Important information about shareholder reports

Beginning in July 2024, amendments adopted by the Securities and Exchange Commission will substantially impact the design, content, and transmission of shareholder reports. Shareholder reports will provide key fund information in a clear and concise format and must be mailed to each shareholder that has not elected to receive the reports electronically. Financial statements will no longer be included in the shareholder report but will be available at vanguard.com, can be mailed upon request, or can be accessed on the SEC’s website at www.sec.gov.

You may elect to receive shareholder reports and other communications from the fund electronically by contacting your financial intermediary (such as a broker-dealer or bank) or, if you invest directly with the fund, by calling Vanguard at one of the phone numbers on the back cover of this report or by logging on to vanguard.com.

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

•	The financial markets delivered very robust returns for the 12 months ended December 31, 2023. Vanguard Ultra-Short Bond ETF returned 5.56%, based on net asset value. The ETF outpaced its benchmark, the Bloomberg U.S. Treasury Bellwethers: 1 Year Index, which returned 5.16%.
•	With inflation continuing to ease, a number of major central banks slowed and eventually stopped hiking interest rates. Global growth, employment, and consumer spending showed resilience, but the prospect of rates remaining high for an extended period spurred volatility at times. Toward year-end, however, global stocks and bonds rallied as falling inflation and softening economic growth raised market expectations for rate cuts in 2024.
•	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.
•	The higher yields from holding credit over Treasuries and the narrowing in credit spreads during the period drove the ETF’s outperformance relative to its benchmark.

Market Barometer

	Average Annual Total Returns Periods Ended December 31, 2023
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	26.53%	8.97%	15.52%
Russell 2000 Index (Small-caps)	16.93	2.22	9.97
Russell 3000 Index (Broad U.S. market)	25.96	8.54	15.16
FTSE All-World ex US Index (International)	15.82	1.98	7.52
Bonds
Bloomberg U.S. Aggregate Float Adjusted Index (Broad taxable market)	5.60%	-3.33%	1.17%
Bloomberg Municipal Bond Index (Broad tax-exempt market)	6.40	-0.40	2.25
FTSE Three-Month U.S. Treasury Bill Index	5.26	2.24	1.91
CPI
Consumer Price Index	3.35%	5.60%	4.07%

1

Advisor’s Report

2

contributed to a strong rally in both stocks and bonds toward year-end.

Bond yields were volatile in 2023. The bellwether 10-year U.S. Treasury note yield surged at times when the markets were anticipating rates to stay higher for longer, breaking above 4% in early March and climbing to around 5% in the fall. Its March decline—and another toward year-end—stemmed from stress in the banking sector and the Fed’s pivot from a tight monetary policy stance to signaling rate cuts in 2024. That yield nevertheless finished the year almost where it started at just under 3.9%. Yields for short-term Treasuries, however, generally ended the year lower.

The broad U.S. investment-grade bond market returned 5.60% for the year, according to the Bloomberg U.S. Aggregate Float Adjusted Index. With the odds of a global recession falling and resilience in both the job market and consumer spending, the average yield of corporate bonds over Treasuries narrowed during the period, leading them to return even more than that.

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.

The ETF was conservatively positioned ahead of the turmoil in the banking sector in March that included the shuttering of some regional banks. So when spreads widened and the market cheapened up, we added debt of banks to the portfolio, especially regional banks that we believed had very sound fundamentals. This helped the ETF’s relative performance.

Another positive was taking on attractively valued, high-quality credit risk midyear when we believed the Fed was probably at or near the end of its rate-hiking cycle. That move paid off as credit spreads then tightened through the end of 2023.

Outlook

Although some market participants are counting on a Goldilocks scenario in which inflation moderates without a slowdown in the economy, we see that as unlikely for several reasons. Even without further interest rate increases, the tightening in monetary policy that has already occurred will continue working its way through the financial system. There’s a risk that wage gains could contribute to inflation remaining sticky and above target, and consumers have been spending down the savings they accumulated during the pandemic.

We, therefore, continue to expect a mild recession in the U.S. in late 2024, which will eventually bring inflation closer to the Fed’s 2% target. And while the Fed may start cutting interest rates later this year, they are likely to remain for some time well above the low levels we have

become accustomed to since the global financial crisis.

If the shallow recession we are expecting materializes, it will likely bring greater dispersion between issuers in the credit sector and more opportunities for us to add value through bottom-up security selection.

Whatever the markets may bring, our experienced global team of portfolio managers, traders, and credit analysts will continue to seek out attractive opportunities to produce competitive returns for our investors.

Portfolio Managers:

Daniel Shaykevich, Principal

Arvind Narayanan, CFA, Principal

Vanguard Fixed Income Group

January 13, 2024

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, 2023
Ultra-Short Bond ETF	Beginning Account Value 6/30/2023	Ending Account Value 12/31/2023	Expenses Paid During Period
Based on Actual Fund Return	$1,000.00	$1,034.20	$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, 2023

Initial Investment of $10,000

		Average Annual Total Returns Periods Ended December 31, 2023
		One Year	Since Inception (4/5/2021)	Final Value of a $10,000 Investment
	Ultra-Short Bond ETF	5.56%	1.88%	$10,524
	Ultra-Short Bond ETF Market Price	5.52	1.90	10,529
	Bloomberg U.S. Treasury Bellwethers: 1 Year Index	5.16	1.79	10,499
	Bloomberg U.S. Aggregate Bond Index	5.53	-2.48	9,335

”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, 2023

	One Year	Since Inception (4/05/2021)
Ultra-Short Bond ETF Market Price	5.52%	5.29%
Ultra-Short Bond ETF Net Asset Value	5.56	5.24
Bloomberg U.S. Treasury Bellwethers: 1 Year Index	5.16	4.99

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, 2023

Asset-Backed/Commercial Mortgage-Backed Securities	22.6%
Corporate Bonds	68.3
Short-Term Reserves	0.8
Sovereign Bonds	1.1
Commercial Paper	0.7
U.S. Government Securities	6.5

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, 2023

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)
Asset-Backed/Commercial Mortgage-Backed Securities (22.3%)
1	Ally Auto Receivables Trust Class A2 Series 2022-2		4.620%	10/15/25	4,202	4,194
1	Ally Auto Receivables Trust Class A3 Series 2022-1		3.310%	11/15/26	3,349	3,296
1	Ally Auto Receivables Trust Class A3 Series 2023-1		5.460%	5/15/28	1,990	2,014
1,2	Ally Auto Receivables Trust Class B Series 2023-A		6.010%	1/17/34	3,240	3,228
1	American Express Credit Account Class A Series 2022-2		3.390%	5/15/27	9,350	9,160
1	American Express Credit Account Master Trust Class A Series 2022-3		3.750%	8/15/27	11,420	11,231
1	Americredit Automobile Receivables Trust Class A2 Series 2023-2		6.190%	4/19/27	11,000	11,041
1	AmeriCredit Automobile Receivables Trust Class A2A Series 2022-2		4.200%	12/18/25	2,503	2,495
1	AmeriCredit Automobile Receivables Trust Class A3 Series 2021-2		0.340%	12/18/26	731	724
1	AmeriCredit Automobile Receivables Trust Class A3 Series 2023-1		5.620%	11/18/27	4,850	4,892
1	Americredit Automobile Receivables Trust Class A3 Series 2023-2		5.810%	5/18/28	4,000	4,063
1	AmeriCredit Automobile Receivables Trust Class D Series 2020-2		2.130%	3/18/26	2,200	2,122
1,2	ARI Fleet Lease Trust Class A2 Series 2021-A		0.370%	3/15/30	226	226
1,2	ARI Fleet Lease Trust Class A2 Series 2022-A		3.120%	1/15/31	393	390
1,2	ARI Fleet Lease Trust Class A2 Series 2023-A		5.410%	2/17/32	2,593	2,587
1,2	ARI Fleet Lease Trust Class A2 Series 2023-B		6.050%	7/15/32	4,990	5,036
1,2	ARI Fleet Lease Trust Class A3 Series 2022-A		3.430%	1/15/31	500	488
1,2	Avis Budget Rental Car Funding AESOP LLC Class A Series 2019-3A		2.360%	3/20/26	8,390	8,133
1,2	Avis Budget Rental Car Funding AESOP LLC Class A Series 2020-1A		2.330%	8/20/26	4,640	4,436
1	BA Credit Card Trust Class A1 Series 2022-A1		3.530%	11/15/27	11,560	11,340
1	BA Credit Card Trust Class A2 Series 2022-A2		5.000%	4/15/28	4,480	4,508
1,2	Bank of America Auto Trust Class A2 Series 2023-2A		5.850%	8/17/26	5,500	5,530
1,2	Bank of America Auto Trust Class A3 Series 2023-1A		5.530%	2/15/28	5,130	5,192
1,2	Bank of America Auto Trust Class A3 Series 2023-2A		5.740%	6/15/28	5,220	5,320
1	BMW Vehicle Lease Trust Class A3 Series 2023-1		5.160%	11/25/25	2,500	2,497
1	BMW Vehicle Lease Trust Class A3 Series 2023-2		5.990%	9/25/26	7,700	7,810
1	BMW Vehicle Owner Trust Class A3 Series 2022-A		3.210%	8/25/26	4,149	4,079
1	BMW Vehicle Owner Trust Class A3 Series 2023-A		5.470%	2/25/28	2,770	2,805

