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

About Your Fund’s Expenses	1
Financial Statements	4
Trustees Approve Advisory Arrangement	19
Liquidity Risk Management	21

About Your Fund’s Expenses

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

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

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

•

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

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

•

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

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

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

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

1

Six Months Ended March 31, 2024
	Beginning Account Value 9/30/2023	Ending Account Value 3/31/2024	Expenses Paid During Period
Based on Actual Fund Return
Short-Term Inflation-Protected Securities Index Fund
Investor Shares	$1,000.00	$1,033.30	$0.71
ETF Shares	1,000.00	1,034.00	0.20
Admiral™ Shares	1,000.00	1,033.70	0.31
Institutional Shares	1,000.00	1,034.20	0.20
Based on Hypothetical 5% Yearly Return
Short-Term Inflation-Protected Securities Index Fund
Investor Shares	$1,000.00	$1,024.30	$0.71
ETF Shares	1,000.00	1,024.80	0.20
Admiral Shares	1,000.00	1,024.70	0.30
Institutional Shares	1,000.00	1,024.80	0.20

The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.14% for Investor Shares, 0.04% for ETF Shares, 0.06% for Admiral Shares and 0.04% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (183/366).

2

Short-Term Inflation-Protected Securities Index Fund

Distribution by Stated Maturity

As of March 31, 2024

Under 1 Year	20.9%
1 - 2 Years	19.6
2 - 3 Years	18.2
3 - 4 Years	20.2
4 - 5 Years	21.1

The table reflects the fund’s investments, except for short-term investments.

The fund may invest in derivatives (such as futures and swap contracts) for various reasons, including, but not limited to, attempting to remain fully invested and tracking its target index as closely as possible.

3

Short-Term Inflation-Protected Securities Index Fund

Financial Statements (unaudited)

Schedule of Investments

As of March 31, 2024

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

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
U.S. Government and Agency Obligations (99.7%)
U.S. Government Securities (99.7%)
	United States Treasury Inflation Indexed Bonds		0.500%	4/15/24	1,659,581	1,659,840
	United States Treasury Inflation Indexed Bonds		0.125%	7/15/24	2,678,362	2,678,780
	United States Treasury Inflation Indexed Bonds		0.125%	10/15/24	2,394,448	2,378,361
	United States Treasury Inflation Indexed Bonds		0.250%	1/15/25	2,449,952	2,407,461
	United States Treasury Inflation Indexed Bonds		2.375%	1/15/25	1,671,209	1,669,120
	United States Treasury Inflation Indexed Bonds		0.125%	4/15/25	1,959,108	1,909,824
	United States Treasury Inflation Indexed Bonds		0.375%	7/15/25	2,689,643	2,629,547
	United States Treasury Inflation Indexed Bonds		0.125%	10/15/25	2,384,582	2,313,417
	United States Treasury Inflation Indexed Bonds		0.625%	1/15/26	2,263,517	2,197,733
	United States Treasury Inflation Indexed Bonds		2.000%	1/15/26	1,080,160	1,074,928
	United States Treasury Inflation Indexed Bonds		0.125%	4/15/26	1,838,344	1,760,502
	United States Treasury Inflation Indexed Bonds		0.125%	7/15/26	2,256,779	2,162,277
	United States Treasury Inflation Indexed Bonds		0.125%	10/15/26	2,548,788	2,430,907
	United States Treasury Inflation Indexed Bonds		0.375%	1/15/27	2,101,381	2,003,863
	United States Treasury Inflation Indexed Bonds		2.375%	1/15/27	1,044,023	1,052,179
	United States Treasury Inflation Indexed Bonds		0.125%	4/15/27	2,603,670	2,452,739
	United States Treasury Inflation Indexed Bonds		0.375%	7/15/27	2,317,413	2,205,164
	United States Treasury Inflation Indexed Bonds		1.625%	10/15/27	2,610,968	2,586,082
	United States Treasury Inflation Indexed Bonds		0.500%	1/15/28	2,366,004	2,239,201
	United States Treasury Inflation Indexed Bonds		1.750%	1/15/28	982,177	974,196
	United States Treasury Inflation Indexed Bonds		1.250%	4/15/28	2,578,361	2,505,441
	United States Treasury Inflation Indexed Bonds		3.625%	4/15/28	1,005,334	1,068,638
	United States Treasury Inflation Indexed Bonds		0.750%	7/15/28	2,061,988	1,970,487
	United States Treasury Inflation Indexed Bonds		2.375%	10/15/28	2,653,262	2,716,277
	United States Treasury Inflation Indexed Bonds		0.875%	1/15/29	1,768,660	1,686,860
	United States Treasury Inflation Indexed Bonds		2.500%	1/15/29	906,711	931,504
Total U.S. Government and Agency Obligations (Cost $53,459,233)						51,665,328

