- **g. Provide the net income from securities lending activities:** —

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 17a-7 (17 CFR 270.17a-7)

- Rule 18f-4 (17 CFR 270.18f-4)

- Rule 18f-4(f)(17 CFR 270.18f-4(f))

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Markit Group Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** Bloomberg Finance LP

- **ii. LEI, if any, or provide and describe other identifying number:** 5493001KJTIIGC8Y1R12

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** Markit North America INC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-4153988

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-36687789

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NJ

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** JPMorgan Chase Bank

- **ii. LEI, if any, or provide and describe other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 6**

- **i. Full name:** 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:** 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:** 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: 2**

- **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: 3**

- **i. Full name:** CITIBANK EUROPE PLC, HUNGARIAN BRANCH OFFICE

- **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: 4**

- **i. Full name:** DEUTSCHE BANK/THE DEPOSITORY AND CLEARING CENTRE

- **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: 5**

- **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: 6**

- **i. Full name:** CITIBANAMEX, MEXICO CITY

- **ii. LEI, if any:** 2SFFM4FUIE05S37WFU55

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 7**

- **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: 8**

- **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: 9**

- **i. Full name:** HONGKONG AND SHANGAI BANKING CORPORATION, Hong Kong

- **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:** 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: 11**

- **i. Full name:** CITITRUST S.A., BOGOTA

- **ii. LEI, if any:** 6SHGI4ZSSLCXXQSBB395

- **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

- **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: 13**

- **i. Full name:** DEUTSCHE BANK AG, JAKARTA

- **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: 14**

- **i. Full name:** DEUTSCHE BANK-SEOUL BRANCH

- **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)

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

**Shareholder Servicing Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the shareholder servicing agent an affiliated person?:** Yes

- **vi. Is the shareholder servicing agent a sub-shareholder servicing agent?:** No

- **b. Has a shareholder servicing agent been hired or terminated during the reporting period?** No

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** State Street Bank and Trust Company

- **ii. LEI, if any, or other identifying number:** 571474TGEMMWANRLN572

- **iii. State, if applicable:** MA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** Yes

**Administrators Record: 2**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any, or other identifying number:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

No Brokers reported.

**Item C.17.a. Principal transaction counterparties.**

| Name                               | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Goldman Sachs & Co. LLC            | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $412,427,318.55           |
| Vanguard Market Liquidity Fund     | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $1,660,952,296.00         |
| Credit Suisse Securities (USA) LLC | 008-00422         | 000000816    | 1V8Y6QCX6YMJ2OELII46 | NY      | US        | $170,179,826.78           |
| State Street Global Markets, LLC   | 008-69862         | 000285852    | 549300FDEDF5ORXCMQ56 | MA      | US        | $377,749,217.26           |
| Morgan Stanley & Co. LLC           | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $568,435,062.31           |
| BNP Paribas Securities Corp.       | 008-32682         | 000015794    | RCNB6OTYUAMMP879YW96 | NY      | US        | $237,222,525.40           |
| J.P. Morgan Securities LLC         | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $210,214,940.86           |
| Citigroup Global Markets Inc.      | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $231,093,053.09           |
| BofA Securities, Inc.              | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $349,163,952.56           |
| Barclays Capital Inc.              | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $275,791,364.98           |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $5,379,768,259.15

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $2,199,749,007.63

**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 America N.A.

  - **Line Institutions Record: 2 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 3 Name of institution:** Societe Generale

  - **Line Institutions Record: 4 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 5 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 6 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 7 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 8 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 9 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 10 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 11 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 12 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 13 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 15 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 16 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 17 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 18 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 19 Name of institution:** BNP Paribas

  - **Line Institutions Record: 20 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 21 Name of institution:** Barclays Bank plc

  - **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 Capital Growth Portfolio                             | 811-05962         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

**Item C.21. Swing pricing.**

- **a. Did the Fund (if not a Money Market Fund, Exchange-Traded Fund, or Exchange-Traded Managed Fund) engage in swing pricing?** No