9

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
1	Capital One Multi-Asset Execution Trust Class A Series 2022-A3		4.950%	10/15/27	1,500	1,506
1	Capital One Multi-Asset Execution Trust Class A3 Series 2021-A3		1.040%	11/15/26	1,181	1,139
1	Capital One Prime Auto Receivables Trust Class A2 Series 2023-1		5.200%	5/15/26	3,248	3,241
1	Capital One Prime Auto Receivables Trust Class A2A Series 2022-2		3.740%	9/15/25	2,784	2,772
1	CarMax Auto Owner Trust Class A2A Series 2023-1		5.230%	1/15/26	3,215	3,209
1	Carmax Auto Owner Trust Class A2A Series 2023-3		5.720%	11/16/26	6,320	6,336
1	CarMax Auto Owner Trust Class A2A Series 2023-4		6.080%	12/15/26	10,900	10,983
1	CarMax Auto Owner Trust Class A3 Series 2022-2		3.490%	2/16/27	1,178	1,159
1	Carmax Auto Owner Trust Class A3 Series 2023-2		5.050%	1/18/28	6,240	6,251
1	Carvana Auto Receivables Trust Class A3 Series 2022-P1		3.350%	2/10/27	1,424	1,397
1,2	CCG Receivables Trust Class A2 Series 2023-2		6.280%	4/14/32	1,760	1,790
1,2	Chase Auto Owner Trust Class A2 Series 2022-AA		3.860%	10/27/25	1,525	1,520
1,2	Chase Auto Owner Trust Class A2 Series 2023-AA		5.900%	3/25/27	7,860	7,886
1,2	Chesapeake Funding II LLC Class A1 Series 2023-1A		5.650%	5/15/35	2,460	2,461
1,2	Chesapeake Funding II LLC Class A1 Series 2023-2A		6.160%	10/15/35	6,198	6,251
1	Citibank Credit Card Issuance Trust Class A1 Series 2023-A1		5.230%	12/8/27	5,630	5,679
1,2	Citizens Auto Receivables Trust Class A3 Series 2023-1		5.840%	1/18/28	4,510	4,576
1,2	Citizens Auto Receivables Trust Class A3 Series 2023-2		5.830%	2/15/28	7,500	7,601
1	CNH Equipment Trust Class A2 Series 2022-B		3.940%	12/15/25	928	923
1	CNH Equipment Trust Class A2 Series 2022-C		5.420%	7/15/26	2,965	2,959
1	CNH Equipment Trust Class A2 Series 2023-A		5.340%	9/15/26	1,740	1,737
1	CNH Equipment Trust Class A2 Series 2023-B		5.900%	2/16/27	7,350	7,396
1	CNH Equipment Trust Class A3 Series 2022-A		2.940%	7/15/27	5,000	4,867
1	Daimler Trucks Retail Trust Class A2 Series 2022-1		5.070%	9/16/24	755	754
1,2	Dell Equipment Finance Trust Class A2 Series 2022-2		4.030%	7/22/27	1,094	1,091
1,2	Dell Equipment Finance Trust Class A2 Series 2023-3		6.100%	4/23/29	7,100	7,134
1,2	Dell Equipment Finance Trust Class A3 Series 2023-1		5.650%	9/22/28	5,590	5,634
1,2	Dell Equipment Finance Trust Class A3 Series 2023-2		5.650%	1/22/29	2,540	2,572
1	Discover Card Execution Note Trust Class A Series 2022-A4		5.030%	10/15/27	7,500	7,534
1	Discover Card Execution Note Trust Class A3 Series 2022-A3		3.560%	7/15/27	14,695	14,412
1,2	DLLAA LLC Class A2 Series 2023-1A		5.930%	7/20/26	2,300	2,314
1,2	DLLAD LLC Class A2 Series 2023-1A		5.190%	4/20/26	1,862	1,855
1,2	DLLMT LLC Class A2 Series 2023-1A		5.780%	11/20/25	4,180	4,180
1,2	DLLST LLC Class A3 Series 2022-1A		3.400%	1/21/25	1,818	1,806
1,2	DLLST LLC Class A4 Series 2022-1A		3.690%	9/20/28	1,500	1,474
1,2	Donlen Fleet Lease Funding 2 LLC Class A2 Series 2021-2		0.560%	12/11/34	292	288
1,2	DT Auto Owner Trust Class A Series 2022-2A		2.880%	6/15/26	530	528
1,2	Ent Auto Receivables Trust Class A2 Series 2023-1A		6.220%	8/16/27	2,330	2,339
1,2	Enterprise Fleet Financing LLC Class A2 Series 2021-2		0.480%	5/20/27	1,559	1,526
1,2	Enterprise Fleet Financing LLC Class A2 Series 2023-1		5.510%	1/22/29	4,910	4,914
1,2	Enterprise Fleet Financing LLC Class A2 Series 2023-2		6.400%	3/20/30	6,400	6,538
1,2	Enterprise Fleet Financing LLC Class A2 Series 2023-2		5.560%	4/22/30	4,030	4,038

10

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
1,2,3,4	Fannie Mae Connecticut Avenue Securities Class 1M1 Series 2023-R08, SOFR30A + 1.500%		6.837%	10/25/43	2,781	2,787
1,2,3,4	Fannie Mae Connecticut Avenue Securities Class 2M1 Series 2021-R02, SOFR30A + 0.900%		6.237%	11/25/41	819	817
1,2,3,4	Fannie Mae Connecticut Avenue Securities Trust Class 1M1 Series 2021-R01, SOFR30A + 0.750%		6.087%	10/25/41	155	155
1,2,3,4	Fannie Mae Connecticut Avenue Securities Trust Class 1M1 Series 2023-R06 , SOFR30A + 1.700%		7.037%	7/25/43	1,073	1,077
1,2,3,4	Fannie Mae Connecticut Avenue Securities Trust Class 2M1 Series 2023-R07, SOFR30A + 1.950%		7.287%	9/25/43	850	858
1	Fifth Third Auto Trust Class A3 Series 2023-1		5.530%	8/15/28	13,130	13,274
1,2	Flagship Credit Auto Trust Class A Series 2021-3		0.360%	7/15/27	241	238
1,2	Flagship Credit Auto Trust Class A Series 2021-4		0.810%	7/17/26	307	302
1	Ford Credit Auto Lease Trust Class A2A Series 2023-B		5.900%	2/15/26	4,200	4,214
1	Ford Credit Auto Lease Trust Class A3 Series 2023-B		5.910%	10/15/26	9,630	9,734
1	Ford Credit Auto Lease Trust Class A4 Series 2022-A		3.370%	7/15/25	1,750	1,731
1	Ford Credit Auto Lease Trust Class A4 Series 2023-B		5.870%	1/15/27	870	880
1	Ford Credit Auto Lease Trust Class B Series 2023-B		6.200%	2/15/27	3,360	3,403
1	Ford Credit Auto Lease Trust Class C Series 2022-A		4.180%	10/15/25	1,250	1,229
1,2	Ford Credit Auto Owner Trust Class A Series 2018-1		3.190%	7/15/31	6,770	6,633
1,2	Ford Credit Auto Owner Trust Class A Series 2019-1		3.520%	7/15/30	6,330	6,329
1,2	Ford Credit Auto Owner Trust Class A Series 2020-1		2.040%	8/15/31	13,550	13,111
1,2	Ford Credit Auto Owner Trust Class A Series 2020-2		1.060%	4/15/33	1,890	1,766
1	Ford Credit Auto Owner Trust Class A2A Series 2022-B		3.440%	2/15/25	710	709
1	Ford Credit Auto Owner Trust Class A2A Series 2022-C		4.520%	4/15/25	845	844
1	Ford Credit Auto Owner Trust Class A2A Series 2022-D		5.370%	8/15/25	1,544	1,543
1	Ford Credit Auto Owner Trust Class A3 Series 2023-A		4.650%	2/15/28	3,580	3,564
1	Ford Credit Auto Owner Trust Class A3 Series 2023-B		5.230%	5/15/28	3,580	3,618
1,2	Ford Credit Auto Owner Trust Class B Series 2020-2		1.490%	4/15/33	2,690	2,453
1,2	Ford Credit Auto Owner Trust Class C Series 2020-1		2.540%	8/15/31	3,000	2,901
1	Ford Credit Floorplan Master Owner Trust Class A Series 2019-4		2.440%	9/15/26	5,370	5,258
1	Ford Credit Floorplan Master Owner Trust Class A Series 2020-2		1.060%	9/15/27	13,980	13,096
1,2,3,4	Freddie Mac STACR REMICS Trust Class M1 Series 2021-DNA6, SOFR30A + 0.800%		6.137%	10/25/41	819	816
1,2,3,4	Freddie Mac STACR REMICS Trust Class M1 Series 2023-HQA3, SOFR30A + 1.850%		7.187%	11/25/43	2,108	2,120
1	GM Financial Automobile Leasing Trust Class A3 Series 2023-1		5.160%	4/20/26	3,500	3,500
1	GM Financial Automobile Leasing Trust Class A3 Series 2023-2		5.050%	7/20/26	2,500	2,501
1	GM Financial Automobile Leasing Trust Class A3 Series 2023-3		5.380%	11/20/26	4,500	4,532
1	GM Financial Automobile Leasing Trust Class A4 Series 2022-2		3.540%	5/20/26	2,750	2,713
1	GM Financial Automobile Leasing Trust Class A4 Series 2023-2		5.090%	5/20/27	670	669
1	GM Financial Automobile Leasing Trust Class A4 Series 2023-3		5.440%	8/20/27	2,750	2,779
1	GM Financial Automobile Leasing Trust Class B Series 2022-2		4.020%	5/20/26	1,750	1,724
1	GM Financial Automobile Leasing Trust Class B Series 2023-3		5.880%	8/20/27	2,020	2,039