4

Short-Term Inflation-Protected Securities Index Fund

			Coupon		Shares	Market Value• ($000)
Temporary Cash Investments (0.1%)
Money Market Fund (0.1%)
1	Vanguard Market Liquidity Fund (Cost $66,980)		5.407%		669,916	66,978
Total Investments (99.8%) (Cost $53,526,213)						51,732,306
Other Assets and Liabilities—Net (0.2%)						112,086
Net Assets (100%)						51,844,392
Cost is in $000.

•	See Note A in Notes to Financial Statements.
1	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

  

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

5

Short-Term Inflation-Protected Securities Index Fund

Statement of Assets and Liabilities

As of March 31, 2024

($000s, except shares, footnotes, and per-share amounts)	Amount
Assets
Investments in Securities, at Value
Unaffiliated Issuers (Cost $53,459,233)	51,665,328
Affiliated Issuers (Cost $66,980)	66,978
Total Investments in Securities	51,732,306
Investment in Vanguard	1,565
Receivables for Accrued Income	139,165
Receivables for Capital Shares Issued	47,501
Total Assets	51,920,537
Liabilities
Due to Custodian	15
Payables for Investment Securities Purchased	62,378
Payables for Capital Shares Redeemed	12,062
Payables for Distributions	609
Payables to Vanguard	1,081
Total Liabilities	76,145
Net Assets	51,844,392

6

Short-Term Inflation-Protected Securities Index Fund

Statement of Assets and Liabilities (continued)
At March 31, 2024, net assets consisted of:
($000s, except shares, footnotes, and per-share amounts)	Amount
Paid-in Capital	54,598,244
Total Distributable Earnings (Loss)	(2,753,852)
Net Assets	51,844,392
Investor Shares—Net Assets
Applicable to 122,493 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	2,936
Net Asset Value Per Share—Investor Shares	$23.97
ETF Shares—Net Assets
Applicable to 228,883,077 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	10,953,947
Net Asset Value Per Share—ETF Shares	$47.86
Admiral Shares—Net Assets
Applicable to 845,638,528 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	20,294,352
Net Asset Value Per Share—Admiral Shares	$24.00
Institutional Shares—Net Assets
Applicable to 857,476,879 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	20,593,157
Net Asset Value Per Share—Institutional Shares	$24.02

  

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

7

Short-Term Inflation-Protected Securities Index Fund

Statement of Operations

	Six Months Ended March 31, 2024
	($000)
Investment Income
Income
Interest1	423,288
Total Income	423,288
Expenses
The Vanguard Group—Note B
Investment Advisory Services	656
Management and Administrative—Investor Shares	5
Management and Administrative—ETF Shares	1,788
Management and Administrative—Admiral Shares	4,908
Management and Administrative—Institutional Shares	3,320
Marketing and Distribution—Investor Shares	—
Marketing and Distribution—ETF Shares	321
Marketing and Distribution—Admiral Shares	532
Marketing and Distribution—Institutional Shares	349
Custodian Fees	100
Shareholders’ Reports—Investor Shares	(2)
Shareholders’ Reports—ETF Shares	199
Shareholders’ Reports—Admiral Shares	91
Shareholders’ Reports—Institutional Shares	6
Trustees’ Fees and Expenses	19
Other Expenses	31
Total Expenses	12,323
Expenses Paid Indirectly	(1)
Net Expenses	12,322
Net Investment Income	410,966
Realized Net Gain (Loss)
Investment Securities Sold1,2	(242,196)
Futures Contracts	(8,014)
Realized Net Gain (Loss)	(250,210)
Change in Unrealized Appreciation (Depreciation) of Investment Securities1	1,563,361
Net Increase (Decrease) in Net Assets Resulting from Operations	1,724,117

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 $8,122,000, $11,000, $3,000, and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes.
2	Includes ($69,055,000) of net gain (loss) resulting from in-kind redemptions.

