Contents

Your Fund’s Performance at a Glance	1
Advisor's Report	2
About Your Fund’s Expenses	5
Performance Summary	7
Financial Statements	9

Please note: The opinions expressed in this report are just that—informed opinions. They should not be considered promises or advice. Also, please keep in mind that the information and opinions cover the period through the date on the front of this report. Of course, the risks of investing in your fund are spelled out in the prospectus.

Your Fund’s Performance at a Glance

•	Despite some relief in midsummer and late fall, the 12 months ended December 31, 2022, were a volatile, challenging period for financial markets. For the 12 months ended December 31, 2022, Vanguard Ultra-Short Bond ETF returned –0.43%, based on net asset value. The ETF lagged its benchmark, the Bloomberg U.S. Treasury Bellwethers: 1 Year Index, which returned –0.12%.
•	Overall, the economic backdrop deteriorated as inflation soared to multidecade highs, driven by government spending during the pandemic as well as higher energy and food prices in the wake of Russia’s invasion of Ukraine. That prompted aggressive interest rate tightening by many central banks to bring inflation back in check, which caused bond prices to drop sharply and increased fears of recession.
•	Treasury yields jumped higher across the maturity spectrum, but especially at the front end of the curve, and credit spreads widened.
•	Unlike its benchmark, which consists of the most recently issued U.S. Treasury note, the ETF invests in a diversified portfolio of primarily high-quality securities in the credit sector, including investment-grade corporates and asset-backed securities. With the widening in credit spreads that occurred over the period, the ETF modestly underperformed its benchmark.

Market Barometer

	Average Annual Total Returns Periods Ended December 31, 2022
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	-19.13%	7.35%	9.13%
Russell 2000 Index (Small-caps)	-20.44	3.10	4.13
Russell 3000 Index (Broad U.S. market)	-19.21	7.07	8.79
FTSE All-World ex US Index (International)	-15.49	0.61	1.28
Bonds
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market)	-13.07%	-2.67%	0.06%
Bloomberg Municipal Bond Index (Broad tax-exempt market)	-8.53	-0.77	1.25
FTSE Three-Month U.S. Treasury Bill Index	1.50	0.70	1.24
CPI
Consumer Price Index	6.45%	4.92%	3.78%

1

Advisor’s Report

2

heightening concerns that inflation might remain stubbornly high.

In response, major central banks wound down their bond-purchasing programs and began raising short-term interest rates. The Federal Reserve was especially aggressive, raising the federal funds rate target from near zero in March to a range of 4.25%–4.5% by the end of 2022.

Inflation readings did begin to ease down from multidecade highs late in the year, however, and the Fed began slowing the pace of its rate hikes.

Monetary policy tightening contributed to a steep rise across the maturity spectrum, but especially at the front end of the curve. The 2-year U.S. Treasury yield jumped 3.70 percentage points to end the period at 4.43%, while the 10-year U.S. Treasury yield climbed 2.36 percentage points to 3.87%. The average yield of corporate bonds over U.S. Treasuries widened during the period, leading them to underperform.

Management of the portfolio

The ETF’s benchmark consists of the most recently issued U.S. Treasury note with a maturity of 1 year. While we target the same average duration as the benchmark, we take on credit exposure, which is expected to be a primary driver of excess returns for the ETF over time as credit securities offer a yield premium over the Treasury benchmark.

In the first part of the year, we reduced the overall credit risk in the ETF and moved the portfolio up in quality based on

our expectation that rising interest rates and Fed tightening would lead to a slowdown in the economy and wider credit spreads.

Despite our adoption of an even more conservative stance, which benefited the ETF, its return trailed that of its benchmark index as credit underperformed Treasuries for the period.

Outlook

The recent significant negative annual returns have understandably been distressing for bond investors.

With the repricing that has occurred, however, the outlook is substantially better than it was a year ago. That is likely to attract flows back into this asset class, especially given how strong fundamentals are from a credit standpoint.

Although the bond market may continue to see volatility as the Fed is likely to make more rate hikes, today’s higher yields mean bonds can offer more of a cushion against further price declines.

Energy supply-and-demand concerns, diminishing capital flows, declining trade volumes, and falling output per person will probably lead to a global recession in the coming year. While we had upgraded the portfolio’s credit quality based on that outlook, we are open to opportunistically increasing our credit exposure because of the widening in spreads that has taken place. At the same time, we are also favoring some sectors that tend to be more defensive in downturns.

Whatever the markets may bring, our experienced team of portfolio managers, traders, and credit analysts will continue to seek attractive investment opportunities that will add to the ETF’s performance.

Portfolio Managers:

Daniel Shaykevich, Principal

Arvind Narayanan, CFA, Principal

Samuel C. Martinez, CFA

Vanguard Fixed Income Group

January 13, 2023

4

About Your Fund’s Expenses

As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.

A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.

The accompanying table illustrates your fund’s costs in two ways:

•

Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.

To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“

•

Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.

Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”

The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.

You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.

5

Period Ended December 31, 2022
Ultra-Short Bond ETF	Beginning Account Value 6/30/2022	Ending Account Value 12/31/2022	Expenses Paid During Period
Based on Actual Fund Return	$1,000.00	$1,007.60	$0.51
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.70	0.51

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for that period is 0.10%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

6

Ultra-Short Bond ETF

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.

Cumulative Performance: April 05, 2021, Through December 31, 2022

Initial Investment of $10,000

		Average Annual Total Returns Periods Ended December 31, 2022
		One Year	Since Inception (4/5/2021)	Final Value of a $10,000 Investment
	Ultra-Short Bond ETF	-0.43%	-0.18%	$9,969
	Ultra-Short Bond ETF Market Price	-0.39	-0.12	9,979
	Bloomberg U.S. Treasury Bellwethers: 1 Year Index	-0.12	-0.09	9,984
	Bloomberg U.S. Aggregate Bond Index	-13.01	-6.81	8,846

”Since Inception” performance is calculated from the fund's inception date for both the fund and its comparative standard(s).

Cumulative Returns of ETF Shares: April 05, 2021, Through December 31, 2022

Initial Investment of $10,000

	One Year	Since Inception (4/05/2021)
Ultra-Short Bond ETF Market Price	-0.39%	-0.21%
Ultra-Short Bond ETF Net Asset Value	-0.43	-0.31
Bloomberg U.S. Treasury Bellwethers: 1 Year Index	-0.12	-0.16

For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares’ market prices have compared with their net asset value, visit vanguard.com, select your ETF, click on Price, and then scroll down to the Premium/Discount chart. The ETF premium/discount chart there shows the percentage and days on which the ETF Shares’ market price was above or below the NAV.

See Financial Highlights for dividend and capital gains information.

7

Ultra-Short Bond ETF

Fund Allocation

As of December 31, 2022

Asset-Backed/Commercial Mortgage-Backed Securities	10.8%
Corporate Bonds	62.9
Short-Term Reserves	4.4
Sovereign Bonds	1.4
Treasury/Agency	20.5

The table reflects the fund’s investments, except for derivatives. The agency and mortgage-backed securities may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

8

Ultra-Short Bond ETF

Financial Statements

Schedule of Investments

As of December 31, 2022

The fund files its complete schedule of portfolio holdings with the Securities and Exchange Commission (SEC) for the first and third quarters of each fiscal year as an exhibit to its reports on Form N-PORT. The fund’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
U.S. Government and Agency Obligations (4.0%)
U.S. Government Securities (4.0%)
	United States Treasury Note/Bond		4.250%	12/31/24	130,000	129,553
Total U.S. Government and Agency Obligations (Cost $129,547)						129,553
Asset-Backed/Commercial Mortgage-Backed Securities (11.1%)
1	Ally Auto Receivables Trust Class A2 Series 2022-1		2.670%	4/15/25	6,842	6,774
1	Ally Auto Receivables Trust Class A2 Series 2022-2		4.620%	10/15/25	12,500	12,435
1	Ally Auto Receivables Trust Class A3 Series 2019-3		1.930%	5/15/24	30	30
1	Ally Auto Receivables Trust Class A3 Series 2022-1		3.310%	11/15/26	3,500	3,403
1,2	American Credit Acceptance Receivables Trust Class A Series 2021-4		0.450%	9/15/25	81	81
1,2	American Credit Acceptance Receivables Trust Class B Series 2021-4		0.860%	2/13/26	800	797
1	AmeriCredit Automobile Receivables Trust Class A2 Series 2021-2		0.260%	11/18/24	81	81
1	AmeriCredit Automobile Receivables Trust Class A2A Series 2022-2		4.200%	12/18/25	10,468	10,381
1	AmeriCredit Automobile Receivables Trust Class A3 Series 2021-2		0.340%	12/18/26	3,000	2,912
1,2	ARI Fleet Lease Trust Class A2 Series 2021-A		0.370%	3/15/30	3,536	3,476
1,2	ARI Fleet Lease Trust Class A2 Series 2022-A		3.120%	1/15/31	1,000	982
1,2	ARI Fleet Lease Trust Class A3 Series 2022-A		3.430%	1/15/31	500	478
1,2	Avis Budget Rental Car Funding AESOP LLC Class A Series 2017-2A		2.970%	3/20/24	1,750	1,745
1	BMW Vehicle Lease Trust Class A2 Series 2022-1		0.670%	5/28/24	1,433	1,422
1	BMW Vehicle Owner Trust Class A2A Series 2022-A		2.520%	12/26/24	4,759	4,712
1	BMW Vehicle Owner Trust Class A3 Series 2022-A		3.210%	8/25/26	4,250	4,142
1	Capital One Prime Auto Receivables Trust Class A2 Series 2021-1		0.320%	2/18/25	663	655
1	Capital One Prime Auto Receivables Trust Class A2a Series 2022-2		3.740%	9/15/25	8,000	7,913
1	CarMax Auto Owner Trust Class A2 Series 2022-1		0.910%	2/18/25	2,555	2,523
1	CarMax Auto Owner Trust Class A2A Series 2021-3		0.290%	9/16/24	762	759
1	CarMax Auto Owner Trust Class A2A Series 2021-4		0.240%	11/15/24	493	489
1	CarMax Auto Owner Trust Class A3 Series 2022-2		3.490%	2/16/27	1,200	1,167
1	Carvana Auto Receivables Trust Class A2 Series 2021-P3		0.380%	1/10/25	396	393
1	Carvana Auto Receivables Trust Class A3 Series 2022-P1		3.350%	2/10/27	1,500	1,441
1,2	Chase Auto Owner Trust Class A2 Series 2022-AA		3.860%	10/27/25	6,500	6,451
1	CNH Equipment Trust Class A2 Series 2021-C		0.330%	1/15/25	644	636

