# EDGAR Filing Document

**Accession Number:** 0001021882
**File Stem:** 0001021882-25-000227
**Filing Date:** 2025-11
**Character Count:** 663572
**Document Hash:** a57ca67b9c98f56f36bb24207e656feb
**Contains OCR:** False
**Source Format:** 

## Filing Content

## Filing Summary
**0001021882-25-000227.hdr.sgml**: 20251112

**ACCESSION NUMBER**: 0001021882-25-000227

**CONFORMED SUBMISSION TYPE**: N-CEN

**PUBLIC DOCUMENT COUNT**: 2

**CONFORMED PERIOD OF REPORT**: 20250831

**FILED AS OF DATE**: 20251112

**DATE AS OF CHANGE**: 20251112

**EFFECTIVENESS DATE**: 20251112

**FILER**: 

**COMPANY DATA:**
- **COMPANY CONFORMED NAME:** VANGUARD SCOTTSDALE FUNDS
- **CENTRAL INDEX KEY:** 0001021882

**ORGANIZATION NAME:**
- **EIN:** 232439140
- **STATE OF INCORPORATION:** DE
- **FISCAL YEAR END:** 0831

**FILING VALUES:**
- **FORM TYPE:** N-CEN
- **SEC ACT:** 1940 Act
- **SEC FILE NUMBER:** 811-07803
- **FILM NUMBER:** 251471909

**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 TREASURY FUND
- **DATE OF NAME CHANGE:** 19960829

## Series and Classes Contracts Data

### Vanguard Short-Term Treasury Index Fund (Series ID: S000026859)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000080841 | Admiral Shares       | VSBSX           |
| C000080842 | Institutional Shares | VSBIX           |
| C000080843 | ETF Shares           | VGSH            |

### Vanguard Intermediate-Term Treasury Index Fund (Series ID: S000026860)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000080844 | Admiral Shares       | VSIGX           |
| C000080845 | Institutional Shares | VIIGX           |
| C000080846 | ETF Shares           | VGIT            |

### Vanguard Long-Term Treasury Index Fund (Series ID: S000026861)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000080847 | Admiral Shares       | VLGSX           |
| C000080848 | Institutional Shares | VLGIX           |
| C000080849 | ETF Shares           | VGLT            |

### Vanguard Short-Term Corporate Bond Index Fund (Series ID: S000026862)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000080850 | Admiral Shares       | VSCSX           |
| C000080851 | Institutional Shares | VSTBX           |
| C000080852 | ETF Shares           | VCSH            |

### Vanguard Intermediate-Term Corporate Bond Index Fund (Series ID: S000026863)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000080853 | Admiral Shares       | VICSX           |
| C000080854 | Institutional Shares | VICBX           |
| C000080855 | ETF Shares           | VCIT            |

### Vanguard Long-Term Corporate Bond Index Fund (Series ID: S000026864)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000080856 | Admiral Shares       | VLTCX           |
| C000080857 | Institutional Shares | VLCIX           |
| C000080858 | ETF Shares           | VCLT            |

### Vanguard Mortgage-Backed Securities Index Fund (Series ID: S000026865)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000080859 | Admiral Shares       | VMBSX           |
| C000080860 | Institutional Shares | VMBIX           |
| C000080861 | ETF Shares           | VMBS            |

### Vanguard Explorer Value Fund (Series ID: S000028087)

| Class ID   | Class Name      | Ticker Symbol   |
|:---|:---|:---|
| C000085513 | Investor Shares | VEVFX           |

### Vanguard Russell 1000 Index Fund (Series ID: S000030000)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000092009 | Institutional Shares | VRNIX           |
| C000092010 | ETF Shares           | VONE            |

### Vanguard Russell 1000 Value Index Fund (Series ID: S000030001)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000092011 | Institutional Shares | VRVIX           |
| C000092012 | ETF Shares           | VONV            |

### Vanguard Russell 1000 Growth Index Fund (Series ID: S000030002)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000092013 | Institutional Shares | VRGWX           |
| C000092014 | ETF Shares           | VONG            |

### Vanguard Russell 2000 Index Fund (Series ID: S000030003)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000092015 | Institutional Shares | VRTIX           |
| C000092016 | ETF Shares           | VTWO            |

### Vanguard Russell 2000 Value Index Fund (Series ID: S000030004)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000092017 | ETF Shares           | VTWV            |
| C000092018 | Institutional Shares | VRTVX           |

### Vanguard Russell 2000 Growth Index Fund (Series ID: S000030005)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000092019 | Institutional Shares | VRTGX           |
| C000092020 | ETF Shares           | VTWG            |

### Vanguard Russell 3000 Index Fund (Series ID: S000030006)

| Class ID   | Class Name           | Ticker Symbol   |
|:---|:---|:---|
| C000092021 | Institutional Shares | VRTTX           |
| C000092022 | ETF Shares           | VTHR            |

### Vanguard Total Corporate Bond ETF (Series ID: S000059555)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000195056 | ETF Shares   | VTC             |

### Vanguard Total World Bond ETF (Series ID: S000062658)

| Class ID   | Class Name   | Ticker Symbol   |
|:---|:---|:---|
| C000203194 | ETF Shares   | BNDW            |

## Internal

```

Report of Independent Registered
Public Accounting Firm

To the Board of Trustees of Vanguard
Scottsdale Funds and Shareholders of
Vanguard Explorer Value Fund
Vanguard Short-Term Treasury Index
Fund
Vanguard Intermediate-Term Treasury
Index Fund
Vanguard Long-Term Treasury Index
Fund
Vanguard Short-Term Corporate Bond
Index Fund
Vanguard Intermediate-Term Corporate
Bond Index Fund
Vanguard Long-Term Corporate Bond
Index Fund
Vanguard Mortgage-Backed Securities
Index Fund
Vanguard Russell 1000 Index Fund
Vanguard Russell 1000 Value Index Fund
Vanguard Russell 1000 Growth Index
Fund
Vanguard Total Corporate Bond ETF
Vanguard Russell 2000 Index Fund
Vanguard Russell 2000 Value Index
Fund
Vanguard Russell 2000 Growth Index
Fund
Vanguard Russell 3000 Index Fund and
Vanguard Total World Bond ETF

In planning and performing our audits of
the financial statements of Vanguard
Explorer Value(tm) Fund, Vanguard Short-
Term Treasury Index Fund, Vanguard
Intermediate-Term Treasury Index Fund,
Vanguard Long-Term Treasury Index
Fund, Vanguard Short-Term Corporate
Bond Index Fund, Vanguard
Intermediate-Term Corporate Bond
Index Fund, Vanguard Long-Term
Corporate Bond Index Fund, Vanguard
Mortgage-Backed Securities Index Fund,
Vanguard Russell 1000 Index Fund,
Vanguard Russell 1000 Value Index
Fund, Vanguard Russell 1000 Growth
Index Fund, Vanguard Total Corporate
Bond ETF, Vanguard Russell 2000 Index
Fund, Vanguard Russell 2000 Value
Index Fund, Vanguard Russell 2000
Growth Index Fund, Vanguard Russell
3000 Index Fund and Vanguard Total
World Bond ETF (constituting Vanguard
Scottsdale Funds, hereafter collectively
referred to as the "Funds") as of and for
the year ended August 31, 2025, in
accordance with the standards of the
Public Company Accounting Oversight
Board (United States) (PCAOB), we
considered the Funds' internal control
over financial reporting, including
controls over safeguarding securities, as a
basis for designing our auditing
procedures for the purpose of expressing
our opinion on the financial statements
and to comply with the requirements of
Form N-CEN, but not for the purpose of
expressing an opinion on the
effectiveness of the Funds' internal
control over financial reporting.
Accordingly, we do not express an
opinion on the effectiveness of the Funds'
internal control over financial reporting.

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

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

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

Our consideration of the Funds' internal
control over financial reporting was for
the limited purpose described in the first
paragraph and would not necessarily
disclose all deficiencies in internal
control over financial reporting that
might be material weaknesses under
standards established by the PCAOB.
However, we noted no deficiencies in the
Funds' internal control over financial
reporting and its operation, including
controls over safeguarding securities, that
we consider to be a material weakness as
defined above as of August 31, 2025.

This report is intended solely for the
information and use of the Board of
Trustees of Vanguard Scottsdale 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
October 21, 2025

```

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

## N-CEN: Filer Information
**Submission Type:** N-CEN
**CIK:** 0001021882

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

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

**Item A.1.a - Report for period ending:** 2025-08-31

**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 SCOTTSDALE FUNDS

- **Item B.1.b - Investment Company Act file number:** 811-07803

- **Item B.1.c - CIK:** 0001021882

- **Item B.1.d - LEI:** 549300Y88GQ3VLJIBX57

- **Item B.2.a - Street 1:** 100 VANGUARD BOULEVARD

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

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

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

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

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

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

**Location books Record: 1**

- **a. Name of person (e.g., a custodian of records):** Bank of New York Mellon

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

- **c. City:** New York

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

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

- **f. Zip code and zip code extension, or foreign postal code:** 10286

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

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

**Location books Record: 2**

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

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

- **c. City:** New York

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

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

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

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

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

**Location books Record: 3**

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

- **b. Street 1:** One Congress Street, Suite 1

- **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:** 20114

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

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

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

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

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

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

### Item B.6 - Organization

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

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

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

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

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

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

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

- **Item B.6.i - Total number of Series:** 17

- **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                                                                                                                                                                                                                                                                                                                                                   |
|:---|:---|:---|
| Andre F. Perold    | No                      | 811-00121, 811-00834, 811-01027, 811-01530, 811-01766, 811-02368, 811-02554, 811-02652, 811-02687, 811-02968-99, 811-03916, 811-03919, 811-04098, 811-04474, 811-04526, 811-04570, 811-04571, 811-04681, 811-05340, 811-05445, 811-05628, 811-05962, 811-05972, 811-06083, 811-06093, 811-07043, 811-07175, 811-07239, 811-07443, 811-09005, 811-21478, 811-22114, 811-22619, 811-58431 |
| Barbara Venneman   | No                      | 811-00121, 811-00834, 811-01027, 811-01530, 811-01766, 811-02368, 811-02554, 811-02652, 811-02687, 811-02968-99, 811-03916, 811-03919, 811-04098, 811-04474, 811-04526, 811-04570, 811-04571, 811-04681, 811-05340, 811-05445, 811-05628, 811-05962, 811-05972, 811-06083, 811-06093, 811-07043, 811-07175, 811-07239, 811-07443, 811-09005, 811-21478, 811-22114, 811-22619, 811-58431 |
| David Thomas       | No                      | 811-00121, 811-00834, 811-01027, 811-01530, 811-01766, 811-02368, 811-02554, 811-02652, 811-02687, 811-02968-99, 811-03916, 811-03919, 811-04098, 811-04474, 811-04526, 811-04570, 811-04571, 811-04681, 811-05340, 811-05445, 811-05628, 811-05962, 811-05972, 811-06083, 811-06093, 811-07043, 811-07175, 811-07239, 811-07443, 811-09005, 811-21478, 811-22114, 811-22619, 811-58431 |
| Grant Reid         | No                      | 811-00121, 811-00834, 811-01027, 811-01530, 811-01766, 811-02368, 811-02554, 811-02652, 811-02687, 811-02968-99, 811-03916, 811-03919, 811-04098, 811-04474, 811-04526, 811-04570, 811-04571, 811-04681, 811-05340, 811-05445, 811-05628, 811-05962, 811-05972, 811-06083, 811-06093, 811-07043, 811-07175, 811-07239, 811-07443, 811-09005, 811-21478, 811-22114, 811-22619, 811-58431 |
| John Murphy        | No                      | 811-00121, 811-00834, 811-01027, 811-01530, 811-01766, 811-02368, 811-02554, 811-02652, 811-02687, 811-02968-99, 811-03916, 811-03919, 811-04098, 811-04474, 811-04526, 811-04570, 811-04571, 811-04681, 811-05340, 811-05445, 811-05628, 811-05962, 811-05972, 811-06083, 811-06093, 811-07043, 811-07175, 811-07239, 811-07443, 811-09005, 811-21478, 811-22114, 811-22619, 811-58431 |
| Lubos Pastor       | No                      | 811-00121, 811-00834, 811-01027, 811-01530, 811-01766, 811-02368, 811-02554, 811-02652, 811-02687, 811-02968-99, 811-03916, 811-03919, 811-04098, 811-04474, 811-04526, 811-04570, 811-04571, 811-04681, 811-05340, 811-05445, 811-05628, 811-05962, 811-05972, 811-06083, 811-06093, 811-07043, 811-07175, 811-07239, 811-07443, 811-09005, 811-21478, 811-22114, 811-22619, 811-58431 |
| Mark Loughridge    | No                      | 811-00121, 811-00834, 811-01027, 811-01530, 811-01766, 811-02368, 811-02554, 811-02652, 811-02687, 811-02968-99, 811-03916, 811-03919, 811-04098, 811-04474, 811-04526, 811-04570, 811-04571, 811-04681, 811-05340, 811-05445, 811-05628, 811-05962, 811-05972, 811-06083, 811-06093, 811-07043, 811-07175, 811-07239, 811-07443, 811-09005, 811-21478, 811-22114, 811-22619, 811-58431 |
| Peter F. Volanakis | No                      | 811-00121, 811-00834, 811-01027, 811-01530, 811-01766, 811-02368, 811-02554, 811-02652, 811-02687, 811-02968-99, 811-03916, 811-03919, 811-04098, 811-04474, 811-04526, 811-04570, 811-04571, 811-04681, 811-05340, 811-05445, 811-05628, 811-05962, 811-05972, 811-06083, 811-06093, 811-07043, 811-07175, 811-07239, 811-07443, 811-09005, 811-21478, 811-22114, 811-22619, 811-58431 |
| Rebecca Patterson  | No                      | 811-00121, 811-00834, 811-01027, 811-01530, 811-01766, 811-02368, 811-02554, 811-02652, 811-02687, 811-02968-99, 811-03916, 811-03919, 811-04098, 811-04474, 811-04526, 811-04570, 811-04571, 811-04681, 811-05340, 811-05445, 811-05628, 811-05962, 811-05972, 811-06083, 811-06093, 811-07043, 811-07175, 811-07239, 811-07443, 811-09005, 811-21478, 811-22114, 811-22619, 811-58431 |
| Salim Ramji        | Yes                     | 811-00121, 811-00834, 811-01027, 811-01530, 811-01766, 811-02368, 811-02554, 811-02652, 811-02687, 811-02968-99, 811-03916, 811-03919, 811-04098, 811-04474, 811-04526, 811-04570, 811-04571, 811-04681, 811-05340, 811-05445, 811-05628, 811-05962, 811-05972, 811-06083, 811-06093, 811-07043, 811-07175, 811-07239, 811-07443, 811-09005, 811-21478, 811-22114, 811-22619, 811-58431 |
| Sarah Bloom Raskin | No                      | 811-00121, 811-00834, 811-01027, 811-01530, 811-01766, 811-02368, 811-02554, 811-02652, 811-02687, 811-02968-99, 811-03916, 811-03919, 811-04098, 811-04474, 811-04526, 811-04570, 811-04571, 811-04681, 811-05340, 811-05445, 811-05628, 811-05962, 811-05972, 811-06083, 811-06093, 811-07043, 811-07175, 811-07239, 811-07443, 811-09005, 811-21478, 811-22114, 811-22619, 811-58431 |
| Scott C. Malpass   | No                      | 811-00121, 811-00834, 811-01027, 811-01530, 811-01766, 811-02368, 811-02554, 811-02652, 811-02687, 811-02968-99, 811-03916, 811-03919, 811-04098, 811-04474, 811-04526, 811-04570, 811-04571, 811-04681, 811-05340, 811-05445, 811-05628, 811-05962, 811-05972, 811-06083, 811-06093, 811-07043, 811-07175, 811-07239, 811-07443, 811-09005, 811-21478, 811-22114, 811-22619, 811-58431 |
| Tara Bunch         | No                      | 811-00121, 811-00834, 811-01027, 811-01530, 811-01766, 811-02368, 811-02554, 811-02652, 811-02687, 811-02968-99, 811-03916, 811-03919, 811-04098, 811-04474, 811-04526, 811-04570, 811-04571, 811-04681, 811-05340, 811-05445, 811-05628, 811-05962, 811-05972, 811-06083, 811-06093, 811-07043, 811-07175, 811-07239, 811-07443, 811-09005, 811-21478, 811-22114, 811-22619, 811-58431 |

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

**Chief compliance officer Record: 1**

- **a. Full Name:** Jacqueline Mary 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?:** No

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?** —

- **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-11645
  - IC-19184
  - IC-21426
  - IC-24789
  - IC-26317
  - IC-26436
  - IC-27773
  - IC-8676
  - IC-9001
  - IC-9205
  - IC-9664

### Item B.16. Principal underwriters.

**Principal underwriter Record: 1**

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

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

- **iii. CRD number:** 000007452

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

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

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

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

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

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

**Public accountant Record: 1**

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

- **b. PCAOB Number:** 000000238

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

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

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

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

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

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

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

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

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

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

## Part C: Additional Questions for Management Investment Companies

### Management Investment Record: 1 - VANGUARD EXPLORER VALUE FUND

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

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

- **b. Series identification number, if any:** S000028087

- **c. LEI:** NAZTA6U3CX9F49HN3I37

- **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 | Investor Shares         | C000085513                                | VEVFX                        |

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

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

-   [ ] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [x] N/A

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

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

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

- **a. Is the Fund authorized to engage in securities lending transactions?** Yes

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

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

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

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

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

**Securities Lending Record: 1**

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

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

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

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

- [ ] Revenue sharing split

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

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $3,451,697.13

- **g. Provide the net income from securities lending activities:** $69,905.31

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

Did the Fund rely on the following rules?