### Management Investment Record: 14 - MONEY MARKET PORTFOLIO

**Item C.1. Background information.**

- **a. Full Name of the Fund:** MONEY MARKET PORTFOLIO

- **b. Series identification number, if any:** S000004391

- **c. LEI:** 0NONMH8REY0TF2TI6Z60

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 1

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | MONEY MARKET PORTFOLIO  | C000012147                                | N/A                          |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [x] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** —

- **g. Provide the net income from securities lending activities:** —

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 32a-4 (17 CFR 270.32a-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** Yes

- **b. Were any expenses reduced or waived?** Yes

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Markit North America INC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-4153988

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** JPMorgan Chase Bank

- **ii. LEI, if any, or provide and describe other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** Markit Group Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** ITG Analytics Inc

- **ii. LEI, if any, or provide and describe other identifying number:** 41-2190282

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** 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:** 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:** 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:** DEUTSCHE BANK/THE DEPOSITORY AND CLEARING CENTRE

- **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:** 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: 3**

- **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: 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, 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.**

No Brokers reported.

**Item C.17.a. Principal transaction counterparties.**

| Name                                    | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| The Bank of New York Mellon             | N/A               | 000000231    | HPFHU0OQ28E4N0NFVK49 | NY      | US        | $18,413,505,598.63        |
| RBC Dominion Securities Inc.            | 008-01672         | 000006579    | 549300QJJX6CVVUXLE15 |  |  | $3,568,999,533.33         |
| Credit Agricole Securities (USA) Inc.   | 008-13753         | 000000190    | 549300WO2DKF0Q3YMV43 | NY      | US        | $3,812,000,000.00         |
| Societe Generale Capital Canada Inc.    | N/A               | N/A          | 85M6SLXL8PVZZO6V3174 |  |  | $3,491,000,000.00         |
| The Toronto-Dominion Bank               | N/A               | N/A          | PT3QB789TSUIDF371261 |  |  | $7,509,538,443.05         |
| Goldman Sachs & Co. LLC                 | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $9,196,991,460.97         |
| STANDARD CHARTERED BANK                 | N/A               | N/A          | RILFO74KP1CM8P6PCT96 |  |  | $6,152,698,000.00         |
| MUFG Securities Americas Inc.           | 008-43026         | 000019685    | K5HU16E3LMSVCCJJJ255 | NY      | US        | $4,602,000,000.00         |
| Sumitomo Trust and Banking Co. (U.S.A.) | N/A               | 000109691    | YVE6V0WZG64JLXC7QM27 | NJ      | US        | $14,753,000,000.00        |
| J.P. Morgan Securities LLC              | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $6,062,017,922.72         |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $87,107,972,802.20

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.b - Money market fund's daily average net assets:** $1,179,023,961.14

**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:** The Northern Trust Company

  - **Line Institutions Record: 3 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 4 Name of institution:** Societe Generale

  - **Line Institutions Record: 5 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 6 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 7 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 8 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 9 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 10 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 11 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 12 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 13 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 14 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 15 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 16 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 17 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 18 Name of institution:** BNP Paribas

  - **Line Institutions Record: 19 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 20 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 21 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 22 Name of institution:** HSBC Bank USA, 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 Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Balanced Portfolio                                   | 811-05962         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 15 - REAL ESTATE INDEX PORTFOLIO

**Item C.1. Background information.**

- **a. Full Name of the Fund:** REAL ESTATE INDEX PORTFOLIO

- **b. Series identification number, if any:** S000004392

- **c. LEI:** NSYZG9R2JB2XHYUW8881

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 1

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class       | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | REAL ESTATE INDEX PORTFOLIO | C000012148                                | N/A                          |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** Yes

**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:** $306,214.85

- **g. Provide the net income from securities lending activities:** $19,996.12

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 17a-7 (17 CFR 270.17a-7)

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))

**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:** 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:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-36687789

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NJ

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 7**

- **i. Full name:** Markit Group Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** 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:** 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:** 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:** 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:** 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: 6**

- **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: 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:** 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: 10**

- **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: 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:** 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:** 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:** $1,408.97

