Semiannual Report  |  June 30, 2022
Vanguard Bond Index Funds
Vanguard Short-Term Bond Index Fund
Vanguard Intermediate-Term Bond Index Fund
Vanguard Long-Term Bond Index Fund

 

Contents
About Your Fund's Expenses

1
Short-Term Bond Index Fund

3
Intermediate-Term Bond Index Fund

36
Long-Term Bond Index Fund

67
Trustees Approve Advisory Arrangements

105
Liquidity Risk Management

106

 

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.
1

 

Six Months Ended June 30, 2022      
  Beginning
Account Value
12/31/2021
Ending
Account Value
6/30/2022
Expenses
Paid During
Period
Based on Actual Fund Return
Short-Term Bond Index Fund      
Investor Shares $1,000.00 $954.50 $0.73
ETF Shares 1,000.00 954.70 0.19
Admiral™ Shares 1,000.00 954.80 0.34
Institutional Shares 1,000.00 954.90 0.24
Institutional Plus Shares 1,000.00 955.00 0.19
Intermediate-Term Bond Index Fund      
Investor Shares $1,000.00 $893.60 $0.70
ETF Shares 1,000.00 893.70 0.19
Admiral Shares 1,000.00 894.00 0.33
Institutional Shares 1,000.00 894.10 0.23
Institutional Plus Shares 1,000.00 894.10 0.19
Long-Term Bond Index Fund      
ETF Shares $1,000.00 $783.80 $0.18
Admiral Shares 1,000.00 783.80 0.31
Institutional Shares 1,000.00 783.80 0.22
Institutional Plus Shares 1,000.00 783.90 0.18
Based on Hypothetical 5% Yearly Return
Short-Term Bond Index Fund      
Investor Shares $1,000.00 $1,024.05 $0.75
ETF Shares 1,000.00 1,024.60 0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Institutional Plus Shares 1,000.00 1,024.60 0.20
Intermediate-Term Bond Index Fund      
Investor Shares $1,000.00 $1,024.05 $0.75
ETF Shares 1,000.00 1,024.60 0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Institutional Plus Shares 1,000.00 1,024.60 0.20
Long-Term Bond Index Fund      
ETF Shares $1,000.00 $1,024.60 $0.20
Admiral Shares 1,000.00 1,024.45 0.35
Institutional Shares 1,000.00 1,024.55 0.25
Institutional Plus Shares 1,000.00 1,024.60 0.20
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Bond Index Fund, 0.15% for Investor Shares, 0.04% for ETF Shares, 0.07% for Admiral Shares, 0.05% for Institutional Shares, and 0.04% for Institutional Plus Shares; for the Intermediate-Term Bond Index Fund, 0.15% for Investor Shares, 0.04% for ETF Shares, 0.07% for Admiral Shares, 0.05% for Institutional Shares, and 0.04% for Institutional Plus Shares; and for the Long-Term Bond Index Fund, 0.04% for ETF Shares, 0.07% for Admiral Shares, 0.05% for Institutional Shares, and 0.04% for Institutional Plus Shares. 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 (181/365).
2

 

Short-Term Bond Index Fund
Fund Allocation
As of June 30, 2022
Corporate Bonds 25.9%
Sovereign Bonds 5.8
Taxable Municipal Bonds 0.0
U.S. Government and Agency Obligations 68.3
The table reflects the fund’s investments, except for short-term investments. 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.
The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.
3

 