9

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
1	CNH Equipment Trust Class A2 Series 2022-B		3.940%	12/15/25	2,790	2,756
1	CNH Equipment Trust Class A2 Series 2022-C		5.420%	7/15/26	5,630	5,651
1	CNH Equipment Trust Class A3 Series 2020-A		1.160%	6/16/25	123	121
1,2,3	Connecticut Avenue Securities Trust Class 1M1 Series 2021-R01, SOFR30A + 0.750%		3.747%	10/25/41	732	727
1	Daimler Trucks Retail Trust Class A2 Series 2022-1		5.070%	9/16/24	4,440	4,430
1,2	Dell Equipment Finance Trust Class A2 Series 2021-2		0.330%	12/22/26	600	592
1,2	Dell Equipment Finance Trust Class A2 Series 2022-2		4.030%	7/22/27	3,270	3,234
1,2	DLL LLC Class A4 Series 2019-MT3		2.150%	9/21/26	51	51
1,2	DLLAA LLC Class A2 Series 2021-1A		0.360%	5/17/24	799	795
1,2	DLLAD LLC Class A2 Series 2021-1A		0.350%	9/20/24	1,836	1,809
1,2	Dllmt LLC Class A2 Series 2021-1		0.600%	3/20/24	859	850
1,2	DLLST LLC Class A3 Series 2022-1A		3.400%	1/21/25	3,000	2,926
1,2	DLLST LLC Class A4 Series 2022-1A		3.690%	9/20/28	1,500	1,437
1,2	Donlen Fleet Lease Funding 2 LLC Class A2 Series 2021-2		0.560%	12/11/34	1,102	1,069
1	Drive Auto Receivables Trust Class A3 Series 2021-3		0.790%	10/15/25	942	937
1	Drive Auto Receivables Trust Class B Series 2021-1		0.650%	7/15/25	85	85
1	Drive Auto Receivables Trust Class D Series 2018-5		4.300%	4/15/26	3,985	3,978
1	Drive Auto Receivables Trust Class D Series 2019-1		4.090%	6/15/26	127	127
1,2	DT Auto Owner Trust Class A Series 2021-2A		0.410%	3/17/25	302	301
1,2	DT Auto Owner Trust Class A Series 2021-3A		0.330%	4/15/25	335	332
1,2	DT Auto Owner Trust Class A Series 2021-4		0.560%	9/15/25	465	457
1,2	DT Auto Owner Trust Class A Series 2022-2A		2.880%	6/15/26	3,505	3,448
1,2	Enterprise Fleet Financing LLC Class A2 Series 2019-3		2.060%	5/20/25	31	31
1,2	Enterprise Fleet Financing LLC Class A2 Series 2021-2		0.480%	5/20/27	3,525	3,374
1	Exeter Automobile Receivables Trust Class A3 Series 2021-4A		0.680%	7/15/25	223	222
1	Exeter Automobile Receivables Trust Class A3 Series 2022-2A		2.800%	11/17/25	2,500	2,474
1,2,3,4	Fannie Mae Connecticut Avenue Securities Class 2M1 Series 2021-R02, SOFR + 0.900%		3.897%	11/25/41	1,380	1,352
1,2	Flagship Credit Auto Trust Class A Series 2021-2		0.370%	12/15/26	1,050	1,030
1,2	Flagship Credit Auto Trust Class A Series 2021-3		0.360%	7/15/27	893	864
1,2	Flagship Credit Auto Trust Class A Series 2021-4		0.810%	7/17/26	893	866
1	Ford Credit Auto Lease Trust Class A2 Series 2021-B		0.240%	4/15/24	743	742
1	Ford Credit Auto Lease Trust Class A3 Series 2021-B		0.370%	10/15/24	3,780	3,692
1	Ford Credit Auto Lease Trust Class A4 Series 2022-A		3.370%	7/15/25	1,750	1,699
1	Ford Credit Auto Lease Trust Class C Series 2021-A		0.780%	9/15/25	1,050	1,022
1	Ford Credit Auto Lease Trust Class C Series 2022-A		4.180%	10/15/25	1,250	1,208
1,2	Ford Credit Auto Owner Trust Class A Series 2018-2		3.470%	1/15/30	1,860	1,835
1,2	Ford Credit Auto Owner Trust Class A Series 2019-1		3.520%	7/15/30	6,330	6,206
1	Ford Credit Auto Owner Trust Class A2 Series 2022-D		5.370%	8/15/25	3,750	3,757
1	Ford Credit Auto Owner Trust Class A2A Series 2022-B		3.440%	2/15/25	8,380	8,315
1	Ford Credit Auto Owner Trust Class A2A Series 2022-C		4.520%	4/15/25	3,530	3,516
1	Ford Credit Auto Owner Trust Class A4 Series 2019-A		2.850%	8/15/24	484	483
1	Ford Credit Auto Owner Trust Class A4 Series 2021-A		0.300%	4/15/24	1,000	992
1	Ford Credit Floorplan Master Owner Trust Class A Series 2020-1B		0.980%	9/15/25	1,100	1,060
1	Ford Credit Floorplan Master Owner Trust Class A1 Series 2020-1		0.700%	9/15/25	4,720	4,568
1	Ford Credit Floorplan Master Owner Trust Class D Series 2020-1		2.120%	9/15/25	500	486
1,2,3,4	Freddie Mac STACR REMIC Trust Class M1 Series 2021-DNA6, SOFR30A + 0.800%		3.797%	10/25/41	1,570	1,549

10

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
1,2	GLS Auto Receivables Issuer Trust Class A Series 2021-3A		0.420%	1/15/25	180	179
1,2	GLS Auto Receivables Issuer Trust Class A Series 2021-4A		0.840%	7/15/25	639	631
1,2	GLS Auto Receivables Trust Class A Series 2022-1A		1.980%	8/15/25	1,016	1,001
1	GM Financial Automobile Leasing Trust Class A4 Series 2022-2		3.540%	5/20/26	2,750	2,667
1	GM Financial Automobile Leasing Trust Class B Series 2022-2		4.020%	5/20/26	1,750	1,698
1	GM Financial Consumer Automobile Receivables Trust Class A2 Series 2022-1		0.760%	2/18/25	1,836	1,811
1	GM Financial Consumer Automobile Receivables Trust Class A2A Series 2022-3		3.500%	9/16/25	9,720	9,627
1	GM Financial Consumer Automobile Receivables Trust Class A2a Series 2022-4		4.600%	11/17/25	12,500	12,443
1,3	GS Mortgage Securities Trust Class B Series 2013-GC12		3.777%	6/10/46	350	346
1	Harley-Davidson Motorcycle Trust Class A3 Series 2022-A		3.060%	2/15/27	1,250	1,215
1,2	Hertz Vehicle Financing III LLC Class A Series 2022-3A		3.370%	3/25/25	1,760	1,716
1,2	Hertz Vehicle Financing III LLC Class C Series 2022-3A		4.350%	3/25/25	510	494
1	Honda Auto Receivables Owner Trust Class A2 Series 2022-2		3.810%	3/18/25	4,750	4,710
1	Honda Auto Receivables Owner Trust Class A3 Series 2019-4		1.830%	1/18/24	226	226
1,2	HPEFS Equipment Trust Class A2 Series 2021-2A		0.300%	9/20/28	647	645
1,2	HPEFS Equipment Trust Class A2 Series 2022-1A		1.020%	5/21/29	1,094	1,076
1,2	HPEFS Equipment Trust Class A3 Series 2021-2A		0.360%	9/20/28	2,500	2,446
1,2	HPEFS Equipment Trust Class A3 Series 2022-2A		3.760%	9/20/29	1,780	1,742
1,2	Hyundai Auto Lease Securitization Trust Class A2 Series 2021-C		0.240%	1/16/24	981	976
1,2	Hyundai Auto Lease Securitization Trust Class A2 Series 2022-A		0.810%	4/15/24	2,686	2,649
1,2	Hyundai Auto Lease Securitization Trust Class A3 Series 2021-B		0.330%	6/17/24	1,500	1,477
1,2	Hyundai Auto Lease Securitization Trust Class B Series 2021-A		0.610%	10/15/25	4,150	4,048
1	Hyundai Auto Receivables Trust Class A2 Series 2022-B		3.640%	5/15/25	5,190	5,137
1	Hyundai Auto Receivables Trust Class A2a Series 2020-C		5.350%	11/17/25	5,230	5,242
1	Hyundai Auto Receivables Trust Class A2A Series 2021-C		0.360%	10/15/24	3,349	3,311
1	John Deere Owner Trust Class A2 Series 2022-B		3.730%	6/16/25	3,180	3,152
1,2	JPMorgan Chase Bank NA - CACLN Class B Series 2021-2		0.889%	12/26/28	2,586	2,485
1,2	Kubota Credit Owner Trust Class A2 Series 2022-2		4.070%	6/17/25	3,920	3,869
1	Mercedes-Benz Auto Lease Trust Class A3 Series 2021-B		0.400%	11/15/24	5,000	4,859
1	Mercedes-Benz Auto Receivables Trust Class A2 Series 2022-1		5.260%	10/15/25	7,690	7,704
1	Nissan Auto Lease Trust Class A2 Series 2021-A		0.300%	12/15/23	659	657
1	Nissan Auto Receivables Owner Trust Class A2 Series 2022-B		4.500%	8/15/25	6,530	6,480
1,2,3	RESIMAC Bastille Trust Class A1B Series 2021-2NCA, SOFR + 0.740%		3.762%	2/3/53	981	974
1,2	Santander Bank NA - SBCLN Class B Series 2021-1A		1.833%	12/15/31	810	779
1	Santander Drive Auto Receivables Trust Class A3 Series 2022-3		3.400%	12/15/26	4,600	4,521
1	Santander Drive Auto Receivables Trust Class A3 Series 2022-4		4.140%	2/16/27	1,750	1,706
1	Santander Drive Auto Receivables Trust Class A3 Series 2022-5		4.110%	8/17/26	4,200	4,112

11

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
1	Santander Drive Auto Receivables Trust Class A3 Series 2022-6		4.490%	11/16/26	1,130	1,108
1	Santander Drive Auto Receivables Trust Class B Series 2021-2		0.590%	9/15/25	2,077	2,072
1,2	Santander Retail Auto Lease Trust Class A2 Series 2021-B		0.310%	1/22/24	418	417
1,2	Santander Retail Auto Lease Trust Class A2 Series 2021-C		0.290%	4/22/24	90	90
1,2	Santander Retail Auto Lease Trust Class A3 Series 2021-B		0.510%	8/20/24	3,000	2,903
1,2	Santander Retail Auto Lease Trust Class A3 Series 2021-C		0.500%	3/20/25	610	594
1,2	Santander Retail Auto Lease Trust Class A4 Series 2022-B		3.330%	10/20/26	1,250	1,199
1,2	Santander Retail Auto Lease Trust Class B Series 2022-B		3.850%	3/22/27	1,750	1,679
1,2	Tesla Auto Lease Trust Class A2 Series 2021-B		0.360%	9/22/25	1,249	1,221
1,2	Tesla Auto Lease Trust Class A3 Series 2020-A		0.680%	12/20/23	425	423
1	Toyota Auto Receivables Owner Trust Class A2A Series 2022-C		3.830%	8/15/25	7,250	7,178
1	Toyota Auto Receivables Owner Trust Class A2a Series 2022-D		5.270%	1/15/26	8,150	8,161
1,2	Toyota Lease Owner Trust Class A3 Series 2021-B		0.420%	10/21/24	1,800	1,751
1,2	USAA Auto Owner Trust Class A2 Series 2022-A		4.720%	2/18/25	10,140	10,110
1	Verizon Master Trust Class A1a Series 2022-5		3.720%	7/20/27	7,500	7,392
1	Verizon Master Trust Class B Series 2022-1		1.270%	1/20/27	3,500	3,423
1	Verizon Master Trust Class B Series 2022-1		1.390%	1/20/27	1,500	1,466
1	Verizon Owner Trust Class C Series 2019-C		2.160%	4/22/24	3,000	2,990
1	Verizon Owner Trust Class C Series 2020-B		0.830%	2/20/25	2,740	2,637
1	Volkswagen Auto Lease Trust Class A2 Series 2022-A		3.020%	10/21/24	9,262	9,144
1,2	Westlake Automobile Receivables Trust Class A2A Series 2021-1A		0.390%	10/15/24	86	85
1,2	Westlake Automobile Receivables Trust Class A2A Series 2021-2A		0.320%	4/15/25	1,267	1,254
1,2	Westlake Automobile Receivables Trust Class A3 Series 2021-3A		0.950%	6/16/25	2,780	2,700
1,2	Westlake Automobile Receivables Trust Class A3 Series 2022-1A		2.420%	7/15/25	1,900	1,849
1,2	Wheels Fleet Lease Funding 1 LLC Class A Series 2022-1A		2.470%	10/18/36	681	663
1	World Omni Auto Receivables Trust Class A2 Series 2021-D		0.350%	12/16/24	814	807
1	World Omni Auto Receivables Trust Class A2 Series 2022-C		3.730%	3/16/26	8,000	7,896
1	World Omni Auto Receivables Trust Class A2a Series 2022-D		5.510%	3/16/26	7,000	7,003
1	World Omni Automobile Lease Securitization Trust Class A4 Series 2022-A		3.340%	6/15/27	540	519
1	World Omni Automobile Lease Securitization Trust Class B Series 2022-A		3.670%	6/15/27	790	764
1	World Omni Select Auto Trust Class A2 Series 2021-A		0.290%	2/18/25	160	160
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $366,938)						362,203
Corporate Bonds (64.8%)
Communications (2.5%)
	AT&T Inc.		0.900%	3/25/24	199	189
	British Telecommunications plc		4.500%	12/4/23	630	624