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

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

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

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

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

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

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

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

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

**Investment Advisers Record: 1**

- **i. Full name:** Frontier Capital Management Company, LLC

- **ii. SEC file number:** 801-15724

- **iii. CRD number:** 000106274

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

- **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:** 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: 3**

- **i. Full name:** Ariel Investments, LLC

- **ii. SEC file number:** 801-18767

- **iii. CRD number:** 000108211

- **iv. LEI, if any:** 5493007TOVD6LN5SJS12

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

- **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:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

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

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

- **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 S.A.

- **ii. LEI, if any:** R0MUWSFPU8MPRO8K5P83

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

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

- **vii. With 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:** BNP Paribas Securities Services, S.C.A. (operating through its Paris branch with support from its Amsterdam branch)

- **ii. LEI, if any:** R0MUWSFPU8MPRO8K5P83

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

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

- **vii. With 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. (operating through its Paris branch with support from its Brussels branch)

- **ii. LEI, if any:** R0MUWSFPU8MPRO8K5P83

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

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

- **vii. With 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 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: 5**

- **i. Full name:** Deutsche Bank AG

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

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

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

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

**Custodians Record: 6**

- **i. Full name:** 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: 7**

- **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: 8**

- **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: 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:** 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: 11**

- **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: 12**

- **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: 13**

- **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: 14**

- **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: 15**

- **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:** 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:** ANOS CAPITAL LLC

- **ii. SEC file number:** 008-69809

- **iii. CRD number:** 000284714

- **iv. LEI, if any:** 549300UQY3DBDP2Y2N55

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $14,590.63

**Brokers Record: 2**

- **i. Full name of broker:** THE GOLDMAN SACHS GROUP, INC.

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

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

- **iv. LEI, if any:** 784F5XWPLTWKTBV3E584

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $39,470.83

**Brokers Record: 3**

- **i. Full name of broker:** STIFEL FINANCIAL CORP.

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

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

- **iv. LEI, if any:** 549300E5F07FE5GHJX84

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $17,463.16

**Brokers Record: 4**

- **i. Full name of broker:** VIRTU FINANCIAL, INC.

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

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

- **iv. LEI, if any:** 5493001OPW2K42CH3884

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $26,178.19

**Brokers Record: 5**

- **i. Full name of broker:** BARCLAYS PLC

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

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

- **iv. LEI, if any:** 213800LBQA1Y9L22JB70

- **vii. Gross commissions paid by the Fund for the reporting period:** $15,178.50

**Brokers Record: 6**

- **i. Full name of broker:** JPMORGAN CHASE & CO.

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

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

- **iv. LEI, if any:** 8I5DZWZKVSZI1NUHU748

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $34,601.95

**Brokers Record: 7**

- **i. Full name of broker:** MORGAN STANLEY

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

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

- **iv. LEI, if any:** IGJSJL3JD5P30I6NJZ34

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $28,082.60

**Brokers Record: 8**

- **i. Full name of broker:** BANK OF AMERICA CORPORATION

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

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

- **iv. LEI, if any:** 9DJT3UXIJIZJI4WXO774

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $42,602.49

**Brokers Record: 9**

- **i. Full name of broker:** Nomura Holdings, Inc.

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

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

- **iv. LEI, if any:** 549300B3CEAHYG7K8164

- **vii. Gross commissions paid by the Fund for the reporting period:** $15,211.11

**Brokers Record: 10**

- **i. Full name of broker:** TP ICAP GROUP PLC

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

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

- **iv. LEI, if any:** 2138006YAA7IRVKKGE63

- **vii. Gross commissions paid by the Fund for the reporting period:** $100,885.61

**Aggregate Commission:** $478,229.44

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

| Name                                 | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| CITIGROUP INC.                       | N/A               | 000007059    | 6SHGI4ZSSLCXXQSBB395 | NY      | US        | $49,600.00                |
| JEFFERIES FINANCIAL GROUP INC.       | N/A               | N/A          | 549300HOF34RGOJ5YL07 | NY      | US        | $55,500.00                |
| BARCLAYS PLC                         | N/A               | N/A          | 213800LBQA1Y9L22JB70 |  |  | $99,200.00                |
| MORGAN STANLEY                       | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $17,600.00                |
| STEPHENS, INC.                       | N/A               | N/A          | 213800LH6T9XDYZCA534 | AR      | US        | $2,025,750.00             |
| THE GOLDMAN SACHS GROUP, INC.        | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $76,500.00                |
| JPMORGAN CHASE & CO.                 | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $38,000.00                |
| Vanguard Market Liquidity Fund       | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $654,273,133.40           |
| BERNSTEIN INSTITUTIONAL SERVICES LLC | N/A               | N/A          | 2549006LECDZGK4RBC19 | NY      | US        | $666.00                   |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $656,635,949.40

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

- **Item C.19.a - Fund's monthly average net assets:** $1,049,808,325.48

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

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

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

**Line of Credit details Record: 1**

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

- **ii. What size is the line of credit?** $4,300,000,000.00

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

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

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

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

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

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

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

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

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

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

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

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

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

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

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

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

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

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

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

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

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

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

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

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

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

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

- **b. Series identification number, if any:** S000026863

- **c. LEI:** VKDXEYNPEMWGHJ22MR31

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Admiral Shares          | C000080853                                | VICSX                        |
|                           2 | ETF Shares              | C000080855                                | VCIT                         |
|                           3 | Institutional Shares    | C000080854                                | VICBX                        |

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

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

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] N/A

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

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

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

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

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

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

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

Did the Fund rely on the following rules?

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

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

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

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

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

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

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

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

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

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

**Investment Advisers Record: 1**

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

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

- **iii. CRD number:** 000105958

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

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

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

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

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

**Transfer Agents Record: 1**

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

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

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

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

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

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

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

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

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

**Pricing Services Record: 1**

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

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

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

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

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

**Pricing Services Record: 2**

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

- **ii. LEI, if any, or provide and describe other identifying number:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

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

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

- **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 ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| CITIGROUP INC.                 | N/A               | 000007059    | 6SHGI4ZSSLCXXQSBB395 | NY      | US        | $5,300,435,022.58         |
| JPMORGAN CHASE & CO.           | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $18,110,300,693.19        |
| BARCLAYS PLC                   | N/A               | N/A          | 213800LBQA1Y9L22JB70 |  |  | $6,193,101,518.42         |
| BNP PARIBAS                    | N/A               | N/A          | R0MUWSFPU8MPRO8K5P83 |  |  | $7,536,944,952.18         |
| WELLS FARGO & COMPANY          | N/A               | N/A          | PBLD0EJDB5FWOLXP3B76 | CA      | US        | $5,130,037,140.85         |
| BANK OF AMERICA CORPORATION    | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $12,590,201,649.54        |
| THE GOLDMAN SACHS GROUP, INC.  | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $10,544,335,323.97        |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $13,454,585,415.59        |
| MORGAN STANLEY                 | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $6,627,396,129.02         |
| CITADEL SECURITIES LP          | N/A               | N/A          | 549300NV5RXBUS3X7L47 | FL      | US        | $3,259,365,727.20         |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $103,119,750,195.59

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

- **Item C.19.a - Fund's monthly average net assets:** $53,476,034,103.99

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

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

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

**Line of Credit details Record: 1**

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

- **ii. What size is the line of credit?** $4,300,000,000.00

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

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

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

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

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

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

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

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

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

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

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

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

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

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

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

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

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

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

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

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

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

### Management Investment Record: 3 - VANGUARD INTERMEDIATE-TERM TREASURY INDEX FUND

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

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

- **b. Series identification number, if any:** S000026860

- **c. LEI:** EXTYRSF8KFFBG36DJS06

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Admiral Shares          | C000080844                                | VSIGX                        |
|                           2 | ETF Shares              | C000080846                                | VGIT                         |
|                           3 | Institutional Shares    | C000080845                                | VIIGX                        |

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

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

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] N/A

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

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

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

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

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

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

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

Did the Fund rely on the following rules?

- Rule 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:** 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:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

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

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

- **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 ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| CITIGROUP INC.                 | N/A               | 000007059    | 6SHGI4ZSSLCXXQSBB395 | NY      | US        | $886,890,695.44           |
| MarketAxess Corporation        | 008-50727         | 000044542    | GPSMMRI21JE7ZCVYF972 | NY      | US        | $10,073,719,325.68        |
| BNP PARIBAS                    | N/A               | N/A          | R0MUWSFPU8MPRO8K5P83 |  |  | $1,521,032,341.65         |
| BANK OF AMERICA CORPORATION    | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $1,246,281,006.06         |
| CITADEL SECURITIES LP          | N/A               | N/A          | 549300NV5RXBUS3X7L47 | FL      | US        | $1,785,944,182.25         |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $3,875,623,066.05         |
| MORGAN STANLEY                 | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $8,687,069,049.73         |
| THE GOLDMAN SACHS GROUP, INC.  | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $8,190,505,975.21         |
| JPMORGAN CHASE & CO.           | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $3,533,610,829.67         |
| BARCLAYS PLC                   | N/A               | N/A          | 213800LBQA1Y9L22JB70 |  |  | $2,934,965,433.95         |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $46,566,355,325.16

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

- **Item C.19.a - Fund's monthly average net assets:** $39,056,955,722.71

**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?** $4,300,000,000.00

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

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

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

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

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

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

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

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

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

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

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

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

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

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

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

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

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

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

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

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

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

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

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

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

- **b. Series identification number, if any:** S000026864

- **c. LEI:** ZIWMTR5KXH6IQX7B0013

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Admiral Shares          | C000080856                                | VLTCX                        |
|                           2 | ETF Shares              | C000080858                                | VCLT                         |
|                           3 | Institutional Shares    | C000080857                                | VLCIX                        |

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

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

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] N/A

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

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

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

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

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

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

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

Did the Fund rely on the following rules?

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

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

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

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

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

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

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

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

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

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

**Investment Advisers Record: 1**

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

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

- **iii. CRD number:** 000105958

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

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

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

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

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

**Transfer Agents Record: 1**

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

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

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

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

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

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

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

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

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

**Pricing Services Record: 1**

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

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

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

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

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

**Pricing Services Record: 2**

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

- **ii. LEI, if any, or provide and describe other identifying number:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

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

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

- **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 ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| CITIGROUP INC.                   | N/A               | 000007059    | 6SHGI4ZSSLCXXQSBB395 | NY      | US        | $787,433,247.75           |
| MORGAN STANLEY                   | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $1,198,928,921.63         |
| BNP PARIBAS                      | N/A               | N/A          | R0MUWSFPU8MPRO8K5P83 |  |  | $593,298,095.72           |
| WELLS FARGO & COMPANY            | N/A               | N/A          | PBLD0EJDB5FWOLXP3B76 | CA      | US        | $582,180,591.25           |
| JPMORGAN CHASE & CO.             | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $1,403,252,219.59         |
| Vanguard Market Liquidity Fund   | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $2,904,120,392.82         |
| THE GOLDMAN SACHS GROUP, INC.    | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $1,440,883,661.62         |
| BANK OF AMERICA CORPORATION      | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $1,770,438,587.67         |
| DEUTSCHE BANK AKTIENGESELLSCHAFT | N/A               | N/A          | 7LTWFZYICNSX8D621K86 |  |  | $397,685,458.20           |
| BARCLAYS PLC                     | N/A               | N/A          | 213800LBQA1Y9L22JB70 |  |  | $1,040,337,336.33         |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $13,985,825,252.74

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

- **Item C.19.a - Fund's monthly average net assets:** $13,017,383,734.92

**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?** $4,300,000,000.00

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

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

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

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

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

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

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

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

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

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

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

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

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

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

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

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

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

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

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

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

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

### Management Investment Record: 5 - VANGUARD LONG-TERM TREASURY INDEX FUND

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

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

- **b. Series identification number, if any:** S000026861

- **c. LEI:** TFBXN648LOXYTVRKLD83

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Admiral Shares          | C000080847                                | VLGSX                        |
|                           2 | ETF Shares              | C000080849                                | VGLT                         |
|                           3 | Institutional Shares    | C000080848                                | VLGIX                        |

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

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

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] N/A

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

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

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

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

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

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

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

Did the Fund rely on the following rules?

- Rule 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:** 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:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

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

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

- **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 ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| CITIGROUP INC.                   | N/A               | 000007059    | 6SHGI4ZSSLCXXQSBB395 | NY      | US        | $574,820,153.27           |
| MarketAxess Corporation          | 008-50727         | 000044542    | GPSMMRI21JE7ZCVYF972 | NY      | US        | $410,997,375.75           |
| BANK OF AMERICA CORPORATION      | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $359,938,499.32           |
| JPMORGAN CHASE & CO.             | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $507,991,751.59           |
| CITADEL SECURITIES LP            | N/A               | N/A          | 549300NV5RXBUS3X7L47 | FL      | US        | $623,999,330.45           |
| DEUTSCHE BANK AKTIENGESELLSCHAFT | N/A               | N/A          | 7LTWFZYICNSX8D621K86 |  |  | $451,151,462.06           |
| THE GOLDMAN SACHS GROUP, INC.    | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $1,130,186,444.62         |
| Vanguard Market Liquidity Fund   | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $2,235,916,691.93         |
| MORGAN STANLEY                   | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $378,446,450.46           |
| BNP PARIBAS                      | N/A               | N/A          | R0MUWSFPU8MPRO8K5P83 |  |  | $491,801,398.51           |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $8,638,032,602.87

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

- **Item C.19.a - Fund's monthly average net assets:** $15,113,038,367.25

**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?** $4,300,000,000.00

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

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

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

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

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

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

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

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

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

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

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

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

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

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

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

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

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

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

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

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

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

### Management Investment Record: 6 - VANGUARD MORTGAGE-BACKED SECURITIES INDEX FUND

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

- **a. Full Name of the Fund:** VANGUARD MORTGAGE-BACKED SECURITIES INDEX FUND

- **b. Series identification number, if any:** S000026865

- **c. LEI:** 157FPOCFDEEVUKWE4M41

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

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

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

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Admiral Shares          | C000080859                                | VMBSX                        |
|                           2 | ETF Shares              | C000080861                                | VMBS                         |
|                           3 | Institutional Shares    | C000080860                                | VMBIX                        |

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

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

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] N/A

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

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

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

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

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

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

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

Did the Fund rely on the following rules?

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

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

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

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

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

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

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

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

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

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

**Investment Advisers Record: 1**

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

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

- **iii. CRD number:** 000105958

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

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

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

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

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

**Transfer Agents Record: 1**

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

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

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

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

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

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

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

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

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

**Pricing Services Record: 1**

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

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

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

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

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

**Pricing Services Record: 2**

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

- **ii. LEI, if any, or provide and describe other identifying number:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

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

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

- **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 ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| CITIGROUP INC.                 | N/A               | 000007059    | 6SHGI4ZSSLCXXQSBB395 | NY      | US        | $1,936,340,534.12         |
| MORGAN STANLEY                 | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $5,787,104,051.12         |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $10,541,680,605.36        |
| Stonex Group Inc.              | N/A               | N/A          | 549300JUF07L8VF02M60 | DE      | US        | $3,222,388,947.29         |
| Mizuho Financial Group, Inc.   | N/A               | N/A          | 353800CI5L6DDAN5XZ33 |  |  | $1,857,150,488.44         |
| WELLS FARGO & COMPANY          | N/A               | N/A          | PBLD0EJDB5FWOLXP3B76 | CA      | US        | $5,470,214,553.23         |
| JPMORGAN CHASE & CO.           | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $2,913,580,089.09         |
| THE GOLDMAN SACHS GROUP, INC.  | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $2,380,891,635.03         |
| BANK OF AMERICA CORPORATION    | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $2,704,219,098.34         |
| Bank of Montr??al              | N/A               | N/A          | NQQ6HPCNCCU6TUTQYE16 |  |  | $4,335,282,204.17         |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $48,585,649,679.96

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

- **Item C.19.a - Fund's monthly average net assets:** $18,729,626,774.01

**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?** $4,300,000,000.00

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

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

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

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

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

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

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

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

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

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

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

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

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

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

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

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

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

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

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

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

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

### Management Investment Record: 7 - VANGUARD RUSSELL 1000 GROWTH INDEX FUND

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

- **a. Full Name of the Fund:** VANGUARD RUSSELL 1000 GROWTH INDEX FUND

- **b. Series identification number, if any:** S000030002

- **c. LEI:** ZOICJ1BTWYKFQSJDPN63

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

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

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 2

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares              | C000092014                                | VONG                         |
|                           2 | Institutional Shares    | C000092013                                | VRGWX                        |

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

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

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] N/A

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

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

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

- **a. Is the Fund authorized to engage in securities lending transactions?** Yes

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

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

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

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

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

**Securities Lending Record: 1**

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

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

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

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

- [ ] Revenue sharing split

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

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $3,921,528.13

- **g. Provide the net income from securities lending activities:** $139,401.71

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

Did the Fund rely on the following rules?

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

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

- Rule 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:** 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:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

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

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

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

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

**Item C.12. Custodians.**

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

**Custodians Record: 1**

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

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

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

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

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

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

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

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

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

**Shareholder Servicing Agents Record: 1**

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

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

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

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

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

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

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

**Item C.14. Administrators.**

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

**Administrators Record: 1**

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

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

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

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

**Brokers Record: 1**

- **i. Full name of broker:** CITIGROUP INC.

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

- **iii. CRD number:** 000007059

- **iv. LEI, if any:** 6SHGI4ZSSLCXXQSBB395

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $13,583.73

**Brokers Record: 2**

- **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:** DE

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,410.68

**Brokers Record: 3**

- **i. Full name of broker:** Mizuho Financial Group, Inc.

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

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

- **iv. LEI, if any:** 353800CI5L6DDAN5XZ33

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,153.02

**Brokers Record: 4**

- **i. Full name of broker:** JEFFERIES FINANCIAL GROUP INC.

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

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

- **iv. LEI, if any:** 549300HOF34RGOJ5YL07

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $19,110.99

**Brokers Record: 5**

- **i. Full name of broker:** JPMORGAN CHASE & CO.