Short-Term Bond Index Fund
Financial Statements (unaudited)
Schedule of Investments
As of June 30, 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 (67.9%)
U.S. Government Securities (65.7%)
  United States Treasury Note/Bond  0.125% 6/30/23   130,686    127,092
  United States Treasury Note/Bond  0.125% 7/15/23 1,219,543  1,184,291
  United States Treasury Note/Bond  0.125% 7/31/23   171,530    166,384
  United States Treasury Note/Bond  1.250% 7/31/23    71,965     70,672
  United States Treasury Note/Bond  2.750% 7/31/23   165,108    164,721
  United States Treasury Note/Bond  0.125% 8/15/23   245,235    237,533
  United States Treasury Note/Bond  2.500% 8/15/23   530,055    527,405
  United States Treasury Note/Bond  0.125% 8/31/23   167,465    162,049
  United States Treasury Note/Bond  1.375% 8/31/23   204,880    201,102
  United States Treasury Note/Bond  2.750% 8/31/23   244,140    243,530
  United States Treasury Note/Bond  0.125% 9/15/23   396,685    383,359
  United States Treasury Note/Bond  0.250% 9/30/23   303,288    293,242
  United States Treasury Note/Bond  1.375% 9/30/23   118,075    115,750
  United States Treasury Note/Bond  2.875% 9/30/23   354,379    353,936
  United States Treasury Note/Bond  0.125% 10/15/23   320,725    309,199
  United States Treasury Note/Bond  0.375% 10/31/23     9,870      9,535
  United States Treasury Note/Bond  1.625% 10/31/23    10,000      9,823
  United States Treasury Note/Bond  2.875% 10/31/23   154,185    153,968
  United States Treasury Note/Bond  2.750% 11/15/23   428,762    427,355
  United States Treasury Note/Bond  0.500% 11/30/23    40,148     38,780
  United States Treasury Note/Bond  2.125% 11/30/23   893,350    882,881
  United States Treasury Note/Bond  2.875% 11/30/23   117,469    117,285
  United States Treasury Note/Bond  0.125% 12/15/23   356,545    342,060
  United States Treasury Note/Bond  0.750% 12/31/23    95,955     92,806
  United States Treasury Note/Bond  2.250% 12/31/23    53,392     52,808
  United States Treasury Note/Bond  2.625% 12/31/23   167,648    166,757
  United States Treasury Note/Bond  0.125% 1/15/24   444,150    425,135
  United States Treasury Note/Bond  0.875% 1/31/24    61,562     59,561
  United States Treasury Note/Bond  2.250% 1/31/24   203,680    201,325
  United States Treasury Note/Bond  2.500% 1/31/24   163,335    162,084
  United States Treasury Note/Bond  0.125% 2/15/24   499,740    477,330
  United States Treasury Note/Bond  2.750% 2/15/24   339,077    337,858
  United States Treasury Note/Bond  1.500% 2/29/24    75,013     73,243
  United States Treasury Note/Bond  2.125% 2/29/24   267,220    263,546
  United States Treasury Note/Bond  2.375% 2/29/24   194,373    192,490
  United States Treasury Note/Bond  0.250% 3/15/24   286,720    273,683
  United States Treasury Note/Bond  2.125% 3/31/24   805,281    793,328
  United States Treasury Note/Bond  2.250% 3/31/24   639,270    631,179
  United States Treasury Note/Bond  0.375% 4/15/24   223,590    213,424
  United States Treasury Note/Bond  2.000% 4/30/24   111,660    109,688
  United States Treasury Note/Bond  2.250% 4/30/24   294,765    290,896
  United States Treasury Note/Bond  2.500% 4/30/24   559,750    554,853
  United States Treasury Note/Bond  0.250% 5/15/24   412,085    391,610
  United States Treasury Note/Bond  2.500% 5/15/24   453,279    449,100
  United States Treasury Note/Bond  2.000% 5/31/24   444,809    436,677
  United States Treasury Note/Bond  2.500% 5/31/24    79,747     79,037
  United States Treasury Note/Bond  0.250% 6/15/24   469,539    445,182
  United States Treasury Note/Bond  1.750% 6/30/24   263,738    257,392
  United States Treasury Note/Bond  2.000% 6/30/24   231,596    227,181
  United States Treasury Note/Bond  3.000% 6/30/24   123,335    123,412
  United States Treasury Note/Bond  0.375% 7/15/24   528,852    501,583
  United States Treasury Note/Bond  1.750% 7/31/24   262,309    255,669
  United States Treasury Note/Bond  2.125% 7/31/24   196,531    193,061
  United States Treasury Note/Bond  0.375% 8/15/24   404,185    382,271
  United States Treasury Note/Bond  2.375% 8/15/24   869,992    858,438
  United States Treasury Note/Bond  1.250% 8/31/24   195,108    187,944