12

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
	Charter Communications Operating LLC / Charter Communications Operating Capital		4.500%	2/1/24	1,289	1,273
	Comcast Corp.		3.700%	4/15/24	1,136	1,119
2	Cox Communications Inc.		2.950%	6/30/23	9,540	9,450
2	Deutsche Telekom International Finance BV		2.485%	9/19/23	11,829	11,579
	Fox Corp.		4.030%	1/25/24	4,098	4,049
	Interpublic Group of Cos. Inc.		4.200%	4/15/24	4,096	4,020
2	Magallanes Inc.		3.428%	3/15/24	3,915	3,800
2	NTT Finance Corp.		0.583%	3/1/24	10,660	10,111
2	NTT Finance Corp.		4.142%	7/26/24	5,540	5,452
	Rogers Communications Inc.		4.100%	10/1/23	928	920
	Sprint LLC		7.875%	9/15/23	7,895	8,013
	Take-Two Interactive Software Inc.		3.300%	3/28/24	14,702	14,349
5	Verizon Communications Inc.		3.500%	2/17/23	4,820	3,278
	Verizon Communications Inc.		0.750%	3/22/24	3,303	3,135
	Vodafone Group plc		2.950%	2/19/23	299	298
						81,659
Consumer Discretionary (5.7%)
	Amazon.com Inc.		2.400%	2/22/23	138	138
	Amazon.Com Inc.		4.700%	11/29/24	15,000	14,993
	American Honda Finance Corp.		1.950%	5/10/23	1,352	1,338
	American Honda Finance Corp.		0.875%	7/7/23	2,000	1,959
	American Honda Finance Corp.		3.450%	7/14/23	1,453	1,441
	American Honda Finance Corp.		0.650%	9/8/23	3,500	3,395
	American Honda Finance Corp.		3.625%	10/10/23	22,631	22,405
	American Honda Finance Corp.		3.550%	1/12/24	4,182	4,124
	AutoZone Inc.		2.875%	1/15/23	1,511	1,510
	AutoZone Inc.		3.125%	7/15/23	6,561	6,481
2	BMW US Capital LLC		3.800%	4/6/23	1,430	1,426
2	BMW US Capital LLC		3.450%	4/12/23	6,480	6,453
2	BMW US Capital LLC		2.250%	9/15/23	6,446	6,320
2	BMW US Capital LLC		0.800%	4/1/24	2,615	2,480
2	BMW US Capital LLC		3.150%	4/18/24	2,313	2,255
2	Daimler Finance North America LLC		1.750%	3/10/23	5,320	5,289
2	Daimler Finance North America LLC		3.700%	5/4/23	547	544
2	Daimler Finance North America LLC		3.650%	2/22/24	4,280	4,206
2	Daimler Finance North America LLC		3.250%	8/1/24	3,514	3,408
2	ERAC USA Finance LLC		2.700%	11/1/23	13,691	13,377
	General Motors Financial Co. Inc.		3.250%	1/5/23	3,850	3,850
	General Motors Financial Co. Inc.		3.700%	5/9/23	2,893	2,876
	General Motors Financial Co. Inc.		4.150%	6/19/23	5,119	5,093
	General Motors Financial Co. Inc.		5.100%	1/17/24	2,282	2,275
2	Harley-Davidson Financial Services Inc.		3.350%	2/15/23	1,000	997
	Lowe's Cos. Inc.		3.875%	9/15/23	1,602	1,586
2	Nissan Motor Acceptance Co. LLC		3.450%	3/15/23	4,252	4,233
2	Nissan Motor Acceptance Co. LLC		3.875%	9/21/23	735	721
2	Nissan Motor Co. Ltd.		3.043%	9/15/23	5,337	5,215
	Starbucks Corp.		3.850%	10/1/23	1,132	1,120
	Stellantis NV		5.250%	4/15/23	2,954	2,948
	Toyota Motor Corp.		0.681%	3/25/24	2,000	1,898
	Toyota Motor Credit Corp.		2.625%	1/10/23	4,236	4,235
	Toyota Motor Credit Corp.		2.700%	1/11/23	240	239
	Toyota Motor Credit Corp.		0.000%	1/8/24	12,250	12,053
	Toyota Motor Credit Corp.		2.500%	3/22/24	7,765	7,536
	Toyota Motor Credit Corp.		4.400%	9/20/24	4,482	4,444

13

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
5	Volkswagen Financial Services Australia Pty Ltd.		3.100%	4/17/23	2,590	1,757
2	Volkswagen Group of America Finance LLC		3.125%	5/12/23	6,205	6,158
2	Volkswagen Group of America Finance LLC		0.875%	11/22/23	15,698	15,073
						187,849
Consumer Staples (3.4%)
2	7-Eleven Inc.		0.800%	2/10/24	16,013	15,232
	Altria Group Inc.		4.000%	1/31/24	10,360	10,254
	Altria Group Inc.		3.800%	2/14/24	4,944	4,857
	BAT Capital Corp.		3.222%	8/15/24	4,000	3,857
2	CK Hutchison International 17 II Ltd.		2.750%	3/29/23	305	303
2	Coca-Cola Europacific Partners plc		0.500%	5/5/23	2,500	2,457
2	Danone SA		2.589%	11/2/23	14,967	14,643
	Diageo Capital plc		3.500%	9/18/23	4,154	4,112
	GSK Consumer Healthcare Capital US LLC		3.024%	3/24/24	3,760	3,648
	Keurig Dr Pepper Inc.		3.130%	12/15/23	4,800	4,703
	Keurig Dr Pepper Inc.		0.750%	3/15/24	931	884
	Kimberly-Clark Corp.		2.400%	6/1/23	1,195	1,181
	Mondelez International Inc.		2.125%	3/17/24	1,136	1,096
	Philip Morris International Inc.		2.625%	3/6/23	1,000	996
	Philip Morris International Inc.		2.125%	5/10/23	4,712	4,661
	Philip Morris International Inc.		3.600%	11/15/23	14,610	14,440
	Philip Morris International Inc.		2.875%	5/1/24	281	273
	Philip Morris International Inc.		5.125%	11/15/24	11,781	11,791
	Reynolds American Inc.		4.850%	9/15/23	2,820	2,812
	Unilever Capital Corp.		3.125%	3/22/23	170	170
	Walgreens Boots Alliance Inc.		0.950%	11/17/23	8,571	8,266
						110,636
Energy (3.7%)
	Canadian Natural Resources Ltd.		3.800%	4/15/24	900	883
	Cheniere Corpus Christi Holdings LLC		7.000%	6/30/24	1,575	1,603
	ConocoPhillips Co.		0.000%	3/8/24	9,930	9,618
	Ecopetrol SA		5.875%	9/18/23	4,545	4,519
	Enable Midstream Partners LP		3.900%	5/15/24	2,000	1,949
	Enbridge Inc.		4.000%	10/1/23	9,930	9,828
	Enbridge Inc.		0.550%	10/4/23	4,382	4,236
3	Enbridge Inc., SOFR + 0.630%		3.342%	2/16/24	1,610	1,596
	Energy Transfer LP		3.450%	1/15/23	82	82
	Energy Transfer LP		4.250%	3/15/23	4,500	4,490
	Energy Transfer LP		4.200%	9/15/23	2,210	2,191
	Energy Transfer LP		5.875%	1/15/24	894	896
	Energy Transfer LP		4.900%	2/1/24	5,220	5,156
	Energy Transfer LP		4.500%	4/15/24	252	248
	EOG Resources Inc.		2.625%	3/15/23	5,146	5,119
	Kinder Morgan Energy Partners LP		3.450%	2/15/23	725	723
	Kinder Morgan Energy Partners LP		3.500%	9/1/23	1,066	1,054
	Kinder Morgan Energy Partners LP		4.150%	2/1/24	4,796	4,734
	Kinder Morgan Energy Partners LP		4.300%	5/1/24	2,977	2,939
	Kinder Morgan Inc.		3.150%	1/15/23	633	632
2	Kinder Morgan Inc.		5.625%	11/15/23	5,707	5,708
	MPLX LP		4.500%	7/15/23	7,130	7,099
	Phillips 66		0.900%	2/15/24	9,594	9,182
	Pioneer Natural Resources Co.		0.550%	5/15/23	5,000	4,917
2	Saudi Arabian Oil Co.		1.250%	11/24/23	200	192
	Schlumberger Investment SA		3.650%	12/1/23	6,185	6,107
	Sinopec Group Overseas Development 2013 Ltd.		4.375%	10/17/23	410	408