11

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
1	GM Financial Consumer Automobile Receivables Trust Class A2A Series 2022-3		3.500%	9/16/25	2,857	2,845
1	GM Financial Consumer Automobile Receivables Trust Class A2A Series 2022-4		4.600%	11/17/25	5,884	5,867
1	GM Financial Consumer Automobile Receivables Trust Class A2A Series 2023-1		5.190%	3/16/26	2,256	2,251
1	GM Financial Consumer Automobile Receivables Trust Class A3 Series 2023-3		5.450%	6/16/28	380	386
1	Harley-Davidson Motorcycle Trust Class A2 Series 2023-B		5.920%	12/15/26	7,190	7,219
1	Harley-Davidson Motorcycle Trust Class A2A Series 2023-A		5.320%	6/15/26	2,340	2,335
1	Harley-Davidson Motorcycle Trust Class A3 Series 2022-A		3.060%	2/15/27	1,076	1,057
1,2	Hertz Vehicle Financing III LLC Class A Series 2022-3A		3.370%	3/25/25	880	877
1,2	Hertz Vehicle Financing III LLC Class C Series 2022-3A		4.350%	3/25/25	255	254
1,2	Hertz Vehicle Financing LLC Class A Series 2022-4A		3.730%	9/25/26	9,130	8,893
1	Honda Auto Receivables Owner Trust Class A2 Series 2022-2		3.810%	3/18/25	1,492	1,488
1	Honda Auto Receivables Owner Trust Class A2 Series 2023-4		5.870%	6/22/26	8,060	8,107
1	Honda Auto Receivables Owner Trust Class A2 Series 2023-4		5.670%	6/21/28	3,470	3,543
1	Honda Auto Receivables Owner Trust Class A3 Series 2023-1		5.040%	4/21/27	3,500	3,500
1	Honda Auto Receivables Owner Trust Class A3 Series 2023-2		4.930%	11/15/27	2,640	2,652
1	Honda Auto Receivables Owner Trust Class A3 Series 2023-3		5.410%	2/18/28	12,000	12,167
1,2	HPEFS Equipment Trust Class A2 Series 2023-2A		6.040%	1/21/31	4,350	4,380
1,2	HPEFS Equipment Trust Class A3 Series 2022-2A		3.760%	9/20/29	1,780	1,762
1,2	HPEFS Equipment Trust Class A3 Series 2023-2A		5.990%	1/21/31	1,420	1,442
1,2	Hyundai Auto Lease Securitization Trust Class A3 Series 2023-B		5.150%	6/15/26	4,280	4,279
1,2	Hyundai Auto Lease Securitization Trust Class A4 Series 2022-B		3.500%	4/15/26	11,730	11,573
1,2	Hyundai Auto Lease Securitization Trust Class A4 Series 2022-C		4.480%	8/17/26	12,230	12,126
1,2	Hyundai Auto Lease Securitization Trust Class A4 Series 2023-B		5.170%	4/15/27	3,040	3,020
1	Hyundai Auto Receivables Trust Class A2A Series 2020-C		5.350%	11/17/25	2,762	2,759
1	Hyundai Auto Receivables Trust Class A2A Series 2022-B		3.640%	5/15/25	1,271	1,267
1	Hyundai Auto Receivables Trust Class A2A Series 2023-C		5.800%	1/15/27	8,580	8,625
1	Hyundai Auto Receivables Trust Class A3 Series 2023-A		4.580%	4/15/27	3,600	3,575
1	Hyundai Auto Receivables Trust Class A3 Series 2023-B		5.480%	4/17/28	2,330	2,363
1	John Deere Owner Trust Class A2 Series 2022-B		3.730%	6/16/25	966	963
1	John Deere Owner Trust Class A2 Series 2023-A		5.280%	3/16/26	5,483	5,472
1	John Deere Owner Trust Class A2 Series 2023-B		5.590%	6/15/26	2,040	2,041
1	John Deere Owner Trust Class A3 Series 2023-A		5.010%	11/15/27	4,000	4,008
1,2	JPMorgan Chase Bank NA - CACLN Class B Series 2021-2		0.889%	12/26/28	936	915

12

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
1,2	Kubota Credit Owner Trust Class A2 Series 2022-2A		4.070%	6/17/25	1,609	1,601
1,2	Kubota Credit Owner Trust Class A2 Series 2023-1A		5.400%	2/17/26	3,571	3,563
1,2	Kubota Credit Owner Trust Class A2 Series 2023-2A		5.610%	7/15/26	5,310	5,317
1,2	Kubota Credit Owner Trust Class A3 Series 2022-2A		4.090%	12/15/26	3,460	3,409
1,2	Master Credit Card Trust II Class A Series 2022-1A		1.660%	7/21/26	6,720	6,481
1	Mercedes-Benz Auto Lease Trust Class A3 Series 2021-B		0.400%	11/15/24	451	449
1	Mercedes-Benz Auto Lease Trust Class A3 Series 2023-A		4.740%	1/15/27	8,660	8,625
1	Mercedes-Benz Auto Receivables Trust Class A2 Series 2022-1		5.260%	10/15/25	3,232	3,229
1	Mercedes-Benz Auto Receivables Trust Class A2 Series 2023-1		5.090%	1/15/26	2,197	2,192
1,2	Navistar Financial Dealer Note Master Owner Trust II Class A Series 2023-1		6.180%	8/25/28	1,740	1,754
1	Nissan Auto Lease Trust Class A3 Series 2023-B		5.690%	7/15/26	1,490	1,498
1	Nissan Auto Receivables Owner Trust Class A2 Series 2022-B		4.500%	8/15/25	3,163	3,152
1	Nissan Auto Receivables Owner Trust Class A3 Series 2023-A		4.910%	11/15/27	9,210	9,219
1	Nissan Auto Receivables Owner Trust Class A3 Series 2023-B		5.930%	3/15/28	6,000	6,151
1,2	PFS Financing Corp. Class A Series 2022-C		3.890%	5/15/27	1,850	1,814
1,2	PFS Financing Corp. Class A Series 2022-D		4.270%	8/15/27	7,430	7,276
1,2	Porsche Financial Auto Securitization Trust Class A2A Series 2023-2A		5.880%	11/23/26	5,460	5,487
1,2	Porsche Financial Auto Securitization Trust Class A3 Series 2023-1A		4.810%	9/22/28	3,140	3,138
1,2	Porsche Financial Auto Securitization Trust Class A3 Series 2023-2A		5.790%	1/22/29	3,960	4,046
1,2	Progress Residential Trust Class A Series 2020-SFR1		1.732%	4/17/37	4,141	3,937
1,2,4	RESIMAC Bastille Trust Class A1B Series 2021-2NCA, SOFR + 0.740%		6.148%	2/3/53	504	499
1,2	Santander Bank Auto Credit-Linked Notes Class B Series 2023-B		5.640%	12/15/33	330	331
1,2	Santander Bank Auto Credit-Linked Notes Class C Series 2023-B		5.933%	12/15/33	700	701
1,2	Santander Bank Auto Credit-Linked Notes Class D Series 2023-B		6.663%	12/15/33	770	771
1,2	Santander Bank NA - SBCLN Class B Series 2021-1A		1.833%	12/15/31	332	324
1	Santander Drive Auto Receivables Trust Class A3 Series 2022-3		3.400%	12/15/26	2,234	2,217
1	Santander Drive Auto Receivables Trust Class A3 Series 2022-4		4.140%	2/16/27	1,241	1,232
1	Santander Drive Auto Receivables Trust Class A3 Series 2022-5		4.110%	8/17/26	2,374	2,363
1	Santander Drive Auto Receivables Trust Class A3 Series 2022-6		4.490%	11/16/26	848	844
1	Santander Drive Auto Receivables Trust Class A3 Series 2023-1		4.880%	4/15/27	4,390	4,368
1	Santander Drive Auto Receivables Trust Class A3 Series 2023-2		5.210%	7/15/27	3,090	3,083
1	Santander Drive Auto Receivables Trust Class A3 Series 2023-3		5.610%	10/15/27	2,730	2,744
1	Santander Drive Auto Receivables Trust Class A3 Series 2023-4		5.730%	4/17/28	4,740	4,784
1	Santander Drive Auto Receivables Trust Class A3 Series 2023-6		5.930%	7/17/28	1,610	1,634

13

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
1,2	Santander Retail Auto Lease Trust Class A4 Series 2022-B		3.330%	10/20/26	15,755	15,439
1,2	Santander Retail Auto Lease Trust Class B Series 2022-B		3.850%	3/22/27	4,400	4,314
1,2	SBNA Auto Lease Trust Class A3 Series 2023-A		6.510%	4/20/27	6,330	6,453
1,2	SCCU Auto Receivables Trust Class A2 Series 2023-1A		5.850%	5/17/27	2,380	2,386
1,2	SCCU Auto Receivables Trust Class A3 Series 2023-1A		5.700%	10/16/28	3,440	3,459
1,2	SFS Auto Receivables Securitization Trust Class A2A Series 2023-1A		5.890%	3/22/27	2,393	2,396
1	Synchrony Card Funding LLC Class A Series 2022-A1		3.370%	4/15/28	7,670	7,495
1	Synchrony Card Funding LLC Class A Series 2022-A2		3.860%	7/15/28	17,750	17,440
1,2	Tesla Auto Lease Trust Class A3 Series 2023-A		5.890%	6/22/26	6,020	6,037
1,2	Tesla Auto Lease Trust Class A3 Series 2023-B		6.130%	9/21/26	11,610	11,717
1,2	Tesla Auto Lease Trust Class A4 Series 2023-A		5.940%	7/20/27	1,410	1,415
1,2	Tesla Auto Lease Trust Class A4 Series 2023-B		6.220%	3/22/27	1,460	1,481
1,2	Tesla Electric Vehicle Trust Class A3 Series 2023-1		5.380%	6/20/28	3,710	3,734
1,2	Toyota Auto Loan Extended Note Trust Class A Series 2020-1A		1.350%	5/25/33	14,500	13,795
1	Toyota Auto Receivables Owner Trust Class A2 Series 2023-A		5.050%	1/15/26	2,079	2,075
1	Toyota Auto Receivables Owner Trust Class A2A Series 2022-C		3.830%	8/15/25	2,834	2,822
1	Toyota Auto Receivables Owner Trust Class A2A Series 2022-D		5.270%	1/15/26	4,902	4,896
1	Toyota Auto Receivables Owner Trust Class A3 Series 2023-B		4.710%	2/15/28	3,140	3,137
1	Toyota Auto Receivables Owner Trust Class A3 Series 2023-C		5.160%	4/17/28	4,500	4,539
1,2	Toyota Lease Owner Trust Class A2A Series 2023-B		5.730%	4/20/26	9,880	9,924
1,2	Toyota Lease Owner Trust Class A3 Series 2023-A		4.930%	4/20/26	17,080	17,047
1,2	Toyota Lease Owner Trust Class A3 Series 2023-B		5.660%	11/20/26	5,130	5,210
1,2	US Bank NA Class B Series 2023-1		6.789%	8/25/32	1,320	1,324
1,2	USAA Auto Owner Trust Class A2 Series 2022-A		4.600%	2/18/25	1,443	1,442
1,2	USAA Auto Owner Trust Class A3 Series 2023-A		5.580%	5/15/28	9,860	9,969
1	Verizon Master Trust Class A Series 2021-2		0.990%	4/20/28	10,870	10,503
1	Verizon Master Trust Class A Series 2022-6		3.670%	1/22/29	4,820	4,752
1	Verizon Master Trust Class A Series 2023-2		4.890%	4/13/28	3,730	3,724
1	Verizon Master Trust Class A1A Series 2022-5		3.720%	7/20/27	7,500	7,494
1	Verizon Master Trust Class A1A Series 2023-5		5.610%	9/8/28	3,000	3,010
1	Verizon Master Trust Class C Series 2021-2		1.380%	4/20/28	2,290	2,201
1	Volkswagen Auto Lease Trust Class A2 Series 2022-A		3.020%	10/21/24	84	84
1	Volkswagen Auto Lease Trust Class A3 Series 2023-A		5.810%	10/20/26	13,200	13,382
1	Volkswagen Auto Loan Enhanced Trust Class A2A Series 2023-1		5.500%	12/21/26	8,153	8,155
1,2	Westlake Automobile Receivables Trust Class A3 Series 2022-1A		2.420%	7/15/25	730	727
1,2	Wheels Fleet Lease Funding 1 LLC Class A Series 2022-1A		2.470%	10/18/36	371	365
1	World Omni Auto Receivables Trust Class A2 Series 2022-C		3.730%	3/16/26	3,359	3,340
1	World Omni Auto Receivables Trust Class A2A Series 2022-D		5.510%	3/16/26	3,446	3,444
1	World Omni Auto Receivables Trust Class A2A Series 2023-A		5.180%	7/15/26	1,907	1,903