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  United States Treasury Note/Bond  1.875% 8/31/24   222,285    217,006
  United States Treasury Note/Bond  0.375% 9/15/24   224,115    211,438
  United States Treasury Note/Bond  1.500% 9/30/24   186,795    180,666
  United States Treasury Note/Bond  2.125% 9/30/24   266,039    261,051
  United States Treasury Note/Bond  0.625% 10/15/24   316,385    299,725
  United States Treasury Note/Bond  1.500% 10/31/24   379,999    367,055
  United States Treasury Note/Bond  2.250% 10/31/24   230,860    226,892
  United States Treasury Note/Bond  0.750% 11/15/24   631,725    598,856
  United States Treasury Note/Bond  2.250% 11/15/24   505,923    497,386
  United States Treasury Note/Bond  1.500% 11/30/24   219,102    211,331
  United States Treasury Note/Bond  2.125% 11/30/24   191,165    187,162
  United States Treasury Note/Bond  1.000% 12/15/24   389,578    370,951
  United States Treasury Note/Bond  1.750% 12/31/24   319,915    310,018
  United States Treasury Note/Bond  2.250% 12/31/24   222,194    218,028
  United States Treasury Note/Bond  1.125% 1/15/25   429,460    409,463
  United States Treasury Note/Bond  1.375% 1/31/25   183,815    176,261
  United States Treasury Note/Bond  2.500% 1/31/25   546,653    539,307
  United States Treasury Note/Bond  1.500% 2/15/25   303,125    291,284
  United States Treasury Note/Bond  2.000% 2/15/25   420,220    409,386
  United States Treasury Note/Bond  1.125% 2/28/25   181,694    172,893
  United States Treasury Note/Bond  2.750% 2/28/25   139,850    138,801
  United States Treasury Note/Bond  1.750% 3/15/25   337,740    326,447
  United States Treasury Note/Bond  2.625% 3/31/25   124,516    123,212
  United States Treasury Note/Bond  2.625% 4/15/25   366,920    362,964
  United States Treasury Note/Bond  0.375% 4/30/25   130,193    120,795
  United States Treasury Note/Bond  2.875% 4/30/25   203,280    202,391
  United States Treasury Note/Bond  2.125% 5/15/25   575,900    561,682
  United States Treasury Note/Bond  2.750% 5/15/25   275,875    273,763
  United States Treasury Note/Bond  0.250% 5/31/25   257,086    237,202
  United States Treasury Note/Bond  2.875% 5/31/25   274,135    272,936
  United States Treasury Note/Bond  2.875% 6/15/25   300,475    299,254
  United States Treasury Note/Bond  0.250% 6/30/25   103,035     94,840
  United States Treasury Note/Bond  2.750% 6/30/25   119,750    118,777
  United States Treasury Note/Bond  0.250% 7/31/25   209,968    192,712
  United States Treasury Note/Bond  2.875% 7/31/25   117,915    117,344
  United States Treasury Note/Bond  2.000% 8/15/25 1,147,417  1,111,560
  United States Treasury Note/Bond  0.250% 8/31/25   265,785    243,318
  United States Treasury Note/Bond  2.750% 8/31/25   199,795    197,984
  United States Treasury Note/Bond  0.250% 9/30/25   166,345    151,920
  United States Treasury Note/Bond  3.000% 9/30/25   173,516    173,218
  United States Treasury Note/Bond  0.250% 10/31/25   196,995    179,481
  United States Treasury Note/Bond  3.000% 10/31/25   151,522    151,262
  United States Treasury Note/Bond  2.250% 11/15/25   507,400    494,081
  United States Treasury Note/Bond  0.375% 11/30/25   419,630    383,240
  United States Treasury Note/Bond  2.875% 11/30/25   183,217    182,072
  United States Treasury Note/Bond  0.375% 12/31/25   170,415    155,264
  United States Treasury Note/Bond  2.625% 12/31/25   192,585    189,877
  United States Treasury Note/Bond  0.375% 1/31/26   310,895    282,623
  United States Treasury Note/Bond  2.625% 1/31/26   170,870    168,387
  United States Treasury Note/Bond  1.625% 2/15/26   772,589    734,442
  United States Treasury Note/Bond  6.000% 2/15/26    12,240     13,449
  United States Treasury Note/Bond  0.500% 2/28/26 1,540,959  1,404,199
  United States Treasury Note/Bond  2.500% 2/28/26   271,040    265,789
  United States Treasury Note/Bond  0.750% 3/31/26   297,255    273,010
  United States Treasury Note/Bond  2.250% 3/31/26   239,650    232,835
  United States Treasury Note/Bond  0.750% 4/30/26   288,013    263,982
  United States Treasury Note/Bond  2.375% 4/30/26   211,875    206,744
  United States Treasury Note/Bond  1.625% 5/15/26   485,738    460,237
 