14

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
	Thai Oil PCL		3.625%	1/23/23	100	100
	Thaioil Treasury Center Co. Ltd.		3.625%	1/23/23	200	200
	TotalEnergies Capital Canada Ltd.		2.750%	7/15/23	3,950	3,904
	TotalEnergies Capital International SA		3.700%	1/15/24	536	529
	TransCanada PipeLines Ltd.		3.750%	10/16/23	5,796	5,728
	Williams Cos. Inc.		4.500%	11/15/23	9,345	9,275
	Williams Cos. Inc.		4.300%	3/4/24	5,211	5,143
						120,988
Financials (29.3%)
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust		4.500%	9/15/23	4,500	4,467
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust		1.150%	10/29/23	572	550
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust		4.875%	1/16/24	2,255	2,233
3	AerCap Ireland Capital DAC / AerCap Global Aviation Trust, SOFR + 0.680%		3.733%	9/29/23	2,900	2,855
	Affiliated Managers Group Inc.		4.250%	2/15/24	1,704	1,684
	Air Lease Corp.		2.250%	1/15/23	1,000	999
	Air Lease Corp.		2.750%	1/15/23	4,855	4,851
	Air Lease Corp.		3.875%	7/3/23	2,812	2,788
	Air Lease Corp.		3.000%	9/15/23	3,375	3,313
	Air Lease Corp.		0.700%	2/15/24	1,837	1,736
	Ally Financial Inc.		3.050%	6/5/23	7,807	7,723
	Ally Financial Inc.		1.450%	10/2/23	10,000	9,687
	American Express Co.		3.400%	2/27/23	4,391	4,382
	American Express Co.		3.700%	8/3/23	8,723	8,658
	American Express Co.		3.400%	2/22/24	335	329
	American Express Co.		3.375%	5/3/24	13,000	12,742
2	ANZ New Zealand International Ltd.		1.900%	2/13/23	2,966	2,957
2	ANZ New Zealand International Ltd.		3.400%	3/19/24	4,863	4,760
	Aon plc		4.000%	11/27/23	13,614	13,479
	Ares Capital Corp.		3.500%	2/10/23	716	714
2	ASB Bank Ltd.		3.750%	6/14/23	281	279
2	Athene Global Funding		2.800%	5/26/23	1,355	1,341
2	Athene Global Funding		1.200%	10/13/23	17,773	17,162
3,5	Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.000%		5.029%	7/26/29	432	295
	Banco Santander SA		3.125%	2/23/23	7,645	7,623
	Banco Santander SA		3.848%	4/12/23	6,681	6,653
	Banco Santander SA		2.706%	6/27/24	11,800	11,327
	Banco Santander SA		0.701%	6/30/24	5,698	5,543
3,5	Banco Santander SA, 3M Australian Bank Bill Rate + 1.650%		4.612%	1/19/23	400	272
	Bank of America Corp.		3.550%	3/5/24	10,333	10,294
	Bank of America Corp.		1.486%	5/19/24	1,000	984
	Bank of America Corp.		0.523%	6/14/24	1,919	1,872
	Bank of America Corp.		3.458%	3/15/25	5,376	5,238
	Bank of Montreal		0.400%	9/15/23	15,137	14,654
	Bank of Montreal		0.450%	12/8/23	200	192
	Bank of Montreal		3.300%	2/5/24	14,161	13,897
	Bank of Montreal		4.250%	9/14/24	3,491	3,444
	Bank of New York Mellon Corp.		2.200%	8/16/23	228	224
	Bank of New York Mellon Corp.		0.000%	12/7/23	1,609	1,543
	Bank of New York Mellon Corp.		3.650%	2/4/24	1,912	1,883
	Bank of Nova Scotia		1.625%	5/1/23	13,897	13,727
	Bank of Nova Scotia		0.400%	9/15/23	9,285	8,984
	Bank of Nova Scotia		0.550%	9/15/23	1,000	969

15

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
	Bank of Nova Scotia		3.400%	2/11/24	2,797	2,749
	Bank of Nova Scotia		2.440%	3/11/24	779	754
	Bank of Nova Scotia		0.700%	4/15/24	483	456
2	Banque Federative du Credit Mutuel SA		0.650%	2/27/24	30,000	28,406
	Barclays plc		4.338%	5/16/24	3,967	3,939
3,5	Barclays plc, 3M Australian Bank Bill Rate + 1.800%		4.553%	6/15/23	1,250	852
2	BNP Paribas SA		3.800%	1/10/24	4,750	4,668
2	BNZ International Funding Ltd.		3.375%	3/1/23	2,122	2,117
2	BPCE SA		2.750%	1/11/23	1,945	1,944
2	BPCE SA		0.000%	9/12/23	4,160	4,109
2	BPCE SA		5.700%	10/22/23	5,800	5,764
	BPCE SA		4.000%	4/15/24	14,263	14,020
3,5	BPCE SA, 3M Australian Bank Bill Rate + 1.100%		4.129%	4/26/23	410	279
2	Brighthouse Financial Global Funding		0.600%	6/28/23	10,575	10,335
2	Brighthouse Financial Global Funding		1.200%	12/15/23	851	815
	Canadian Imperial Bank of Commerce		0.450%	6/22/23	9,540	9,336
	Canadian Imperial Bank of Commerce		0.950%	6/23/23	6,787	6,660
	Canadian Imperial Bank of Commerce		3.500%	9/13/23	5,324	5,261
	Canadian Imperial Bank of Commerce		0.500%	12/14/23	1,426	1,366
	Capital One Financial Corp.		2.600%	5/11/23	5,547	5,500
	Capital One Financial Corp.		3.500%	6/15/23	1,596	1,585
	Capital One Financial Corp.		3.900%	1/29/24	732	723
	Charles Schwab Corp.		3.550%	2/1/24	1,424	1,403
	Chubb INA Holdings Inc.		2.700%	3/13/23	1,855	1,847
	Citigroup Inc.		3.500%	5/15/23	5,550	5,521
	Citigroup Inc.		3.875%	10/25/23	5,000	4,954
	Citigroup Inc.		1.678%	5/15/24	7,423	7,318
	Citigroup Inc.		4.044%	6/1/24	3,318	3,296
2	Commonwealth Bank of Australia		3.450%	3/16/23	160	160
	Cooperatieve Rabobank UA		3.875%	8/22/24	2,335	2,295
2	Corebridge Global Funding		0.400%	9/13/23	10,344	10,012
2	Corebridge Global Funding		0.450%	12/8/23	5,902	5,653
2	Credit Agricole SA		3.750%	4/24/23	4,313	4,290
2	Danske Bank A/S		3.875%	9/12/23	115	113
	Discover Bank		3.350%	2/6/23	1,744	1,739
	Discover Bank		4.200%	8/8/23	6,311	6,268
2	Equitable Financial Life Global Funding		0.500%	4/6/23	6,939	6,855
2	Equitable Financial Life Global Funding		0.500%	11/17/23	10,024	9,616
	Fifth Third Bancorp		1.625%	5/5/23	500	494
	Fifth Third Bancorp		4.300%	1/16/24	3,101	3,071
	First Republic Bank		1.912%	2/12/24	3,238	3,224
2,6	Five Corners Funding Trust		4.419%	11/15/23	37,505	37,148
2	GA Global Funding Trust		1.250%	12/8/23	1,228	1,181
2	GA Global Funding Trust		1.000%	4/8/24	7,590	7,112
	GATX Corp.		3.900%	3/30/23	721	717
	GATX Corp.		0.000%	2/15/24	2,334	2,300
5	Goldman Sachs Group Inc.		3.600%	5/16/23	2,160	1,465
	Goldman Sachs Group Inc.		1.217%	12/6/23	13,000	12,550
	Goldman Sachs Group Inc.		3.625%	2/20/24	4,500	4,424
	Goldman Sachs Group Inc.		0.673%	3/8/24	3,168	3,130
	Goldman Sachs Group Inc.		3.000%	3/15/24	18,000	17,553
	Goldman Sachs Group Inc.		0.925%	10/21/24	1,100	1,056
3,5	Goldman Sachs Group Inc., 3M Australian Bank Bill Rate + 1.200%		3.503%	5/16/23	200	136
	HSBC Holdings plc		3.600%	5/25/23	2,400	2,386

16

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
5	HSBC Holdings plc		3.350%	2/16/24	3,163	2,148
	HSBC Holdings plc		3.950%	5/18/24	12,765	12,656
	HSBC Holdings plc		0.732%	8/17/24	12,477	12,027
3,5	HSBC Holdings plc, 3M Australian Bank Bill Rate + 1.100%		4.150%	2/16/24	1,564	1,063
	HSBC USA Inc.		0.000%	5/24/24	5,540	5,437
	Huntington National Bank		3.550%	10/6/23	5,924	5,860
2	ING Bank NV		5.800%	9/25/23	2,629	2,624
	ING Groep NV		4.100%	10/2/23	4,871	4,831
	Invesco Finance plc		4.000%	1/30/24	8,720	8,650
	Jackson Financial Inc.		1.125%	11/22/23	1,525	1,470
2	Jackson National Life Global Funding		3.250%	1/30/24	246	241
	JPMorgan Chase & Co.		3.375%	5/1/23	1,090	1,084
	JPMorgan Chase & Co.		2.700%	5/18/23	3,394	3,363
	JPMorgan Chase & Co.		0.697%	3/16/24	7,228	7,155
	JPMorgan Chase & Co.		3.559%	4/23/24	11,951	11,874
	JPMorgan Chase & Co.		3.625%	5/13/24	5,319	5,230
	JPMorgan Chase & Co.		1.514%	6/1/24	1,277	1,256
	JPMorgan Chase & Co.		3.797%	7/23/24	5,849	5,793
	JPMorgan Chase & Co.		0.000%	6/14/25	4,240	4,149
2	Liberty Mutual Group Inc.		4.250%	6/15/23	4,024	3,988
5	Lloyds Banking Group plc		3.650%	3/20/23	750	509
	Lloyds Banking Group plc		4.050%	8/16/23	10,300	10,229
5	Lloyds Banking Group plc		3.900%	11/23/23	690	463
	Lloyds Banking Group plc		3.900%	3/12/24	612	601
	Lloyds Banking Group plc		0.695%	5/11/24	21,960	21,532
	Loews Corp.		2.625%	5/15/23	8,443	8,362
	Marsh & McLennan Cos. Inc.		4.050%	10/15/23	840	829
	Marsh & McLennan Cos. Inc.		3.875%	3/15/24	10,961	10,809
2	MassMutual Global Funding II		0.480%	8/28/23	2,000	1,941
2	Met Tower Global Funding		0.700%	4/5/24	1,233	1,165
2	Metropolitan Life Global Funding I		3.000%	1/10/23	3,011	3,010
2	Metropolitan Life Global Funding I		0.400%	1/7/24	9,161	8,734
2	Metropolitan Life Global Funding I		3.600%	1/11/24	7,294	7,184
	Mitsubishi UFJ Financial Group Inc.		3.761%	7/26/23	15,000	14,884
	Mitsubishi UFJ Financial Group Inc.		2.527%	9/13/23	505	495
	Mitsubishi UFJ Financial Group Inc.		3.407%	3/7/24	5,300	5,183
	Mitsubishi UFJ Financial Group Inc.		0.848%	9/15/24	268	258
	Mizuho Financial Group Inc.		1.241%	7/10/24	3,640	3,550
	Morgan Stanley		4.100%	5/22/23	2,453	2,444
3	Morgan Stanley		4.598%	11/10/23	10,296	10,256
	Morgan Stanley		0.529%	1/25/24	2,567	2,551
	Morgan Stanley		0.731%	4/5/24	4,593	4,526
	Morgan Stanley		3.737%	4/24/24	3,441	3,421
	Morgan Stanley		3.875%	4/29/24	4,000	3,939
2	MUFG Bank Ltd.		4.100%	9/9/23	580	576
2	MUFG Bank Ltd.		3.750%	3/10/24	2,660	2,606
	National Australia Bank Ltd.		2.875%	4/12/23	300	298
2	Nationwide Building Society		2.000%	1/27/23	300	299
	NatWest Group plc		3.875%	9/12/23	2,620	2,592
	NatWest Group plc		4.519%	6/25/24	2,000	1,982
2	NatWest Markets plc		2.375%	5/21/23	2,795	2,755
2	New York Life Global Funding		1.100%	5/5/23	526	519
2	New York Life Global Funding		2.900%	1/17/24	594	581
2	Nordea Bank Abp		1.000%	6/9/23	1,835	1,804