14

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
1	World Omni Auto Receivables Trust Class A2A Series 2023-C		5.570%	12/15/26	8,500	8,511
1	World Omni Auto Receivables Trust Class A2A Series 2023-D		5.910%	2/16/27	7,500	7,546
1	World Omni Auto Receivables Trust Class A3 Series 2023-B		4.660%	5/15/28	800	798
1	World Omni Automobile Lease Securitization Class A3 Series 2023-A		5.070%	9/15/26	9,060	9,061
1	World Omni Automobile Lease Securitization Trust Class A4 Series 2022-A		3.340%	6/15/27	540	533
1	World Omni Automobile Lease Securitization Trust Class A4 Series 2023-A		5.040%	7/17/28	2,850	2,853
1	World Omni Automobile Lease Securitization Trust Class B Series 2022-A		3.670%	6/15/27	790	777
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $909,543)						914,677
Corporate Bonds (67.5%)
Communications (3.9%)
	Charter Communications Operating LLC / Charter Communications Operating Capital		4.500%	2/1/24	1,289	1,287
	Charter Communications Operating LLC / Charter Communications Operating Capital		4.908%	7/23/25	25,160	24,925
	Comcast Corp.		3.375%	8/15/25	7,500	7,330
	Discovery Communications LLC		3.900%	11/15/24	7,356	7,251
	Discovery Communications LLC		3.450%	3/15/25	1,300	1,267
	Fox Corp.		4.030%	1/25/24	16,098	16,077
	Interpublic Group of Cos. Inc.		4.200%	4/15/24	4,096	4,070
2	Netflix Inc.		3.625%	6/15/25	25,285	24,835
2	NTT Finance Corp.		4.142%	7/26/24	5,540	5,504
	Omnicom Group Inc. / Omnicom Capital Inc.		3.650%	11/1/24	1,800	1,771
	Sprint LLC		7.625%	2/15/25	23,631	24,050
	Sprint LLC		7.625%	3/1/26	1,460	1,525
	Take-Two Interactive Software Inc.		3.300%	3/28/24	809	804
	Take-Two Interactive Software Inc.		5.000%	3/28/26	862	865
	T-Mobile USA Inc.		3.500%	4/15/25	7,944	7,780
	Verizon Communications Inc.		0.850%	11/20/25	6,350	5,904
	Vodafone Group plc		3.750%	1/16/24	4,500	4,496
	Vodafone Group plc		4.125%	5/30/25	1,403	1,386
	Walt Disney Co.		3.700%	9/15/24	2,351	2,325
	Warnermedia Holdings Inc.		3.638%	3/15/25	17,560	17,190
						160,642
Consumer Discretionary (5.2%)
	American Honda Finance Corp.		2.400%	6/27/24	2,500	2,462
	American Honda Finance Corp.		0.550%	7/12/24	4,535	4,418
	American Honda Finance Corp.		4.600%	4/17/25	26,000	25,925
	American Honda Finance Corp.		5.000%	5/23/25	8,536	8,562
	AutoZone Inc.		3.250%	4/15/25	4,850	4,736
2	BMW Finance NV		2.400%	8/14/24	2,520	2,472
2	BMW US Capital LLC		0.800%	4/1/24	2,615	2,584
2	BMW US Capital LLC		3.900%	4/9/25	5,038	4,979
2	BMW US Capital LLC		5.300%	8/11/25	1,740	1,756
	eBay Inc.		3.450%	8/1/24	1,288	1,270
	Ford Motor Credit Co. LLC		5.125%	6/16/25	8,820	8,714
	Ford Motor Credit Co. LLC		4.134%	8/4/25	3,142	3,055
	Ford Motor Credit Co. LLC		3.375%	11/13/25	10,750	10,284
	General Motors Co.		6.125%	10/1/25	5,910	5,986

15

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
	General Motors Financial Co. Inc.		5.100%	1/17/24	2,282	2,281
	General Motors Financial Co. Inc.		1.200%	10/15/24	10,865	10,479
	General Motors Financial Co. Inc.		2.900%	2/26/25	4,000	3,883
	General Motors Financial Co. Inc.		3.800%	4/7/25	4,760	4,664
	Honda Motor Co. Ltd.		2.271%	3/10/25	4,139	4,013
	Marriott International Inc.		3.750%	10/1/25	3,634	3,548
2	Mercedes-Benz Finance North America LLC		3.650%	2/22/24	4,280	4,267
2	Mercedes-Benz Finance North America LLC		2.700%	6/14/24	2,600	2,564
2	Mercedes-Benz Finance North America LLC		3.250%	8/1/24	7,917	7,809
2	Mercedes-Benz Finance North America LLC		5.500%	11/27/24	2,175	2,178
2	Mercedes-Benz Finance North America LLC		5.375%	8/1/25	21,095	21,299
	Tapestry Inc.		7.050%	11/27/25	12,385	12,677
	Toyota Motor Corp.		0.681%	3/25/24	13,220	13,078
	Toyota Motor Credit Corp.		2.500%	3/22/24	7,765	7,712
	Toyota Motor Credit Corp.		4.400%	9/20/24	3,637	3,615
5	Volkswagen Financial Services Australia Pty Ltd.		2.400%	8/28/24	4,460	2,986
2	Volkswagen Group of America Finance LLC		3.350%	5/13/25	9,345	9,099
2	Volkswagen Group of America Finance LLC		3.950%	6/6/25	340	333
2	Volkswagen Group of America Finance LLC		5.800%	9/12/25	8,040	8,112
						211,800
Consumer Staples (3.6%)
	Altria Group Inc.		4.000%	1/31/24	8,360	8,346
	Altria Group Inc.		3.800%	2/14/24	8,944	8,916
	BAT Capital Corp.		3.222%	8/15/24	7,156	7,042
	BAT Capital Corp.		2.789%	9/6/24	4,629	4,534
2	BAT International Finance plc		3.950%	6/15/25	1,300	1,273
	BAT International Finance plc		1.668%	3/25/26	3,740	3,474
	Campbell Soup Co.		3.950%	3/15/25	3,939	3,878
	Conagra Brands Inc.		4.600%	11/1/25	175	173
	Constellation Brands Inc.		3.600%	5/9/24	4,556	4,522
	Constellation Brands Inc.		4.750%	11/15/24	3,300	3,278
	Diageo Capital plc		2.125%	10/24/24	1,920	1,869
	Dollar General Corp.		4.150%	11/1/25	22,204	21,847
	Estee Lauder Cos. Inc.		2.000%	12/1/24	960	933
	Haleon UK Capital plc		3.125%	3/24/25	8,690	8,486
	Haleon US Capital LLC		3.024%	3/24/24	3,760	3,735
	Hershey Co.		2.050%	11/15/24	1,880	1,829
	Hormel Foods Corp.		0.650%	6/3/24	3,868	3,790
	Kenvue Inc.		5.500%	3/22/25	12,530	12,635
	Keurig Dr Pepper Inc.		0.750%	3/15/24	5,021	4,971
2	Mars Inc.		2.700%	4/1/25	1,100	1,071
2	Mondelez International Holdings Netherlands BV		0.750%	9/24/24	1,246	1,201
2	Mondelez International Holdings Netherlands BV		4.250%	9/15/25	890	879
	Mondelez International Inc.		2.125%	3/17/24	5,275	5,233
	Mondelez International Inc.		1.500%	5/4/25	1,088	1,038
	Philip Morris International Inc.		2.875%	5/1/24	281	278
	Philip Morris International Inc.		5.125%	11/15/24	16,841	16,810
	Philip Morris International Inc.		1.500%	5/1/25	859	821
	Philip Morris International Inc.		5.000%	11/17/25	10,100	10,147
	Reynolds American Inc.		4.450%	6/12/25	4,571	4,518
						147,527
Energy (2.9%)
	Canadian Natural Resources Ltd.		3.800%	4/15/24	900	894
	Canadian Natural Resources Ltd.		2.050%	7/15/25	6,076	5,791
	Cheniere Corpus Christi Holdings LLC		5.875%	3/31/25	4,880	4,892