4

 

Short-Term Bond Index Fund
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  United States Treasury Note/Bond  0.750% 5/31/26   473,895    433,540
  United States Treasury Note/Bond  2.125% 5/31/26   225,336    217,660
  United States Treasury Note/Bond  0.875% 6/30/26   546,244    501,350
  United States Treasury Note/Bond  1.875% 6/30/26   176,699    168,968
  United States Treasury Note/Bond  0.625% 7/31/26   487,903    442,315
  United States Treasury Note/Bond  1.875% 7/31/26   187,095    178,676
  United States Treasury Note/Bond  1.500% 8/15/26   618,255    580,483
  United States Treasury Note/Bond  0.750% 8/31/26   498,310    453,462
  United States Treasury Note/Bond  1.375% 8/31/26   252,485    235,916
  United States Treasury Note/Bond  0.875% 9/30/26   479,610    438,019
  United States Treasury Note/Bond  1.625% 9/30/26   183,655    173,210
  United States Treasury Note/Bond  1.125% 10/31/26   496,562    457,613
  United States Treasury Note/Bond  1.625% 10/31/26   143,985    135,571
  United States Treasury Note/Bond  2.000% 11/15/26   374,597    358,091
  United States Treasury Note/Bond  1.250% 11/30/26   454,550    420,885
  United States Treasury Note/Bond  1.625% 11/30/26   256,849    241,679
  United States Treasury Note/Bond  1.250% 12/31/26   265,710    245,533
  United States Treasury Note/Bond  1.750% 12/31/26   109,470    103,483
  United States Treasury Note/Bond  1.500% 1/31/27   697,405    650,984
  United States Treasury Note/Bond  2.250% 2/15/27   371,540    358,188
  United States Treasury Note/Bond  1.125% 2/28/27    50,785     46,516
  United States Treasury Note/Bond  1.875% 2/28/27   370,869    352,036
  United States Treasury Note/Bond  2.500% 3/31/27   477,410    465,773
  United States Treasury Note/Bond  0.500% 4/30/27    96,500     85,387
  United States Treasury Note/Bond  2.750% 4/30/27   403,094    397,614
  United States Treasury Note/Bond  2.375% 5/15/27   492,425    476,575
  United States Treasury Note/Bond  0.500% 5/31/27   330,670    291,920
  United States Treasury Note/Bond  2.625% 5/31/27   808,970    793,675
  United States Treasury Note/Bond  0.500% 6/30/27   189,785    167,218
  United States Treasury Note/Bond  3.250% 6/30/27   558,515    563,926
  United States Treasury Note/Bond  0.375% 7/31/27   112,830     98,603
                                44,735,625
Agency Bonds and Notes (2.2%)
1 AID-Israel  5.500% 9/18/23     4,300      4,419
1 AID-Israel  5.500% 12/4/23     8,000      8,266
1 AID-Israel  5.500% 4/26/24    12,058     12,544
1 AID-Jordan  3.000% 6/30/25     4,675      4,657
  Federal Farm Credit Banks  0.500% 12/1/23    25,000     24,133
  Federal Farm Credit Banks  3.500% 12/20/23     4,250      4,279
  Federal Farm Credit Banks  0.900% 1/18/24    10,000      9,682
  Federal Farm Credit Banks  0.250% 2/26/24    20,100     19,207
  Federal Farm Credit Banks  2.625% 5/3/24     5,280      5,240
  Federal Farm Credit Banks  2.625% 5/16/24    22,415     22,243
  Federal Farm Credit Banks  2.625% 6/10/24     4,825      4,786
  Federal Farm Credit Banks  3.250% 6/17/24    17,670     17,734
  Federal Farm Credit Banks  3.100% 6/28/24    11,320     11,329
  Federal Farm Credit Banks  0.875% 11/18/24    35,902     34,114
  Federal Farm Credit Banks  1.125% 1/6/25     8,610      8,206
  Federal Farm Credit Banks  1.750% 2/14/25    12,040     11,637
  Federal Farm Credit Banks  2.510% 4/1/25     7,200      7,087
  Federal Home Loan Banks  0.125% 8/28/23    40,180     38,894
  Federal Home Loan Banks  0.500% 11/9/23    10,600     10,254
  Federal Home Loan Banks  0.625% 12/22/23    11,000     10,623
  Federal Home Loan Banks  2.500% 2/13/24    93,690     92,914
  Federal Home Loan Banks  2.125% 2/28/24    18,725     18,453
  Federal Home Loan Banks  3.250% 3/8/24     9,755      9,790
  Federal Home Loan Banks  2.875% 6/14/24    21,705     21,630
  Federal Home Loan Banks  3.125% 6/14/24     5,000      5,002
  Federal Home Loan Banks  2.750% 6/28/24    44,500     44,237
  Federal Home Loan Banks  1.500% 8/15/24     9,990      9,678
  Federal Home Loan Banks  5.375% 8/15/24       100        105