17

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
2	Nordea Bank Abp		3.750%	8/30/23	4,640	4,594
	Nordea Bank Abp		3.750%	8/30/23	5,000	4,950
2	Penske Truck Leasing Co. LP / PTL Finance Corp.		2.700%	3/14/23	1,523	1,515
2	Penske Truck Leasing Co. LP / PTL Finance Corp.		4.125%	8/1/23	2,705	2,681
2	Penske Truck Leasing Co. LP / PTL Finance Corp.		3.900%	2/1/24	3,447	3,374
	PNC Bank NA		3.500%	6/8/23	2,914	2,895
	PNC Bank NA		3.800%	7/25/23	1,159	1,150
	PNC Financial Services Group Inc.		3.500%	1/23/24	7,334	7,221
	PNC Financial Services Group Inc.		3.900%	4/29/24	1,170	1,156
2	Pricoa Global Funding I		3.450%	9/1/23	347	343
	Principal Financial Group Inc.		3.125%	5/15/23	1,906	1,893
2	Principal Life Global Funding II		0.500%	1/8/24	7,059	6,732
2	Principal Life Global Funding II		0.750%	4/12/24	4,246	4,005
2	Protective Life Global Funding		0.502%	4/12/23	5,200	5,137
2	Protective Life Global Funding		0.391%	7/7/23	2,500	2,443
2	Protective Life Global Funding		0.631%	10/13/23	4,775	4,609
	Protective Life Global Funding		0.631%	10/13/23	300	290
2	Protective Life Global Funding		0.473%	1/12/24	2,820	2,686
	Reinsurance Group of America Inc.		4.700%	9/15/23	246	245
2	Reliance Standard Life Global Funding II		2.150%	1/21/23	895	893
2	Reliance Standard Life Global Funding II		3.850%	9/19/23	5,700	5,620
	Royal Bank of Canada		3.700%	10/5/23	13,115	12,987
	Royal Bank of Canada		0.500%	10/26/23	2,702	2,606
	Royal Bank of Canada		0.425%	1/19/24	5,304	5,062
	Royal Bank of Canada		3.970%	7/26/24	19,498	19,231
2	Santander UK plc		5.000%	11/7/23	2,365	2,339
2	Skandinaviska Enskilda Banken AB		0.550%	9/1/23	6,253	6,066
	State Bank of India		4.500%	9/28/23	650	646
	State Street Corp.		3.100%	5/15/23	6,300	6,257
	State Street Corp.		3.700%	11/20/23	281	278
	Sumitomo Mitsui Banking Corp.		3.950%	1/10/24	477	470
5	Sumitomo Mitsui Financial Group Inc.		3.604%	3/7/23	1,420	965
	Sumitomo Mitsui Financial Group Inc.		3.748%	7/19/23	1,255	1,245
	Sumitomo Mitsui Financial Group Inc.		3.936%	10/16/23	3,021	2,987
	Sumitomo Mitsui Financial Group Inc.		0.508%	1/12/24	400	381
2	Sumitomo Mitsui Trust Bank Ltd.		0.800%	9/12/23	3,889	3,768
2	Sumitomo Mitsui Trust Bank Ltd.		0.850%	3/25/24	8,560	8,096
2	Swedbank AB		1.300%	6/2/23	3,050	3,003
	Toronto-Dominion Bank		0.750%	6/12/23	1,046	1,027
	Toronto-Dominion Bank		3.500%	7/19/23	3,500	3,474
	Toronto-Dominion Bank		0.450%	9/11/23	4,949	4,797
	Toronto-Dominion Bank		0.550%	3/4/24	10,210	9,697
	Toronto-Dominion Bank		3.250%	3/11/24	5,339	5,226
	Toronto-Dominion Bank		4.285%	9/13/24	4,654	4,597
	Truist Bank		3.689%	8/2/24	2,190	2,170
2	UBS AG		0.375%	6/1/23	1,228	1,205
2	UBS AG		0.450%	2/9/24	1,434	1,359
2	UBS Group AG		1.008%	7/30/24	16,110	15,679
	US Bancorp		3.375%	2/5/24	6,502	6,390
2	USAA Capital Corp.		1.500%	5/1/23	1,750	1,732
	Wells Fargo & Co.		4.125%	8/15/23	7,027	6,981
	Wells Fargo & Co.		1.654%	6/2/24	4,456	4,385
	Westpac Banking Corp.		3.650%	5/15/23	50	50

18

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
3,5	Westpac Banking Corp., 3M Australian Bank Bill Rate + 1.800%		5.010%	6/22/28	5,700	3,826
						955,432
Health Care (5.8%)
	AbbVie Inc.		3.750%	11/14/23	1,206	1,194
	Aetna Inc.		2.800%	6/15/23	11,180	11,065
	AmerisourceBergen Corp.		0.737%	3/15/23	3,117	3,091
	AmerisourceBergen Corp.		3.400%	5/15/24	2,170	2,119
	Amgen Inc.		2.250%	8/19/23	3,000	2,945
	Anthem Inc.		3.300%	1/15/23	698	698
	Anthem Inc.		0.450%	3/15/23	481	477
	AstraZeneca plc		0.300%	5/26/23	6,285	6,174
	Baxter International Inc.		0.868%	12/1/23	586	564
3	Baxter International Inc., SOFR + 0.260%		3.113%	12/1/23	8,000	7,934
2	Bayer US Finance II LLC		3.875%	12/15/23	15,299	15,062
	Bristol-Myers Squibb Co.		3.250%	2/20/23	3,247	3,239
	Bristol-Myers Squibb Co.		0.537%	11/13/23	3,520	3,393
	Bristol-Myers Squibb Co.		3.625%	5/15/24	1,317	1,298
	Bristol-Myers Squibb Co.		2.900%	7/26/24	807	784
	Cardinal Health Inc.		3.200%	3/15/23	51	51
	Cigna Corp.		3.000%	7/15/23	5,000	4,944
	Cigna Corp.		3.750%	7/15/23	4,500	4,467
	Cigna Corp.		3.500%	6/15/24	1,124	1,098
	CVS Health Corp.		4.000%	12/5/23	379	375
2	GE HealthCare Technologies Inc.		5.550%	11/15/24	9,867	9,899
	Gilead Sciences Inc.		2.500%	9/1/23	3,736	3,673
	Gilead Sciences Inc.		0.750%	9/29/23	8,779	8,505
	Gilead Sciences Inc.		3.700%	4/1/24	1,923	1,891
	Humana Inc.		0.650%	8/3/23	2,000	1,950
	Illumina Inc.		0.550%	3/23/23	6,000	5,933
	McKesson Corp.		2.850%	3/15/23	2,875	2,862
2	Mylan Inc.		3.125%	1/15/23	800	799
	Novartis Capital Corp.		3.400%	5/6/24	2,090	2,048
	PerkinElmer Inc.		0.550%	9/15/23	13,386	12,948
2	Roche Holdings Inc.		3.250%	9/17/23	4,737	4,679
	Royalty Pharma plc		0.750%	9/2/23	14,169	13,731
	Shire Acquisitions Investments Ireland DAC		2.875%	9/23/23	6,157	6,050
	SSM Health Care Corp.		3.688%	6/1/23	16,000	15,907
	Takeda Pharmaceutical Co. Ltd.		4.400%	11/26/23	10,446	10,362
	Thermo Fisher Scientific Inc.		0.797%	10/18/23	11,815	11,434
3	Thermo Fisher Scientific Inc., SOFR + 0.350%		3.409%	4/18/23	5,000	4,995
	Wyeth LLC		7.250%	3/1/23	149	149
						188,787
Industrials (3.5%)
	Boeing Co.		1.167%	2/4/23	1,984	1,977
	Boeing Co.		4.508%	5/1/23	8,940	8,911
	Boeing Co.		1.433%	2/4/24	4,535	4,338
	Burlington Northern Santa Fe LLC		3.000%	3/15/23	225	224
	Burlington Northern Santa Fe LLC		3.850%	9/1/23	2,194	2,178
	Canadian Pacific Railway Co.		4.450%	3/15/23	975	973
	Caterpillar Financial Services Corp.		2.625%	3/1/23	533	531
	Caterpillar Financial Services Corp.		3.450%	5/15/23	2,088	2,077
	CNH Industrial Capital LLC		1.950%	7/2/23	7,563	7,434
	CNH Industrial Capital LLC		4.200%	1/15/24	5,448	5,373
	CNH Industrial NV		4.500%	8/15/23	2,844	2,825

19

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
	Cummins Inc.		3.650%	10/1/23	8,107	8,031
2	Daimler Trucks Finance North America LLC		1.125%	12/14/23	6,170	5,926
	Emerson Electric Co.		2.625%	2/15/23	543	541
	Honeywell International Inc.		0.000%	12/1/23	2,892	2,852
	Huntington Ingalls Industries Inc.		0.670%	8/16/23	15,062	14,621
	John Deere Capital Corp.		2.700%	1/6/23	136	136
	John Deere Capital Corp.		0.250%	1/17/23	242	242
	John Deere Capital Corp.		2.800%	1/27/23	104	104
	John Deere Capital Corp.		4.550%	10/11/24	5,881	5,864
	L3Harris Technologies Inc.		3.850%	6/15/23	475	471
	Norfolk Southern Corp.		3.850%	1/15/24	526	519
5	QPH Finance Co. Pty Ltd.		3.750%	6/7/23	50	34
	Raytheon Technologies Corp.		0.000%	12/15/23	2,976	2,942
	Republic Services Inc.		4.750%	5/15/23	2,749	2,745
	Rockwell Automation Inc.		0.350%	8/15/23	3,185	3,096
	Ryder System Inc.		3.750%	6/9/23	123	122
	Ryder System Inc.		3.875%	12/1/23	3,530	3,481
	Ryder System Inc.		3.650%	3/18/24	610	598
2	Siemens Financieringsmaatschappij NV		0.650%	3/11/24	6,000	5,700
2	Siemens Financieringsmaatschappij NV		3.125%	3/16/24	474	463
	Trane Technologies Global Holding Co Ltd.		4.250%	6/15/23	2,470	2,462
	Union Pacific Corp.		2.750%	4/15/23	3,226	3,203
	Union Pacific Corp.		3.500%	6/8/23	7,983	7,929
	Union Pacific Corp.		3.150%	3/1/24	1,349	1,321
	Waste Management Inc.		2.400%	5/15/23	3,930	3,892
5	WSO Finance Pty Ltd.		3.500%	7/14/23	1,540	1,043
						115,179
Materials (1.7%)
	Carlisle Cos. Inc.		0.550%	9/1/23	3,565	3,450
	Celanese US Holdings LLC		3.500%	5/8/24	2,000	1,933
	Celanese US Holdings LLC		5.900%	7/5/24	1,115	1,115
2	Chevron Phillips Chemical Co. LLC / Chevron Phillips Chemical Co. LP		3.300%	5/1/23	7,579	7,527
2	Georgia-Pacific LLC		3.734%	7/15/23	1,500	1,485
	Georgia-Pacific LLC		8.000%	1/15/24	1,761	1,814
	Indonesia Asahan Aluminium Persero PT		5.710%	11/15/23	4,126	4,125
	LYB International Finance BV		4.000%	7/15/23	3,210	3,186
	LyondellBasell Industries NV		5.750%	4/15/24	2,420	2,425
	Martin Marietta Materials Inc.		0.650%	7/15/23	4,000	3,897
	Mosaic Co.		4.250%	11/15/23	15,001	14,869
	Nutrien Ltd.		1.900%	5/13/23	9,555	9,439
						55,265
Real Estate (3.0%)
	American Tower Corp.		3.000%	6/15/23	10,664	10,555
	American Tower Corp.		0.600%	1/15/24	4,251	4,051
	American Tower Corp.		5.000%	2/15/24	630	629
	AvalonBay Communities Inc.		2.850%	3/15/23	402	399
	AvalonBay Communities Inc.		4.200%	12/15/23	6,000	5,945
	Boston Properties LP		3.125%	9/1/23	10,757	10,581
	Boston Properties LP		3.800%	2/1/24	3,774	3,708
	Camden Property Trust		4.875%	6/15/23	5,526	5,510
	Crown Castle International Corp.		3.150%	7/15/23	7,446	7,361
	Federal Realty Investment Trust		2.750%	6/1/23	1,456	1,440
	Federal Realty Investment Trust		3.950%	1/15/24	500	494
5	General Property Trust Co.		3.591%	11/7/23	3,380	2,282