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

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

- **iv. LEI, if any:** 8I5DZWZKVSZI1NUHU748

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $5,407.23

**Brokers Record: 6**

- **i. Full name of broker:** BARCLAYS PLC

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

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

- **iv. LEI, if any:** 213800LBQA1Y9L22JB70

- **vii. Gross commissions paid by the Fund for the reporting period:** $18,392.05

**Brokers Record: 7**

- **i. Full name of broker:** CITADEL SECURITIES LP

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

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

- **iv. LEI, if any:** 549300NV5RXBUS3X7L47

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,446.03

**Brokers Record: 8**

- **i. Full name of broker:** VIRTU FINANCIAL, INC.

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

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

- **iv. LEI, if any:** 5493001OPW2K42CH3884

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $6,066.46

**Brokers Record: 9**

- **i. Full name of broker:** MORGAN STANLEY

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

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

- **iv. LEI, if any:** IGJSJL3JD5P30I6NJZ34

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $3,037.45

**Brokers Record: 10**

- **i. Full name of broker:** BANK OF AMERICA CORPORATION

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

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

- **iv. LEI, if any:** 9DJT3UXIJIZJI4WXO774

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,999.72

**Aggregate Commission:** $77,764.04

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

| Name                           | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| CITIGROUP INC.                 | N/A               | 000007059    | 6SHGI4ZSSLCXXQSBB395 | NY      | US        | $719,407.00               |
| JEFFERIES FINANCIAL GROUP INC. | N/A               | N/A          | 549300HOF34RGOJ5YL07 | NY      | US        | $623,132.30               |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $1,518,248,305.00         |
| JANE STREET GROUP, LLC         | N/A               | N/A          | 5493002N1IVX6KHGYO08 | NY      | US        | $40,194.00                |
| THE GOLDMAN SACHS GROUP, INC.  | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $1,255,775.34             |
| JPMORGAN CHASE & CO.           | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $3,846,699.75             |
| Mizuho Financial Group, Inc.   | N/A               | N/A          | 353800CI5L6DDAN5XZ33 |  |  | $1,237.59                 |
| BANK OF AMERICA CORPORATION    | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $10,728.50                |
| MORGAN STANLEY                 | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $1,463,414.15             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $1,526,208,893.63

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

- **Item C.19.a - Fund's monthly average net assets:** $34,299,457,127.20

**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?** $4,300,000,000.00

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

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

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

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

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

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

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

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

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

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

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

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

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

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

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

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

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

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

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

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

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

### Management Investment Record: 8 - VANGUARD RUSSELL 1000 INDEX FUND

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

- **a. Full Name of the Fund:** VANGUARD RUSSELL 1000 INDEX FUND

- **b. Series identification number, if any:** S000030000

- **c. LEI:** CHTRJUQCGTOWVJB3QC95

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

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

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 2

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares              | C000092010                                | VONE                         |
|                           2 | Institutional Shares    | C000092009                                | VRNIX                        |

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

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

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] N/A

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

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

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

- **a. Is the Fund authorized to engage in securities lending transactions?** Yes

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

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

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

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

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

**Securities Lending Record: 1**

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

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

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

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

- [ ] Revenue sharing split

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

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $1,008,472.45

- **g. Provide the net income from securities lending activities:** $67,149.62

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

Did the Fund rely on the following rules?

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

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

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

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

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

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

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

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

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

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

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

**Investment Advisers Record: 1**

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

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

- **iii. CRD number:** 000105958

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

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

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

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

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

**Transfer Agents Record: 1**

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

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

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

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

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

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

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

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

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

**Pricing Services Record: 1**

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

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

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

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

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

**Pricing Services Record: 2**

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

- **ii. LEI, if any, or provide and describe other identifying number:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

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

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

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

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

**Item C.12. Custodians.**

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

**Custodians Record: 1**

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

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

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

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

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

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

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

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

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

**Shareholder Servicing Agents Record: 1**

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

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

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

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

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

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

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

**Item C.14. Administrators.**

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

**Administrators Record: 1**

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

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

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

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

**Brokers Record: 1**

- **i. Full name of broker:** CITIGROUP INC.

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

- **iii. CRD number:** 000007059

- **iv. LEI, if any:** 6SHGI4ZSSLCXXQSBB395

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $3,668.76

**Brokers Record: 2**

- **i. Full name of broker:** MORGAN STANLEY

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

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

- **iv. LEI, if any:** IGJSJL3JD5P30I6NJZ34

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,664.32

**Brokers Record: 3**

- **i. Full name of broker:** THE GOLDMAN SACHS GROUP, INC.

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

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

- **iv. LEI, if any:** 784F5XWPLTWKTBV3E584

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $622.90

**Brokers Record: 4**

- **i. Full name of broker:** Royal Bank of Canada

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

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $304.84

**Brokers Record: 5**

- **i. Full name of broker:** VIRTU FINANCIAL, INC.

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

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

- **iv. LEI, if any:** 5493001OPW2K42CH3884

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $471.58

**Brokers Record: 6**

- **i. Full name of broker:** JPMORGAN CHASE & CO.

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

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

- **iv. LEI, if any:** 8I5DZWZKVSZI1NUHU748

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,925.44

**Brokers Record: 7**

- **i. Full name of broker:** JEFFERIES FINANCIAL GROUP INC.

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

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

- **iv. LEI, if any:** 549300HOF34RGOJ5YL07

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,035.22

**Brokers Record: 8**

- **i. Full name of broker:** BARCLAYS PLC

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

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

- **iv. LEI, if any:** 213800LBQA1Y9L22JB70

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,116.37

**Brokers Record: 9**

- **i. Full name of broker:** CITADEL SECURITIES LP

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

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

- **iv. LEI, if any:** 549300NV5RXBUS3X7L47

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $554.51

**Brokers Record: 10**

- **i. Full name of broker:** BANK OF AMERICA CORPORATION

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

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

- **iv. LEI, if any:** 9DJT3UXIJIZJI4WXO774

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,198.21

**Aggregate Commission:** $17,435.12

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

| Name                           | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| CITIGROUP INC.                 | N/A               | 000007059    | 6SHGI4ZSSLCXXQSBB395 | NY      | US        | $283,101.93               |
| FMR LLC                        | N/A               | N/A          | 6X064LF7Y6B4DKF2GZ26 | MA      | US        | $12,701.36                |
| Mizuho Financial Group, Inc.   | N/A               | N/A          | 353800CI5L6DDAN5XZ33 |  |  | $2,077.93                 |
| JPMORGAN CHASE & CO.           | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $3,310,028.40             |
| BANK OF AMERICA CORPORATION    | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $162,193.53               |
| BARCLAYS PLC                   | N/A               | N/A          | 213800LBQA1Y9L22JB70 |  |  | $140,272.25               |
| MORGAN STANLEY                 | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $1,252,736.31             |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $586,129,056.00           |
| JEFFERIES FINANCIAL GROUP INC. | N/A               | N/A          | 549300HOF34RGOJ5YL07 | NY      | US        | $135,050.64               |
| THE GOLDMAN SACHS GROUP, INC.  | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $3,111,986.95             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $594,541,247.68

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

- **Item C.19.a - Fund's monthly average net assets:** $8,146,055,254.56

**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?** $4,300,000,000.00

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

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

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

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

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

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

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

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

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

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

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

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

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

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

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

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

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

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

- **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: 9 - VANGUARD RUSSELL 1000 VALUE INDEX FUND

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

- **a. Full Name of the Fund:** VANGUARD RUSSELL 1000 VALUE INDEX FUND

- **b. Series identification number, if any:** S000030001

- **c. LEI:** 4NTNIKCBML0OS6H04D86

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

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

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 2

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

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

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

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares              | C000092012                                | VONV                         |
|                           2 | Institutional Shares    | C000092011                                | VRVIX                        |

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

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

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

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

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

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

- [ ] N/A

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

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

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

- **a. Is the Fund authorized to engage in securities lending transactions?** Yes

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

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

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

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

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

**Securities Lending Record: 1**

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

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

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

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

- [ ] Revenue sharing split

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

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $3,906,950.93

- **g. Provide the net income from securities lending activities:** $184,503.97

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

Did the Fund rely on the following rules?

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

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

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

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

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

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

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

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

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

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

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

**Investment Advisers Record: 1**

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

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

- **iii. CRD number:** 000105958

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

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

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

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

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

**Transfer Agents Record: 1**

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

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

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

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

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

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

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

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

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

**Pricing Services Record: 1**

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

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

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

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

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

**Pricing Services Record: 2**

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

- **ii. LEI, if any, or provide and describe other identifying number:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

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

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

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

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

**Item C.12. Custodians.**

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

**Custodians Record: 1**

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

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

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

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

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

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

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

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

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

**Shareholder Servicing Agents Record: 1**

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

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

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

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

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

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

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

**Item C.14. Administrators.**

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

**Administrators Record: 1**

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

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

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

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

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

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

**Administrators Record: 2**

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

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

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

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

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

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

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

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

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

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

**Brokers Record: 1**

- **i. Full name of broker:** CITIGROUP INC.

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

- **iii. CRD number:** 000007059

- **iv. LEI, if any:** 6SHGI4ZSSLCXXQSBB395

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $9,632.28

**Brokers Record: 2**

- **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:** DE

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $6,410.94

**Brokers Record: 3**

- **i. Full name of broker:** CITADEL SECURITIES LP

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

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

- **iv. LEI, if any:** 549300NV5RXBUS3X7L47

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

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

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,497.74

**Brokers Record: 4**

- **i. Full name of broker:** BANK OF AMERICA CORPORATION

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

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 9DJT3UXIJIZJI4WXO774

- **v. State, if applicable:** NC

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $5,588.94

**Brokers Record: 5**

- **i. Full name of broker:** JEFFERIES FINANCIAL GROUP INC.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 549300HOF34RGOJ5YL07

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,359.81

**Brokers Record: 6**

- **i. Full name of broker:** JPMORGAN CHASE & CO.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 8I5DZWZKVSZI1NUHU748

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $8,294.86

**Brokers Record: 7**

- **i. Full name of broker:** BARCLAYS PLC

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 213800LBQA1Y9L22JB70

- **vii. Gross commissions paid by the Fund for the reporting period:** $22,260.35

**Brokers Record: 8**

- **i. Full name of broker:** Royal Bank of Canada

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** ES7IP3U3RHIGC71XBU11

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,176.87

**Brokers Record: 9**

- **i. Full name of broker:** MORGAN STANLEY

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** IGJSJL3JD5P30I6NJZ34

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $8,148.51

**Brokers Record: 10**

- **i. Full name of broker:** Mizuho Financial Group, Inc.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 353800CI5L6DDAN5XZ33

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,828.14

**Aggregate Commission:** $72,127.67

**Item C.17.a. Principal transaction counterparties.**

| Name                           | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| CITIGROUP INC.                 | N/A               | 000007059    | 6SHGI4ZSSLCXXQSBB395 | NY      | US        | $634,294.26               |
| WELLS FARGO & COMPANY          | N/A               | N/A          | PBLD0EJDB5FWOLXP3B76 | CA      | US        | $70,352.73                |
| BANK OF AMERICA CORPORATION    | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $550,916.44               |
| JPMORGAN CHASE & CO.           | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $9,224,434.44             |
| MORGAN STANLEY                 | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $3,450,440.43             |
| Mizuho Financial Group, Inc.   | N/A               | N/A          | 353800CI5L6DDAN5XZ33 |  |  | $36,342.85                |
| JEFFERIES FINANCIAL GROUP INC. | N/A               | N/A          | 549300HOF34RGOJ5YL07 | NY      | US        | $47,970.25                |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $2,586,868,471.20         |
| THE GOLDMAN SACHS GROUP, INC.  | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $8,857,161.50             |
| BARCLAYS PLC                   | N/A               | N/A          | 213800LBQA1Y9L22JB70 |  |  | $466,938.62               |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $2,610,225,679.94

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $12,729,577,773.88

**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?** $4,300,000,000.00

- **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:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 3 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 4 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 6 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 7 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 10 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 11 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 12 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 13 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 15 Name of institution:** Societe Generale

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 17 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 18 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 19 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 10 - VANGUARD RUSSELL 2000 GROWTH INDEX FUND

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD RUSSELL 2000 GROWTH INDEX FUND

- **b. Series identification number, if any:** S000030005

- **c. LEI:** 2GPOVXNW2XR0HL52QX63

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 2

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares              | C000092020                                | VTWG                         |
|                           2 | Institutional Shares    | C000092019                                | VRTGX                        |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** Yes

- **b. Did the Fund lend any of its securities during the reporting period?** Yes

  - **i. If yes, during the reporting period, did any borrower fail to return the loaned securities by the contractual deadline with the result that:**

    - **1. The Fund (or it securities lending agent) liquidated collateral pledged to secure the loaned securities?** No

    - **2. The Fund was otherwise adversely impacted?** No

**c. Provide the information requested below about each securities lending agent, if any, retained by the Fund:**

**Securities Lending Record: 1**

- **i. Full name of securities lending agent:** The Vanguard Group, Inc.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. Is the securities lending agent an affiliated person...?** Yes

**e. Types of payments made to one or more securities lending agents and cash collateral managers (check all that apply):**

- [ ] Revenue sharing split

- [ ] Fee-based revenue split (other than administrative fee)

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $12,955,421.47

- **g. Provide the net income from securities lending activities:** $1,167,745.99

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 12d1-4 (17 CFR 270.12d1-4)

- Rule 17a-7 (17 CFR 270.17a-7)

- Rule 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:** 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:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** The Bank of New York Mellon

- **ii. LEI, if any:** HPFHU0OQ28E4N0NFVK49

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

**Shareholder Servicing Agents Record: 1**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the shareholder servicing agent an affiliated person?:** Yes

- **vi. Is the shareholder servicing agent a sub-shareholder servicing agent?:** No

- **b. Has a shareholder servicing agent been hired or terminated during the reporting period?** No

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** State Street Bank and Trust Company

- **ii. LEI, if any, or other identifying number:** 571474TGEMMWANRLN572

- **iii. State, if applicable:** MA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** Yes

**Administrators Record: 2**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any, or other identifying number:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** CITIGROUP INC.

- **ii. SEC file number:** N/A

- **iii. CRD number:** 000007059

- **iv. LEI, if any:** 6SHGI4ZSSLCXXQSBB395

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $10,211.46

**Brokers Record: 2**

- **i. Full name of broker:** CITADEL SECURITIES LP

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 549300NV5RXBUS3X7L47

- **v. State, if applicable:** FL

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,465.57

**Brokers Record: 3**

- **i. Full name of broker:** TULLETT PREBON AMERICAS CORP.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 549300VTCEZOP03G9X31

- **v. State, if applicable:** NJ

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,410.75

**Brokers Record: 4**

- **i. Full name of broker:** MORGAN STANLEY

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** IGJSJL3JD5P30I6NJZ34

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,355.53

**Brokers Record: 5**

- **i. Full name of broker:** Mizuho Financial Group, Inc.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 353800CI5L6DDAN5XZ33

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,390.82

**Brokers Record: 6**

- **i. Full name of broker:** BARCLAYS PLC

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 213800LBQA1Y9L22JB70

- **vii. Gross commissions paid by the Fund for the reporting period:** $12,342.68

**Brokers Record: 7**

- **i. Full name of broker:** JEFFERIES FINANCIAL GROUP INC.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 549300HOF34RGOJ5YL07

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $20,399.48

**Brokers Record: 8**

- **i. Full name of broker:** VIRTU FINANCIAL, INC.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 5493001OPW2K42CH3884

- **v. State, if applicable:** DE

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,373.32

**Brokers Record: 9**

- **i. Full name of broker:** BANK OF AMERICA CORPORATION

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 9DJT3UXIJIZJI4WXO774

- **v. State, if applicable:** NC

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $5,270.37

**Brokers Record: 10**

- **i. Full name of broker:** JPMORGAN CHASE & CO.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 8I5DZWZKVSZI1NUHU748

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $5,424.63

**Aggregate Commission:** $68,647.66

**Item C.17.a. Principal transaction counterparties.**

| Name                               | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Raymond James & Associates, Inc.   | 008-10999         | 000000705    | U4ONQX15J3RO8XCKE979 | FL      | US        | $235,500.00               |
| Robert W. Baird & Co. Incorporated | 008-00497         | 000008158    | 549300772UJAHRD6LO53 | WI      | US        | $430,328.50               |
| Leerink Partners LLC               | 008-48535         | 000039011    | 549300AAH7U76CEUBI94 | MA      | US        | $176,950.00               |
| BANK OF AMERICA CORPORATION        | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $658,208.40               |
| UBS GROUP AG                       | N/A               | N/A          | 549300SZJ9VS8SGXAN81 |  |  | $210,200.00               |
| Vanguard Market Liquidity Fund     | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $351,110,411.97           |
| JPMORGAN CHASE & CO.               | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $2,286,976.20             |
| THE GOLDMAN SACHS GROUP, INC.      | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $547,181.25               |
| MORGAN STANLEY                     | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $603,337.00               |
| WELLS FARGO & COMPANY              | N/A               | N/A          | PBLD0EJDB5FWOLXP3B76 | CA      | US        | $228,707.85               |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $356,630,841.10

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $1,216,915,018.10

**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?** $4,300,000,000.00

- **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:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 3 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 4 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 6 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 7 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 10 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 11 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 12 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 13 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 15 Name of institution:** Societe Generale

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 17 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 18 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 19 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 11 - VANGUARD RUSSELL 2000 INDEX FUND

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD RUSSELL 2000 INDEX FUND

- **b. Series identification number, if any:** S000030003

- **c. LEI:** XEI53B997NKJZOPQID97

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 2

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares              | C000092016                                | VTWO                         |
|                           2 | Institutional Shares    | C000092015                                | VRTIX                        |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** Yes

- **b. Did the Fund lend any of its securities during the reporting period?** Yes

  - **i. If yes, during the reporting period, did any borrower fail to return the loaned securities by the contractual deadline with the result that:**

    - **1. The Fund (or it securities lending agent) liquidated collateral pledged to secure the loaned securities?** No

    - **2. The Fund was otherwise adversely impacted?** No

**c. Provide the information requested below about each securities lending agent, if any, retained by the Fund:**

**Securities Lending Record: 1**

- **i. Full name of securities lending agent:** The Vanguard Group, Inc.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. Is the securities lending agent an affiliated person...?** Yes

**e. Types of payments made to one or more securities lending agents and cash collateral managers (check all that apply):**

- [ ] Revenue sharing split

- [ ] Fee-based revenue split (other than administrative fee)

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $193,356,354.81

- **g. Provide the net income from securities lending activities:** $11,174,172.30

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 12d1-4 (17 CFR 270.12d1-4)

- Rule 17a-7 (17 CFR 270.17a-7)

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))

- Rule 18f-4(f)(17 CFR 270.18f-4(f))

- Rule 32a-4 (17 CFR 270.32a-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Bloomberg Finance LP

- **ii. LEI, if any, or provide and describe other identifying number:** 5493001KJTIIGC8Y1R12

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** The Bank of New York Mellon

- **ii. LEI, if any:** HPFHU0OQ28E4N0NFVK49

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

**Shareholder Servicing Agents Record: 1**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the shareholder servicing agent an affiliated person?:** Yes

- **vi. Is the shareholder servicing agent a sub-shareholder servicing agent?:** No

- **b. Has a shareholder servicing agent been hired or terminated during the reporting period?** No

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** State Street Bank and Trust Company

- **ii. LEI, if any, or other identifying number:** 571474TGEMMWANRLN572

- **iii. State, if applicable:** MA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** Yes

**Administrators Record: 2**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any, or other identifying number:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** CITIGROUP INC.