16

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
	Eastern Energy Gas Holdings LLC		2.500%	11/15/24	1,253	1,222
	Enbridge Energy Partners LP		5.875%	10/15/25	9,699	9,805
	Energy Transfer LP		5.875%	1/15/24	894	894
	Energy Transfer LP		4.900%	2/1/24	5,220	5,211
	Energy Transfer LP		4.500%	4/15/24	252	251
	Energy Transfer LP		3.900%	5/15/24	2,000	1,984
	Energy Transfer LP		2.900%	5/15/25	250	242
	Energy Transfer LP		4.750%	1/15/26	900	894
	EOG Resources Inc.		3.150%	4/1/25	600	588
	Equinor ASA		2.650%	1/15/24	2,880	2,877
	Equinor ASA		3.250%	11/10/24	2,000	1,966
	Galaxy Pipeline Assets Bidco Ltd.		1.750%	9/30/27	5,916	5,579
	Kinder Morgan Energy Partners LP		4.300%	5/1/24	2,977	2,961
	Kinder Morgan Energy Partners LP		4.250%	9/1/24	1,585	1,568
	Marathon Petroleum Corp.		4.700%	5/1/25	22,187	22,036
	MPLX LP		4.000%	2/15/25	776	764
	MPLX LP		4.875%	6/1/25	7,935	7,887
	Ovintiv Inc.		5.650%	5/15/25	6,455	6,480
	Plains All American Pipeline LP / PAA Finance Corp.		3.600%	11/1/24	440	432
	Plains All American Pipeline LP / PAA Finance Corp.		4.650%	10/15/25	11,580	11,453
	Sabine Pass Liquefaction LLC		5.750%	5/15/24	297	297
	TransCanada PipeLines Ltd.		1.000%	10/12/24	2,170	2,091
	Western Midstream Operating LP		3.100%	2/1/25	6,479	6,311
	Western Midstream Operating LP		3.950%	6/1/25	450	440
	Williams Cos. Inc.		4.300%	3/4/24	5,211	5,196
	Williams Cos. Inc.		4.550%	6/24/24	3,977	3,956
	Williams Cos. Inc.		3.900%	1/15/25	5,160	5,078
	Williams Cos. Inc.		4.000%	9/15/25	350	344
						120,384
Financials (28.8%)
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust		3.150%	2/15/24	2,150	2,142
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust		1.750%	10/29/24	8,184	7,903
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust		4.450%	10/1/25	3,329	3,268
	Affiliated Managers Group Inc.		4.250%	2/15/24	6,784	6,768
	Air Lease Corp.		0.700%	2/15/24	1,837	1,825
	Air Lease Corp.		4.250%	9/15/24	5,754	5,678
	Air Lease Corp.		2.300%	2/1/25	976	942
	Air Lease Corp.		3.250%	3/1/25	103	100
	Allstate Corp.		0.750%	12/15/25	2,350	2,167
	American Express Co.		3.950%	8/1/25	16,500	16,237
	American Express Co.		4.990%	5/1/26	19,500	19,454
	American Express Co.		6.338%	10/30/26	5,270	5,376
	Ameriprise Financial Inc.		3.700%	10/15/24	5,049	4,984
	Ameriprise Financial Inc.		3.000%	4/2/25	1,800	1,755
2	Athene Global Funding		2.514%	3/8/24	750	745
	Australia & New Zealand Banking Group Ltd.		5.671%	10/3/25	10,120	10,282
4,5	Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate + 2.000%		6.333%	7/26/29	6,606	4,521
	Banco Santander SA		3.496%	3/24/25	1,350	1,321
	Banco Santander SA		2.746%	5/28/25	2,800	2,703
	Bank of America Corp.		3.950%	4/21/25	5,870	5,772
	Bank of America Corp.		2.456%	10/22/25	5,000	4,872

17

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
	Bank of America Corp.		3.366%	1/23/26	5,000	4,884
	Bank of America Corp.		2.015%	2/13/26	4,400	4,227
	Bank of America Corp.		3.384%	4/2/26	3,040	2,959
	Bank of America Corp.		1.319%	6/19/26	4,455	4,193
	Bank of America NA		5.650%	8/18/25	9,000	9,116
	Bank of Montreal		5.200%	12/12/24	15,000	14,983
	Bank of Montreal		1.500%	1/10/25	6,880	6,628
	Bank of Montreal		1.850%	5/1/25	3,431	3,292
	Bank of Montreal		5.920%	9/25/25	21,000	21,328
	Bank of New York Mellon		5.148%	5/22/26	8,985	8,983
	Bank of New York Mellon Corp.		4.414%	7/24/26	3,725	3,686
	Bank of Nova Scotia		2.200%	2/3/25	5,000	4,848
	Bank of Nova Scotia		1.300%	6/11/25	1,720	1,631
	Bank of Nova Scotia		5.450%	6/12/25	40,000	40,181
	Barclays plc		3.650%	3/16/25	1,575	1,540
2	BNP Paribas SA		3.800%	1/10/24	6,000	5,997
2	BPCE SA		4.625%	7/11/24	2,925	2,892
	Canadian Imperial Bank of Commerce		3.300%	4/7/25	5,000	4,884
	Canadian Imperial Bank of Commerce		5.144%	4/28/25	30,500	30,511
	Capital One Financial Corp.		3.300%	10/30/24	2,514	2,471
	Charles Schwab Corp.		3.550%	2/1/24	1,424	1,421
	Citibank NA		5.864%	9/29/25	13,520	13,748
	Citigroup Inc.		3.352%	4/24/25	2,000	1,985
	Citigroup Inc.		0.981%	5/1/25	4,998	4,914
	Citigroup Inc.		3.700%	1/12/26	2,130	2,080
	Citigroup Inc.		2.014%	1/25/26	2,550	2,450
	Citigroup Inc.		3.290%	3/17/26	1,500	1,461
	Cooperatieve Rabobank UA		5.500%	7/18/25	15,360	15,514
	Credit Suisse AG		4.750%	8/9/24	2,436	2,420
	Credit Suisse AG		3.625%	9/9/24	7,433	7,325
	Credit Suisse AG		7.950%	1/9/25	5,320	5,436
	Credit Suisse AG		2.950%	4/9/25	5,200	5,039
2	Danske Bank A/S		6.259%	9/22/26	12,500	12,702
	Fifth Third Bancorp		4.300%	1/16/24	3,101	3,097
	Franklin Resources Inc.		2.850%	3/30/25	1,300	1,265
2	GA Global Funding Trust		1.000%	4/8/24	7,590	7,473
	GATX Corp.		4.350%	2/15/24	2,334	2,326
	Goldman Sachs Group Inc.		5.700%	11/1/24	4,240	4,251
	Goldman Sachs Group Inc.		3.500%	1/23/25	5,000	4,904
	Goldman Sachs Group Inc.		3.500%	4/1/25	851	833
	Goldman Sachs Group Inc.		3.750%	5/22/25	481	472
	Goldman Sachs Group Inc.		5.798%	8/10/26	23,235	23,473
4	Goldman Sachs Group Inc., SOFR + 0.486%		5.861%	10/21/24	770	768
	HSBC Holdings plc		4.250%	3/14/24	9,200	9,161
	HSBC Holdings plc		2.999%	3/10/26	7,420	7,198
	HSBC Holdings plc		1.645%	4/18/26	6,240	5,931
	HSBC Holdings plc		2.099%	6/4/26	12,965	12,344
	HSBC Holdings plc		4.292%	9/12/26	12,435	12,174
	HSBC USA Inc.		5.625%	3/17/25	6,690	6,727
	Huntington Bancshares Inc.		4.000%	5/15/25	3,905	3,826
	Huntington National Bank		5.699%	11/18/25	5,062	5,022
	Intercontinental Exchange Inc.		3.650%	5/23/25	48,891	47,959
	Invesco Finance plc		4.000%	1/30/24	28,370	28,322
2	Jackson National Life Global Funding		3.250%	1/30/24	246	245
	JPMorgan Chase & Co.		3.875%	9/10/24	11,314	11,181

18

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
	JPMorgan Chase & Co.		3.845%	6/14/25	4,240	4,205
	JPMorgan Chase & Co.		1.561%	12/10/25	5,017	4,830
	JPMorgan Chase & Co.		5.546%	12/15/25	5,000	5,004
	JPMorgan Chase & Co.		2.595%	2/24/26	4,904	4,750
	JPMorgan Chase & Co.		2.005%	3/13/26	7,465	7,172
	JPMorgan Chase & Co.		2.083%	4/22/26	7,054	6,760
	JPMorgan Chase & Co.		4.080%	4/26/26	5,000	4,920
	Lloyds Banking Group plc		4.450%	5/8/25	10,000	9,881
	Lloyds Banking Group plc		3.870%	7/9/25	6,216	6,158
	Lloyds Banking Group plc		2.438%	2/5/26	1,000	965
	Lloyds Banking Group plc		3.511%	3/18/26	2,095	2,045
2	Macquarie Bank Ltd.		2.300%	1/22/25	1,180	1,145
2	Macquarie Group Ltd.		6.207%	11/22/24	18,000	18,101
	Manufacturers & Traders Trust Co.		2.900%	2/6/25	930	901
	Marsh & McLennan Cos. Inc.		3.875%	3/15/24	11,544	11,498
	Marsh & McLennan Cos. Inc.		3.500%	6/3/24	6,570	6,512
2	Met Tower Global Funding		0.700%	4/5/24	1,233	1,216
	MetLife Inc.		3.600%	11/13/25	806	793
	Mitsubishi UFJ Financial Group Inc.		2.801%	7/18/24	7,300	7,193
	Mitsubishi UFJ Financial Group Inc.		2.193%	2/25/25	20,745	20,042
	Mitsubishi UFJ Financial Group Inc.		3.777%	3/2/25	3,990	3,924
	Mitsubishi UFJ Financial Group Inc.		4.788%	7/18/25	1,524	1,517
	Mitsubishi UFJ Financial Group Inc.		5.063%	9/12/25	5,000	4,982
	Mitsubishi UFJ Financial Group Inc.		5.719%	2/20/26	6,370	6,397
	Mitsubishi UFJ Financial Group Inc.		5.541%	4/17/26	4,060	4,071
	Mizuho Financial Group Inc.		2.226%	5/25/26	1,630	1,558
	Morgan Stanley		4.000%	7/23/25	5,881	5,798
	Morgan Stanley		2.630%	2/18/26	3,400	3,291
	Morgan Stanley		2.188%	4/28/26	910	874
	Morgan Stanley Bank NA		5.479%	7/16/25	7,820	7,890
	Nasdaq Inc.		5.650%	6/28/25	24,356	24,590
	National Bank of Canada		5.250%	1/17/25	8,460	8,456
2	National Securities Clearing Corp.		5.150%	5/30/25	7,530	7,568
2	Nationwide Building Society		1.000%	8/28/25	8,000	7,465
2	New York Life Global Funding		2.900%	1/17/24	594	593
2	Nordea Bank Abp		4.750%	9/22/25	1,790	1,783
2	Nuveen Finance LLC		4.125%	11/1/24	7,265	7,162
	ORIX Corp.		4.050%	1/16/24	1,400	1,399
	ORIX Corp.		3.250%	12/4/24	270	265
2	Penske Truck Leasing Co. LP / PTL Finance Corp.		3.900%	2/1/24	3,447	3,438
2	Penske Truck Leasing Co. LP / PTL Finance Corp.		4.000%	7/15/25	4,790	4,685
	PNC Bank NA		2.950%	2/23/25	625	608
	PNC Bank NA		3.250%	6/1/25	5,164	5,029
	PNC Financial Services Group Inc.		3.900%	4/29/24	1,170	1,162
	PNC Financial Services Group Inc.		2.200%	11/1/24	14,413	14,010
	PNC Financial Services Group Inc.		5.671%	10/28/25	16,750	16,738
	PNC Financial Services Group Inc.		5.812%	6/12/26	15,063	15,169
2	Principal Life Global Funding II		0.500%	1/8/24	7,059	7,054
2	Principal Life Global Funding II		0.750%	4/12/24	4,246	4,185
2	Protective Life Global Funding		0.473%	1/12/24	2,820	2,816
2	Protective Life Global Funding		3.104%	4/15/24	372	369
	Royal Bank of Canada		4.950%	4/25/25	35,273	35,289
	Santander UK plc		1.089%	3/15/25	10,000	9,887
4,5	Standard Chartered plc, 3M Australian Bank Bill Rate + 1.850%		6.210%	6/28/25	10,060	6,879