  

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

8

Short-Term Inflation-Protected Securities Index Fund

Statement of Changes in Net Assets

	Six Months Ended March 31, 2024		Year Ended September 30, 2023
	($000)		($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	410,966		1,368,384
Realized Net Gain (Loss)	(250,210)		(623,865)
Change in Unrealized Appreciation (Depreciation)	1,563,361		1,022,149
Net Increase (Decrease) in Net Assets Resulting from Operations	1,724,117		1,766,668
Distributions
Investor Shares	(40)		(305)
ETF Shares	(262,856)		(863,192)
Admiral Shares	(272,723)		(769,352)
Institutional Shares	(269,880)		(691,589)
Total Distributions	(805,499)		(2,324,438)
Capital Share Transactions
Investor Shares	(2,039)		(4,128)
ETF Shares	(2,984,471)		(5,086,212)
Admiral Shares	143,653		(923,289)
Institutional Shares	1,363,988		2,105,645
Net Increase (Decrease) from Capital Share Transactions	(1,478,869)		(3,907,984)
Total Increase (Decrease)	(560,251)		(4,465,754)
Net Assets
Beginning of Period	52,404,643		56,870,397
End of Period	51,844,392		52,404,643

  

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

9

Short-Term Inflation-Protected Securities Index Fund

Financial Highlights

Investor Shares
For a Share Outstanding Throughout Each Period	Six Months Ended March 31, 2024	Year Ended September 30,
		2023	2022	2021	2020	2019
Net Asset Value, Beginning of Period	$23.51	$23.66	$25.90	$25.41	$24.57	$24.23
Investment Operations
Net Investment Income1	.197	.561	.991	1.099	.272	.483
Net Realized and Unrealized Gain (Loss) on Investments	.583	.186	(1.734)	.258	.862	.324
Total from Investment Operations	.780	.747	(.743)	1.357	1.134	.807
Distributions
Dividends from Net Investment Income	(.320)	(.897)	(1.497)	(.867)	(.294)	(.467)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.320)	(.897)	(1.497)	(.867)	(.294)	(.467)
Net Asset Value, End of Period	$23.97	$23.51	$23.66	$25.90	$25.41	$24.57
Total Return2	3.33%	3.20%	-3.01%	5.38%	4.64%	3.36%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$3	$5	$9	$7,825	$8,063	$7,014
Ratio of Total Expenses to Average Net Assets	0.14%3	0.14%3	0.14%	0.14%	0.14%	0.14%
Ratio of Net Investment Income to Average Net Assets	1.66%	2.36%	3.83%	4.25%	1.09%	1.98%
Portfolio Turnover Rate4	13%	28%	26%	19%	37%	26%
The expense ratio and net investment income ratio for the current period have been annualized.

1	Calculated based on average shares outstanding.
2	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.14%.
4	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.

10

Short-Term Inflation-Protected Securities Index Fund

Financial Highlights

ETF Shares
For a Share Outstanding Throughout Each Period	Six Months Ended March 31, 2024	Year Ended September 30,
		2023	2022	2021	2020	2019
Net Asset Value, Beginning of Period	$47.25	$48.12	$52.56	$50.99	$49.03	$48.34
Investment Operations
Net Investment Income1	.385	1.165	3.544	2.562	.634	1.003
Net Realized and Unrealized Gain (Loss) on Investments	1.204	.364	(4.980)	.195	1.677	.652
Total from Investment Operations	1.589	1.529	(1.436)	2.757	2.311	1.655
Distributions
Dividends from Net Investment Income	(.979)	(2.399)	(3.004)	(1.187)	(.351)	(.965)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.979)	(2.399)	(3.004)	(1.187)	(.351)	(.965)
Net Asset Value, End of Period	$47.86	$47.25	$48.12	$52.56	$50.99	$49.03
Total Return	3.40%	3.28%	-2.92%	5.48%	4.74%	3.46%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$10,954	$13,783	$19,191	$17,203	$9,217	$6,884
Ratio of Total Expenses to Average Net Assets	0.04%2	0.04%2	0.04%	0.04%	0.05%	0.05%
Ratio of Net Investment Income to Average Net Assets	1.62%	2.46%	6.98%	4.95%	1.27%	2.07%
Portfolio Turnover Rate3	13%	28%	26%	19%	37%	26%
The expense ratio and net investment income ratio for the current period have been annualized.