  Federal Home Loan Banks  2.875% 9/13/24    20,000     19,930
2 Federal Home Loan Banks  1.000% 12/20/24    11,000     10,463
  Federal Home Loan Banks  0.500% 4/14/25    35,000     32,598
  Federal Home Loan Banks  0.375% 9/4/25    15,000     13,773
  Federal Home Loan Banks  1.250% 12/21/26     6,300      5,814
3 Federal Home Loan Mortgage Corp.  0.250% 8/24/23    51,200     49,647
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
3 Federal Home Loan Mortgage Corp.  0.250% 9/8/23    43,500     42,137
3 Federal Home Loan Mortgage Corp.  0.125% 10/16/23    60,100     57,951
3 Federal Home Loan Mortgage Corp.  0.250% 11/6/23    43,100     41,559
3 Federal Home Loan Mortgage Corp.  0.250% 12/4/23    32,100     30,870
3 Federal Home Loan Mortgage Corp.  1.500% 2/12/25    20,100     19,303
2,3 Federal Home Loan Mortgage Corp.  0.375% 7/21/25    55,050     50,724
3 Federal Home Loan Mortgage Corp.  0.375% 9/23/25    60,000     55,067
3 Federal National Mortgage Assn.  0.250% 7/10/23    56,050     54,545
3 Federal National Mortgage Assn.  2.875% 9/12/23     2,105      2,103
3 Federal National Mortgage Assn.  0.250% 11/27/23    56,670     54,535
3 Federal National Mortgage Assn.  2.500% 2/5/24    14,133     14,018
3 Federal National Mortgage Assn.  1.750% 7/2/24    15,722     15,337
3 Federal National Mortgage Assn.  2.625% 9/6/24   183,655    182,057
3 Federal National Mortgage Assn.  1.625% 10/15/24        50         48
3 Federal National Mortgage Assn.  1.625% 1/7/25    70,240     67,784
3 Federal National Mortgage Assn.  0.625% 4/22/25    35,700     33,314
3 Federal National Mortgage Assn.  0.500% 6/17/25    25,100     23,241
3 Federal National Mortgage Assn.  0.375% 8/25/25    45,100     41,452
3 Federal National Mortgage Assn.  0.500% 11/7/25    45,350     41,626
3 Federal National Mortgage Assn.  2.125% 4/24/26    33,500     32,322
3 Federal National Mortgage Assn.  1.875% 9/24/26    37,630     35,758
2 Private Export Funding Corp.  3.550% 1/15/24     3,500      3,511
2 Private Export Funding Corp.  2.450% 7/15/24     3,350      3,291
2 Private Export Funding Corp.  1.750% 11/15/24     2,130      2,049
  Tennessee Valley Authority  2.875% 9/15/24     7,875      7,833
  Tennessee Valley Authority  0.750% 5/15/25     7,050      6,594
2 Tennessee Valley Authority  6.750% 11/1/25     6,830      7,611
2 Tennessee Valley Authority  2.875% 2/1/27    12,000     11,846
                                 1,541,854
Total U.S. Government and Agency Obligations (Cost $48,546,651) 46,277,479
Corporate Bonds (25.8%)
Communications (1.2%)
  Activision Blizzard Inc.  3.400% 9/15/26     7,899      7,769
  Alphabet Inc.  3.375% 2/25/24     4,571      4,595
  Alphabet Inc.  0.450% 8/15/25     9,880      9,088
  Alphabet Inc.  1.998% 8/15/26    13,352     12,647
  AT&T Inc.  0.900% 3/25/24    13,100     12,518
  AT&T Inc.  1.700% 3/25/26    25,550     23,367
  AT&T Inc.  3.800% 2/15/27     7,444      7,302
  AT&T Inc.  4.250% 3/1/27    14,741     14,714
  Baidu Inc.  3.875% 9/29/23     4,670      4,685
  Baidu Inc.  4.375% 5/14/24     5,693      5,735
  Baidu Inc.  3.075% 4/7/25     8,142      7,911
  Baidu Inc.  4.125% 6/30/25     4,100      4,094
  Baidu Inc.  1.720% 4/9/26     3,437      3,140
  Baidu Inc.  1.625% 2/23/27     2,565      2,270
  Booking Holdings Inc.  3.650% 3/15/25     7,865      7,879
  Booking Holdings Inc.  3.600% 6/1/26    11,725     11,546
  British Telecommunications plc  4.500% 12/4/23       532        535
2 Charter Communications Operating LLC  4.500% 2/1/24    16,636     16,739
  Charter Communications Operating LLC  4.908% 7/23/25    42,242     42,351
  Comcast Corp.  3.700% 4/15/24    15,752     15,799
  Comcast Corp.  3.375% 2/15/25     8,261      8,201
  Comcast Corp.  3.375% 8/15/25     9,924      9,807
  Comcast Corp.  3.950% 10/15/25    24,880     25,007
  Comcast Corp.  3.150% 3/1/26    15,170     14,790
  Comcast Corp.  2.350% 1/15/27    12,821     11,959
  Comcast Corp.  3.300% 2/1/27    10,045      9,769
  Comcast Corp.  3.300% 4/1/27     5,639      5,460
  Discovery Communications LLC  3.800% 3/13/24     2,530      2,517
 