20

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
	Kimco Realty Corp.		2.700%	3/1/24	1,221	1,182
	Mid-America Apartments LP		4.300%	10/15/23	7,889	7,829
	Omega Healthcare Investors Inc.		4.375%	8/1/23	3,553	3,525
	Realty Income Corp.		4.600%	2/6/24	4,950	4,917
5	Shopping Centres Australasia Property Group		3.900%	6/7/24	1,440	965
	Simon Property Group LP		2.750%	6/1/23	19,698	19,489
	Simon Property Group LP		3.750%	2/1/24	3,599	3,546
	Ventas Realty LP		3.500%	4/15/24	1,400	1,361
	Ventas Realty LP		3.750%	5/1/24	1,000	978
	Welltower Inc.		4.500%	1/15/24	2,469	2,445
						99,192
Technology (2.3%)
	Adobe Inc.		1.700%	2/1/23	2,476	2,469
	Apple Inc.		2.400%	1/13/23	195	195
	Broadcom Corp. / Broadcom Cayman Finance Ltd.		2.650%	1/15/23	238	238
2	Dell International LLC / EMC Corp.		5.450%	6/15/23	866	866
	Dell International LLC / EMC Corp.		5.450%	6/15/23	6,074	6,074
	Fidelity National Information Services Inc.		0.375%	3/1/23	45	45
	Fiserv Inc.		3.800%	10/1/23	11,840	11,718
	Global Payments Inc.		3.750%	6/1/23	3,637	3,608
	Global Payments Inc.		4.000%	6/1/23	3,699	3,676
	Hewlett Packard Enterprise Co.		4.450%	10/2/23	15,157	15,065
	Oracle Corp.		2.625%	2/15/23	4,500	4,485
	Oracle Corp.		3.625%	7/15/23	699	693
	Oracle Corp.		2.400%	9/15/23	8,893	8,713
	Skyworks Solutions Inc.		0.900%	6/1/23	5,680	5,564
	Teledyne Technologies Inc.		0.650%	4/1/23	1,700	1,679
	VMware Inc.		0.600%	8/15/23	8,726	8,479
						73,567
Utilities (3.9%)
	Abu Dhabi National Energy Co. PJSC		3.875%	5/6/24	1,100	1,082
	American Electric Power Co. Inc.		0.750%	11/1/23	940	908
	Atmos Energy Corp.		0.625%	3/9/23	210	208
	Baltimore Gas and Electric Co.		3.350%	7/1/23	2,239	2,219
	Berkshire Hathaway Energy Co.		3.750%	11/15/23	2,892	2,859
	Connecticut Light and Power Co.		2.500%	1/15/23	3,960	3,956
	Consolidated Edison Inc.		0.650%	12/1/23	2,446	2,350
	Consumers Energy Co.		3.375%	8/15/23	1,529	1,514
	Delmarva Power & Light Co.		3.500%	11/15/23	404	399
2	Dominion Energy Inc.		2.450%	1/15/23	5,000	4,985
	DTE Electric Co.		3.650%	3/15/24	7,655	7,528
	Duke Energy Corp.		3.950%	10/15/23	8,132	8,061
	Duke Energy Ohio Inc.		3.800%	9/1/23	1,005	998
	Duke Energy Progress LLC		3.375%	9/1/23	108	107
	Eastern Energy Gas Holdings LLC		3.550%	11/1/23	9,071	8,950
	Edison International		2.950%	3/15/23	5,620	5,587
	Entergy Louisiana LLC		0.620%	11/17/23	5,062	4,872
	Eversource Energy		2.800%	5/1/23	2,443	2,420
	Eversource Energy		3.800%	12/1/23	5,344	5,282
3	Eversource Energy, SOFR + 0.250%		2.941%	8/15/23	2,400	2,387
	MidAmerican Energy Co.		3.700%	9/15/23	1,382	1,368
	NextEra Energy Capital Holdings Inc.		0.650%	3/1/23	4,965	4,932
	NextEra Energy Capital Holdings Inc.		2.940%	3/21/24	4,000	3,896
3	NextEra Energy Capital Holdings Inc., SOFR + 0.400%		3.012%	11/3/23	7,300	7,271
	Oklahoma Gas and Electric Co.		0.553%	5/26/23	53	52

21

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
	Public Service Electric and Gas Co.		2.375%	5/15/23	2,556	2,532
	Public Service Enterprise Group Inc.		0.841%	11/8/23	5,368	5,170
	Southern California Edison Co.		0.700%	4/3/23	658	651
	Southern California Edison Co.		3.400%	6/1/23	1,066	1,057
	Southern California Edison Co.		0.700%	8/1/23	285	277
	Southern California Edison Co.		3.500%	10/1/23	7,643	7,548
	Southern Co.		2.950%	7/1/23	2,400	2,378
	Southern Co.		0.000%	2/26/24	285	270
	Southern Co. Gas Capital Corp.		2.450%	10/1/23	2,645	2,588
	State Grid Overseas Investment 2013 Ltd.		3.125%	5/22/23	1,258	1,249
2	State Grid Overseas Investment BVI Ltd.		3.750%	5/2/23	2,353	2,343
5	United Energy Distribution Pty Ltd.		3.500%	9/12/23	4,260	2,883
	Virginia Electric and Power Co.		2.750%	3/15/23	170	169
	WEC Energy Group Inc.		0.550%	9/15/23	9,300	9,001
	Xcel Energy Inc.		0.500%	10/15/23	6,813	6,559
						128,866
Total Corporate Bonds (Cost $2,140,286)						2,117,420
Sovereign Bonds (1.5%)
5	Airservices Australia		2.750%	5/15/23	1,060	719
	Export-Import Bank of India		4.000%	1/14/23	1,603	1,603
7	Korea Monetary Stabilization Bond		3.050%	7/9/23	40,000,000	31,504
7	Korea Monetary Stabilization Bond		3.310%	9/9/23	9,000,000	7,100
	Republic of Croatia		5.500%	4/4/23	840	840
	Republic of Hungary		5.375%	2/21/23	3,478	3,478
	Republic of Hungary		5.375%	3/25/24	730	729
	Romania		4.375%	8/22/23	2,388	2,376
Total Sovereign Bonds (Cost $46,767)						48,349
					Shares
Temporary Cash Investments (21.6%)
Money Market Fund (4.4%)
8	Vanguard Market Liquidity Fund		4.334%		1,459,574	145,943

22

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
U.S. Government and Agency Obligations (17.2%)
9	United States Treasury Bill		4.815%	11/30/23	231,425	221,892
9	United States Treasury Bill		4.770%	12/28/23	355,000	339,070
						560,962
Total Temporary Cash Investments (Cost $706,644)						706,905
Total Investments (103.0%) (Cost $3,390,182)						3,364,430
Other Assets and Liabilities—Net (-3.0%)						(99,157)
Net Assets (100%)						3,265,273
Cost is in $000.

•	See Note A in Notes to Financial Statements.
1	The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
2	Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2022, the aggregate value was $612,789,000, representing 18.8% of net assets.
3	Variable-rate security; rate shown is effective rate at period end. Certain variable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
4	The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
5	Face amount denominated in Australian dollars.
6	Securities with a value of $1,589,000 have been segregated as initial margin for open futures contracts.
7	Face amount denominated in Korean won.
8	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
9	Securities with a value of $2,139,000 have been segregated as collateral for open forward currency contracts.
	3M—3-month.
	DAC—Designated Activity Company.
	REMIC—Real Estate Mortgage Investment Conduits.
	SOFR—Secured Overnight Financing Rate.
	SOFR30A—30 Day Average Secured Overnight Financing Rate.

  

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
			($000)
	Expiration	Number of Long (Short) Contracts	Notional Amount	Value and Unrealized Appreciation (Depreciation)
Long Futures Contracts
2-Year U.S. Treasury Note	March 2023	1,308	268,242	(460)
Short Futures Contracts
5-Year U.S. Treasury Note	March 2023	(21)	(2,267)	28
				(432)

23

Ultra-Short Bond ETF

Forward Currency Contracts
	Contract Settlement Date	Contract Amount (000)				Unrealized Appreciation ($000)	Unrealized Depreciation ($000)
Counterparty		Receive		Deliver
Citibank, N.A.	1/31/23	AUD	5,557	USD	3,789	—	(1)
Citibank, N.A.	1/31/23	AUD	117	USD	79	1	—
JPMorgan Chase Bank, N.A.	1/31/23	USD	28,862	AUD	42,675	—	(232)
JPMorgan Chase Bank, N.A.	7/10/23	USD	17,551	KRW	24,000,000	—	(1,580)
Citibank, N.A.	7/10/23	USD	16,199	KRW	21,000,000	—	(540)
BNP Paribas	7/10/23	USD	4,387	KRW	6,000,000	—	(396)
						1	(2,749)

AUD—Australian dollar.

KRW—Korean won.

USD—U.S. dollar.

  

See accompanying Notes, which are an integral part of the Financial Statements.

24

Ultra-Short Bond ETF

Statement of Assets and Liabilities

As of December 31, 2022

($000s, except shares, footnotes, and per-share amounts)	Amount
Assets
Investments in Securities, at Value
Unaffiliated Issuers (Cost $3,244,239)	3,218,487
Affiliated Issuers (Cost $145,943)	145,943
Total Investments in Securities	3,364,430
Investment in Vanguard	107
Foreign Currency, at Value (Cost $668)	732
Receivables for Accrued Income	15,810
Receivables for Capital Shares Issued	17,143
Unrealized Appreciation—Forward Currency Contracts	1
Total Assets	3,398,223
Liabilities
Due to Custodian	63
Payables for Investment Securities Purchased	129,788
Payables to Vanguard	142
Variation Margin Payable—Futures Contracts	208
Unrealized Depreciation—Forward Currency Contracts	2,749
Total Liabilities	132,950
Net Assets	3,265,273
At December 31, 2022, net assets consisted of:
Paid-in Capital	3,320,424
Total Distributable Earnings (Loss)	(55,151)
Net Assets	3,265,273
Net Assets
Applicable to 66,700,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	3,265,273
Net Asset Value Per Share	$48.95

  

See accompanying Notes, which are an integral part of the Financial Statements.

25

Ultra-Short Bond ETF

Statement of Operations

	Year Ended December 31, 2022
	($000)
Investment Income
Income
Interest1,2	47,428
Total Income	47,428
Expenses
The Vanguard Group—Note B
Investment Advisory Services	198
Management and Administrative	2,199
Marketing and Distribution	143
Custodian Fees	25
Auditing Fees	34
Shareholders’ Reports	57
Trustees’ Fees and Expenses	1
Other Expenses	14
Total Expenses	2,671
Expenses Paid Indirectly	(5)
Net Expenses	2,666
Net Investment Income	44,762
Realized Net Gain (Loss)
Investment Securities Sold1,3	(24,518)
Futures Contracts	(7,580)
Forward Currency Contracts	6,094
Foreign Currencies	(564)
Realized Net Gain (Loss)	(26,568)
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	(19,282)
Futures Contracts	(421)
Forward Currency Contracts	(3,357)
Foreign Currencies	85
Change in Unrealized Appreciation (Depreciation)	(22,975)
Net Increase (Decrease) in Net Assets Resulting from Operations	(4,781)

1	Interest income, realized net gain (loss), capital gain distributions received, and change in unrealized appreciation (depreciation) from an affiliated company of the fund were $1,116,000, ($52,000), less than $1,000, and $3,000, respectively. Purchases and sales are for temporary cash investment purposes.
2	Interest is net of foreign withholding taxes of $84,000.
3	Includes ($147,000) of net gain (loss) resulting from in-kind redemptions.