**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:** $778.72

**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:** $4,778.72

**Brokers Record: 4**

- **i. Full name of broker:** Sanford C. Bernstein & Co., LLC

- **ii. SEC file number:** 008-52942

- **iii. CRD number:** 000104474

- **iv. LEI, if any:** 549300I7JYZHT7D5CO04

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $350.22

**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:** $733.69

**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:** $1,175.23

**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:** $1,665.65

**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:** $3,140.75

**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:** $2,423.23

**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:** $670.10

**Aggregate Commission:** $18,424.74

**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        | $95,936,614.04            |
| Goldman Sachs & Co. LLC        | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $5,624.61                 |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $95,942,238.65

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $1,242,790,334.62

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **a. Does the Fund have available a line of credit?** Yes

**If yes, for each line of credit, provide the information requested below:**

**Line of Credit details Record: 1**

- **i. Is the line of credit a committed or uncommitted line of credit?** Committed

- **ii. What size is the line of credit?** $4,385,000,000.00

- **iii. With which institution(s) is the line of credit?**

  - **Line Institutions Record: 1 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 2 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 3 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 4 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 5 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 6 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 7 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 10 Name of institution:** BNP Paribas

  - **Line Institutions Record: 11 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 12 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 13 Name of institution:** Societe Generale

  - **Line Institutions Record: 14 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 15 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 17 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 18 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 19 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 20 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 21 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 22 Name of institution:** JPMorgan Chase Bank, N.A.

- **iv. Is the line of credit just for the Fund, or is it shared among multiple funds?** Shared

  - **1. If shared, list the names of other funds that may use the line of credit:**

| Name of fund                                                  | SEC File number   |
|:---|:---|
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

**Item C.21. Swing pricing.**

- **a. Did the Fund (if not a Money Market Fund, Exchange-Traded Fund, or Exchange-Traded Managed Fund) engage in swing pricing?** No

### Management Investment Record: 16 - CAPITAL GROWTH PORTFOLIO

**Item C.1. Background information.**

- **a. Full Name of the Fund:** CAPITAL GROWTH PORTFOLIO

- **b. Series identification number, if any:** S000004397

- **c. LEI:** 3D5C0XOO181FNTK2FP52

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 1

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class    | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | CAPITAL GROWTH PORTFOLIO | C000012153                                | N/A                          |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] 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:** $36,271.99

- **g. Provide the net income from securities lending activities:** $5,384.46

**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))

**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:** PRIMECAP Management Company

- **ii. SEC file number:** 801-19765

- **iii. CRD number:** 000105516

- **iv. LEI, if any:** 254900YBJPASOJ076244

- **v. State, if applicable:** CA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Markit North America INC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-4153988

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** JPMorgan Chase Bank

- **ii. LEI, if any, or provide and describe other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** 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:** 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:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-36687789

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NJ

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 7**

- **i. Full name:** Markit Group Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** State Street Bank and Trust Company, United Kingdom branch

- **ii. LEI, if any:** 213800YAZLPV26WFM449

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 2**

- **i. Full name:** Euroclear Bank S.A./N.V.

- **ii. LEI, if any:** 549300OZ46BRLZ8Y6F65

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)

**Custodians Record: 3**

- **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: 4**

- **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: 5**

- **i. Full name:** Skandinaviska Enskilda Banken AB (publ), Sweden

- **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: 6**

- **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: 7**

- **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: 8**

- **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: 9**

- **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: 10**

- **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: 11**

- **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: 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)

- **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:** 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:** $8,860.12

**Brokers Record: 2**

- **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:** $5,265.96

**Brokers Record: 3**

- **i. Full name of broker:** Raymond James & Associates, Inc.