19

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
	State Street Corp.		2.354%	11/1/25	6,687	6,517
	State Street Corp.		4.857%	1/26/26	1,740	1,730
	State Street Corp.		2.901%	3/30/26	1,058	1,027
	State Street Corp.		5.104%	5/18/26	33,000	33,022
	Sumitomo Mitsui Financial Group Inc.		2.348%	1/15/25	2,210	2,145
	Sumitomo Mitsui Financial Group Inc.		1.474%	7/8/25	13,921	13,175
	Toronto-Dominion Bank		4.285%	9/13/24	3,884	3,852
	Toronto-Dominion Bank		3.766%	6/6/25	2,944	2,896
	Toronto-Dominion Bank		0.750%	9/11/25	24,278	22,658
	Truist Bank		1.500%	3/10/25	8,256	7,887
	Truist Financial Corp.		3.700%	6/5/25	12,247	11,978
	Truist Financial Corp.		1.200%	8/5/25	220	207
	UBS AG		5.800%	9/11/25	40,000	40,472
2	UBS Group AG		1.305%	2/2/27	8,560	7,843
	US Bancorp		1.450%	5/12/25	2,380	2,268
	US Bancorp		3.950%	11/17/25	15,000	14,767
	US Bancorp		5.727%	10/21/26	27,000	27,176
	US Bank NA		2.050%	1/21/25	9,071	8,774
2	USAA Capital Corp.		0.500%	5/1/24	1,710	1,678
2	USAA Capital Corp.		3.375%	5/1/25	1,000	978
	Wells Fargo & Co.		3.550%	9/29/25	3,620	3,539
	Wells Fargo & Co.		2.406%	10/30/25	15,582	15,171
	Wells Fargo & Co.		2.164%	2/11/26	1,812	1,745
	Wells Fargo & Co.		2.188%	4/30/26	5,960	5,712
	Wells Fargo & Co.		4.540%	8/15/26	5,320	5,267
	Wells Fargo Bank NA		5.550%	8/1/25	11,560	11,680
	Westpac Banking Corp.		5.512%	11/17/25	7,980	8,113
	Willis North America Inc.		3.600%	5/15/24	1,500	1,485
						1,178,250
Health Care (5.1%)
	AbbVie Inc.		2.600%	11/21/24	10,510	10,269
	AbbVie Inc.		3.800%	3/15/25	1,991	1,966
	AbbVie Inc.		3.600%	5/14/25	593	583
	Aetna Inc.		3.500%	11/15/24	1,396	1,374
	Amgen Inc.		3.125%	5/1/25	12,190	11,885
	Baxalta Inc.		4.000%	6/23/25	7,638	7,514
	Baxter International Inc.		1.322%	11/29/24	2,180	2,100
	Cardinal Health Inc.		3.079%	6/15/24	13,750	13,583
	Cencora Inc.		3.400%	5/15/24	11,650	11,551
	CVS Health Corp.		3.375%	8/12/24	3,184	3,139
	CVS Health Corp.		2.625%	8/15/24	7,693	7,548
	CVS Health Corp.		3.875%	7/20/25	9,711	9,538
	Elevance Health Inc.		3.350%	12/1/24	5,514	5,412
	Elevance Health Inc.		2.375%	1/15/25	1,633	1,587
	Elevance Health Inc.		5.350%	10/15/25	3,560	3,586
	GE HealthCare Technologies Inc.		5.600%	11/15/25	24,732	24,950
	HCA Inc.		5.375%	2/1/25	16,500	16,493
	Humana Inc.		3.850%	10/1/24	4,290	4,234
	Laboratory Corp. of America Holdings		2.300%	12/1/24	479	466
	Pfizer Investment Enterprises Pte Ltd.		4.650%	5/19/25	37,765	37,679
	Quest Diagnostics Inc.		3.500%	3/30/25	12,870	12,597
	Stryker Corp.		3.375%	11/1/25	7,000	6,814
	Thermo Fisher Scientific Inc.		1.215%	10/18/24	6,459	6,257
	Zoetis Inc.		4.500%	11/13/25	5,000	4,972

20

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
	Zoetis Inc.		5.400%	11/14/25	1,695	1,709
						207,806
Industrials (4.6%)
5	Aurizon Network Pty Ltd.		4.000%	6/21/24	7,160	4,853
2	BAE Systems Holdings Inc.		3.800%	10/7/24	4,143	4,086
	Boeing Co.		1.433%	2/4/24	7,535	7,505
	Boeing Co.		4.875%	5/1/25	18,200	18,117
5	Brisbane Airport Corp. Pty Ltd.		3.900%	4/24/25	4,950	3,332
	Canadian Pacific Railway Co.		2.900%	2/1/25	17,500	17,048
	Carrier Global Corp.		2.242%	2/15/25	10,928	10,573
2	Carrier Global Corp.		5.800%	11/30/25	3,342	3,388
	Caterpillar Financial Services Corp.		3.300%	6/9/24	978	969
	Caterpillar Financial Services Corp.		0.600%	9/13/24	920	891
	CNH Industrial Capital LLC		4.200%	1/15/24	5,448	5,444
	CNH Industrial Capital LLC		5.450%	10/14/25	2,820	2,836
2	Daimler Truck Finance North America LLC		3.500%	4/7/25	334	327
2	Daimler Truck Finance North America LLC		5.600%	8/8/25	10,665	10,736
	Huntington Ingalls Industries Inc.		3.844%	5/1/25	9,140	8,951
	L3Harris Technologies Inc.		3.950%	5/28/24	2,400	2,382
	L3Harris Technologies Inc.		3.832%	4/27/25	279	274
5	Lonsdale Finance Pty Ltd.		3.900%	10/15/25	5,040	3,377
	Northrop Grumman Corp.		2.930%	1/15/25	878	858
	Otis Worldwide Corp.		2.056%	4/5/25	381	367
5	Pacific National Finance Pty Ltd.		5.250%	5/19/25	1,320	891
	Parker-Hannifin Corp.		2.700%	6/14/24	1,100	1,085
	Parker-Hannifin Corp.		3.650%	6/15/24	13,450	13,322
	Parker-Hannifin Corp.		3.300%	11/21/24	2,875	2,823
	RTX Corp.		3.950%	8/16/25	3,120	3,076
	RTX Corp.		5.000%	2/27/26	820	823
	Ryder System Inc.		2.500%	9/1/24	1,250	1,224
	Ryder System Inc.		4.625%	6/1/25	9,731	9,658
	Ryder System Inc.		3.350%	9/1/25	2,860	2,775
2	Siemens Financieringsmaatschappij NV		3.125%	3/16/24	4,964	4,938
	Southwest Airlines Co.		5.250%	5/4/25	20,699	20,701
	Trane Technologies Financing Ltd.		3.550%	11/1/24	2,248	2,207
	Union Pacific Corp.		3.150%	3/1/24	13,039	12,985
	Waste Management Inc.		3.125%	3/1/25	7,999	7,830
						190,652
Materials (2.0%)
	Celanese US Holdings LLC		3.500%	5/8/24	1,762	1,745
	DuPont de Nemours Inc.		4.493%	11/15/25	11,269	11,198
	Eastman Chemical Co.		3.800%	3/15/25	3,105	3,052
	Freeport-McMoRan Inc.		4.550%	11/14/24	4,935	4,882
	GE Capital International Funding Co. Unlimited Co.		3.373%	11/15/25	6,143	5,960
2	Georgia-Pacific LLC		0.625%	5/15/24	11,960	11,742
2	Glencore Funding LLC		4.000%	4/16/25	3,445	3,387
2	Glencore Funding LLC		1.625%	9/1/25	6,265	5,922
	LyondellBasell Industries NV		5.750%	4/15/24	7,030	7,025
	Martin Marietta Materials Inc.		4.250%	7/2/24	3,000	2,979
	Nutrien Ltd.		5.900%	11/7/24	1,081	1,084
	Nutrien Ltd.		5.950%	11/7/25	20,295	20,665
	Packaging Corp. of America		3.650%	9/15/24	1,160	1,144
						80,785