1	Calculated based on average shares outstanding.
2	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%.
3	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.

11

Short-Term Inflation-Protected Securities Index Fund

Financial Highlights

Admiral Shares
For a Share Outstanding Throughout Each Period	Six Months Ended March 31, 2024	Year Ended September 30,
		2023	2022	2021	2020	2019
Net Asset Value, Beginning of Period	$23.54	$23.69	$25.93	$25.44	$24.60	$24.25
Investment Operations
Net Investment Income1	.188	.606	1.843	1.257	.294	.500
Net Realized and Unrealized Gain (Loss) on Investments	.603	.161	(2.565)	.123	.860	.332
Total from Investment Operations	.791	.767	(.722)	1.380	1.154	.832
Distributions
Dividends from Net Investment Income	(.331)	(.917)	(1.518)	(.890)	(.314)	(.482)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.331)	(.917)	(1.518)	(.890)	(.314)	(.482)
Net Asset Value, End of Period	$24.00	$23.54	$23.69	$25.93	$25.44	$24.60
Total Return2	3.37%	3.29%	-2.92%	5.47%	4.72%	3.46%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$20,294	$19,767	$20,803	$13,879	$8,541	$7,333
Ratio of Total Expenses to Average Net Assets	0.06%3	0.06%3	0.06%	0.06%	0.06%	0.06%
Ratio of Net Investment Income to Average Net Assets	1.58%	2.55%	7.25%	4.84%	1.18%	2.06%
Portfolio Turnover Rate4	13%	28%	26%	19%	37%	26%
The expense ratio and net investment income ratio for the current period have been annualized.

1	Calculated based on average shares outstanding.
2	Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
3	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.06%.
4	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.

12

Short-Term Inflation-Protected Securities Index Fund

Financial Highlights

Institutional Shares
For a Share Outstanding Throughout Each Period	Six Months Ended March 31, 2024	Year Ended September 30,
		2023	2022	2021	2020	2019
Net Asset Value, Beginning of Period	$23.55	$23.70	$25.95	$25.46	$24.62	$24.27
Investment Operations
Net Investment Income1	.189	.623	1.760	1.219	.306	.517
Net Realized and Unrealized Gain (Loss) on Investments	.615	.149	(2.487)	.166	.853	.319
Total from Investment Operations	.804	.772	(.727)	1.385	1.159	.836
Distributions
Dividends from Net Investment Income	(.334)	(.922)	(1.523)	(.895)	(.319)	(.486)
Distributions from Realized Capital Gains	—	—	—	—	—	—
Total Distributions	(.334)	(.922)	(1.523)	(.895)	(.319)	(.486)
Net Asset Value, End of Period	$24.02	$23.55	$23.70	$25.95	$25.46	$24.62
Total Return	3.42%	3.31%	-2.94%	5.49%	4.73%	3.48%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$20,593	$18,850	$16,867	$16,238	$11,880	$9,967
Ratio of Total Expenses to Average Net Assets	0.04%2	0.04%2	0.04%	0.04%	0.04%	0.04%
Ratio of Net Investment Income to Average Net Assets	1.58%	2.62%	6.90%	4.69%	1.22%	2.08%
Portfolio Turnover Rate3	13%	28%	26%	19%	37%	26%
The expense ratio and net investment income ratio for the current period have been annualized.

1	Calculated based on average shares outstanding.
2	The ratio of expenses to average net assets for the period net of reduction from custody fee offset arrangements was 0.04%.
3	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.