- **ii. SEC file number:** N/A

- **iii. CRD number:** 000007059

- **iv. LEI, if any:** 6SHGI4ZSSLCXXQSBB395

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $89,687.80

**Brokers Record: 2**

- **i. Full name of broker:** CITADEL SECURITIES LP

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 549300NV5RXBUS3X7L47

- **v. State, if applicable:** FL

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $27,038.62

**Brokers Record: 3**

- **i. Full name of broker:** BANK OF AMERICA CORPORATION

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 9DJT3UXIJIZJI4WXO774

- **v. State, if applicable:** NC

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $32,425.69

**Brokers Record: 4**

- **i. Full name of broker:** VIRTU FINANCIAL, INC.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 5493001OPW2K42CH3884

- **v. State, if applicable:** DE

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $16,645.22

**Brokers Record: 5**

- **i. Full name of broker:** JPMORGAN CHASE & CO.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 8I5DZWZKVSZI1NUHU748

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $29,014.74

**Brokers Record: 6**

- **i. Full name of broker:** Mizuho Financial Group, Inc.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 353800CI5L6DDAN5XZ33

- **vii. Gross commissions paid by the Fund for the reporting period:** $24,231.28

**Brokers Record: 7**

- **i. Full name of broker:** JEFFERIES FINANCIAL GROUP INC.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 549300HOF34RGOJ5YL07

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $179,427.64

**Brokers Record: 8**

- **i. Full name of broker:** BARCLAYS PLC

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 213800LBQA1Y9L22JB70

- **vii. Gross commissions paid by the Fund for the reporting period:** $80,601.90

**Brokers Record: 9**

- **i. Full name of broker:** MORGAN STANLEY

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** IGJSJL3JD5P30I6NJZ34

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $39,921.97

**Brokers Record: 10**

- **i. Full name of broker:** Royal Bank of Canada

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** ES7IP3U3RHIGC71XBU11

- **vii. Gross commissions paid by the Fund for the reporting period:** $15,079.97

**Aggregate Commission:** $590,515.93

**Item C.17.a. Principal transaction counterparties.**

| Name                               | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Raymond James & Associates, Inc.   | 008-10999         | 000000705    | U4ONQX15J3RO8XCKE979 | FL      | US        | $1,073,300.00             |
| Robert W. Baird & Co. Incorporated | 008-00497         | 000008158    | 549300772UJAHRD6LO53 | WI      | US        | $2,379,520.50             |
| Leerink Partners LLC               | 008-48535         | 000039011    | 549300AAH7U76CEUBI94 | MA      | US        | $862,400.00               |
| BANK OF AMERICA CORPORATION        | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $9,077,404.32             |
| THE GOLDMAN SACHS GROUP, INC.      | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $4,245,651.75             |
| UBS GROUP AG                       | N/A               | N/A          | 549300SZJ9VS8SGXAN81 |  |  | $1,150,000.00             |
| JPMORGAN CHASE & CO.               | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $20,467,174.61            |
| Vanguard Market Liquidity Fund     | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $3,425,241,994.17         |
| MORGAN STANLEY                     | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $7,547,157.12             |
| WELLS FARGO & COMPANY              | N/A               | N/A          | PBLD0EJDB5FWOLXP3B76 | CA      | US        | $4,637,259.25             |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $3,478,065,226.17

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $12,362,033,852.32

**Item C.20. Lines of credit, interfund lending and interfund borrowing.**

- **a. Does the Fund have available a line of credit?** Yes

**If yes, for each line of credit, provide the information requested below:**

**Line of Credit details Record: 1**

- **i. Is the line of credit a committed or uncommitted line of credit?** Committed

- **ii. What size is the line of credit?** $4,300,000,000.00

- **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:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 3 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 4 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 6 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 7 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 10 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 11 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 12 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 13 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 15 Name of institution:** Societe Generale

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 17 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 18 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 19 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

### Management Investment Record: 12 - VANGUARD RUSSELL 2000 VALUE INDEX FUND

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD RUSSELL 2000 VALUE INDEX FUND

- **b. Series identification number, if any:** S000030004

- **c. LEI:** ZIALB0CJMIEHCHBPWY93

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 2

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares              | C000092017                                | VTWV                         |
|                           2 | Institutional Shares    | C000092018                                | VRTVX                        |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** Yes

- **b. Did the Fund lend any of its securities during the reporting period?** Yes

  - **i. If yes, during the reporting period, did any borrower fail to return the loaned securities by the contractual deadline with the result that:**

    - **1. The Fund (or it securities lending agent) liquidated collateral pledged to secure the loaned securities?** No

    - **2. The Fund was otherwise adversely impacted?** No

**c. Provide the information requested below about each securities lending agent, if any, retained by the Fund:**

**Securities Lending Record: 1**

- **i. Full name of securities lending agent:** The Vanguard Group, Inc.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. Is the securities lending agent an affiliated person...?** Yes

**e. Types of payments made to one or more securities lending agents and cash collateral managers (check all that apply):**

- [ ] Revenue sharing split

- [ ] Fee-based revenue split (other than administrative fee)

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $7,149,355.36

- **g. Provide the net income from securities lending activities:** $567,479.59

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 12d1-4 (17 CFR 270.12d1-4)

- Rule 17a-7 (17 CFR 270.17a-7)

- Rule 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:** 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:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

- **b. Was a pricing service hired or terminated during the reporting period?** No

**Item C.12. Custodians.**

**a. Provide the following information about each person that provided custodial services to the Fund during the reporting period:**

**Custodians Record: 1**

- **i. Full name:** The Bank of New York Mellon

- **ii. LEI, if any:** HPFHU0OQ28E4N0NFVK49

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** No

- **vii. With respect to the custodian, check below to indicate the type of custody:** Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1))

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

**Shareholder Servicing Agents Record: 1**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the shareholder servicing agent an affiliated person?:** Yes

- **vi. Is the shareholder servicing agent a sub-shareholder servicing agent?:** No

- **b. Has a shareholder servicing agent been hired or terminated during the reporting period?** No

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** State Street Bank and Trust Company

- **ii. LEI, if any, or other identifying number:** 571474TGEMMWANRLN572

- **iii. State, if applicable:** MA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** Yes

**Administrators Record: 2**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any, or other identifying number:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** CITIGROUP INC.

- **ii. SEC file number:** N/A

- **iii. CRD number:** 000007059

- **iv. LEI, if any:** 6SHGI4ZSSLCXXQSBB395

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $8,406.53

**Brokers Record: 2**

- **i. Full name of broker:** Royal Bank of Canada

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** ES7IP3U3RHIGC71XBU11

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,476.15

**Brokers Record: 3**

- **i. Full name of broker:** Mizuho Financial Group, Inc.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 353800CI5L6DDAN5XZ33

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,021.29

**Brokers Record: 4**

- **i. Full name of broker:** JPMORGAN CHASE & CO.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 8I5DZWZKVSZI1NUHU748

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $3,261.49

**Brokers Record: 5**

- **i. Full name of broker:** BANK OF AMERICA CORPORATION

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 9DJT3UXIJIZJI4WXO774

- **v. State, if applicable:** NC

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,166.67

**Brokers Record: 6**

- **i. Full name of broker:** JEFFERIES FINANCIAL GROUP INC.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 549300HOF34RGOJ5YL07

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $15,571.01

**Brokers Record: 7**

- **i. Full name of broker:** VIRTU FINANCIAL, INC.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 5493001OPW2K42CH3884

- **v. State, if applicable:** DE

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,181.01

**Brokers Record: 8**

- **i. Full name of broker:** BARCLAYS PLC

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 213800LBQA1Y9L22JB70

- **vii. Gross commissions paid by the Fund for the reporting period:** $10,146.74

**Brokers Record: 9**

- **i. Full name of broker:** CITADEL SECURITIES LP

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 549300NV5RXBUS3X7L47

- **v. State, if applicable:** FL

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,357.22

**Brokers Record: 10**

- **i. Full name of broker:** MORGAN STANLEY

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** IGJSJL3JD5P30I6NJZ34

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,043.56

**Aggregate Commission:** $56,517.44

**Item C.17.a. Principal transaction counterparties.**

| Name                               | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| Piper Sandler & Co.                | 008-15204         | 000000665    | 549300GRQCWQ3XGH0H10 | DE      | US        | $7,245.00                 |
| CITIGROUP INC.                     | N/A               | 000007059    | 6SHGI4ZSSLCXXQSBB395 | NY      | US        | $15,872.00                |
| Robert W. Baird & Co. Incorporated | 008-00497         | 000008158    | 549300772UJAHRD6LO53 | WI      | US        | $7,315.00                 |
| BANK OF AMERICA CORPORATION        | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $808,880.16               |
| WELLS FARGO & COMPANY              | N/A               | N/A          | PBLD0EJDB5FWOLXP3B76 | CA      | US        | $526,136.50               |
| Vanguard Market Liquidity Fund     | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $262,820,753.86           |
| JPMORGAN CHASE & CO.               | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $1,218,845.20             |
| JEFFERIES FINANCIAL GROUP INC.     | N/A               | N/A          | 549300HOF34RGOJ5YL07 | NY      | US        | $10,185.76                |
| THE GOLDMAN SACHS GROUP, INC.      | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $175,975.06               |
| MORGAN STANLEY                     | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $611,325.50               |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $266,222,706.05

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $867,157,932.50

**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?** $4,300,000,000.00

- **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:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 3 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 4 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 6 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 7 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 10 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 11 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 12 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 13 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 15 Name of institution:** Societe Generale

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 17 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 18 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 19 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

- **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: 13 - VANGUARD RUSSELL 3000 INDEX FUND

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD RUSSELL 3000 INDEX FUND

- **b. Series identification number, if any:** S000030006

- **c. LEI:** E2FO156DBHEZ36T5EQ21

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 2

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares              | C000092022                                | VTHR                         |
|                           2 | Institutional Shares    | C000092021                                | VRTTX                        |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** Yes

- **b. Did the Fund lend any of its securities during the reporting period?** Yes

  - **i. If yes, during the reporting period, did any borrower fail to return the loaned securities by the contractual deadline with the result that:**

    - **1. The Fund (or it securities lending agent) liquidated collateral pledged to secure the loaned securities?** No

    - **2. The Fund was otherwise adversely impacted?** No

**c. Provide the information requested below about each securities lending agent, if any, retained by the Fund:**

**Securities Lending Record: 1**

- **i. Full name of securities lending agent:** The Vanguard Group, Inc.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. Is the securities lending agent an affiliated person...?** Yes

**e. Types of payments made to one or more securities lending agents and cash collateral managers (check all that apply):**

- [ ] Revenue sharing split

- [ ] Fee-based revenue split (other than administrative fee)

- [x] Administrative fee

- [x] Cash collateral reinvestment fee

- [ ] Indemnification fee

- [ ] Other

- [ ] N/A

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** $1,148,101.88

- **g. Provide the net income from securities lending activities:** $137,418.41

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 12d1-4 (17 CFR 270.12d1-4)

- Rule 17a-7 (17 CFR 270.17a-7)

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))

- Rule 18f-4(f)(17 CFR 270.18f-4(f))

- Rule 32a-4 (17 CFR 270.32a-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Bloomberg Finance LP

- **ii. LEI, if any, or provide and describe other identifying number:** 5493001KJTIIGC8Y1R12

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

- **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 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:** 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)

- **b. Was a custodian hired or terminated during the reporting period?** No

**Item C.13 - Shareholder Servicing Agents**

**Shareholder Servicing Agents Record: 1**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the shareholder servicing agent an affiliated person?:** Yes

- **vi. Is the shareholder servicing agent a sub-shareholder servicing agent?:** No

- **b. Has a shareholder servicing agent been hired or terminated during the reporting period?** No

**Item C.14. Administrators.**

**a. Provide the following information about each administrator of the Fund:**

**Administrators Record: 1**

- **i. Full name:** State Street Bank and Trust Company

- **ii. LEI, if any, or other identifying number:** 571474TGEMMWANRLN572

- **iii. State, if applicable:** MA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the administrator a sub-administrator?:** Yes

**Administrators Record: 2**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. LEI, if any, or other identifying number:** 5493002789CX3L0CJP65

- **iii. State, if applicable:** PA

- **iv. Foreign country, if applicable:** US

- **v. Is the administrator an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vi. Is the administrator a sub-administrator?:** No

- **b. Has a third-party administrator been hired or terminated during the reporting period?** No

**Item C.15 - Affiliated broker-dealers.**

No Affiliated Broker-Dealers reported.

**Item C.16. Brokers.**

**a. For each of the ten brokers that received the largest dollar amount of brokerage commissions...**

**Brokers Record: 1**

- **i. Full name of broker:** CITIGROUP INC.

- **ii. SEC file number:** N/A

- **iii. CRD number:** 000007059

- **iv. LEI, if any:** 6SHGI4ZSSLCXXQSBB395

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $5,951.79

**Brokers Record: 2**

- **i. Full name of broker:** BANK OF AMERICA CORPORATION

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 9DJT3UXIJIZJI4WXO774

- **v. State, if applicable:** NC

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,554.59

**Brokers Record: 3**

- **i. Full name of broker:** CITADEL SECURITIES LP

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 549300NV5RXBUS3X7L47

- **v. State, if applicable:** FL

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $802.67

**Brokers Record: 4**

- **i. Full name of broker:** JPMORGAN CHASE & CO.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 8I5DZWZKVSZI1NUHU748

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,341.31

**Brokers Record: 5**

- **i. Full name of broker:** MORGAN STANLEY

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** IGJSJL3JD5P30I6NJZ34

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,232.66

**Brokers Record: 6**

- **i. Full name of broker:** BARCLAYS PLC

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 213800LBQA1Y9L22JB70

- **vii. Gross commissions paid by the Fund for the reporting period:** $4,411.64

**Brokers Record: 7**

- **i. Full name of broker:** Mizuho Financial Group, Inc.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 353800CI5L6DDAN5XZ33

- **vii. Gross commissions paid by the Fund for the reporting period:** $1,038.26

**Brokers Record: 8**

- **i. Full name of broker:** THE GOLDMAN SACHS GROUP, INC.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 784F5XWPLTWKTBV3E584

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $958.20

**Brokers Record: 9**

- **i. Full name of broker:** JEFFERIES FINANCIAL GROUP INC.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 549300HOF34RGOJ5YL07

- **v. State, if applicable:** NY

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $2,424.94

**Brokers Record: 10**

- **i. Full name of broker:** VIRTU FINANCIAL, INC.