- **ii. SEC file number:** 008-10999

- **iii. CRD number:** 000000705

- **iv. LEI, if any:** U4ONQX15J3RO8XCKE979

- **v. State, if applicable:** FL

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,808.00

**Brokers Record: 4**

- **i. Full name of broker:** Jefferies LLC

- **ii. SEC file number:** 008-15074

- **iii. CRD number:** 000002347

- **iv. LEI, if any:** 58PU97L1C0WSRCWADL48

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,480.00

**Brokers Record: 5**

- **i. Full name of broker:** Leerink Partners LLC

- **ii. SEC file number:** 008-48535

- **iii. CRD number:** 000039011

- **iv. LEI, if any:** 549300AAH7U76CEUBI94

- **v. State, if applicable:** MA

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,596.00

**Brokers Record: 6**

- **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:** $11,943.92

**Brokers Record: 7**

- **i. Full name of broker:** Cowen and Company, LLC

- **ii. SEC file number:** 008-22522

- **iii. CRD number:** 000007616

- **iv. LEI, if any:** 549300WR155U7DVMIW58

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $6,594.04

**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:** $11,165.36

**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:** $4,815.47

**Brokers Record: 10**

- **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:** $5,074.36

**Aggregate Commission:** $80,709.32

**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        | $330,132,881.00           |
| Cowen and Company, LLC         | 008-22522         | 000007616    | 549300WR155U7DVMIW58 | NY      | US        | $1,373,568.75             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $331,506,449.75

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** Yes

- **Item C.19.a - Fund's monthly average net assets:** $1,495,011,184.28

**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 America N.A.

  - **Line Institutions Record: 2 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 3 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 4 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 5 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 6 Name of institution:** Societe Generale

  - **Line Institutions Record: 7 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 8 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 9 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 10 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 11 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 12 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 13 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 14 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 15 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 16 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 17 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 18 Name of institution:** BNP Paribas

  - **Line Institutions Record: 19 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 20 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 21 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 22 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

- **iv. Is the line of credit just for the Fund, or is it shared among multiple funds?** Shared

  - **1. If shared, list the names of other funds that may use the line of credit:**

| Name of fund                                                  | SEC File number   |
|:---|:---|
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

**Item C.21. Swing pricing.**

- **a. Did the Fund (if not a Money Market Fund, Exchange-Traded Fund, or Exchange-Traded Managed Fund) engage in swing pricing?** No

### Management Investment Record: 17 - SMALL COMPANY GROWTH PORTFOLIO

**Item C.1. Background information.**

- **a. Full Name of the Fund:** SMALL COMPANY GROWTH PORTFOLIO

- **b. Series identification number, if any:** S000004394

- **c. LEI:** 8K5D5K4S6OHCGG6G6G91

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 1

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class          | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | SMALL COMPANY GROWTH PORTFOLIO | C000012150                                | N/A                          |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** Yes

- **b. Did the Fund lend any of its securities during the reporting period?** Yes

  - **i. If yes, during the reporting period, did any borrower fail to return the loaned securities by the contractual deadline with the result that:**

    - **1. The Fund (or it securities lending agent) liquidated collateral pledged to secure the loaned securities?** No

    - **2. The Fund was otherwise adversely impacted?** No

**c. Provide the information requested below about each securities lending agent, if any, retained by the Fund:**

**Securities Lending Record: 1**

- **i. Full name of securities lending agent:** The Vanguard Group, Inc.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. Is the securities lending agent an affiliated person...?** Yes

**e. Types of payments made to one or more securities lending agents and cash collateral managers (check all that apply):**

- [ ] Revenue sharing split

- [ ] Fee-based revenue split (other than administrative fee)

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $13,087,264.81

- **g. Provide the net income from securities lending activities:** $470,316.46

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 17a-7 (17 CFR 270.17a-7)

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))

**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:** ArrowMark Asset Management, LLC

- **ii. SEC file number:** 801-69868

- **iii. CRD number:** 000149120

- **iv. LEI, if any:** IF16UMXNLJ3CKISVCS83

- **v. State, if applicable:** DE

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Investment Advisers Record: 2**

- **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:** 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:** 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:** Markit Group Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** 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, 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: 3**

- **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: 4**

- **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: 5**

- **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: 6**

- **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: 7**

- **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: 8**

- **i. Full name:** The Hongkong and Shanghai Banking Corporation Limited

- **ii. LEI, if any:** 2HI3YI5320L3RW6NJ957

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 9**

- **i. Full name:** 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: 10**

- **i. Full name:** Euroclear Bank S.A./N.V.

- **ii. LEI, if any:** 549300OZ46BRLZ8Y6F65

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7)

**Custodians Record: 11**

- **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: 12**

- **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: 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)

- **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:** William Blair & Company, L.L.C.