13

Short-Term Inflation-Protected Securities Index Fund

Notes to Financial Statements

Vanguard Short-Term Inflation-Protected Securities Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers four classes of shares: Investor Shares, ETF Shares, Admiral Shares, and Institutional Shares. Each of the share classes has different eligibility and minimum purchase requirements, and is designed for different types of investors. ETF Shares are listed for trading on Nasdaq; 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. 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. 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.

Futures contracts are valued at their quoted daily settlement prices. 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 futures contracts.  

During the six months ended March 31, 2024, the fund’s average investments in long and short futures contracts represented 0% and less than 1% of net assets, based on the average of the notional amounts at each quarter-end during the period. The fund had no open futures contracts at March 31, 2024.

3. 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,

14

Short-Term Inflation-Protected Securities Index Fund

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.

4. 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.

5. 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 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 six months ended March 31, 2024, the fund did not utilize the credit facilities or the Interfund Lending Program.

6. 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. Inflation adjustments to the face amount of inflation-indexed securities are included in interest income. 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.

Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of

15

Short-Term Inflation-Protected Securities Index Fund

trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.

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 March 31, 2024, the fund had contributed to Vanguard capital in the amount of $1,565,000, representing less than 0.01% of the fund’s net assets and 0.63% 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 six months ended March 31, 2024, custodian fee offset arrangements reduced the fund’s expenses by $1,000 (an annual rate of less than 0.01% of average net assets).
D.	Various inputs may be used to determine the value of the fund’s investments. 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 valued with significant unobservable inputs are noted on the Schedule of Investments.

The following table summarizes the market value of the fund’s investments as of March 31, 2024, based on the inputs used to value them:

	Level 1 ($000)	Level 2 ($000)	Level 3 ($000)	Total ($000)
Investments
Assets
U.S. Government and Agency Obligations	—	51,665,328	—	51,665,328
Temporary Cash Investments	66,978	—	—	66,978
Total	66,978	51,665,328	—	51,732,306

16

Short-Term Inflation-Protected Securities Index Fund

E.	As of March 31, 2024, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount ($000)
Tax Cost	53,550,033
Gross Unrealized Appreciation	29,677
Gross Unrealized Depreciation	(1,847,404)
Net Unrealized Appreciation (Depreciation)	(1,817,727)

The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at September 30, 2023, the fund had available capital losses totaling $741,371,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending September 30, 2024; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.

F.	During the six months ended March 31, 2024, the fund purchased $7,163,519,000 of investment securities and sold $6,567,185,000 of investment securities, other than temporary cash investments. In addition, the fund purchased and sold investment securities of $255,506,000 and $2,914,172,000, respectively, in connection with in-kind purchases and redemptions of the fund's capital shares.
G.	Capital share transactions for each class of shares were:

    

	Six Months Ended March 31, 2024			Year Ended September 30, 2023
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
Investor Shares
Issued	255	11		2,557	108
Issued in Lieu of Cash Distributions	40	1		305	13
Redeemed	(2,334)	(99)		(6,990)	(296)
Net Increase (Decrease)—Investor Shares	(2,039)	(87)		(4,128)	(175)
ETF Shares
Issued	322,923	6,802		2,054,940	43,399
Issued in Lieu of Cash Distributions	—	—		—	—
Redeemed	(3,307,394)	(69,600)		(7,141,152)	(150,575)
Net Increase (Decrease)—ETF Shares	(2,984,471)	(62,798)		(5,086,212)	(107,176)
Admiral Shares
Issued	1,581,873	66,323		3,322,090	139,776
Issued in Lieu of Cash Distributions	258,473	10,857		717,371	30,531
Redeemed	(1,696,693)	(71,385)		(4,962,750)	(208,688)
Net Increase (Decrease)—Admiral Shares	143,653	5,795		(923,289)	(38,381)

17

Short-Term Inflation-Protected Securities Index Fund

	Six Months Ended March 31, 2024			Year Ended September 30, 2023
	Amount ($000)	Shares (000)		Amount ($000)	Shares (000)
Institutional Shares
Issued	2,098,048	88,078		3,394,283	142,651
Issued in Lieu of Cash Distributions	267,296	11,218		686,960	29,211
Redeemed	(1,001,356)	(42,122)		(1,975,598)	(83,115)
Net Increase (Decrease)—Institutional Shares	1,363,988	57,174		2,105,645	88,747

H.