5

 

Short-Term Bond Index Fund
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Discovery Communications LLC  3.900% 11/15/24     4,849      4,775
  Discovery Communications LLC  3.450% 3/15/25     3,952      3,816
  Discovery Communications LLC  3.950% 6/15/25     4,740      4,632
  Discovery Communications LLC  4.900% 3/11/26     9,020      9,035
  Electronic Arts Inc.  4.800% 3/1/26     2,748      2,808
  Expedia Group Inc.  5.000% 2/15/26     8,183      8,190
  FactSet Research Systems Inc.  2.900% 3/1/27     2,000      1,874
  Fox Corp.  4.030% 1/25/24    11,848     11,848
  Fox Corp.  3.050% 4/7/25     5,518      5,349
  Grupo Televisa SAB  6.625% 3/18/25     3,460      3,644
  Grupo Televisa SAB  4.625% 1/30/26     2,237      2,245
  Interpublic Group of Cos. Inc.  4.200% 4/15/24        76         76
4 Magallanes Inc.  3.428% 3/15/24    15,035     14,740
4 Magallanes Inc.  3.528% 3/15/24     5,045      4,945
4 Magallanes Inc.  3.638% 3/15/25    15,400     14,947
4 Magallanes Inc.  3.788% 3/15/25     5,000      4,850
4 Magallanes Inc.  3.755% 3/15/27    34,635     32,505
  Omnicom Group Inc.  3.650% 11/1/24     6,105      6,050
  Omnicom Group Inc.  3.600% 4/15/26    10,815     10,519
  Paramount Global  4.750% 5/15/25     6,590      6,659
  Paramount Global  4.000% 1/15/26     9,070      8,865
  Paramount Global  2.900% 1/15/27     4,940      4,552
  Rogers Communications Inc.  4.100% 10/1/23     8,088      8,128
4 Rogers Communications Inc.  2.950% 3/15/25     8,200      7,928
  Rogers Communications Inc.  3.625% 12/15/25     6,461      6,327
  Rogers Communications Inc.  2.900% 11/15/26     3,070      2,899
4 Rogers Communications Inc.  3.200% 3/15/27    10,275      9,753
  Take-Two Interactive Software Inc.  3.300% 3/28/24     3,225      3,185
  Take-Two Interactive Software Inc.  3.550% 4/14/25     4,560      4,485
  Take-Two Interactive Software Inc.  3.700% 4/14/27     3,250      3,153
  TCI Communications Inc.  7.875% 2/15/26     5,160      5,792
  Telefonica Emisiones SA  4.103% 3/8/27    12,861     12,599
  TELUS Corp.  2.800% 2/16/27     5,100      4,853
  Thomson Reuters Corp.  4.300% 11/23/23     5,010      5,049
  Thomson Reuters Corp.  3.350% 5/15/26     2,300      2,233
  T-Mobile USA Inc.  3.500% 4/15/25    28,186     27,597
  T-Mobile USA Inc.  1.500% 2/15/26     9,717      8,789
  T-Mobile USA Inc.  3.750% 4/15/27    33,796     32,511
2 TWDC Enterprises 18 Corp.  3.150% 9/17/25     7,784      7,660
  TWDC Enterprises 18 Corp.  3.000% 2/13/26     6,221      6,048
2 TWDC Enterprises 18 Corp.  1.850% 7/30/26    11,522     10,645
  Verizon Communications Inc.  0.750% 3/22/24       175        167
  Verizon Communications Inc.  3.376% 2/15/25    11,030     10,960
  Verizon Communications Inc.  0.850% 11/20/25    13,156     11,928
  Verizon Communications Inc.  1.450% 3/20/26    16,950     15,518
  Verizon Communications Inc.  2.625% 8/15/26    19,339     18,279
  Verizon Communications Inc.  4.125% 3/16/27    26,528     26,467
  Verizon Communications Inc.  3.000% 3/22/27     8,222      7,814
  Vodafone Group plc  3.750% 1/16/24     9,589      9,632
  Vodafone Group plc  4.125% 5/30/25    14,700     14,757
  Walt Disney Co.  1.750% 8/30/24    10,851     10,454
  Walt Disney Co.  3.700% 9/15/24     2,839      2,843
  Walt Disney Co.  3.350% 3/24/25    15,995     15,874
  Walt Disney Co.  3.700% 10/15/25     6,983      6,976
  Walt Disney Co.  1.750% 1/13/26    12,338     11,501
  Walt Disney Co.  3.375% 11/15/26     6,143      6,002
  Weibo Corp.  3.500% 7/5/24     7,125      6,936
  WPP Finance 2010  3.750% 9/19/24     2,168      2,119
                                   816,979
Consumer Discretionary (1.6%)
  Alibaba Group Holding Ltd.  3.600% 11/28/24    22,362     22,228
  Amazon.com Inc.  2.730% 4/13/24     4,060      4,037
  Amazon.com Inc.  0.450% 5/12/24    23,401     22,276
  Amazon.com Inc.  2.800% 8/22/24    23,335     23,128
  Amazon.com Inc.  3.800% 12/5/24     3,687      3,728
  Amazon.com Inc.  0.800% 6/3/25     8,935      8,316
  Amazon.com Inc.  5.200% 12/3/25     4,054      4,255
  Amazon.com Inc.  1.000% 5/12/26    20,135     18,316
  Amazon.com Inc.  3.300% 4/13/27    27,942     27,425