- **ii. SEC file number:** N/A

- **iii. CRD number:** N/A

- **iv. LEI, if any:** 5493001OPW2K42CH3884

- **v. State, if applicable:** DE

- **vi. Foreign country, if applicable:** US

- **vii. Gross commissions paid by the Fund for the reporting period:** $941.07

**Aggregate Commission:** $25,449.52

**Item C.17.a. Principal transaction counterparties.**

| Name                               | SEC file number   | CRD number   | LEI                  | State   | Country   | Total Purchase/Sale ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| CITIGROUP INC.                     | N/A               | 000007059    | 6SHGI4ZSSLCXXQSBB395 | NY      | US        | $129,482.02               |
| Robert W. Baird & Co. Incorporated | 008-00497         | 000008158    | 549300772UJAHRD6LO53 | WI      | US        | $22,214.50                |
| BANK OF AMERICA CORPORATION        | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $199,880.57               |
| JPMORGAN CHASE & CO.               | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $1,987,534.30             |
| BARCLAYS PLC                       | N/A               | N/A          | 213800LBQA1Y9L22JB70 |  |  | $66,612.74                |
| Vanguard Market Liquidity Fund     | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $280,869,502.55           |
| WELLS FARGO & COMPANY              | N/A               | N/A          | PBLD0EJDB5FWOLXP3B76 | CA      | US        | $63,077.65                |
| THE GOLDMAN SACHS GROUP, INC.      | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $1,665,681.70             |
| MORGAN STANLEY                     | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $816,105.82               |
| JEFFERIES FINANCIAL GROUP INC.     | N/A               | N/A          | 549300HOF34RGOJ5YL07 | NY      | US        | $85,669.32                |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $285,961,769.69

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $4,460,136,690.03

**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?** $4,300,000,000.00

- **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:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 3 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 4 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 6 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 7 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 10 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 11 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 12 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 13 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 15 Name of institution:** Societe Generale

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 17 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 18 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 19 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

- **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: 14 - VANGUARD SHORT-TERM CORPORATE BOND INDEX FUND

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD SHORT-TERM CORPORATE BOND INDEX FUND

- **b. Series identification number, if any:** S000026862

- **c. LEI:** GW69FWO1NUHCKLV98X51

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 3

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Admiral Shares          | C000080850                                | VSCSX                        |
|                           2 | ETF Shares              | C000080852                                | VCSH                         |
|                           3 | Institutional Shares    | C000080851                                | VSTBX                        |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** —

- **g. Provide the net income from securities lending activities:** —

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 12d1-4 (17 CFR 270.12d1-4)

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))

- Rule 18f-4(f)(17 CFR 270.18f-4(f))

- Rule 32a-4 (17 CFR 270.32a-4)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Bloomberg Finance LP

- **ii. LEI, if any, or provide and describe other identifying number:** 5493001KJTIIGC8Y1R12

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

- **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 ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| CITIGROUP INC.                 | N/A               | 000007059    | 6SHGI4ZSSLCXXQSBB395 | NY      | US        | $3,546,836,444.36         |
| CITADEL SECURITIES LP          | N/A               | N/A          | 549300NV5RXBUS3X7L47 | FL      | US        | $2,428,743,127.84         |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $11,634,154,626.21        |
| MORGAN STANLEY                 | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $4,800,588,908.25         |
| BNP PARIBAS                    | N/A               | N/A          | R0MUWSFPU8MPRO8K5P83 |  |  | $5,011,248,279.93         |
| BARCLAYS PLC                   | N/A               | N/A          | 213800LBQA1Y9L22JB70 |  |  | $4,627,423,687.03         |
| JPMORGAN CHASE & CO.           | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $10,861,004,412.70        |
| WELLS FARGO & COMPANY          | N/A               | N/A          | PBLD0EJDB5FWOLXP3B76 | CA      | US        | $2,809,441,669.88         |
| THE GOLDMAN SACHS GROUP, INC.  | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $6,291,727,673.99         |
| BANK OF AMERICA CORPORATION    | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $6,663,070,874.57         |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $71,034,210,525.29

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $42,000,566,303.06

**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?** $4,300,000,000.00

- **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:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 3 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 4 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 6 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 7 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 10 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 11 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 12 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 13 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 15 Name of institution:** Societe Generale

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 17 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 18 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 19 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

- **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 - VANGUARD SHORT-TERM TREASURY INDEX FUND

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD SHORT-TERM TREASURY INDEX FUND

- **b. Series identification number, if any:** S000026859

- **c. LEI:** 9WRNUKXX21PRBRE7HY40

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 3

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | Admiral Shares          | C000080841                                | VSBSX                        |
|                           2 | ETF Shares              | C000080843                                | VGSH                         |
|                           3 | Institutional Shares    | C000080842                                | VSBIX                        |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** —

- **g. Provide the net income from securities lending activities:** —

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 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:** 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:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

- **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 ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| MarketAxess Corporation        | 008-50727         | 000044542    | GPSMMRI21JE7ZCVYF972 | NY      | US        | $7,092,819,786.82         |
| MORGAN STANLEY                 | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $6,848,613,863.78         |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $2,793,754,439.55         |
| CITADEL SECURITIES LP          | N/A               | N/A          | 549300NV5RXBUS3X7L47 | FL      | US        | $6,675,923,126.79         |
| THE GOLDMAN SACHS GROUP, INC.  | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $9,991,414,398.88         |
| WELLS FARGO & COMPANY          | N/A               | N/A          | PBLD0EJDB5FWOLXP3B76 | CA      | US        | $2,704,954,948.89         |
| BNP PARIBAS                    | N/A               | N/A          | R0MUWSFPU8MPRO8K5P83 |  |  | $2,054,630,147.25         |
| Bank of Montr??al              | N/A               | N/A          | NQQ6HPCNCCU6TUTQYE16 |  |  | $1,743,195,769.64         |
| BARCLAYS PLC                   | N/A               | N/A          | 213800LBQA1Y9L22JB70 |  |  | $1,718,511,062.26         |
| JPMORGAN CHASE & CO.           | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $4,869,799,498.08         |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $51,232,607,205.07

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $26,114,064,166.18

**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?** $4,300,000,000.00

- **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:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 3 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 4 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 6 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 7 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 10 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 11 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 12 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 13 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 15 Name of institution:** Societe Generale

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 17 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 18 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 19 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

- **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: 16 - VANGUARD TOTAL CORPORATE BOND ETF

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD TOTAL CORPORATE BOND ETF

- **b. Series identification number, if any:** S000059555

- **c. LEI:** 5493006MKEDJW38LT395

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 1

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares              | C000195056                                | VTC                          |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [ ] e. Fund of Funds

- [ ] f. Master-Feeder Fund

- [ ] g. Money Market Fund

- [ ] h. Target Date Fund

-   [ ] i. Underlying fund to a variable annuity or variable life insurance contract

- [ ] N/A

**Item C.4 - Does the Fund seek to operate as a 'non-diversified company'?** No

**Item C.5 - Does the fund invest in a controlled foreign corporation?** No

**Item C.6. Securities lending.**

- **a. Is the Fund authorized to engage in securities lending transactions?** No

- **f. Provide the monthly average of the value of portfolio securities on loan during the reporting period:** —

- **g. Provide the net income from securities lending activities:** —

**Item C.7. Reliance on certain statutory exemption and rules.**

Did the Fund rely on the following rules?

- Rule 12d1-4 (17 CFR 270.12d1-4)

- Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4))

- Rule 18f-4(f)(17 CFR 270.18f-4(f))

- Rule 32a-4 (17 CFR 270.32a-4)

- Rule 6c-11 (17 CFR 270.6c-11)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Bloomberg Finance LP

- **ii. LEI, if any, or provide and describe other identifying number:** 5493001KJTIIGC8Y1R12

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

- **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 ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| CITIGROUP INC.                          | N/A               | 000007059    | 6SHGI4ZSSLCXXQSBB395 | NY      | US        | $30,560,341.39            |
| BARCLAYS PLC                            | N/A               | N/A          | 213800LBQA1Y9L22JB70 |  |  | $36,792,215.21            |
| MORGAN STANLEY                          | N/A               | N/A          | IGJSJL3JD5P30I6NJZ34 | NY      | US        | $45,031,924.84            |
| THE BANK OF NEW YORK MELLON CORPORATION | N/A               | N/A          | WFLLPEPC7FZXENRZV188 | NY      | US        | $22,909,561.86            |
| BNP PARIBAS                             | N/A               | N/A          | R0MUWSFPU8MPRO8K5P83 |  |  | $26,364,424.04            |
| JPMORGAN CHASE & CO.                    | N/A               | N/A          | 8I5DZWZKVSZI1NUHU748 | NY      | US        | $63,436,234.04            |
| BANK OF AMERICA CORPORATION             | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $2,633,111,086.52         |
| THE GOLDMAN SACHS GROUP, INC.           | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $53,410,157.74            |
| Vanguard Market Liquidity Fund          | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $164,258,467.83           |
| CITADEL SECURITIES LP                   | N/A               | N/A          | 549300NV5RXBUS3X7L47 | FL      | US        | $22,509,744.29            |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $3,205,736,709.51

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $1,152,356,474.65

**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?** $4,300,000,000.00

- **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:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 3 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 4 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 6 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 7 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 10 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 11 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 12 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 13 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 15 Name of institution:** Societe Generale

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 17 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 18 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 19 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Bond ETF                                 | 811-07803         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

- **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: 17 - VANGUARD TOTAL WORLD BOND ETF

**Item C.1. Background information.**

- **a. Full Name of the Fund:** VANGUARD TOTAL WORLD BOND ETF

- **b. Series identification number, if any:** S000062658

- **c. LEI:** 549300XM64W8RMO6ZH82

- **d. Is this the first filing on this form by the Fund?:** No

**Item C.2. Classes of open-end management investment companies.**

- **a. How many Classes of shares of the Fund (if any) are authorized?:** 1

- **b. How many new Classes of shares of the Fund were added during the reporting period?:** 0

- **c. How many Classes of shares of the Fund were terminated during the reporting period?:** 0

**d. For each Class with shares outstanding, provide the information requested below:**

|   Shares Outstanding Record | i. Full name of Class   | ii. Class identification number, if any   | iii. Ticker symbol, if any   |
|---:|:---|:---|:---|
|                           1 | ETF Shares              | C000203194                                | BNDW                         |

**Item C.3. Type of fund.**

- [ ] Exchange-Traded Fund or Exchange-Traded Managed Fund or offers a Class that itself is an Exchange-Traded Fund or Exchange-Traded Managed Fund

-   [x] i. Exchange-Traded Fund

-   [ ] ii. Exchange-Traded Managed Fund

- [ ] b. Index Fund

- [ ] c. Seeks to achieve performance results that are a multiple of a benchmark, the inverse of a benchmark, or a multiple of the inverse of a benchmark

- [ ] d. Interval Fund

- [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)

- Rule 6c-11 (17 CFR 270.6c-11)

**Item C.8. Expense limitations.**

- **a. Did the Fund have an expense limitation arrangement?** No

- **b. Were any expenses reduced or waived?** No

- **c. Are the fees waived subject to recoupment?** No

- **d. Were any expenses previously waived recouped during the period?** No

**Item C.9. Investment advisers.**

**Investment Advisers Record: 1**

- **i. Full name:** The Vanguard Group, Inc.

- **ii. SEC file number:** 801-11953

- **iii. CRD number:** 000105958

- **iv. LEI, if any:** 5493002789CX3L0CJP65

- **v. State, if applicable:** PA

- **vi. Foreign country, if applicable:** US

- **vii. Was the investment adviser hired during the reporting period?:** No

**Item C.10. Transfer agents.**

**Transfer Agents Record: 1**

- **i. Full name:** THE VANGUARD GROUP, INC.

- **ii. SEC file number:** 084-00772

- **iii. LEI, if any:** 5493002789CX3L0CJP65

- **iv. State, if applicable:** PA

- **v. Foreign country, if applicable:** US

- **vi. Is the transfer agent an affiliated person of the Fund or its investment adviser(s)?:** Yes

- **vii. Is the transfer agent a sub-transfer agent?:** No

- **b. Has a transfer agent been hired or terminated during the reporting period?** No

**Item C.11. Pricing services.**

**Pricing Services Record: 1**

- **i. Full name:** Bloomberg Finance LP

- **ii. LEI, if any, or provide and describe other identifying number:** 5493001KJTIIGC8Y1R12

- **iii. State, if applicable:** NY

- **iv. Foreign country, if applicable:** US

- **v. Is the pricing service an affiliated person of the Fund or its investment adviser(s)?:** No

**Pricing Services Record: 2**

- **i. Full name:** ICE Data Pricing and Reference Data LLC

- **ii. LEI, if any, or provide and describe other identifying number:** 5493000NQ9LYLDBCTL34

- **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

- **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:** London Stock Exchange Group (LSEG)

- **ii. LEI, if any, or provide and describe other identifying number:** 20-4530702

- **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:** S&P Global Limited

- **ii. LEI, if any, or provide and describe other identifying number:** 98-0634017

- **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:** Banco Santander Chile

- **ii. LEI, if any:** 3YJP8HORPAEXJ80D6368

- **v. Is the custodian an affiliated person of the Fund or its investment adviser(s)?:** No

- **vi. Is the custodian a sub-custodian?:** Yes

- **vii. With 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:** 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: 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

- **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: 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)

- **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 ($)   |
|:---|:---|:---|:---|:---|:---|:---|
| CIBC World Markets Corp.       | 008-18333         | 000000630    | 549300445CON3DBMU275 | NY      | US        | $6,386,790.00             |
| Vanguard Market Liquidity Fund | N/A               | N/A          | 1I6HV0TLSTR3A4XQ6L78 | PA      | US        | $593,047.74               |
| THE GOLDMAN SACHS GROUP, INC.  | N/A               | N/A          | 784F5XWPLTWKTBV3E584 | NY      | US        | $11,410,239.19            |
| BANK OF AMERICA CORPORATION    | N/A               | N/A          | 9DJT3UXIJIZJI4WXO774 | NC      | US        | $250,399,317.08           |

- **Item C.17.b - Aggregate value of principal purchase/sale transactions:** $268,789,394.01

- **Item C.18 - Did the Fund pay commissions for 'brokerage and research services'?:** No

- **Item C.19.a - Fund's monthly average net assets:** $1,113,499,572.03

**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?** $4,300,000,000.00

- **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:** Banco Bilbao Vizcaya Argentaria, S.A. New York Branch

  - **Line Institutions Record: 3 Name of institution:** Bank of America N.A.

  - **Line Institutions Record: 4 Name of institution:** Bank of Montreal, Chicago Branch

  - **Line Institutions Record: 5 Name of institution:** Barclays Bank plc

  - **Line Institutions Record: 6 Name of institution:** Brown Brothers Harriman & Co.

  - **Line Institutions Record: 7 Name of institution:** Canadian Imperial Bank of Commerce, New York Branch

  - **Line Institutions Record: 8 Name of institution:** Citibank, N.A.

  - **Line Institutions Record: 9 Name of institution:** Goldman Sachs Bank USA

  - **Line Institutions Record: 10 Name of institution:** HSBC Bank USA, N.A.

  - **Line Institutions Record: 11 Name of institution:** JPMorgan Chase Bank, N.A.

  - **Line Institutions Record: 12 Name of institution:** Morgan Stanley Bank, N.A.

  - **Line Institutions Record: 13 Name of institution:** PNC Bank, National Association

  - **Line Institutions Record: 14 Name of institution:** Royal Bank of Canada

  - **Line Institutions Record: 15 Name of institution:** Societe Generale

  - **Line Institutions Record: 16 Name of institution:** State Street Bank and Trust Company

  - **Line Institutions Record: 17 Name of institution:** The Bank of New York Mellon

  - **Line Institutions Record: 18 Name of institution:** The Bank of Nova Scotia, Houston Branch

  - **Line Institutions Record: 19 Name of institution:** The Northern Trust Company

  - **Line Institutions Record: 20 Name of institution:** The Toronto-Dominion Bank, New York Branch