Significant market disruptions, such as those caused by pandemics, natural or environmental disasters, war, 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.

I.	Management has determined that no events or transactions occurred subsequent to March 31, 2024, that would require recognition or disclosure in these financial statements.

18

Trustees Approve Advisory Arrangement

The board of trustees of Vanguard Short-Term Inflation-Protected Securities Index Fund has renewed the fund’s investment advisory arrangement with The Vanguard Group, Inc. (Vanguard), through its Fixed Income Group. The board determined that continuing the fund’s internalized management structure was in the best interests of the fund and its shareholders.

The board based its decision upon an evaluation of the advisor’s investment staff, portfolio management process, and performance. This evaluation included information provided to the board by Vanguard’s Portfolio Review Department, which is responsible for fund and advisor oversight and product management. The Portfolio Review Department met regularly with the advisor and made presentations to the board during the fiscal year that directed the board’s focus to relevant information and topics.

The board, or an investment committee made up of board members, also received information throughout the year during advisor presentations conducted by the Portfolio Review Department. For each advisor presentation, the board was provided with letters and reports that included information about, among other things, the advisory firm and the advisor’s assessment of the investment environment, portfolio performance, and portfolio characteristics.

In addition, the board received periodic reports throughout the year, which included information about the fund’s performance relative to its peers and benchmark, as applicable, and updates, as needed, on the Portfolio Review Department’s ongoing assessment of the advisor.

Prior to their meeting, the trustees were provided with a memo and materials that summarized the information they received over the course of the year. They also considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangement. Rather, it was the totality of the circumstances that drove the board’s decision.

Nature, extent, and quality of services

The board reviewed the quality of the fund’s investment management services over both the short and long term and took into account the organizational depth and stability of the advisor. The board considered that Vanguard has been managing investments for more than four decades. The Fixed Income Group adheres to a sound, disciplined investment management process; the team has considerable experience, stability, and depth. Vanguard has managed the fund since its inception in 2012.

The board concluded that Vanguard’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangement.

Investment performance

The board considered the short- and long-term performance of the fund, including any periods of outperformance or underperformance compared with its target index and peer group. The board concluded that the performance was such that the advisory arrangement should continue.

Cost

The board concluded that the fund’s expense ratio was below the average expense ratio charged by funds in its peer group and that the fund’s advisory expenses were also below the peer-group average.

19

The board does not conduct a profitability analysis of Vanguard because of Vanguard’s unique structure. Unlike most other mutual fund management companies, Vanguard is owned by the funds it oversees.

The benefit of economies of scale

The board concluded that the fund’s arrangement with Vanguard ensures that the fund will realize economies of scale as it grows, with the cost to shareholders declining as fund assets increase.

The board will consider whether to renew the advisory arrangement again after a one-year period.

20

Liquidity Risk Management

Vanguard funds (except for the money market funds) have adopted and implemented a written liquidity risk management program (the “Program”) as required by Rule 22e-4 under the Investment Company Act of 1940. Rule 22e-4 requires that each fund adopt a program that is reasonably designed to assess and manage the fund’s liquidity risk, which is the risk that the fund could not meet redemption requests without significant dilution of remaining investors’ interests in the fund.

Assessment and management of a fund’s liquidity risk under the Program take into consideration certain factors, such as the fund’s investment strategy and the liquidity of its portfolio investments during normal and reasonably foreseeable stressed conditions, its short- and long-term cash-flow projections during both normal and reasonably foreseeable stressed conditions, and its cash and cash-equivalent holdings and access to other funding sources. As required by the rule, the Program includes policies and procedures for classification of fund portfolio holdings in four liquidity categories, maintaining certain levels of highly liquid investments, and limiting holdings of illiquid investments.