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Amazon.com Inc.  3.150% 8/22/27     2,000      1,948
2 American Honda Finance Corp.  2.050% 1/10/23     6,949      6,908
2 American Honda Finance Corp.  0.875% 7/7/23    11,440     11,158
2 American Honda Finance Corp.  3.450% 7/14/23     3,920      3,922
2 American Honda Finance Corp.  3.625% 10/10/23     1,744      1,749
2 American Honda Finance Corp.  3.550% 1/12/24     3,604      3,609
2 American Honda Finance Corp.  2.900% 2/16/24     8,525      8,446
2 American Honda Finance Corp.  2.400% 6/27/24    11,470     11,215
2 American Honda Finance Corp.  0.550% 7/12/24     8,724      8,208
2 American Honda Finance Corp.  0.750% 8/9/24       100         94
2 American Honda Finance Corp.  2.150% 9/10/24     6,563      6,359
2 American Honda Finance Corp.  1.200% 7/8/25     4,910      4,535
2 American Honda Finance Corp.  1.000% 9/10/25     4,555      4,152
2 American Honda Finance Corp.  2.300% 9/9/26     3,301      3,088
2 American Honda Finance Corp.  2.350% 1/8/27       574        535
  Aptiv plc  2.396% 2/18/25     4,000      3,821
  AutoNation Inc.  3.500% 11/15/24     3,422      3,316
  AutoNation Inc.  4.500% 10/1/25     3,254      3,252
  AutoZone Inc.  3.125% 7/15/23       300        299
  AutoZone Inc.  3.125% 4/18/24     7,815      7,725
  AutoZone Inc.  3.250% 4/15/25     1,005        985
  AutoZone Inc.  3.625% 4/15/25     5,151      5,091
  AutoZone Inc.  3.125% 4/21/26     3,756      3,618
  AutoZone Inc.  3.750% 6/1/27     5,681      5,512
  BorgWarner Inc.  3.375% 3/15/25     4,330      4,244
  Brunswick Corp.  0.850% 8/18/24     3,380      3,119
4 Daimler Finance North America LLC  0.750% 3/1/24     3,000      2,853
  Darden Restaurants Inc.  3.850% 5/1/27     4,330      4,167
  DR Horton Inc.  5.750% 8/15/23       708        721
  DR Horton Inc.  2.500% 10/15/24     7,155      6,834
  DR Horton Inc.  2.600% 10/15/25     6,960      6,547
  eBay Inc.  3.450% 8/1/24     6,307      6,243
  eBay Inc.  1.900% 3/11/25     5,535      5,206
  eBay Inc.  1.400% 5/10/26     4,675      4,207
  eBay Inc.  3.600% 6/5/27     6,482      6,232
  Fortune Brands Home & Security Inc.  4.000% 9/21/23     5,033      5,048
  Fortune Brands Home & Security Inc.  4.000% 6/15/25     4,517      4,460
  General Motors Co.  4.875% 10/2/23    10,899     11,002
  General Motors Co.  5.400% 10/2/23     4,620      4,691
  General Motors Co.  4.000% 4/1/25     5,517      5,443
  General Motors Co.  6.125% 10/1/25    24,499     25,333
  General Motors Financial Co. Inc.  3.250% 1/5/23     6,340      6,335
  General Motors Financial Co. Inc.  1.700% 8/18/23     7,598      7,414
  General Motors Financial Co. Inc.  5.100% 1/17/24    10,627     10,733
  General Motors Financial Co. Inc.  1.050% 3/8/24     3,260      3,088
  General Motors Financial Co. Inc.  3.950% 4/13/24    11,085     10,999
  General Motors Financial Co. Inc.  1.200% 10/15/24       530        493
  General Motors Financial Co. Inc.  3.500% 11/7/24     7,276      7,111
  General Motors Financial Co. Inc.  4.000% 1/15/25    11,225     11,070
  General Motors Financial Co. Inc.  2.900% 2/26/25    18,445     17,602
  General Motors Financial Co. Inc.  3.800% 4/7/25     5,493      5,363
  General Motors Financial Co. Inc.  4.350% 4/9/25     3,335      3,296
  General Motors Financial Co. Inc.  2.750% 6/20/25    14,403     13,572
  General Motors Financial Co. Inc.  4.300% 7/13/25     4,341      4,273
  General Motors Financial Co. Inc.  1.250% 1/8/26     8,405      7,387
  General Motors Financial Co. Inc.  5.250% 3/1/26    11,937     11,957
  General Motors Financial Co. Inc.  1.500% 6/10/26     8,700      7,606
  General Motors Financial Co. Inc.  4.000% 10/6/26    13,308     12,711
  General Motors Financial Co. Inc.  4.350% 1/17/27     2,186      2,097
  General Motors Financial Co. Inc.  2.350% 2/26/27     6,685      5,892
  General Motors Financial Co. Inc.  5.000% 4/9/27    15,500     15,203
  Genuine Parts Co.  1.750% 2/1/25     1,100      1,038
4 Harley-Davidson Financial Services Inc.  3.350% 6/8/25       200        192
  Harley-Davidson Inc.  3.500% 7/28/25     4,229      4,091
  Hasbro Inc.  3.000% 11/19/24     3,212      3,125
 