  

See accompanying Notes, which are an integral part of the Financial Statements.

26

Ultra-Short Bond ETF

Statement of Changes in Net Assets

	Year Ended December 31, 2022		April 5, 20211 to December 31, 2021
	($000)		($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	44,762		3,585
Realized Net Gain (Loss)	(26,568)		38
Change in Unrealized Appreciation (Depreciation)	(22,975)		(5,873)
Net Increase (Decrease) in Net Assets Resulting from Operations	(4,781)		(2,250)
Distributions
Total Distributions	(44,433)		(3,834)
Capital Share Transactions
Issued	1,533,919		2,150,606
Issued in Lieu of Cash Distributions	—		—
Redeemed	(259,042)		(104,912)
Net Increase (Decrease) from Capital Share Transactions	1,274,877		2,045,694
Total Increase (Decrease)	1,225,663		2,039,610
Net Assets
Beginning of Period	2,039,610		—
End of Period	3,265,273		2,039,610

1	Inception.

  

See accompanying Notes, which are an integral part of the Financial Statements.

27

Ultra-Short Bond ETF

Financial Highlights

For a Share Outstanding Throughout Each Period	Year Ended December 31,	April 5, 20211 to December 31,
	2022	2021
Net Asset Value, Beginning of Period	$49.93	$50.00
Investment Operations
Net Investment Income2	.827	.138
Net Realized and Unrealized Gain (Loss) on Investments	(1.044)	(.077)
Total from Investment Operations	(.217)	.061
Distributions
Dividends from Net Investment Income	(.763)	(.123)
Distributions from Realized Capital Gains	—	(.008)
Total Distributions	(.763)	(.131)
Net Asset Value, End of Period	$48.95	$49.93
Total Return	-0.43%	0.12%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$3,265	$2,040
Ratio of Total Expenses to Average Net Assets	0.10%3	0.10%4
Ratio of Net Investment Income to Average Net Assets	1.68%	0.37%4
Portfolio Turnover Rate5	73%	22%

1	Inception.
2	Calculated based on average shares outstanding.
3	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.10%.
4	Annualized.
5	Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.

  

See accompanying Notes, which are an integral part of the Financial Statements.

28

Ultra-Short Bond ETF

Notes to Financial Statements

Vanguard Ultra-Short Bond ETF is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. ETF Shares are listed for trading on Cboe BZK Exchange, Inc; they can be purchased and sold through a broker.

Certain of the fund’s investments are in corporate debt instruments; the issuers' abilities to meet their obligations may be affected by economic developments in their respective industries.

Significant market disruptions, such as those caused by pandemics (e.g., COVID-19 pandemic), natural or environmental disasters, war (e.g., Russia’s invasion of Ukraine), acts of terrorism, or other events, can adversely affect local and global markets and normal market operations. Any such disruptions could have an adverse impact on the value of the fund’s investments and fund performance.

A.	The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral, as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund's net asset value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the valuation designee to represent fair value and subject to oversight by the board of trustees.

2. Foreign Currency: Securities and other assets and liabilities denominated in foreign currencies are translated into U.S. dollars using exchange rates obtained from an independent third party as of the fund’s pricing time on the valuation date. Realized gains (losses) and unrealized appreciation (depreciation) on investment securities include the effects of changes in exchange rates since the securities were purchased, combined with the effects of changes in security prices. Fluctuations in the value of other assets and liabilities resulting from changes in exchange rates are recorded as unrealized foreign currency gains (losses) until the assets or liabilities are settled in cash, at which time they are recorded as realized foreign currency gains (losses).

3. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing

29

Ultra-Short Bond ETF

brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any securities pledged as initial margin for open contracts are noted in the Schedule of Investments.

During the year ended December 31, 2022, the fund’s average investments in long and short futures contracts represented 7% and less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

4. Forward Currency Contracts: The fund enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The fund’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The fund mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the fund cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the fund may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the fund under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the fund’s net assets decline below a certain level, triggering a payment by the fund if the fund is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the fund has pledged. Any securities pledged as collateral for open contracts are noted in the Schedule of Investments. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Assets and Liabilities. Fluctuations in the value of the contracts are recorded in the Statement of Assets and Liabilities as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the contracts are closed, when they are recorded as realized gains (losses) on forward currency contracts.

During the year ended December 31, 2022, the fund’s average investment in forward currency contracts represented 2% of net assets, based on the average of the notional amounts at each quarter-end during the period.

5. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute virtually all of its taxable income. The fund’s tax returns are open to examination by the relevant tax authorities until expiration of the applicable statute of limitations, which is generally three years after the filing of the tax return. Management has analyzed the fund’s tax positions taken for all open federal and state income tax years, and has concluded that no provision for income tax is required in the fund’s financial statements.

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Ultra-Short Bond ETF

6. Distributions: Distributions to shareholders are recorded on the ex-dividend date. Distributions are determined on a tax basis at the fiscal year-end and may differ from net investment income and realized capital gains for financial reporting purposes.

7. Credit Facilities and Interfund Lending Program: The fund and certain other funds managed by The Vanguard Group ("Vanguard") participate in a $4.4 billion committed credit facility provided by a syndicate of lenders pursuant to a credit agreement and an uncommitted credit facility provided by Vanguard. Both facilities may be renewed annually. Each fund is individually liable for its borrowings, if any, under the credit facilities. Borrowings may be utilized for temporary or emergency purposes and are subject to the fund’s regulatory and contractual borrowing restrictions. With respect to the committed credit facility, the participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn committed amount of the facility, which are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under either facility bear interest at an agreed-upon spread plus the higher of the federal funds effective rate, the overnight bank funding rate, or the Daily Simple Secured Overnight Financing Rate inclusive of an additional agreed-upon spread. However, borrowings under the uncommitted credit facility may bear interest based upon an alternate rate agreed to by the fund and Vanguard.

In accordance with an exemptive order (the “Order”) from the SEC, the fund may participate in a joint lending and borrowing program that allows registered open-end Vanguard funds to borrow money from and lend money to each other for temporary or emergency purposes (the “Interfund Lending Program”), subject to compliance with the terms and conditions of the Order, and to the extent permitted by the fund’s investment objective and investment policies. Interfund loans and borrowings normally extend overnight but can have a maximum duration of seven days. Loans may be called on one business day’s notice. The interest rate to be charged is governed by the conditions of the Order and internal procedures adopted by the board of trustees. The board of trustees is responsible for overseeing the Interfund Lending Program.

For the year ended December 31, 2022, the fund did not utilize the credit facilities or the Interfund Lending Program.

8. Other: Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

B.

In accordance with the terms of a Funds' Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees and are generally settled twice a month.

Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2022, the fund had contributed to Vanguard capital in the amount of $107,000, representing less than 0.01% of the fund’s net assets and 0.04% of Vanguard’s capital

31

Ultra-Short Bond ETF

received pursuant to the FSA. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.	The fund’s custodian bank has agreed to reduce its fees when the fund maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2022, custodian fee offset arrangements reduced the fund’s expenses by $5,000 (an annual rate of less than 0.01% of average net assets).
D.	Various inputs may be used to determine the value of the fund’s investments and derivatives. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.

Level 1—Quoted prices in active markets for identical securities.

Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).

Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments). Any investments and derivatives valued with significant unobservable inputs are noted on the Schedule of Investments.

The following table summarizes the market value of the fund’s investments and derivatives as of December 31, 2022, based on the inputs used to value them:

	Level 1 ($000)	Level 2 ($000)	Level 3 ($000)	Total ($000)
Investments
Assets
U.S. Government and Agency Obligations	—	129,553	—	129,553
Asset-Backed/Commercial Mortgage-Backed Securities	—	362,203	—	362,203
Corporate Bonds	—	2,117,420	—	2,117,420
Sovereign Bonds	—	48,349	—	48,349
Temporary Cash Investments	145,943	560,962	—	706,905
Total	145,943	3,218,487	—	3,364,430
Derivative Financial Instruments
Assets
Futures Contracts1	28	—	—	28
Forward Currency Contracts	—	1	—	1
Total	28	1	—	29
Liabilities
Futures Contracts1	460	—	—	460
Forward Currency Contracts	—	2,749	—	2,749
Total	460	2,749	—	3,209

1	Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

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Ultra-Short Bond ETF

E.	At December 31, 2022, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:

    

Statement of Assets and Liabilities	Interest Rate Contracts ($000)	Foreign Exchange Contracts ($000)	Total ($000)
Unrealized Appreciation—Futures Contracts1	28	—	28
Unrealized Appreciation—Forward Currency Contracts	—	1	1
Total Assets	28	1	29
Unrealized Depreciation—Futures Contracts1	460	—	460
Unrealized Depreciation—Forward Currency Contracts	—	2,749	2,749
Total Liabilities	460	2,749	3,209

1	Includes cumulative appreciation (depreciation) on futures contracts and centrally cleared swaps, if any, as reported in the Schedule of Investments. Only current day’s variation margin is reported within the Statement of Assets and Liabilities.

Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended December 31, 2022, were:

Realized Net Gain (Loss) on Derivatives	Interest Rate Contracts ($000)	Foreign Exchange Contracts ($000)	Total ($000)
Futures Contracts	(7,580)	—	(7,580)
Forward Currency Contracts	—	6,094	6,094
Realized Net Gain (Loss) on Derivatives	(7,580)	6,094	(1,486)
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts	(421)	—	(421)
Forward Currency Contracts	—	(3,357)	(3,357)
Change in Unrealized Appreciation (Depreciation) on Derivatives	(421)	(3,357)	(3,778)

F.

Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for applicable in-kind redemptions and foreign currency transactions were reclassified between the following accounts:

	Amount ($000)
Paid-in Capital	(147)
Total Distributable Earnings (Loss)	147

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the deferral of losses from wash sales; the recognition of unrealized gains or losses from certain derivative contracts; and the recognition of gain or loss

33

Ultra-Short Bond ETF

from foreign currency hedges. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount ($000)
Undistributed Ordinary Income	360
Undistributed Long-Term Gains	—
Capital Loss Carryforwards	(28,964)
Qualified Late-Year Losses	—
Net Unrealized Gains (Losses)	(26,547)

The tax character of distributions paid was as follows:

	Year Ended December 31,
	2022 Amount ($000)	2021 Amount ($000)
Ordinary Income*	44,433	3,758
Long-Term Capital Gains	—	76
Total	44,433	3,834

*	Includes short-term capital gains, if any.

As of December 31, 2022, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount ($000)
Tax Cost	3,390,977
Gross Unrealized Appreciation	2,185
Gross Unrealized Depreciation	(28,732)
Net Unrealized Appreciation (Depreciation)	(26,547)

G.

During the year ended December 31, 2022, the fund purchased $1,840,733,000 of investment securities and sold $1,228,632,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $237,422,000 and $235,910,000, respectively. Purchases and sales include $510,263,000 and $30,691,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares.