  - **Line Institutions Record: 21 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 0-3 Month Treasury Bill ETF                          | 811-06093         |
| Vanguard 500 Index Fund                                       | 811-02652         |
| Vanguard Advice Select Dividend Growth Fund                   | 811-07443         |
| Vanguard Advice Select Global Value Fund                      | 811-07443         |
| Vanguard Advice Select International Growth Fund              | 811-07443         |
| Vanguard Baillie Gifford Global Positive Impact Stock Fund    | 811-58431         |
| Vanguard Balanced Index Fund                                  | 811-58431         |
| Vanguard Balanced Portfolio                                   | 811-05962         |
| Vanguard California Intermediate-Term Tax-Exempt Fund         | 811-04474         |
| Vanguard California Long-Term Tax-Exempt Fund                 | 811-04474         |
| Vanguard California Municipal Money Market Fund               | 811-04474         |
| Vanguard California Tax-Exempt Bond ETF                       | 811-04474         |
| Vanguard Capital Growth Portfolio                             | 811-05962         |
| Vanguard Capital Opportunity Fund                             | 811-07239         |
| Vanguard Cash Reserves Federal Money Market Fund              | 811-02554         |
| Vanguard Commodity Strategy Fund                              | 811-02968-99      |
| Vanguard Communication Services Index Fund                    | 811-01027         |
| Vanguard Conservative Allocation Portfolio                    | 811-05962         |
| Vanguard Consumer Discretionary Index Fund                    | 811-01027         |
| Vanguard Consumer Staples Index Fund                          | 811-01027         |
| Vanguard Core Bond ETF                                        | 811-05628         |
| Vanguard Core Bond Fund                                       | 811-05628         |
| Vanguard Core Tax-Exempt Bond ETF                             | 811-02687         |
| Vanguard Core-Plus Bond ETF                                   | 811-05628         |
| Vanguard Core-Plus Bond Fund                                  | 811-05628         |
| Vanguard Developed Markets Index Fund                         | 811-07175         |
| Vanguard Diversified Equity Fund                              | 811-02968-99      |
| Vanguard Diversified Value Portfolio                          | 811-05962         |
| Vanguard Dividend Appreciation Index Fund                     | 811-03916         |
| Vanguard Dividend Growth Fund                                 | 811-03916         |
| Vanguard ESG International Stock ETF                          | 811-01027         |
| Vanguard ESG U.S. Corporate Bond ETF                          | 811-01027         |
| Vanguard ESG U.S. Stock ETF                                   | 811-01027         |
| Vanguard Emerging Markets Bond Fund                           | 811-05628         |
| Vanguard Emerging Markets Government Bond Index Fund          | 811-07443         |
| Vanguard Emerging Markets Select Stock Fund                   | 811-02968-99      |
| Vanguard Emerging Markets Stock Index Fund                    | 811-05972         |
| Vanguard Energy Fund                                          | 811-03916         |
| Vanguard Energy Index Fund                                    | 811-01027         |
| Vanguard Equity Income Fund                                   | 811-05445         |
| Vanguard Equity Income Portfolio                              | 811-05962         |
| Vanguard Equity Index Portfolio                               | 811-05962         |
| Vanguard European Stock Index Fund                            | 811-05972         |
| Vanguard Explorer Fund                                        | 811-01530         |
| Vanguard Explorer Value Fund                                  | 811-07803         |
| Vanguard Extended Duration Treasury Index Fund                | 811-01027         |
| Vanguard Extended Market Index Fund                           | 811-02652         |
| Vanguard FTSE All-World ex-US Index Fund                      | 811-05972         |
| Vanguard FTSE All-World ex-US Small-Cap Index Fund            | 811-05972         |
| Vanguard FTSE Social Index Fund                               | 811-01027         |
| Vanguard Federal Money Market Fund                            | 811-02554         |
| Vanguard Financials Index Fund                                | 811-01027         |
| Vanguard GNMA Fund                                            | 811-02368         |
| Vanguard Global Bond Index Portfolio                          | 811-05962         |
| Vanguard Global Capital Cycles Fund                           | 811-03916         |
| Vanguard Global Credit Bond Fund                              | 811-22619         |
| Vanguard Global ESG Select Stock Fund                         | 811-03916         |
| Vanguard Global Environmental Opportunities Stock Fund        | 811-02968-99      |
| Vanguard Global Equity Fund                                   | 811-07239         |
| Vanguard Global Minimum Volatility Fund                       | 811-07443         |
| Vanguard Global Wellesley Income Fund                         | 811-01027         |
| Vanguard Global Wellington Fund                               | 811-01027         |
| Vanguard Global ex-U.S. Real Estate Index Fund                | 811-05972         |
| Vanguard Growth Index Fund                                    | 811-02652         |
| Vanguard Growth Portfolio                                     | 811-05962         |
| Vanguard Growth and Income Fund                               | 811-04526         |
| Vanguard Health Care Fund                                     | 811-03916         |
| Vanguard Health Care Index Fund                               | 811-01027         |
| Vanguard High Dividend Yield Index Fund                       | 811-07443         |
| Vanguard High-Yield Bond Portfolio                            | 811-05962         |
| Vanguard High-Yield Corporate Fund                            | 811-02368         |
| Vanguard High-Yield Tax-Exempt Fund                           | 811-02687         |
| Vanguard Industrials Index Fund                               | 811-01027         |
| Vanguard Inflation-Protected Securities Fund                  | 811-04681         |
| Vanguard Information Technology Index Fund                    | 811-01027         |
| Vanguard Institutional Index Fund                             | 811-06093         |
| Vanguard Institutional Intermediate-Term Bond Fund            | 811-05628         |
| Vanguard Institutional Short-Term Bond Fund                   | 811-05628         |
| Vanguard Institutional Total Stock Market Index Fund          | 811-06093         |
| Vanguard Intermediate-Term Bond Index Fund                    | 811-04681         |
| Vanguard Intermediate-Term Corporate Bond Index Fund          | 811-07803         |
| Vanguard Intermediate-Term Investment-Grade Fund              | 811-02368         |
| Vanguard Intermediate-Term Tax-Exempt Bond ETF                | 811-02687         |
| Vanguard Intermediate-Term Tax-Exempt Fund                    | 811-02687         |
| Vanguard Intermediate-Term Treasury Fund                      | 811-02368         |
| Vanguard Intermediate-Term Treasury Index Fund                | 811-07803         |
| Vanguard International Core Stock Fund                        | 811-07239         |
| Vanguard International Dividend Appreciation Index Fund       | 811-07443         |
| Vanguard International Dividend Growth Fund                   | 811-07443         |
| Vanguard International Explorer Fund                          | 811-07443         |
| Vanguard International Growth Fund                            | 811-01027         |
| Vanguard International High Dividend Yield Index Fund         | 811-07443         |
| Vanguard International Portfolio                              | 811-05962         |
| Vanguard International Value Fund                             | 811-02968-99      |
| Vanguard Large-Cap Index Fund                                 | 811-02652         |
| Vanguard LifeStrategy Conservative Growth Fund                | 811-03919         |
| Vanguard LifeStrategy Growth Fund                             | 811-03919         |
| Vanguard LifeStrategy Income Fund                             | 811-03919         |
| Vanguard LifeStrategy Moderate Growth Fund                    | 811-03919         |
| Vanguard Limited-Term Tax-Exempt Fund                         | 811-02687         |
| Vanguard Long-Term Bond Index Fund                            | 811-04681         |
| Vanguard Long-Term Corporate Bond Index Fund                  | 811-07803         |
| Vanguard Long-Term Investment-Grade Fund                      | 811-02368         |
| Vanguard Long-Term Tax-Exempt Fund                            | 811-02687         |
| Vanguard Long-Term Treasury Fund                              | 811-02368         |
| Vanguard Long-Term Treasury Index Fund                        | 811-07803         |
| Vanguard Market Liquidity Fund                                | 811-21478         |
| Vanguard Market Neutral Fund                                  | 811-22114         |
| Vanguard Massachusetts Tax-Exempt Fund                        | 811-09005         |
| Vanguard Materials Index Fund                                 | 811-01027         |
| Vanguard Mega Cap Growth Index Fund                           | 811-01027         |
| Vanguard Mega Cap Index Fund                                  | 811-01027         |
| Vanguard Mega Cap Value Index Fund                            | 811-01027         |
| Vanguard Mid-Cap Growth Fund                                  | 811-07443         |
| Vanguard Mid-Cap Growth Index Fund                            | 811-02652         |
| Vanguard Mid-Cap Index Fund                                   | 811-02652         |
| Vanguard Mid-Cap Index Portfolio                              | 811-05962         |
| Vanguard Mid-Cap Value Index Fund                             | 811-02652         |
| Vanguard Moderate Allocation Portfolio                        | 811-05962         |
| Vanguard Money Market Portfolio                               | 811-05962         |
| Vanguard Mortgage-Backed Securities Index Fund                | 811-07803         |
| Vanguard Multi-Sector Income Bond Fund                        | 811-05628         |
| Vanguard Municipal Low Duration Fund                          | 811-21478         |
| Vanguard Municipal Money Market Fund                          | 811-02687         |
| Vanguard New Jersey Long-Term Tax-Exempt Fund                 | 811-05340         |
| Vanguard New York Long-Term Tax-Exempt Fund                   | 811-04570         |
| Vanguard New York Municipal Money Market Fund                 | 811-04570         |
| Vanguard Ohio Long-Term Tax-Exempt Fund                       | 811-06083         |
| Vanguard PRIMECAP Core Fund                                   | 811-05445         |
| Vanguard PRIMECAP Fund                                        | 811-04098         |
| Vanguard Pacific Stock Index Fund                             | 811-05972         |
| Vanguard Pennsylvania Long-Term Tax-Exempt Fund               | 811-04571         |
| Vanguard Real Estate II Index Fund                            | 811-02368         |
| Vanguard Real Estate Index Fund                               | 811-03916         |
| Vanguard Real Estate Index Portfolio                          | 811-05962         |
| Vanguard Russell 1000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 1000 Index Fund                              | 811-07803         |
| Vanguard Russell 1000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 2000 Growth Index Fund                       | 811-07803         |
| Vanguard Russell 2000 Index Fund                              | 811-07803         |
| Vanguard Russell 2000 Value Index Fund                        | 811-07803         |
| Vanguard Russell 3000 Index Fund                              | 811-07803         |
| Vanguard S&P 500 Growth Index Fund                            | 811-07043         |
| Vanguard S&P 500 Value Index Fund                             | 811-07043         |
| Vanguard S&P Mid-Cap 400 Growth Index Fund                    | 811-07043         |
| Vanguard S&P Mid-Cap 400 Index Fund                           | 811-07043         |
| Vanguard S&P Mid-Cap 400 Value Index Fund                     | 811-07043         |
| Vanguard S&P Small-Cap 600 Growth Index Fund                  | 811-07043         |
| Vanguard S&P Small-Cap 600 Index Fund                         | 811-07043         |
| Vanguard S&P Small-Cap 600 Value Index Fund                   | 811-07043         |
| Vanguard STAR Core-Plus Bond Fund                             | 811-03919         |
| Vanguard STAR Fund                                            | 811-03919         |
| Vanguard Selected Value Fund                                  | 811-07443         |
| Vanguard Short Duration Tax-Exempt Bond ETF                   | 811-02687         |
| Vanguard Short-Term Bond Index Fund                           | 811-04681         |
| Vanguard Short-Term Corporate Bond Index Fund                 | 811-07803         |
| Vanguard Short-Term Federal Fund                              | 811-02368         |
| Vanguard Short-Term Inflation-Protected Securities Index Fund | 811-05628         |
| Vanguard Short-Term Investment-Grade Fund                     | 811-02368         |
| Vanguard Short-Term Investment-Grade Portfolio                | 811-05962         |
| Vanguard Short-Term Tax-Exempt Bond ETF                       | 811-00121         |
| Vanguard Short-Term Treasury Fund                             | 811-02368         |
| Vanguard Short-Term Treasury Index Fund                       | 811-07803         |
| Vanguard Small Company Growth Portfolio                       | 811-05962         |
| Vanguard Small-Cap Growth Index Fund                          | 811-02652         |
| Vanguard Small-Cap Index Fund                                 | 811-02652         |
| Vanguard Small-Cap Value Index Fund                           | 811-02652         |
| Vanguard Strategic Equity Fund                                | 811-07239         |
| Vanguard Strategic Small-Cap Equity Fund                      | 811-07239         |
| Vanguard Target Retirement 2020 Fund                          | 811-04098         |
| Vanguard Target Retirement 2025 Fund                          | 811-04098         |
| Vanguard Target Retirement 2030 Fund                          | 811-04098         |
| Vanguard Target Retirement 2035 Fund                          | 811-04098         |
| Vanguard Target Retirement 2040 Fund                          | 811-04098         |
| Vanguard Target Retirement 2045 Fund                          | 811-04098         |
| Vanguard Target Retirement 2050 Fund                          | 811-04098         |
| Vanguard Target Retirement 2055 Fund                          | 811-04098         |
| Vanguard Target Retirement 2060 Fund                          | 811-04098         |
| Vanguard Target Retirement 2065 Fund                          | 811-04098         |
| Vanguard Target Retirement 2070 Fund                          | 811-04098         |
| Vanguard Target Retirement Income Fund                        | 811-04098         |
| Vanguard Tax-Exempt Bond Index Fund                           | 811-02687         |
| Vanguard Tax-Managed Balanced Fund                            | 811-07175         |
| Vanguard Tax-Managed Capital Appreciation Fund                | 811-07175         |
| Vanguard Tax-Managed Small-Cap Fund                           | 811-07175         |
| Vanguard Total Bond Market II Index Fund                      | 811-04681         |
| Vanguard Total Bond Market Index Fund                         | 811-04681         |
| Vanguard Total Bond Market Index Portfolio                    | 811-05962         |
| Vanguard Total Corporate Bond ETF                             | 811-07803         |
| Vanguard Total International Bond II Index Fund               | 811-22619         |
| Vanguard Total International Bond Index Fund                  | 811-22619         |
| Vanguard Total International Stock Index Fund                 | 811-03919         |
| Vanguard Total International Stock Market Index Portfolio     | 811-05962         |
| Vanguard Total Stock Market Index Fund                        | 811-02652         |
| Vanguard Total Stock Market Index Portfolio                   | 811-05962         |
| Vanguard Total World Stock Index Fund                         | 811-05972         |
| Vanguard Treasury Money Market Fund                           | 811-07043         |
| Vanguard U.S. Growth Fund                                     | 811-01027         |
| Vanguard U.S. Minimum Volatility ETF                          | 811-00121         |
| Vanguard U.S. Momentum Factor ETF                             | 811-00121         |
| Vanguard U.S. Multifactor ETF                                 | 811-00121         |
| Vanguard U.S. Multifactor Fund                                | 811-00121         |
| Vanguard U.S. Quality Factor ETF                              | 811-00121         |
| Vanguard U.S. Value Factor ETF                                | 811-00121         |
| Vanguard Ultra-Short Bond ETF                                 | 811-04681         |
| Vanguard Ultra-Short Treasury ETF                             | 811-06093         |
| Vanguard Ultra-Short-Term Bond Fund                           | 811-02368         |
| Vanguard Ultra-Short-Term Tax-Exempt Fund                     | 811-02687         |
| Vanguard Utilities Index Fund                                 | 811-01027         |
| Vanguard Value Index Fund                                     | 811-02652         |
| Vanguard Wellesley Income Fund                                | 811-01766         |
| Vanguard Wellington Fund                                      | 811-00121         |
| Vanguard Windsor Fund                                         | 811-00834         |
| Vanguard Windsor II Fund                                      | 811-00834         |

- **v. Did the Fund draw on the line of credit this period?** No

- **b. Did the Fund engage in interfund lending?** No

- **c. Did the Fund engage in interfund borrowing?** No

## Part E: Additional Questions for ETFs and ETMFs

### VANGUARD INTERMEDIATE-TERM CORPORATE BOND INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VCIT

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value     | Redeem Value       |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00              | $0.00              |
| Merrill Lynch                     | $0.00              | $0.00              |
| CitiGroup                         | $8,078,250.00      | $24,468,500.00     |
| Wedbush                           | $0.00              | $0.00              |
| Goldman Sachs                     | $3,407,726,029.75  | $1,218,184,750.00  |
| Jefferies Co                      | $446,409,000.00    | $209,432,500.00    |
| Nomura                            | $0.00              | $0.00              |
| Morgan Stanley                    | $3,609,612,000.00  | $4,505,209,500.00  |
| Truist Securities Inc.            | $8,131,250.00      | $0.00              |
| Deutsche Bank                     | $0.00              | $0.00              |
| CIBC World Markets                | $0.00              | $0.00              |
| Cantor Fitzgerald Co              | $0.00              | $0.00              |
| Cowen and Company LLC             | $0.00              | $0.00              |
| UBS                               | $0.00              | $0.00              |
| National Financial Services       | $0.00              | $0.00              |
| Timber Hill                       | $0.00              | $0.00              |
| BNP Paribas Prime Brokerage Inc   | $0.00              | $0.00              |
| BNP Paribas                       | $41,905,250.00     | $292,120,500.00    |
| Merrill Lynch Pro                 | $4,461,575,500.00  | $2,412,398,500.00  |
| BMO Capital Markets               | $0.00              | $0.00              |
| ABN AMRO Clearing                 | $0.00              | $0.00              |
| JP Morgan                         | $13,049,220,000.00 | $12,181,511,250.00 |
| BNY Mellon Capital Markets        | $41,535,250.00     | $0.00              |
| Mizuho Securities USA             | $0.00              | $0.00              |
| Barclays Capital                  | $2,010,766,250.00  | $81,769,750.00     |
| HSBC Securities                   | $0.00              | $0.00              |
| Credit Suisse                     | $0.00              | $0.00              |
| RBC                               | $0.00              | $0.00              |
| Macquarie Capital                 | $0.00              | $0.00              |
| Interactive Brokers               | $0.00              | $0.00              |
| EWT LLC                           | $0.00              | $0.00              |
| Virtu Financial                   | $0.00              | $0.00              |
| Jane Street                       | $0.00              | $58,387,250.00     |
| Citadel Securities                | $0.00              | $0.00              |
| Wells Fargo                       | $0.00              | $0.00              |
| SG Americas                       | $0.00              | $0.00              |
| Virtu Americas LLC                | $0.00              | $0.00              |
| Hudson River Trading              | $0.00              | $0.00              |
| Bank of America                   | $0.00              | $0.00              |
| State Street Global Mkts          | $0.00              | $0.00              |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 100,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.02%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.01%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD INTERMEDIATE-TERM TREASURY INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VGIT

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00             | $0.00             |
| Merrill Lynch                     | $0.00             | $0.00             |
| CitiGroup                         | $0.00             | $0.00             |
| Wedbush                           | $0.00             | $0.00             |
| Goldman Sachs                     | $1,614,065,200.00 | $1,587,587,325.00 |
| Jefferies Co                      | $0.00             | $0.00             |
| Nomura                            | $0.00             | $0.00             |
| Morgan Stanley                    | $536,904,750.00   | $0.00             |
| Truist Securities Inc.            | $0.00             | $0.00             |
| Deutsche Bank                     | $0.00             | $0.00             |
| CIBC World Markets                | $0.00             | $0.00             |
| Cantor Fitzgerald Co              | $0.00             | $0.00             |
| Cowen and Company LLC             | $0.00             | $0.00             |
| UBS                               | $0.00             | $0.00             |
| National Financial Services       | $0.00             | $0.00             |
| Timber Hill                       | $0.00             | $0.00             |
| BNP Paribas Prime Brokerage Inc   | $0.00             | $0.00             |
| BNP Paribas                       | $0.00             | $0.00             |
| Merrill Lynch Pro                 | $4,314,635,125.00 | $1,931,670,300.00 |
| BMO Capital Markets               | $28,081,925.00    | $11,768,900.00    |
| ABN AMRO Clearing                 | $0.00             | $0.00             |
| JP Morgan                         | $1,751,517,225.00 | $2,333,720,975.00 |
| BNY Mellon Capital Markets        | $0.00             | $0.00             |
| Mizuho Securities USA             | $0.00             | $0.00             |
| Barclays Capital                  | $0.00             | $0.00             |
| HSBC Securities                   | $0.00             | $0.00             |
| Credit Suisse                     | $0.00             | $0.00             |
| RBC                               | $97,591,850.00    | $2,933,975.00     |
| Macquarie Capital                 | $0.00             | $0.00             |
| Interactive Brokers               | $0.00             | $0.00             |
| Virtu Financial                   | $0.00             | $0.00             |
| EWT LLC                           | $0.00             | $0.00             |
| Jane Street                       | $105,231,775.00   | $0.00             |
| Citadel Securities                | $0.00             | $0.00             |
| Wells Fargo                       | $0.00             | $0.00             |
| SG Americas                       | $0.00             | $0.00             |
| Virtu Americas LLC                | $0.00             | $0.00             |
| Hudson River Trading              | $0.00             | $0.00             |
| Bank of America                   | $0.00             | $0.00             |
| State Street Global Mkts          | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.00%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD LONG-TERM CORPORATE BOND INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VCLT