- **ii. SEC file number:** 008-02698

- **iii. CRD number:** 000001252

- **iv. LEI, if any:** 549300J0P7XYE8BMZ775

- **v. State, if applicable:** IL

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $41,942.94

**Brokers Record: 2**

- **i. Full name of broker:** Robert W. Baird & Co. Incorporated

- **ii. SEC file number:** 008-00497

- **iii. CRD number:** 000008158

- **iv. LEI, if any:** 549300772UJAHRD6LO53

- **v. State, if applicable:** WI

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $32,256.62

**Brokers Record: 3**

- **i. Full name of broker:** J.P. Morgan Securities LLC

- **ii. SEC file number:** 008-35008

- **iii. CRD number:** 000000079

- **iv. LEI, if any:** ZBUT11V806EZRVTWT807

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $37,895.61

**Brokers Record: 4**

- **i. Full name of broker:** Pershing LLC

- **ii. SEC file number:** 008-17574

- **iii. CRD number:** 000007560

- **iv. LEI, if any:** ZI8Q1A8EI8LQFJNM0D94

- **v. State, if applicable:** NJ

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $129,239.10

**Brokers Record: 5**

- **i. Full name of broker:** Instinet, LLC

- **ii. SEC file number:** 008-23669

- **iii. CRD number:** 000007897

- **iv. LEI, if any:** 549300MGMN3RKMU8FT57

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $56,370.80

**Brokers Record: 6**

- **i. Full name of broker:** National Financial Services LLC

- **ii. SEC file number:** 008-26740

- **iii. CRD number:** 000013041

- **iv. LEI, if any:** 549300JRHF1MHHWUAW04

- **v. State, if applicable:** MA

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $41,800.34

**Brokers Record: 7**

- **i. Full name of broker:** Cowen and Company, LLC

- **ii. SEC file number:** 008-22522

- **iii. CRD number:** 000007616

- **iv. LEI, if any:** 549300WR155U7DVMIW58

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $81,134.37

**Brokers Record: 8**

- **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:** $213,402.98

**Brokers Record: 9**

- **i. Full name of broker:** Goldman Sachs & Co. LLC

- **ii. SEC file number:** 008-00129

- **iii. CRD number:** 000000361

- **iv. LEI, if any:** FOR8UP27PHTHYVLBNG30

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $99,861.37

**Brokers Record: 10**

- **i. Full name of broker:** Morgan Stanley & Co. LLC

- **ii. SEC file number:** 008-15869

- **iii. CRD number:** 000008209

- **iv. LEI, if any:** 9R7GPTSO7KV3UQJZQ078

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $41,247.56

**Aggregate Commission:** $1,103,136.26

**Item C.17.a. Principal transaction counterparties.**

| Name                           | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| UBS Securities LLC             | 008-22651         | 000007654    | T6FIZBDPKLYJKFCRVK44 | NY      | US        | $71,023.50                |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $1,360,199,656.65         |
| Goldman Sachs & Co. LLC        | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $14,758,096.67            |
| Morgan Stanley & Co. LLC       | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $2,183,798.00             |
| J.P. Morgan Securities LLC     | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $4,005,414.35             |
| Barclays Capital Inc.          | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $77,044,429.74            |
| SG Americas Securities, LLC    | 008-66125         | 000128351    | 549300F35UE0BOM1WJ55 | NY      | US        | $67,713,346.31            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $1,525,975,765.22

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** Yes

- **Item C.19.a - Fund's monthly average net assets:** $1,478,826,465.65

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **a. Does the Fund have available a line of credit?** Yes

**If yes, for each line of credit, provide the information requested below:**

**Line of Credit details Record: 1**

- **i. Is the line of credit a committed or uncommitted line of credit?** Committed

- **ii. What size is the line of credit?** $4,385,000,000.00

- **iii. With which institution(s) is the line of credit?**

  - **Line Institutions Record: 1 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 2 Name of institution:** BNP Paribas

  - **Line Institutions Record: 3 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 4 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 5 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 6 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 7 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 8 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 9 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 10 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 11 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 12 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 13 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 14 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **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:** Citibank, N.A.