The fund purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended December 31, 2022, such purchases were $476,870,000 and sales were $18,375,000, resulting in net realized loss of $51,000; these amounts, other than temporary cash investments, are included in the purchases and sales of investment securities noted above.

34

Ultra-Short Bond ETF

H.	Capital shares issued and redeemed were:

    

	Year Ended December 31, 2022		April 5, 20211 to December 31, 2021
	Shares (000)		Shares (000)
Issued	31,100		42,950
Issued in Lieu of Cash Distributions	—		—
Redeemed	(5,250)		(2,100)
Net Increase (Decrease) in Shares Outstanding	25,850		40,850

1	Inception.

At December 31, 2022, one shareholder was a record or beneficial owner of 34% of the fund’s net assets. If this shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.

I.	Management has determined that no events or transactions occurred subsequent to December 31, 2022, that would require recognition or disclosure in these financial statements.

35

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Bond Index Funds and Shareholders of Vanguard Ultra-Short Bond ETF

Opinion on the Financial Statements

We have audited the accompanying statement of assets and liabilities, including the schedule of investments, of Vanguard Ultra-Short Bond ETF (one of the funds constituting Vanguard Bond Index Funds, referred to hereafter as the "Fund") as of December 31, 2022, the related statement of operations for the year ended December 31, 2022 and the statements of changes in net assets and the financial highlights for the year ended December 31, 2022 and for the period April 5, 2021 (inception) through December 31, 2022, including the related notes (collectively referred to as the "financial statements"). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Fund as of December 31, 2022, and the results of its operations for the year ended December 31, 2022, and the changes in its net assets and the financial highlights for the year ended December 31, 2022 and for the period April 5, 2021 (inception) through December 31, 2022 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

These financial statements are the responsibility of the Fund's management. Our responsibility is to express an opinion on the Fund's financial statements based on our audit. We are a public accounting firm registered with the Public Company Accounting Oversight Board (United States) (PCAOB) and are required to be independent with respect to the Fund in accordance with the U.S. federal securities laws and the applicable rules and regulations of the Securities and Exchange Commission and the PCAOB.

We conducted our audit of these financial statements in accordance with the standards of the PCAOB. Those standards require that we plan and perform the audit to obtain reasonable assurance about whether the financial statements are free of material misstatement, whether due to error or fraud.

Our audit included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audit also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2022 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audit provides a reasonable basis for our opinion.

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

We have served as the auditor of one or more investment companies in The Vanguard Group of Funds since 1975.

36

Tax information (unaudited)

The fund hereby designates $10,751,000, or if subsequently determined to be different, the maximum amount allowable by law, of interest earned from obligations of the U.S. government which is generally exempt from state income tax.

The fund hereby designates 100%, or if subsequently determined to be different, the maximum percentage allowable by law, of ordinary income dividends eligible to be treated as interest income for purposes of Section 163(j) and the regulations thereunder for the fiscal year.

The fund hereby designates 79.4%, or if subsequently determined to be different, the maximum percentage allowable by law, as interest-related dividends eligible for exemption from U.S. withholding tax for nonresident alien shareholders.

37

"Bloomberg®" and Bloomberg U.S. Treasury Bellwethers: 1 Year Index are service marks of Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL), the administrator of the index (collectively, Bloomberg), and have been licensed for use for certain purposes by The Vanguard Group, Inc. (Vanguard).

The Ultra-Short Bond ETF is not sponsored, endorsed, sold or promoted by Bloomberg. Bloomberg does not make any representation or warranty, express or implied, to the owners of or counterparties to the Ultra-Short Bond ETF or any member of the public regarding the advisability of investing in securities generally or in the Ultra-Short Bond ETF particularly. The only relationship of Bloomberg to Vanguard is the licensing of certain trademarks, trade names and service marks and of the Bloomberg U.S. Treasury Bellwethers: 1 Year Index, which is determined, composed and calculated by BISL without regard to Vanguard or the Ultra-Short Bond ETF. Bloomberg has no obligation to take the needs of Vanguard or the owners of the Ultra-Short Bond ETF into consideration in determining, composing or calculating the Bloomberg U.S. Treasury Bellwethers: 1 Year Index. Bloomberg is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Ultra-Short Bond ETF to be issued. Bloomberg shall not have any obligation or liability, including, without limitation, to Ultra-Short Bond ETF customers, in connection with the administration, marketing or trading of the Ultra-Short Bond ETF.

BLOOMBERG DOES NOT GUARANTEE THE ACCURACY AND/OR THE COMPLETENESS OF THE BLOOMBERG U.S. TREASURY BELLWETHERS: 1 YEAR INDEX OR ANY DATA RELATED THERETO AND SHALL HAVE NO LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS THEREIN. BLOOMBERG DOES NOT MAKE ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF THE ULTRA-SHORT BOND ETF OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG U.S. TREASURY BELLWETHERS: 1 YEAR INDEX OR ANY DATA RELATED THERETO. BLOOMBERG DOES NOT MAKE ANY EXPRESS OR IMPLIED WARRANTIES AND EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG U.S. TREASURY BELLWETHERS: 1 YEAR INDEX OR ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, TO THE MAXIMUM EXTENT ALLOWED BY LAW, BLOOMBERG, ITS LICENSORS, AND ITS AND THEIR RESPECTIVE EMPLOYEES, CONTRACTORS, AGENTS, SUPPLIERS, AND VENDORS SHALL HAVE NO LIABILITY OR RESPONSIBILITY WHATSOEVER FOR ANY INJURY OR DAMAGES—WHETHER DIRECT, INDIRECT, CONSEQUENTIAL, INCIDENTAL, PUNITIVE OR OTHERWISE—ARISING IN CONNECTION WITH THE ULTRA-SHORT BOND ETF OR BLOOMBERG U.S. TREASURY BELLWETHERS: 1 YEAR INDEX OR ANY DATA OR VALUES RELATING THERETO—WHETHER ARISING FROM THEIR NEGLIGENCE OR OTHERWISE, EVEN IF NOTIFIED OF THE POSSIBILITY THEREOF.

© 2023 Bloomberg.

Used with Permission. Source: Bloomberg Index Services Limited. Copyright 2023, Bloomberg. All rights reserved.

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The People Who Govern Your Fund

The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them. 

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 206 Vanguard funds.

Information for each trustee and executive officer of the fund appears below. That information, as well as the Vanguard fund count, is as of the date on the cover of this fund report. The mailing address of the trustees and officers is P.O. Box 876, Valley Forge, PA 19482. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.

experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: adjunct professor of finance at the University of Notre Dame (2020–present). Chief investment officer (retired 2020) and vice president (retired 2020) of the University of Notre Dame. Assistant professor (retired June 2020) of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Member of the board of Catholic Investment Services, Inc. (investment advisors), the board of superintendence of the Institute for the Works of Religion, and the board of directors of Paxos Trust Company (finance).

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chief executive officer of Purposeful (advisory firm for CEOs and C-level executives; 2021–present). Board chair (2020), chief executive officer (2011–2020), and president (2010–2019) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of the Guardian Life Insurance Company of America. Member of the board of the Economic Club of New York. Trustee of the Partnership for New York City (business leadership), Chief Executives for Corporate Purpose, and the NewYork-Presbyterian Hospital.

André F. Perold

Born in 1952. Trustee since December 2004. Principal occupation(s) during the past five years and other experience: George Gund Professor of Finance and Banking, Emeritus at the Harvard Business School (retired 2011). Chief investment officer and co-managing partner of HighVista Strategies (private investment firm). Member of the board (2018–present) of RIT Capital Partners (investment firm). Member of the investment committee of Partners Health Care System.

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for

the State of Maryland. Colin W. Brown Distinguished Professor of the Practice of Law (2021–present), professor (2020–present), Distinguished Fellow of the Global Financial Markets Center (2020–present), and Rubenstein Fellow (2017–2020) at Duke University. Trustee (2017–present) of Amherst College and member of Amherst College Investment Committee (2019–present). Member of the Regenerative Crisis Response Committee (2020–present).

David A. Thomas

Born in 1956. Trustee since July 2021. Principal occupation(s) during the past five years and other experience: president of Morehouse College (2018–present). Professor of business administration, emeritus at Harvard University (2017–2018). Dean (2011–2016) and professor of management (2016–2017) at the Georgetown University McDonough School of Business. Director of DTE Energy Company (2013–present). Trustee of Common Fund (2019–present).

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Member of the BMW Group Mobility Council.

Executive Officers

Jacqueline Angell

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (November 2022–present) of Vanguard and of each of the investment companies served by Vanguard. Chief compliance officer (2018–2022) and deputy chief compliance officer (2017–2019) of State Street Corporation.

Christine M. Buchanan

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (2021–present) and treasurer (2017–2022) of each of the investment companies served by Vanguard. Partner (2005–2017) at KPMG (audit, tax, and advisory services).

John Galloway

Born in 1973. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (September 2020–present) of each of the investment companies served by Vanguard. Head of Investor Advocacy (February 2020–present) and head of Marketing Strategy and Planning (2017–2020) at Vanguard. Special assistant to the President of the United States (2015).

Ashley Grim

Born in 1984. Principal occupation(s) during the past five years and other experience: treasurer (February 2022–present) of each of the investment companies served by Vanguard. Fund transfer agent controller (2019–2022) and director of Audit Services (2017–2019) at Vanguard. Senior manager (2015–2017) at PriceWaterhouseCoopers (audit and assurance, consulting, and tax services).

Peter Mahoney

Born in 1974. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Controller (2015–present) of each of the investment companies served by Vanguard. Head of International Fund Services (2008–2014) at Vanguard.

Anne E. Robinson

Born in 1970. Principal occupation(s) during the past five years and other experience: general counsel (2016–present) of Vanguard. Secretary (2016–present) of Vanguard and of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Managing director and general counsel of Global Cards and Consumer Services (2014–2016) at Citigroup. Counsel (2003–2014) at American Express. Nonexecutive director of the board of National Grid (energy).

Michael Rollings

Born in 1963. Principal occupation(s) during the past five years and other experience: finance director (2017–present) and treasurer (2017) of each of the investment companies served by Vanguard. Managing director (2016–present) of Vanguard. Chief financial officer (2016–present) of Vanguard. Director (2016–present) of Vanguard Marketing Corporation. Executive vice president and chief financial officer (2006–2016) of MassMutual Financial Group.

Vanguard Senior Management Team

Matthew Benchener	Thomas M. Rampulla
Joseph Brennan	Karin A. Risi
Mortimer J. Buckley	Anne E. Robinson
Gregory Davis	Michael Rollings
John James	Nitin Tandon
Chris D. Mclsaac	Lauren Valente

Fund Information > 800-662-7447

Direct Investor Account Services > 800-662-2739

Institutional Investor Services > 800-523-1036

Text Telephone for People Who Are Deaf or Hard of Hearing > 800-749-7273

This material may be used in conjunction with the offering of shares of any Vanguard fund if preceded or accompanied by the fund's current prospectus.

You can obtain a free copy of Vanguard’s proxy voting guidelines by visiting vanguard.com/proxyreporting or by calling Vanguard at 800-662-2739. The guidelines are also available from the SEC’s website, www.sec.gov. In addition, you may obtain a free report on how your fund voted the proxies for securities it owned during the 12 months ended June 30. To get the report, visit either vanguard.com/proxyreporting or www.sec.gov.

You can review information about your fund on the SEC’s website, and you can receive copies of this information, for a fee, by sending a request via email addressed to [email protected].

© 2023 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.

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