21

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
Real Estate (4.2%)
	American Tower Corp.		0.600%	1/15/24	4,251	4,242
	American Tower Corp.		5.000%	2/15/24	630	629
	American Tower Corp.		2.950%	1/15/25	5,758	5,618
	American Tower Corp.		4.000%	6/1/25	10,183	10,012
	American Tower Corp.		1.300%	9/15/25	1,979	1,854
	AvalonBay Communities Inc.		3.500%	11/15/25	631	613
	Boston Properties LP		3.800%	2/1/24	3,774	3,766
	Crown Castle Inc.		3.200%	9/1/24	3,071	3,020
	Equinix Inc.		2.625%	11/18/24	881	858
	Equinix Inc.		1.250%	7/15/25	1,151	1,084
	ERP Operating LP		3.375%	6/1/25	19,420	19,001
	Essex Portfolio LP		3.500%	4/1/25	11,460	11,218
	Federal Realty OP LP		3.950%	1/15/24	12,250	12,234
5	General Property Trust		3.673%	9/19/24	580	392
	Healthpeak OP LLC		3.400%	2/1/25	750	732
	Healthpeak OP LLC		4.000%	6/1/25	3,290	3,228
	Kimco Realty OP LLC		2.700%	3/1/24	1,221	1,214
	Mid-America Apartments LP		4.000%	11/15/25	5,470	5,372
	NNN REIT Inc.		3.900%	6/15/24	4,510	4,471
	Omega Healthcare Investors Inc.		4.500%	1/15/25	4,000	3,934
	Realty Income Corp.		4.600%	2/6/24	15,503	15,478
	Realty Income Corp.		3.875%	4/15/25	8,071	7,935
	Realty Income Corp.		4.625%	11/1/25	9,320	9,262
5	Region Retail Trust		3.900%	6/7/24	2,220	1,505
	Simon Property Group LP		2.000%	9/13/24	5,000	4,875
	Simon Property Group LP		3.375%	10/1/24	11,533	11,363
	Simon Property Group LP		3.500%	9/1/25	5,171	5,057
5	Stockland Trust		3.300%	3/22/24	1,800	1,222
	Ventas Realty LP		3.500%	4/15/24	1,400	1,390
	Ventas Realty LP		3.750%	5/1/24	1,000	993
	Welltower OP LLC		4.500%	1/15/24	8,669	8,662
	Welltower OP LLC		4.000%	6/1/25	9,220	9,057
						170,291
Technology (3.0%)
	Broadcom Inc.		3.625%	10/15/24	10,240	10,100
	Dell International LLC / EMC Corp.		5.850%	7/15/25	6,202	6,266
	Equifax Inc.		2.600%	12/1/24	1,734	1,688
	Fidelity National Information Services Inc.		4.500%	7/15/25	622	616
	Global Payments Inc.		2.650%	2/15/25	4,821	4,673
	Hewlett Packard Enterprise Co.		5.900%	10/1/24	22,602	22,650
	Hewlett Packard Enterprise Co.		4.900%	10/15/25	262	261
	HP Inc.		2.200%	6/17/25	15,352	14,711
	International Business Machines Corp.		3.000%	5/15/24	3,251	3,222
	NXP BV / NXP Funding LLC		4.875%	3/1/24	4,427	4,417
	Oracle Corp.		3.400%	7/8/24	2,942	2,907
	Oracle Corp.		2.950%	11/15/24	885	865
	Oracle Corp.		2.500%	4/1/25	15,989	15,487
	Oracle Corp.		2.950%	5/15/25	1,250	1,214
	Oracle Corp.		5.800%	11/10/25	2,093	2,127
	PayPal Holdings Inc.		2.400%	10/1/24	22,583	22,084
	Verisk Analytics Inc.		4.000%	6/15/25	7,590	7,490
	VMware LLC		1.000%	8/15/24	802	779
						121,557

22

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
Utilities (4.2%)
	Abu Dhabi National Energy Co. PJSC		3.875%	5/6/24	1,100	1,094
	Ameren Corp.		2.500%	9/15/24	1,000	978
	Ameren Illinois Co.		3.250%	3/1/25	3,000	2,942
	American Electric Power Co. Inc.		5.699%	8/15/25	10,000	10,075
	Appalachian Power Co.		3.400%	6/1/25	6,129	5,992
5	Ausgrid Finance Pty Ltd.		3.750%	10/30/24	11,300	7,622
4,5	Australian Gas Networks Ltd., 3M Australian Bank Bill Rate + 0.400%		4.755%	7/1/24	4,500	3,052
	Berkshire Hathaway Energy Co.		4.050%	4/15/25	10,874	10,748
	CenterPoint Energy Inc.		2.500%	9/1/24	4,089	4,000
	Constellation Energy Generation LLC		3.250%	6/1/25	13,029	12,655
5	DBNGP Finance Co. Pty Ltd.		4.225%	5/28/25	4,850	3,256
	DTE Energy Co.		1.050%	6/1/25	5,350	5,042
	Duke Energy Corp.		0.900%	9/15/25	3,887	3,625
5	Energy Partnership Gas Pty Ltd.		3.642%	12/11/24	7,020	4,725
	Eversource Energy		4.200%	6/27/24	6,000	5,956
	Eversource Energy		0.800%	8/15/25	1,258	1,172
	Exelon Corp.		3.950%	6/15/25	1,118	1,099
	ITC Holdings Corp.		3.650%	6/15/24	9,187	9,091
5	Network Finance Co. Pty Ltd.		3.500%	12/6/24	8,380	5,642
	NextEra Energy Capital Holdings Inc.		2.940%	3/21/24	4,000	3,975
	NextEra Energy Capital Holdings Inc.		4.255%	9/1/24	4,965	4,922
	NextEra Energy Capital Holdings Inc.		5.749%	9/1/25	5,630	5,689
	NiSource Inc.		0.950%	8/15/25	18,060	16,882
	Public Service Electric and Gas Co.		3.000%	5/15/25	4,506	4,396
	Public Service Enterprise Group Inc.		0.800%	8/15/25	4,865	4,547
	Sempra		3.300%	4/1/25	501	489
	Southern Co.		0.600%	2/26/24	4,056	4,023
	Southern Co.		5.150%	10/6/25	16,535	16,583
5	United Energy Distribution Pty Ltd.		3.850%	10/23/24	4,230	2,859
4,5	Victoria Power Networks Finance Pty Ltd., 3M Australian Bank Bill Rate + 0.500%		4.898%	8/23/24	3,100	2,110
	Virginia Electric and Power Co.		3.150%	1/15/26	5,320	5,159
	WEC Energy Group Inc.		4.750%	1/9/26	1,734	1,727
						172,127
Total Corporate Bonds (Cost $2,748,441)						2,761,821
Sovereign Bonds (1.0%)
6	Japan Treasury Discount Bill		0.000%	2/13/24	5,600,000	39,721
	Republic of Hungary		5.375%	3/25/24	1,662	1,661
	Socialist Republic of Vietnam		4.800%	11/19/24	1,275	1,259
Total Sovereign Bonds (Cost $41,900)						42,641
					Shares
Temporary Cash Investments (7.9%)
Money Market Fund (0.8%)
7	Vanguard Market Liquidity Fund		5.435%		309,959	30,990

23

Ultra-Short Bond ETF

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
Commercial Paper (0.7%)
2,8	AT&T Inc.		5.960%	2/21/24	14,900	14,772
2	CDP Financial Inc.		5.497%	4/15/24	15,270	15,022
						29,794
U.S. Government and Agency Obligations (6.4%)
9,10	United States Treasury Bill		5.292%	10/31/24	63,478	61,007
	United States Treasury Bill		4.933%–5.103%	11/29/24	209,460	200,632
						261,639
Total Temporary Cash Investments (Cost $321,913)						322,423
Total Investments (98.7%) (Cost $4,021,797)						4,041,562
Other Assets and Liabilities—Net (1.3%)						51,869
Net Assets (100%)						4,093,431
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, 2023, the aggregate value was $666,517,000, representing 16.3% of net assets.
3	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.
4	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.
5	Face amount denominated in Australian dollars.
6	Face amount denominated in Japanese yen.
7	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
8	Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors.“ At December 31, 2023, the aggregate value of these securities was $14,772,000, representing 0.4% of net assets.
9	Securities with a value of $2,046,000 have been segregated as initial margin for open futures contracts.
10	Securities with a value of $1,057,000 have been segregated as collateral for open forward currency contracts.
	3M—3-month.
	DAC—Designated Activity Company.
	REIT—Real Estate Investment Trust.
	REMICS—Real Estate Mortgage Investment Conduits.
	SOFR—Secured Overnight Financing Rate.
	SOFR30A—30 Day Average Secured Overnight Financing Rate.

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Ultra-Short Bond ETF

Derivative Financial Instruments Outstanding as of Period End

Futures Contracts
			($000)
	Expiration	Number of Long (Short) Contracts	Notional Amount	Value and Unrealized Appreciation (Depreciation)
Short Futures Contracts
2-Year U.S. Treasury Note	March 2024	(590)	(121,489)	(620)
5-Year U.S. Treasury Note	March 2024	(218)	(23,713)	(395)
				(1,015)

    

Forward Currency Contracts
	Contract Settlement Date	Contract Amount (000)				Unrealized Appreciation ($000)	Unrealized Depreciation ($000)
Counterparty		Receive		Deliver
Morgan Stanley Capital Services Inc.	1/30/24	AUD	152	USD	104	—	—
Royal Bank of Canada	1/30/24	AUD	145	USD	98	1	—
Morgan Stanley Capital Services Inc.	1/30/24	AUD	52	USD	35	—	—
Toronto-Dominion Bank	1/30/24	USD	58,281	AUD	86,782	—	(919)
JPMorgan Chase Bank, N.A.	2/13/24	USD	40,359	JPY	5,606,000	328	—
						329	(919)

AUD—Australian dollar.

JPY—Japanese yen.

USD—U.S. dollar.

At December 31, 2023, the counterparties had deposited in segregated accounts securities with a value of $497,000 in connection with open forward currency contracts.

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

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Ultra-Short Bond ETF

Statement of Assets and Liabilities

As of December 31, 2023

($000s, except shares, footnotes, and per-share amounts)	Amount
Assets
Investments in Securities, at Value
Unaffiliated Issuers (Cost $3,990,805)	4,010,572
Affiliated Issuers (Cost $30,992)	30,990
Total Investments in Securities	4,041,562
Investment in Vanguard	144
Cash	306
Foreign Currency, at Value (Cost $151)	154
Receivables for Accrued Income	27,599
Receivables for Capital Shares Issued	24,692
Unrealized Appreciation—Forward Currency Contracts	329
Total Assets	4,094,786
Liabilities
Payables for Investment Securities Purchased	67
Payables to Vanguard	180
Variation Margin Payable—Futures Contracts	189
Unrealized Depreciation—Forward Currency Contracts	919
Total Liabilities	1,355
Net Assets	4,093,431
At December 31, 2023, net assets consisted of:
Paid-in Capital	4,112,472
Total Distributable Earnings (Loss)	(19,041)
Net Assets	4,093,431
Net Assets
Applicable to 82,850,000 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	4,093,431
Net Asset Value Per Share	$49.41

  

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

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Ultra-Short Bond ETF

Statement of Operations

	Year Ended December 31, 2023
	($000)
Investment Income
Income
Interest1	172,076
Total Income	172,076
Expenses
The Vanguard Group—Note B
Investment Advisory Services	409
Management and Administrative	2,934
Marketing and Distribution	210
Custodian Fees	71
Auditing Fees	36
Shareholders’ Reports	74
Trustees’ Fees and Expenses	2
Other Expenses	14
Total Expenses	3,750
Expenses Paid Indirectly	(51)
Net Expenses	3,699
Net Investment Income	168,377
Realized Net Gain (Loss)
Investment Securities Sold1,2	(10,648)
Futures Contracts	796
Forward Currency Contracts	(1,910)
Foreign Currencies	145
Realized Net Gain (Loss)	(11,617)
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	45,517
Futures Contracts	(583)
Forward Currency Contracts	2,158
Foreign Currencies	(70)
Change in Unrealized Appreciation (Depreciation)	47,022
Net Increase (Decrease) in Net Assets Resulting from Operations	203,782

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 $2,783,000, ($4,000), less than $1,000, and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes.
2	Includes ($1,257,000) of net gain (loss) resulting from in-kind redemptions.