  - **Line Institutions Record: 18 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 19 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 20 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 21 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 22 Name of institution:** Royal Bank of Canada

- **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 Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

**Item C.21. Swing pricing.**

- **a. Did the Fund (if not a Money Market Fund, Exchange-Traded Fund, or Exchange-Traded Managed Fund) engage in swing pricing?** No

### Management Investment Record: 18 - EQUITY INDEX PORTFOLIO

**Item C.1. Background information.**

- **a. Full Name of the Fund:** EQUITY INDEX PORTFOLIO

- **b. Series identification number, if any:** S000004400

- **c. LEI:** 7JQ1DLD3O9GPKG81WF09

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 1

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | EQUITY INDEX PORTFOLIO  | C000012156                                | N/A                          |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] 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:** $362,017.56

- **g. Provide the net income from securities lending activities:** $19,088.97

**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 12d1-4 (17 CFR 270.12d1-4)

- 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:** ITG Analytics Inc

- **ii. LEI, if any, or provide and describe other identifying number:** 41-2190282

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** JPMorgan Chase Bank

- **ii. LEI, if any, or provide and describe other identifying number:** 7H6GLXDRUGQFU57RNE97

- **iii. State, if applicable:** OH

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 3**

- **i. Full name:** Markit Group Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 549300HLPTRASHS0E726

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** Refinitiv US LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** 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:** 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:** 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:** 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:** 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: 4**

- **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: 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:** 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:** 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: 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:** 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: 10**

- **i. Full name:** JPMorgan Chase Bank NA

- **ii. LEI, if any:** 7H6GLXDRUGQFU57RNE97

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With respect to the custodian, check below to indicate the type of custody:** Foreign custodian - rule 17f-5 (17 CFR 270.17f-5)

**Custodians Record: 11**

- **i. Full name:** 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:** 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)

- **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:** 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:** $1,319.24

**Brokers Record: 2**

- **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:** $4,023.49

**Brokers Record: 3**

- **i. Full name of broker:** Goldman Sachs & Co. LLC

- **ii. SEC file number:** 008-00129

- **iii. CRD number:** 000000361

- **iv. LEI, if any:** FOR8UP27PHTHYVLBNG30

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,901.85

**Brokers Record: 4**

- **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:** $980.75

**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:** $4,610.01

**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:** $2,284.35

**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:** $3,499.19

**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:** $9,184.24

**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:** $2,711.04

**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:** $2,719.54

**Aggregate Commission:** $34,028.82

**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        | $227,212.80               |
| BofA Securities, Inc.          | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $326.20                   |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $1,414,464,873.00         |
| Citigroup Global Markets Inc.  | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $3,699.83                 |
| Barclays Capital Inc.          | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $71.10                    |
| Goldman Sachs & Co. LLC        | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $2,293,909.55             |
| J.P. Morgan Securities LLC     | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $308,736.00               |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $1,417,298,828.48

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $8,003,618,574.84

**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:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 4 Name of institution:** Societe Generale

  - **Line Institutions Record: 5 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 6 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 7 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 8 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 9 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 10 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 11 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 12 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 13 Name of institution:** BNP Paribas

  - **Line Institutions Record: 14 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 15 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 16 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 17 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 18 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. 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:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 22 Name of institution:** Wells Fargo Bank, National Association

- **iv. Is the line of credit just for the Fund, or is it shared among multiple funds?** Shared

  - **1. If shared, list the names of other funds that may use the line of credit:**

| Name of fund                                                  | SEC File number   |
|:---|:---|
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| 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 Market Neutral Fund                                  | 811-22114         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard Short-Term Treasury 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

**Item C.21. Swing pricing.**

- **a. Did the Fund (if not a Money Market Fund, Exchange-Traded Fund, or Exchange-Traded Managed Fund) engage in swing pricing?** No