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00             | $0.00             |
| Merrill Lynch                     | $0.00             | $0.00             |
| CitiGroup                         | $245,335,800.00   | $0.00             |
| Wedbush                           | $0.00             | $0.00             |
| Goldman Sachs                     | $441,715,500.00   | $4,035,421,650.00 |
| Jefferies Co                      | $39,997,800.00    | $142,690,950.00   |
| Nomura                            | $0.00             | $0.00             |
| Morgan Stanley                    | $2,145,937,700.00 | $3,122,049,650.00 |
| Truist Securities Inc.            | $0.00             | $0.00             |
| Deutsche Bank                     | $0.00             | $0.00             |
| CIBC World Markets                | $0.00             | $0.00             |
| Cantor Fitzgerald Co              | $0.00             | $0.00             |
| Cowen and Company LLC             | $0.00             | $0.00             |
| UBS                               | $0.00             | $0.00             |
| National Financial Services       | $0.00             | $0.00             |
| Timber Hill                       | $0.00             | $0.00             |
| BNP Paribas Prime Brokerage Inc   | $0.00             | $0.00             |
| BNP Paribas                       | $0.00             | $74,707,750.00    |
| Merrill Lynch Pro                 | $2,231,854,300.00 | $4,189,137,350.00 |
| BMO Capital Markets               | $0.00             | $0.00             |
| ABN AMRO Clearing                 | $0.00             | $0.00             |
| JP Morgan                         | $7,505,290,100.00 | $5,587,768,667.47 |
| BNY Mellon Capital Markets        | $0.00             | $0.00             |
| Mizuho Securities USA             | $0.00             | $0.00             |
| Barclays Capital                  | $84,464,900.00    | $525,732,250.00   |
| HSBC Securities                   | $0.00             | $0.00             |
| Credit Suisse                     | $0.00             | $0.00             |
| RBC                               | $0.00             | $0.00             |
| Macquarie Capital                 | $0.00             | $0.00             |
| Interactive Brokers               | $0.00             | $0.00             |
| EWT LLC                           | $0.00             | $0.00             |
| Virtu Financial                   | $0.00             | $0.00             |
| Jane Street                       | $69,862,700.00    | $69,804,300.00    |
| Citadel Securities                | $0.00             | $0.00             |
| Wells Fargo                       | $0.00             | $0.00             |
| SG Americas                       | $0.00             | $0.00             |
| Virtu Americas LLC                | $0.00             | $0.00             |
| Hudson River Trading              | $0.00             | $0.00             |
| Bank of America                   | $0.00             | $0.00             |
| State Street Global Mkts          | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 100,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.01%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.01%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD LONG-TERM TREASURY INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VGLT

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00             | $0.00             |
| Merrill Lynch                     | $0.00             | $0.00             |
| CitiGroup                         | $0.00             | $0.00             |
| Wedbush                           | $0.00             | $0.00             |
| Goldman Sachs                     | $254,520,600.00   | $1,032,078,275.00 |
| Jefferies Co                      | $0.00             | $0.00             |
| Nomura                            | $0.00             | $0.00             |
| Morgan Stanley                    | $49,177,350.00    | $0.00             |
| Truist Securities Inc.            | $0.00             | $0.00             |
| Deutsche Bank                     | $0.00             | $0.00             |
| CIBC World Markets                | $0.00             | $0.00             |
| Cantor Fitzgerald Co              | $0.00             | $0.00             |
| Cowen and Company LLC             | $0.00             | $0.00             |
| UBS                               | $0.00             | $0.00             |
| National Financial Services       | $0.00             | $0.00             |
| Timber Hill                       | $0.00             | $0.00             |
| BNP Paribas                       | $0.00             | $0.00             |
| BNP Paribas Prime Brokerage Inc   | $0.00             | $0.00             |
| Merrill Lynch Pro                 | $1,371,747,475.00 | $2,844,834,950.00 |
| BMO Capital Markets               | $0.00             | $6,113,975.00     |
| ABN AMRO Clearing                 | $0.00             | $0.00             |
| JP Morgan                         | $1,069,641,650.00 | $2,241,574,750.00 |
| BNY Mellon Capital Markets        | $0.00             | $13,579,975.00    |
| Mizuho Securities USA             | $0.00             | $0.00             |
| Barclays Capital                  | $0.00             | $0.00             |
| HSBC Securities                   | $0.00             | $0.00             |
| Credit Suisse                     | $0.00             | $0.00             |
| RBC                               | $61,085,275.00    | $66,621,025.00    |
| Macquarie Capital                 | $0.00             | $0.00             |
| Interactive Brokers               | $0.00             | $0.00             |
| Virtu Financial                   | $0.00             | $0.00             |
| EWT LLC                           | $0.00             | $0.00             |
| Jane Street                       | $43,365,150.00    | $13,091,700.00    |
| Citadel Securities                | $0.00             | $0.00             |
| Wells Fargo                       | $0.00             | $0.00             |
| SG Americas                       | $0.00             | $0.00             |
| Virtu Americas LLC                | $0.00             | $0.00             |
| Hudson River Trading              | $0.00             | $0.00             |
| Bank of America                   | $0.00             | $0.00             |
| State Street Global Mkts          | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.00%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD MORTGAGE-BACKED SECURITIES INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VMBS

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value   | Redeem Value      |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00            | $0.00             |
| Merrill Lynch                     | $0.00            | $0.00             |
| CitiGroup                         | $215,414,043.60  | $0.00             |
| Wedbush                           | $0.00            | $0.00             |
| Goldman Sachs                     | $354,274,740.39  | $542,415,000.00   |
| Jefferies Co                      | $0.00            | $0.00             |
| Nomura                            | $0.00            | $0.00             |
| Morgan Stanley                    | $0.00            | $0.00             |
| Truist Securities Inc.            | $0.00            | $0.00             |
| Deutsche Bank                     | $0.00            | $0.00             |
| CIBC World Markets                | $0.00            | $0.00             |
| Cantor Fitzgerald Co              | $0.00            | $0.00             |
| Cowen and Company LLC             | $0.00            | $0.00             |
| UBS                               | $0.00            | $0.00             |
| National Financial Services       | $0.00            | $0.00             |
| Timber Hill                       | $0.00            | $0.00             |
| BNP Paribas                       | $0.00            | $0.00             |
| BNP Paribas Prime Brokerage Inc   | $0.00            | $0.00             |
| Merrill Lynch Pro                 | $37,859,954.88   | $234,553,500.00   |
| BMO Capital Markets               | $27,533,034.75   | $0.00             |
| ABN AMRO Clearing                 | $0.00            | $0.00             |
| JP Morgan                         | $985,857,398.11  | $4,935,290,250.00 |
| BNY Mellon Capital Markets        | $0.00            | $0.00             |
| Mizuho Securities USA             | $0.00            | $0.00             |
| Barclays Capital                  | $0.00            | $0.00             |
| HSBC Securities                   | $0.00            | $0.00             |
| Credit Suisse                     | $0.00            | $0.00             |
| RBC                               | $0.00            | $0.00             |
| Macquarie Capital                 | $20,700,504.26   | $18,263,500.00    |
| Interactive Brokers               | $0.00            | $0.00             |
| Virtu Financial                   | $0.00            | $0.00             |
| EWT LLC                           | $0.00            | $0.00             |
| Jane Street                       | $877,924,505.40  | $403,885,250.00   |
| Citadel Securities                | $0.00            | $0.00             |
| Wells Fargo                       | $0.00            | $0.00             |
| SG Americas                       | $0.00            | $0.00             |
| Virtu Americas LLC                | $201,248,751.75  | $0.00             |
| Hudson River Trading              | $0.00            | $0.00             |
| Bank of America                   | $0.00            | $0.00             |
| State Street Global Mkts          | $0.00            | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.93%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.97%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 1.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD RUSSELL 1000 GROWTH INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VONG

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00             | $0.00             |
| Merrill Lynch                     | $0.00             | $0.00             |
| CitiGroup                         | $0.00             | $0.00             |
| Wedbush                           | $0.00             | $0.00             |
| Goldman Sachs                     | $212,289,350.00   | $193,697,050.00   |
| Jefferies Co                      | $2,607,385,050.00 | $2,647,644,000.00 |
| Nomura                            | $0.00             | $0.00             |
| Morgan Stanley                    | $137,824,650.00   | $0.00             |
| Deutsche Bank                     | $0.00             | $0.00             |
| CIBC World Markets                | $0.00             | $0.00             |
| Cantor Fitzgerald Co              | $0.00             | $0.00             |
| Cowen and Company LLC             | $0.00             | $0.00             |
| UBS                               | $0.00             | $0.00             |
| Timber Hill                       | $0.00             | $0.00             |
| BNP Paribas                       | $0.00             | $0.00             |
| BNP Paribas Prime Brokerage Inc   | $0.00             | $0.00             |
| Merrill Lynch Pro                 | $2,143,307,100.00 | $285,040,550.00   |
| BMO Capital Markets               | $0.00             | $0.00             |
| ABN AMRO Clearing                 | $0.00             | $0.00             |
| JP Morgan                         | $90,279,450.00    | $198,143,850.00   |
| BNY Mellon Capital Markets        | $56,876,050.00    | $23,479,150.00    |
| Mizuho Securities USA             | $0.00             | $0.00             |
| Barclays Capital                  | $171,073,050.00   | $171,612,000.00   |
| HSBC Securities                   | $0.00             | $0.00             |
| Credit Suisse                     | $0.00             | $0.00             |
| RBC                               | $524,599,900.00   | $0.00             |
| Macquarie Capital                 | $0.00             | $0.00             |
| Interactive Brokers               | $0.00             | $0.00             |
| Virtu Financial                   | $0.00             | $0.00             |
| EWT LLC                           | $0.00             | $0.00             |
| Jane Street                       | $978,193,050.00   | $649,626,000.00   |
| Citadel Securities                | $1,094,899,000.00 | $129,731,050.00   |
| Wells Fargo                       | $0.00             | $0.00             |
| SG Americas                       | $0.00             | $0.00             |
| Virtu Americas LLC                | $356,353,400.00   | $0.00             |
| Hudson River Trading              | $92,955,200.00    | $0.00             |
| State Street Global Mkts          | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.17%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.01%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD RUSSELL 1000 INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VONE

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value   | Redeem Value    |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00            | $0.00           |
| Merrill Lynch                     | $0.00            | $0.00           |
| CitiGroup                         | $41,196,000.00   | $41,234,250.00  |
| Wedbush                           | $0.00            | $0.00           |
| Goldman Sachs                     | $109,002,450.00  | $35,898,750.00  |
| Jefferies Co                      | $19,672,950.00   | $15,503,400.00  |
| Nomura                            | $0.00            | $0.00           |
| Morgan Stanley                    | $0.00            | $27,149,100.00  |
| Deutsche Bank                     | $0.00            | $0.00           |
| CIBC World Markets                | $0.00            | $0.00           |
| Cantor Fitzgerald Co              | $17,290,950.00   | $17,268,600.00  |
| Cowen and Company LLC             | $0.00            | $0.00           |
| UBS                               | $0.00            | $0.00           |
| Timber Hill                       | $0.00            | $0.00           |
| BNP Paribas Prime Brokerage Inc   | $0.00            | $0.00           |
| BNP Paribas                       | $0.00            | $0.00           |
| Merrill Lynch Pro                 | $188,743,500.00  | $98,169,000.00  |
| BMO Capital Markets               | $0.00            | $0.00           |
| ABN AMRO Clearing                 | $0.00            | $0.00           |
| JP Morgan                         | $26,768,850.00   | $48,948,450.00  |
| BNY Mellon Capital Markets        | $0.00            | $0.00           |
| Mizuho Securities USA             | $0.00            | $0.00           |
| Barclays Capital                  | $0.00            | $0.00           |
| HSBC Securities                   | $0.00            | $0.00           |
| Credit Suisse                     | $0.00            | $0.00           |
| RBC                               | $309,948,000.00  | $39,234,000.00  |
| Macquarie Capital                 | $0.00            | $0.00           |
| Interactive Brokers               | $0.00            | $0.00           |
| EWT LLC                           | $0.00            | $0.00           |
| Virtu Financial                   | $0.00            | $0.00           |
| Jane Street                       | $192,497,700.00  | $144,718,500.00 |
| Citadel Securities                | $218,041,950.00  | $144,470,100.00 |
| Wells Fargo                       | $0.00            | $0.00           |
| SG Americas                       | $0.00            | $0.00           |
| Virtu Americas LLC                | $288,484,350.00  | $28,063,500.00  |
| Hudson River Trading              | $0.00            | $0.00           |
| State Street Global Mkts          | $0.00            | $0.00           |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 15,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.15%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD RUSSELL 1000 VALUE INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VONV

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value    | Redeem Value    |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00             | $0.00           |
| Merrill Lynch                     | $0.00             | $0.00           |
| CitiGroup                         | $0.00             | $0.00           |
| Wedbush                           | $0.00             | $0.00           |
| Goldman Sachs                     | $308,051,350.00   | $35,205,200.00  |
| Jefferies Co                      | $873,393,150.00   | $883,168,000.00 |
| Nomura                            | $0.00             | $0.00           |
| Morgan Stanley                    | $12,736,150.00    | $0.00           |
| Deutsche Bank                     | $0.00             | $0.00           |
| CIBC World Markets                | $0.00             | $0.00           |
| Cantor Fitzgerald Co              | $0.00             | $0.00           |
| Cowen and Company LLC             | $0.00             | $0.00           |
| UBS                               | $0.00             | $0.00           |
| Timber Hill                       | $0.00             | $0.00           |
| BNP Paribas                       | $0.00             | $0.00           |
| BNP Paribas Prime Brokerage Inc   | $36,407,450.00    | $37,499,250.00  |
| Merrill Lynch Pro                 | $1,689,745,050.00 | $583,637,150.00 |
| BMO Capital Markets               | $0.00             | $0.00           |
| ABN AMRO Clearing                 | $4,053,150.00     | $0.00           |
| JP Morgan                         | $10,415,050.00    | $101,288,550.00 |
| BNY Mellon Capital Markets        | $0.00             | $0.00           |
| Mizuho Securities USA             | $0.00             | $0.00           |
| Barclays Capital                  | $0.00             | $0.00           |
| HSBC Securities                   | $0.00             | $0.00           |
| Credit Suisse                     | $0.00             | $0.00           |
| RBC                               | $378,688,450.00   | $16,502,850.00  |
| Macquarie Capital                 | $0.00             | $0.00           |
| Interactive Brokers               | $0.00             | $0.00           |
| EWT LLC                           | $0.00             | $0.00           |
| Virtu Financial                   | $0.00             | $0.00           |
| Jane Street                       | $703,595,700.00   | $60,871,700.00  |
| Citadel Securities                | $878,475,900.00   | $159,886,050.00 |
| Wells Fargo                       | $0.00             | $0.00           |
| SG Americas                       | $0.00             | $0.00           |
| Virtu Americas LLC                | $308,941,100.00   | $18,816,200.00  |
| Hudson River Trading              | $0.00             | $0.00           |
| State Street Global Mkts          | $0.00             | $0.00           |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.08%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD RUSSELL 2000 GROWTH INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VTWG

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value   | Redeem Value    |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00            | $0.00           |
| Merrill Lynch                     | $0.00            | $0.00           |
| CitiGroup                         | $0.00            | $0.00           |
| Wedbush                           | $0.00            | $0.00           |
| Goldman Sachs                     | $5,259,200.00    | $12,897,250.00  |
| Jefferies Co                      | $141,086,300.00  | $143,416,500.00 |
| Nomura                            | $0.00            | $0.00           |
| Morgan Stanley                    | $6,681,500.00    | $0.00           |
| Deutsche Bank                     | $0.00            | $0.00           |
| CIBC World Markets                | $0.00            | $0.00           |
| Cantor Fitzgerald Co              | $0.00            | $0.00           |
| Cowen and Company LLC             | $0.00            | $0.00           |
| UBS                               | $0.00            | $0.00           |
| Timber Hill                       | $0.00            | $0.00           |
| BNP Paribas                       | $0.00            | $0.00           |
| BNP Paribas Prime Brokerage Inc   | $9,426,350.00    | $8,936,350.00   |
| Merrill Lynch Pro                 | $11,929,000.00   | $48,657,550.00  |
| BMO Capital Markets               | $0.00            | $0.00           |
| ABN AMRO Clearing                 | $0.00            | $0.00           |
| JP Morgan                         | $0.00            | $0.00           |
| BNY Mellon Capital Markets        | $0.00            | $0.00           |
| Mizuho Securities USA             | $0.00            | $0.00           |
| Barclays Capital                  | $0.00            | $0.00           |
| HSBC Securities                   | $0.00            | $0.00           |
| Credit Suisse                     | $0.00            | $0.00           |
| RBC                               | $0.00            | $0.00           |
| Macquarie Capital                 | $0.00            | $0.00           |
| Interactive Brokers               | $0.00            | $0.00           |
| Virtu Financial                   | $0.00            | $0.00           |
| EWT LLC                           | $0.00            | $0.00           |
| Jane Street                       | $18,148,000.00   | $0.00           |
| Citadel Securities                | $21,347,000.00   | $37,274,900.00  |
| Wells Fargo                       | $0.00            | $0.00           |
| SG Americas                       | $0.00            | $0.00           |
| Virtu Americas LLC                | $12,396,250.00   | $0.00           |
| Hudson River Trading              | $0.00            | $0.00           |
| State Street Global Mkts          | $0.00            | $0.00           |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 15,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.07%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.01%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD RUSSELL 2000 INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VTWO