  

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

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Ultra-Short Bond ETF

Statement of Changes in Net Assets

	Year Ended December 31,
	2023 ($000)	2022 ($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	168,377	44,762
Realized Net Gain (Loss)	(11,617)	(26,568)
Change in Unrealized Appreciation (Depreciation)	47,022	(22,975)
Net Increase (Decrease) in Net Assets Resulting from Operations	203,782	(4,781)
Distributions
Total Distributions	(168,929)	(44,433)
Capital Share Transactions
Issued	2,118,067	1,533,919
Issued in Lieu of Cash Distributions	—	—
Redeemed	(1,324,762)	(259,042)
Net Increase (Decrease) from Capital Share Transactions	793,305	1,274,877
Total Increase (Decrease)	828,158	1,225,663
Net Assets
Beginning of Period	3,265,273	2,039,610
End of Period	4,093,431	3,265,273

  

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

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Ultra-Short Bond ETF

Financial Highlights

For a Share Outstanding Throughout Each Period	April 05 20211 to December 31,	Year Ended December 31,
	2023	2022	2021
Net Asset Value, Beginning of Period	$48.95	$49.93	$50.00
Investment Operations
Net Investment Income2	2.237	.827	.138
Net Realized and Unrealized Gain (Loss) on Investments	.425	(1.044)	(.077)
Total from Investment Operations	2.662	(.217)	.061
Distributions
Dividends from Net Investment Income	(2.202)	(.763)	(.123)
Distributions from Realized Capital Gains	—	—	(.008)
Total Distributions	(2.202)	(.763)	(.131)
Net Asset Value, End of Period	$49.41	$48.95	$49.93
Total Return	5.56%	-0.43%	0.12%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$4,093	$3,265	$2,040
Ratio of Total Expenses to Average Net Assets	0.10%3	0.10%3	0.10%4
Ratio of Net Investment Income to Average Net Assets	4.55%	1.68%	0.37%4
Portfolio Turnover Rate5	73%	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.

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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.

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 other 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 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, 2023, the fund’s average investments in long and short futures contracts represented 3% and 3% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

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Ultra-Short Bond ETF

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. Risks associated with these types of forward currency 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, 2023, 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.

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 $4.3 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

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Ultra-Short Bond ETF

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, 2023, 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, 2023, the fund had contributed to Vanguard capital in the amount of $144,000, representing less than 0.01% of the fund’s net assets and 0.06% of Vanguard’s capital 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, 2023, custodian fee offset arrangements reduced the fund’s expenses by $51,000 (an annual rate of less than 0.01% of average net assets).

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Ultra-Short Bond ETF

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, 2023, based on the inputs used to value them:

	Level 1 ($000)	Level 2 ($000)	Level 3 ($000)	Total ($000)
Investments
Assets
Asset-Backed/Commercial Mortgage-Backed Securities	—	914,677	—	914,677
Corporate Bonds	—	2,761,821	—	2,761,821
Sovereign Bonds	—	42,641	—	42,641
Temporary Cash Investments	30,990	291,433	—	322,423
Total	30,990	4,010,572	—	4,041,562
Derivative Financial Instruments
Assets
Forward Currency Contracts	—	329	—	329
Liabilities
Futures Contracts1	1,015	—	—	1,015
Forward Currency Contracts	—	919	—	919
Total	1,015	919	—	1,934

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, 2023, 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—Forward Currency Contracts	—	329	329
Total Assets	—	329	329
Unrealized Depreciation—Futures Contracts	1,015	—	1,015
Unrealized Depreciation—Forward Currency Contracts	—	919	919
Total Liabilities	1,015	919	1,934

Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended December 31, 2023, were:

Realized Net Gain (Loss) on Derivatives	Interest Rate Contracts ($000)	Foreign Exchange Contracts ($000)	Total ($000)
Futures Contracts	796	—	796
Forward Currency Contracts	—	(1,910)	(1,910)
Realized Net Gain (Loss) on Derivatives	796	(1,910)	(1,114)
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts	(583)	—	(583)
Forward Currency Contracts	—	2,158	2,158
Change in Unrealized Appreciation (Depreciation) on Derivatives	(583)	2,158	1,575

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	(1,257)
Total Distributable Earnings (Loss)	1,257

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 capital loss carryforwards; the deferral of losses from wash sales; the deferral of losses from straddles; the recognition of unrealized gains or losses from certain derivative contracts; and the recognition of gain or loss from foreign currency hedges. As

34

Ultra-Short Bond ETF

of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:  

	Amount ($000)
Undistributed Ordinary Income	1,399
Undistributed Long-Term Gains	—
Net Unrealized Gains (Losses)	15,689
Capital Loss Carryforwards	(36,129)
Qualified Late-Year Losses	—
Other Temporary Differences	—
Total	(19,041)

The tax character of distributions paid was as follows:

	Year Ended December 31,
	2023 Amount ($000)	2022 Amount ($000)
Ordinary Income*	168,929	44,433
Long-Term Capital Gains	—	—
Total	168,929	44,433

*	Includes short-term capital gains, if any.

As of December 31, 2023, 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	4,025,873
Gross Unrealized Appreciation	18,870
Gross Unrealized Depreciation	(3,181)
Net Unrealized Appreciation (Depreciation)	15,689

G.

During the year ended December 31, 2023, the fund purchased $3,700,519,000 of investment securities and sold $2,321,747,000 of investment securities, other than U.S. government securities andtemporary cash investments. Purchases and sales of U.S. government securities were $7,180,000 and $131,976,000, respectively. Purchases and sales include $758,253,000 and $334,754,000, respectively, in connection with in-kind purchases and redemptions of the portfolio's capital shares.

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Ultra-Short Bond ETF

H.	Capital shares issued and redeemed were:

    

	Year Ended December 31,
	2023 Shares (000)	2022 Shares (000)
Issued	43,100	31,100
Issued in Lieu of Cash Distributions	—	—
Redeemed	(26,950)	(5,250)
Net Increase (Decrease) in Shares Outstanding	16,150	25,850

I.

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.

To the extent the fund’s investment portfolio reflects concentration in a particular market, industry, sector, country or asset class, the fund may be adversely affected by the performance of these concentrations and may be subject to increased price volatility and other risks.

Credit risk is the risk that a counterparty to a transaction or an issuer of a financial instrument will fail to pay interest and principal when due, or that perceptions of the issuer’s ability to make such payments will cause the price of an investment to decline. Investment in debt securities will generally increase credit risk.

The use of derivatives may expose the fund to various risks. Derivatives can be highly volatile, and any initial investment is generally small relative to the notional amount so that transactions may be leveraged in terms of market exposure. A relatively small market movement may have a potentially larger impact on derivatives than on standard securities. Leveraged derivatives positions can, therefore, increase volatility. Additional information regarding the fund’s use of derivative(s) and the specific risks associated is described under significant accounting policies.

At December 31, 2023, one shareholder was a record or beneficial owner of 31% 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.

J.	Management has determined that no events or transactions occurred subsequent to December 31, 2023, that would require recognition or disclosure in these financial statements.

36

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, 2023, the related statement of operations for the year ended December 31, 2023, the statement of changes in net assets for each of the two years in the period ended December 31, 2023, including the related notes, and the financial highlights for each of the two years in the period ended December 31, 2023 and for the period April 5, 2021 (inception) through December 31, 2021 (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, 2023, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2023 and the financial highlights for each of the two years in the period ended December 31, 2023 and for the period April 5, 2021 (inception) through December 31, 2021 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 audits. 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 audits 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 audits 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 audits 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, 2023 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, 2024

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

37

Tax information (unaudited)

The fund hereby designates $18,757,000, 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 99.7%, 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 79.6%, 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.

38

"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.

© 2024 Bloomberg.

Used with Permission. Source: Bloomberg Index Services Limited. Copyright 2024, 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 208 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.

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: co-founder and managing partner (2022–present) of Grafton Street Partners (investment advisory firm). Chief investment officer (retired 2020) and vice president (retired 2020) of the University of Notre Dame. Chair of the board of Catholic Investment Services, Inc. (investment advisors). Member of the board of superintendence of the Institute for the Works of Religion, the Notre Dame 403(b) Investment Committee, 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. Director of DuPont. 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 partner of HighVista Strategies (private investment firm). Member of the board of RIT Capital Partners (investment firm).

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, Duke Law School (2021–present); Rubenstein Fellow, Duke University (2017–2020); Distinguished Fellow of the Global

Financial Markets Center, Duke Law School (2020–2022); and Senior Fellow, Duke Center on Risk (2020–present). Partner of Kaya Partners (climate policy advisory services). Member of the board of directors of Arcadia (energy solution technology).

Grant Reid

Born in 1959. Trustee since July 2023. Principal occupation(s) during the past five years and other experience: chief executive officer and president (2014–2022) and member of the board of directors (2015–2022) of Mars, Incorporated (multinational manufacturer). Member of the board of directors of Marriott International, Inc. Chair of Agribusiness Task Force, Sustainable Markets Initiative.

David 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. Trustee of Common Fund.

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.

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).

Jodi Miller

Born in 1980. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (2022–present) of each of the investment companies served by Vanguard. Head of Enterprise Investment Services (2020–present), head of Retail Client Services and Operations (2020–2022), and head of Retail Strategic Support (2018–2020) 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 (2022–present) 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 only 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].

CFA^® is a registered trademark owned by CFA Institute.

© 2024 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.

Q9310 022024