### Management Investment Record: 19 - TOTAL BOND MARKET INDEX PORTFOLIO

**Item C.1. Background information.**

- **a. Full Name of the Fund:** TOTAL BOND MARKET INDEX PORTFOLIO

- **b. Series identification number, if any:** S000004395

- **c. LEI:** 5ZDDIRU2ZZ8157CR8U65

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 1

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class             | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | TOTAL BOND MARKET INDEX PORTFOLIO | C000012151                                | N/A                          |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** —

- **g. Provide the net income from securities lending activities:** —

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 17a-7 (17 CFR 270.17a-7)

- Rule 12d1-4 (17 CFR 270.12d1-4)

- Rule 18f-4(f)(17 CFR 270.18f-4(f))

- 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:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 13-36687789

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NJ

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** 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:** ITG Analytics Inc

- **ii. LEI, if any, or provide and describe other identifying number:** 41-2190282

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 4**

- **i. Full name:** Refinitiv US LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **Description of other identifying number:** TIN

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 5**

- **i. Full name:** 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:** 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:** 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: 2**

- **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: 3**

- **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: 4**

- **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: 5**

- **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: 6**

- **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: 7**

- **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: 8**

- **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: 9**

- **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: 10**

- **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: 11**

- **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: 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:** 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: 14**

- **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.**

No Brokers reported.

**Item C.17.a. Principal transaction counterparties.**

| Name                                  | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Credit Suisse Securities (USA) LLC    | 008-00422         | 000000816    | 1V8Y6QCX6YMJ2OELII46 | NY      | US        | $209,128,523.99           |
| BofA Securities, Inc.                 | 008-69787         | 000283942    | 549300HN4UKV1E2R3U73 | NY      | US        | $206,609,744.83           |
| Vanguard Market Liquidity Fund        | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $1,039,683,125.00         |
| Goldman Sachs & Co. LLC               | 008-00129         | 000000361    | FOR8UP27PHTHYVLBNG30 | NY      | US        | $539,100,164.72           |
| Nomura Securities International, Inc. | 008-15255         | 000004297    | OXTKY6Q8X53C9ILVV871 | NY      | US        | $209,356,375.17           |
| Morgan Stanley & Co. LLC              | 008-15869         | 000008209    | 9R7GPTSO7KV3UQJZQ078 | NY      | US        | $491,118,691.71           |
| Barclays Capital Inc.                 | 008-41342         | 000019714    | AC28XWWI3WIBK2824319 | NY      | US        | $209,196,409.85           |
| J.P. Morgan Securities LLC            | 008-35008         | 000000079    | ZBUT11V806EZRVTWT807 | NY      | US        | $448,522,152.22           |
| Citigroup Global Markets Inc.         | 008-08177         | 000007059    | MBNUM2BPBDO7JBLYG310 | NY      | US        | $243,670,149.11           |
| Wells Fargo Securities, LLC           | 008-22947         | 000007665    | VYVVCKR63DVZZN70PB21 | NC      | US        | $193,080,826.90           |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $4,665,167,915.73

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $4,260,743,425.95

**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 Northern Trust Company

  - **Line Institutions Record: 2 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 3 Name of institution:** Societe Generale

  - **Line Institutions Record: 4 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 5 Name of institution:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 6 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 7 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 8 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 9 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 10 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 11 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 12 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 13 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 14 Name of institution:** Credit Suisse AG, New York Branch

  - **Line Institutions Record: 15 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 16 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 17 Name of institution:** Wells Fargo Bank, National Association

  - **Line Institutions Record: 18 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 19 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 20 Name of institution:** BNP Paribas

  - **Line Institutions Record: 21 Name of institution:** JPMorgan Chase Bank, 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 Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Short-Term Tax-Exempt Fund                           | 811-02687         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Windsor II Fund                                      | 811-00834         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Alternative Strategies Fund                          | 811-02968-99      |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Municipal Cash Management Fund                       | 811-21478         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Managed Allocation Fund                              | 811-58431         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

**Item C.21. Swing pricing.**

- **a. Did the Fund (if not a Money Market Fund, Exchange-Traded Fund, or Exchange-Traded Managed Fund) engage in swing pricing?** No

## 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 VARIABLE INSURANCE FUNDS

**Date:** 2023-03-15

**Signature:** Ashley Grim

**Title:** Treasurer