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00             | $0.00             |
| Merrill Lynch                     | $0.00             | $0.00             |
| CitiGroup                         | $0.00             | $0.00             |
| Wedbush                           | $0.00             | $0.00             |
| Goldman Sachs                     | $1,307,273,500.00 | $582,206,250.00   |
| Jefferies Co                      | $697,969,500.00   | $709,946,500.00   |
| Nomura                            | $0.00             | $0.00             |
| Morgan Stanley                    | $217,569,250.00   | $322,648,250.00   |
| Deutsche Bank                     | $0.00             | $0.00             |
| CIBC World Markets                | $0.00             | $0.00             |
| Cantor Fitzgerald Co              | $0.00             | $0.00             |
| Cowen and Company LLC             | $0.00             | $0.00             |
| UBS                               | $0.00             | $2,288,250.00     |
| Timber Hill                       | $0.00             | $0.00             |
| BNP Paribas Prime Brokerage Inc   | $52,845,500.00    | $55,887,000.00    |
| BNP Paribas                       | $0.00             | $0.00             |
| Merrill Lynch Pro                 | $1,175,530,250.00 | $566,967,750.00   |
| BMO Capital Markets               | $0.00             | $0.00             |
| ABN AMRO Clearing                 | $124,706,500.00   | $67,653,000.00    |
| JP Morgan                         | $17,809,500.00    | $26,411,000.00    |
| BNY Mellon Capital Markets        | $159,639,500.00   | $0.00             |
| Mizuho Securities USA             | $0.00             | $0.00             |
| Barclays Capital                  | $0.00             | $0.00             |
| HSBC Securities                   | $0.00             | $0.00             |
| Credit Suisse                     | $0.00             | $0.00             |
| RBC                               | $31,744,500.00    | $0.00             |
| Macquarie Capital                 | $0.00             | $0.00             |
| Interactive Brokers               | $0.00             | $0.00             |
| Virtu Financial                   | $0.00             | $0.00             |
| EWT LLC                           | $0.00             | $0.00             |
| Jane Street                       | $455,725,250.00   | $227,285,500.00   |
| Citadel Securities                | $821,890,750.00   | $558,553,500.00   |
| Wells Fargo                       | $0.00             | $0.00             |
| SG Americas                       | $0.00             | $0.00             |
| Virtu Americas LLC                | $30,229,750.00    | $1,140,877,500.00 |
| Hudson River Trading              | $398,912,750.00   | $29,793,000.00    |
| State Street Global Mkts          | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.05%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD RUSSELL 2000 VALUE INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VTWV

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value   | Redeem Value    |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00            | $0.00           |
| Merrill Lynch                     | $0.00            | $0.00           |
| CitiGroup                         | $0.00            | $0.00           |
| Wedbush                           | $0.00            | $0.00           |
| Goldman Sachs                     | $0.00            | $0.00           |
| Jefferies Co                      | $112,746,500.00  | $114,741,000.00 |
| Nomura                            | $0.00            | $0.00           |
| Morgan Stanley                    | $0.00            | $0.00           |
| Deutsche Bank                     | $0.00            | $0.00           |
| CIBC World Markets                | $0.00            | $0.00           |
| Cantor Fitzgerald Co              | $0.00            | $0.00           |
| Cowen and Company LLC             | $0.00            | $0.00           |
| UBS                               | $0.00            | $0.00           |
| Timber Hill                       | $0.00            | $0.00           |
| BNP Paribas                       | $0.00            | $0.00           |
| BNP Paribas Prime Brokerage Inc   | $0.00            | $0.00           |
| Merrill Lynch Pro                 | $13,120,200.00   | $27,103,000.00  |
| BMO Capital Markets               | $0.00            | $0.00           |
| ABN AMRO Clearing                 | $0.00            | $0.00           |
| JP Morgan                         | $0.00            | $0.00           |
| BNY Mellon Capital Markets        | $0.00            | $0.00           |
| Mizuho Securities USA             | $0.00            | $0.00           |
| Barclays Capital                  | $0.00            | $0.00           |
| HSBC Securities                   | $0.00            | $0.00           |
| Credit Suisse                     | $0.00            | $0.00           |
| RBC                               | $4,400,000.00    | $0.00           |
| Macquarie Capital                 | $0.00            | $0.00           |
| Interactive Brokers               | $0.00            | $0.00           |
| Virtu Financial                   | $0.00            | $0.00           |
| EWT LLC                           | $0.00            | $0.00           |
| Jane Street                       | $4,508,750.00    | $8,784,000.00   |
| Citadel Securities                | $2,382,950.00    | $10,583,550.00  |
| Wells Fargo                       | $0.00            | $0.00           |
| SG Americas                       | $0.00            | $0.00           |
| Virtu Americas LLC                | $11,448,150.00   | $6,708,400.00   |
| Hudson River Trading              | $0.00            | $0.00           |
| State Street Global Mkts          | $0.00            | $0.00           |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 15,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.17%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD RUSSELL 3000 INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VTHR

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value   | Redeem Value    |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00            | $0.00           |
| Merrill Lynch                     | $0.00            | $0.00           |
| CitiGroup                         | $0.00            | $0.00           |
| Wedbush                           | $0.00            | $0.00           |
| Goldman Sachs                     | $13,039,500.00   | $0.00           |
| Jefferies Co                      | $0.00            | $0.00           |
| Nomura                            | $0.00            | $0.00           |
| Morgan Stanley                    | $0.00            | $0.00           |
| Truist Securities Inc.            | $0.00            | $0.00           |
| Deutsche Bank                     | $0.00            | $0.00           |
| CIBC World Markets                | $0.00            | $0.00           |
| Cantor Fitzgerald Co              | $0.00            | $0.00           |
| Cowen and Company LLC             | $0.00            | $0.00           |
| UBS                               | $0.00            | $0.00           |
| BNP Paribas Prime Brokerage Inc   | $0.00            | $0.00           |
| Merrill Lynch Pro                 | $308,147,250.00  | $172,358,000.00 |
| BMO Capital Markets               | $0.00            | $0.00           |
| ABN AMRO Clearing                 | $0.00            | $0.00           |
| JP Morgan                         | $0.00            | $0.00           |
| BNY Mellon Capital Markets        | $70,746,000.00   | $0.00           |
| Mizuho Securities USA             | $0.00            | $0.00           |
| Barclays Capital                  | $0.00            | $0.00           |
| HSBC Securities                   | $0.00            | $0.00           |
| Credit Suisse                     | $0.00            | $0.00           |
| RBC                               | $19,043,750.00   | $0.00           |
| Macquarie Capital                 | $0.00            | $0.00           |
| Interactive Brokers               | $0.00            | $0.00           |
| Virtu Financial                   | $0.00            | $0.00           |
| Jane Street                       | $44,621,250.00   | $51,123,750.00  |
| Citadel Securities                | $287,024,000.00  | $66,599,500.00  |
| Wells Fargo                       | $0.00            | $0.00           |
| SG Americas                       | $0.00            | $0.00           |
| Virtu Americas LLC                | $114,540,250.00  | $37,688,000.00  |
| Hudson River Trading              | $0.00            | $0.00           |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.09%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD SHORT-TERM CORPORATE BOND INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VCSH

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00             | $0.00             |
| Merrill Lynch                     | $0.00             | $0.00             |
| CitiGroup                         | $39,700,300.00    | $39,319,700.00    |
| Wedbush                           | $0.00             | $0.00             |
| Goldman Sachs                     | $1,969,204,100.00 | $2,379,365,700.00 |
| Jefferies Co                      | $171,956,400.00   | $156,279,700.00   |
| Nomura                            | $0.00             | $0.00             |
| Morgan Stanley                    | $2,414,244,700.00 | $2,628,216,500.00 |
| Truist Securities Inc.            | $0.00             | $0.00             |
| Deutsche Bank                     | $0.00             | $0.00             |
| CIBC World Markets                | $0.00             | $0.00             |
| Cantor Fitzgerald Co              | $0.00             | $0.00             |
| Cowen and Company LLC             | $0.00             | $0.00             |
| UBS                               | $0.00             | $0.00             |
| National Financial Services       | $0.00             | $0.00             |
| Timber Hill                       | $0.00             | $0.00             |
| BNP Paribas Prime Brokerage Inc   | $0.00             | $0.00             |
| BNP Paribas                       | $0.00             | $62,445,400.00    |
| Merrill Lynch Pro                 | $1,281,570,662.19 | $959,350,800.00   |
| BMO Capital Markets               | $0.00             | $0.00             |
| ABN AMRO Clearing                 | $0.00             | $0.00             |
| JP Morgan                         | $9,473,257,200.00 | $7,954,195,200.00 |
| BNY Mellon Capital Markets        | $174,359,500.00   | $0.00             |
| Mizuho Securities USA             | $0.00             | $0.00             |
| Barclays Capital                  | $2,137,209,700.00 | $244,464,200.00   |
| HSBC Securities                   | $0.00             | $0.00             |
| Credit Suisse                     | $0.00             | $0.00             |
| RBC                               | $0.00             | $0.00             |
| Macquarie Capital                 | $0.00             | $0.00             |
| Interactive Brokers               | $0.00             | $0.00             |
| Virtu Financial                   | $0.00             | $0.00             |
| EWT LLC                           | $0.00             | $0.00             |
| Jane Street                       | $54,921,900.00    | $7,934,700.00     |
| Citadel Securities                | $0.00             | $0.00             |
| Wells Fargo                       | $0.00             | $0.00             |
| SG Americas                       | $0.00             | $0.00             |
| Virtu Americas LLC                | $0.00             | $0.00             |
| Hudson River Trading              | $0.00             | $0.00             |
| Bank of America                   | $0.00             | $0.00             |
| State Street Global Mkts          | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 100,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.02%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.01%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD SHORT-TERM TREASURY INDEX FUND

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VGSH

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value    | Redeem Value      |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00             | $0.00             |
| Merrill Lynch                     | $0.00             | $0.00             |
| CitiGroup                         | $0.00             | $0.00             |
| Wedbush                           | $0.00             | $0.00             |
| Goldman Sachs                     | $1,800,424,750.00 | $1,884,185,475.00 |
| Jefferies Co                      | $0.00             | $0.00             |
| Nomura                            | $0.00             | $0.00             |
| Morgan Stanley                    | $58,477,550.00    | $0.00             |
| Truist Securities Inc.            | $0.00             | $0.00             |
| Deutsche Bank                     | $0.00             | $0.00             |
| CIBC World Markets                | $0.00             | $0.00             |
| Cantor Fitzgerald Co              | $0.00             | $0.00             |
| Cowen and Company LLC             | $0.00             | $0.00             |
| UBS                               | $0.00             | $0.00             |
| National Financial Services       | $0.00             | $0.00             |
| Timber Hill                       | $0.00             | $0.00             |
| BNP Paribas                       | $0.00             | $0.00             |
| BNP Paribas Prime Brokerage Inc   | $0.00             | $0.00             |
| Merrill Lynch Pro                 | $3,901,833,050.00 | $2,019,268,825.00 |
| BMO Capital Markets               | $88,784,150.00    | $48,254,800.00    |
| ABN AMRO Clearing                 | $0.00             | $0.00             |
| JP Morgan                         | $1,744,266,700.00 | $1,012,680,025.00 |
| BNY Mellon Capital Markets        | $0.00             | $0.00             |
| Mizuho Securities USA             | $0.00             | $0.00             |
| Barclays Capital                  | $0.00             | $0.00             |
| HSBC Securities                   | $0.00             | $0.00             |
| Credit Suisse                     | $0.00             | $0.00             |
| RBC                               | $95,017,750.00    | $0.00             |
| Macquarie Capital                 | $0.00             | $0.00             |
| Interactive Brokers               | $0.00             | $0.00             |
| EWT LLC                           | $0.00             | $0.00             |
| Virtu Financial                   | $0.00             | $0.00             |
| Jane Street                       | $17,487,050.00    | $48,336,150.00    |
| Citadel Securities                | $0.00             | $0.00             |
| Wells Fargo                       | $0.00             | $0.00             |
| SG Americas                       | $0.00             | $0.00             |
| Virtu Americas LLC                | $0.00             | $0.00             |
| Hudson River Trading              | $0.00             | $0.00             |
| Bank of America                   | $0.00             | $0.00             |
| State Street Global Mkts          | $0.00             | $0.00             |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.00%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD TOTAL CORPORATE BOND ETF

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** VTC

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00            | $0.00          |
| Merrill Lynch                     | $0.00            | $0.00          |
| CitiGroup                         | $0.00            | $0.00          |
| Wedbush                           | $0.00            | $0.00          |
| Goldman Sachs                     | $55,867,900.00   | $5,825,750.00  |
| Jefferies Co                      | $0.00            | $0.00          |
| Nomura                            | $0.00            | $0.00          |
| Morgan Stanley                    | $0.00            | $0.00          |
| Truist Securities Inc.            | $0.00            | $0.00          |
| Deutsche Bank                     | $0.00            | $0.00          |
| CIBC World Markets                | $0.00            | $0.00          |
| Cantor Fitzgerald Co              | $0.00            | $0.00          |
| Cowen and Company LLC             | $0.00            | $0.00          |
| UBS                               | $0.00            | $0.00          |
| National Financial Services       | $0.00            | $0.00          |
| Timber Hill                       | $0.00            | $0.00          |
| BNP Paribas Prime Brokerage Inc   | $0.00            | $0.00          |
| BNP Paribas                       | $0.00            | $0.00          |
| Merrill Lynch Pro                 | $112,056,650.00  | $58,560,500.00 |
| BMO Capital Markets               | $0.00            | $0.00          |
| ABN AMRO Clearing                 | $0.00            | $0.00          |
| JP Morgan                         | $73,738,200.00   | $61,341,000.00 |
| BNY Mellon Capital Markets        | $38,775,250.00   | $0.00          |
| Mizuho Securities USA             | $0.00            | $0.00          |
| Barclays Capital                  | $0.00            | $0.00          |
| HSBC Securities                   | $0.00            | $0.00          |
| Credit Suisse                     | $0.00            | $0.00          |
| RBC                               | $0.00            | $0.00          |
| Macquarie Capital                 | $0.00            | $0.00          |
| Interactive Brokers               | $0.00            | $0.00          |
| Virtu Financial                   | $0.00            | $0.00          |
| EWT LLC                           | $0.00            | $0.00          |
| Jane Street                       | $61,233,400.00   | $16,419,900.00 |
| Citadel Securities                | $0.00            | $0.00          |
| Wells Fargo                       | $0.00            | $0.00          |
| SG Americas                       | $0.00            | $0.00          |
| Virtu Americas LLC                | $0.00            | $19,947,300.00 |
| Hudson River Trading              | $0.00            | $0.00          |
| Bank of America                   | $0.00            | $0.00          |
| State Street Global Mkts          | $0.00            | $0.00          |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 25,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.00%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.01%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

### VANGUARD TOTAL WORLD BOND ETF

**Item E.1 - Exchange**

- **Exchange:** XNAS

- **Ticker:** BNDW

**Item E.2 - Authorized Participants**

| Name                              | Purchase Value   | Redeem Value   |
|:---|:---|:---|
| Mirae Asset Securities (USA) Inc. | $0.00            | $0.00          |
| Merrill Lynch                     | $0.00            | $0.00          |
| CitiGroup                         | $0.00            | $0.00          |
| Wedbush                           | $0.00            | $0.00          |
| Goldman Sachs                     | $110,048,600.00  | $0.00          |
| Jefferies Co                      | $0.00            | $0.00          |
| Nomura                            | $0.00            | $0.00          |
| Morgan Stanley                    | $0.00            | $0.00          |
| Truist Securities Inc.            | $0.00            | $0.00          |
| Deutsche Bank                     | $0.00            | $0.00          |
| CIBC World Markets                | $0.00            | $0.00          |
| Cantor Fitzgerald Co              | $0.00            | $0.00          |
| Cowen and Company LLC             | $0.00            | $0.00          |
| UBS                               | $0.00            | $0.00          |
| National Financial Services       | $0.00            | $0.00          |
| Timber Hill                       | $0.00            | $0.00          |
| BNP Paribas                       | $0.00            | $0.00          |
| BNP Paribas Prime Brokerage Inc   | $0.00            | $0.00          |
| Merrill Lynch Pro                 | $141,903,000.00  | $99,007,400.00 |
| BMO Capital Markets               | $0.00            | $0.00          |
| ABN AMRO Clearing                 | $0.00            | $0.00          |
| JP Morgan                         | $340,840,400.00  | $10,955,200.00 |
| BNY Mellon Capital Markets        | $0.00            | $0.00          |
| Mizuho Securities USA             | $0.00            | $0.00          |
| Barclays Capital                  | $0.00            | $0.00          |
| HSBC Securities                   | $0.00            | $0.00          |
| Credit Suisse                     | $0.00            | $0.00          |
| RBC                               | $0.00            | $0.00          |
| Macquarie Capital                 | $0.00            | $0.00          |
| Interactive Brokers               | $0.00            | $0.00          |
| Virtu Financial                   | $0.00            | $0.00          |
| EWT LLC                           | $0.00            | $0.00          |
| Jane Street                       | $93,158,600.00   | $0.00          |
| Citadel Securities                | $0.00            | $0.00          |
| Wells Fargo                       | $0.00            | $0.00          |
| SG Americas                       | $0.00            | $0.00          |
| Virtu Americas LLC                | $11,671,500.00   | $1,380,800.00  |
| Hudson River Trading              | $0.00            | $0.00          |
| Bank of America                   | $0.00            | $0.00          |
| State Street Global Mkts          | $0.00            | $0.00          |

**Item E.3 - Creation Units**

- **a. Number of Fund shares required to form a creation unit:** 10,000.00

- **b.i. Average percentage of value composed of cash (purchased):** 0.00%

- **c.i. Average percentage of value composed of cash (redeemed):** 0.00%

- **d.i.2. Average transaction fee (dollars for one or more units, purchased):** $0.00

- **d.i.3. Average transaction fee (percentage of value, purchased):** 0.00%

- **Item E.5 - Is the Fund an 'In-Kind Exchange-Traded Fund'?** No

## 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 SCOTTSDALE FUNDS

**Date:** 2025-11-12

**Signature:** Ashley Grim

**Title:** Treasurer