6

 

Short-Term Bond Index Fund
      Coupon Maturity
Date
Face
Amount
($000)
Market
Value

($000)
  Hasbro Inc.  3.550% 11/19/26    10,133      9,683
  Home Depot Inc.  3.750% 2/15/24     8,618      8,687
  Home Depot Inc.  2.700% 4/15/25     2,990      2,935
  Home Depot Inc.  3.350% 9/15/25    12,742     12,664
  Home Depot Inc.  3.000% 4/1/26    11,926     11,704
  Home Depot Inc.  2.125% 9/15/26     6,063      5,740
  Home Depot Inc.  2.500% 4/15/27     9,849      9,325
  Home Depot Inc.  2.875% 4/15/27    10,790     10,423
  Honda Motor Co. Ltd.  2.271% 3/10/25    12,470     12,003
  Honda Motor Co. Ltd.  2.534% 3/10/27    20,865     19,547
  Hyatt Hotels Corp.  3.375% 7/15/23     1,000        978
  Hyatt Hotels Corp.  1.300% 10/1/23     5,900      5,708
  Hyatt Hotels Corp.  1.800% 10/1/24     3,000      2,839
  Hyatt Hotels Corp.  5.625% 4/23/25     4,521      4,590
  Hyatt Hotels Corp.  4.850% 3/15/26     5,167      5,148
  JD.com Inc.  3.875% 4/29/26     4,439      4,350
  Kohl's Corp.  4.250% 7/17/25       550        542
  Leggett & Platt Inc.  3.800% 11/15/24     1,087      1,077
  Leland Stanford Junior University  1.289% 6/1/27     3,121      2,799
  Lennar Corp.  4.875% 12/15/23     7,003      7,067
  Lennar Corp.  4.500% 4/30/24    11,428     11,405
  Lennar Corp.  5.875% 11/15/24     5,591      5,737
  Lennar Corp.  4.750% 5/30/25     6,137      6,156
  Lennar Corp.  5.250% 6/1/26     1,525      1,538
  Lennar Corp.  4.750% 11/29/27     2,000      1,948
  Lowe's Cos. Inc.  3.875% 9/15/23     2,864      2,879
  Lowe's Cos. Inc.  3.125% 9/15/24     6,590      6,491
  Lowe's Cos. Inc.  4.000% 4/15/25     5,801      5,831
  Lowe's Cos. Inc.  3.375% 9/15/25     9,223      9,063
  Lowe's Cos. Inc.  2.500% 4/15/26    11,798     11,165
  Lowe's Cos. Inc.  3.350% 4/1/27     4,431      4,268
  Magna International Inc.  3.625% 6/15/24     8,022      7,974
  Magna International Inc.  4.150% 10/1/25     1,522      1,527
  Marriott International Inc.  2.125% 10/3/22     2,450      2,441
2 Marriott International Inc.  4.150% 12/1/23     2,120      2,128
  Marriott International Inc.  3.600% 4/15/24     7,325      7,256
  Marriott International Inc.  3.750% 3/15/25     2,668      2,634
2 Marriott International Inc.  5.750% 5/1/25     1,285      1,331
  Marriott International Inc.  3.750% 10/1/25     6,266      6,137
2 Marriott International Inc.  3.125% 6/15/26     3,569      3,395
2 McDonald's Corp.  3.375% 5/26/25     6,656      6,594
2 McDonald's Corp.  3.300% 7/1/25    11,471     11,371
2 McDonald's Corp.  1.450% 9/1/25     6,161      5,741
2 McDonald's Corp.  3.700% 1/30/26     6,961      6,957
2 McDonald's Corp.  3.500% 3/1/27     8,441      8,264
  NIKE Inc.  2.400% 3/27/25    11,081     10,812
  NIKE Inc.  2.750% 3/27/27     9,111      8,767
  O'Reilly Automotive Inc.  3.550% 3/15/26     3,385      3,317
  Owens Corning  4.200% 12/1/24     3,643      3,636
  Owens Corning  3.400% 8/15/26     3,106      2,963
  PulteGroup Inc.  5.500% 3/1/26     4,389      4,465
  PulteGroup Inc.  5.000% 1/15/27     2,085      2,084
  PVH Corp.  4.625% 7/10/25     4,335      4,328
  Ralph Lauren Corp.  3.750% 9/15/25     3,506      3,492
  Ross Stores Inc.  4.600% 4/15/25     5,304      5,364
  Ross Stores Inc.  0.875% 4/15/26    10,080      8,922
  Sands China Ltd.  3.800% 1/8/26     1,221        975
  Snap-on Inc.  3.250% 3/1/27     1,956      1,909
  Stanley Black & Decker Inc.  3.400% 3/1/26     4,678      4,591
2 Stanley Black & Decker Inc.  4.000% 3/15/60     4,263      3,714
  Starbucks Corp.  3.850% 10/1/23     4,823      4,858
  Starbucks Corp.  3.800% 8/15/25     8,499      8,480
  Starbucks Corp.  2.450% 6/15/26       262        247
  Starbucks Corp.  2.000% 3/12/27     2,559      2,332