The board of trustees of Vanguard Malvern Funds approved the appointment of liquidity risk management program administrators responsible for administering Vanguard Short-Term Inflation-Protected Securities Index Fund's Program and for carrying out the specific responsibilities set forth in the Program, including reporting to the board on at least an annual basis regarding the Program’s operation, its adequacy, and the effectiveness of its implementation for the past year (the “Program Administrator Report”). The board has reviewed the Program Administrator Report covering the period from January 1, 2023, through December 31, 2023 (the “Review Period”). The Program Administrator Report stated that during the Review Period the Program operated and was implemented effectively to manage the fund’s liquidity risk.

21

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Fund Information > 800-662-7447

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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 publicinfo@sec.gov.

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

Q19672 052024

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

AboutYour Fund's Expenses	1
Financial Statements	4
Trustees Approve Advisory Arrangement	62
Liquidity Risk Management	64

About Your Fund’s Expenses

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

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

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

•

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

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

•

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

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

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

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

1

Six Months Ended March 31, 2024
	Beginning Account Value 9/30/2023	Ending Account Value 3/31/2024	Expenses Paid During Period
Based on Actual Fund Return
Core Bond Fund
Investor Shares	$1,000.00	$1,060.90	$1.03
Admiral™ Shares	1,000.00	1,061.90	0.52
Based on Hypothetical 5% Yearly Return
Core Bond Fund
Investor Shares	$1,000.00	$1,024.00	$1.01
Admiral Shares	1,000.00	1,024.50	0.51

The calculations are based on expenses incurred in the most recent six-month period. The fund's annualized six-month expense ratios for that period are 0.20% for Investor Shares and 0.10% for Admiral Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (183/366).

2

Core Bond Fund

Fund Allocation

As of March 31, 2024

Asset-Backed/Commercial Mortgage-Backed Securities	5.1%
Corporate Bonds	36.5
Floating Rate Loan Interests	0.0
Sovereign Bonds	9.0
Taxable Municipal Bonds	0.0
U.S. Government and Agency Obligations	49.4

The table reflects the fund’s investments, except for short-term investments and 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.

3

Core Bond Fund

Financial Statements (unaudited)

Schedule of Investments

As of March 31, 2024

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

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
U.S. Government and Agency Obligations (50.3%)
U.S. Government Securities (26.9%)
	United States Treasury Inflation Indexed Bonds		0.250%	1/15/25	29,944	29,430
	United States Treasury Inflation Indexed Bonds		0.125%	4/15/25	196,979	192,057
	United States Treasury Inflation Indexed Bonds		0.125%	10/15/25	77,248	74,956
	United States Treasury Note/Bond		0.500%	2/28/26	26,950	24,908
1	United States Treasury Note/Bond		2.250%	3/31/26	48,000	45,825
	United States Treasury Note/Bond		3.750%	4/15/26	56,535	55,554
	United States Treasury Note/Bond		3.625%	5/15/26	69,692	68,320
	United States Treasury Note/Bond		0.750%	5/31/26	2,606	2,401
	United States Treasury Note/Bond		2.125%	5/31/26	50,000	47,461
	United States Treasury Note/Bond		4.500%	7/15/26	31,250	31,201
	United States Treasury Note/Bond		1.875%	7/31/26	12,305	11,582
	United States Treasury Note/Bond		4.375%	8/15/26	47,132	46,948
	United States Treasury Note/Bond		4.625%	10/15/26	89,673	89,925
	United States Treasury Note/Bond		1.125%	10/31/26	31,475	28,903
	United States Treasury Note/Bond		1.250%	11/30/26	27,006	24,829
	United States Treasury Note/Bond		1.625%	11/30/26	8,945	8,308
	United States Treasury Note/Bond		4.000%	1/15/27	76,000	75,097
	United States Treasury Note/Bond		1.875%	2/28/27	24,659	22,941
	United States Treasury Note/Bond		0.500%	4/30/27	12,038	10,691
	United States Treasury Note/Bond		2.750%	4/30/27	23,101	22,000
	United States Treasury Note/Bond		0.375%	9/30/27	16,301	14,212
	United States Treasury Note/Bond		0.500%	10/31/27	15,957	13,937
	United States Treasury Note/Bond		4.125%	10/31/27	44,630	44,274
	United States Treasury Note/Bond		0.625%	11/30/27	24,350	21,314
	United States Treasury Note/Bond		3.875%	11/30/27	39,465	38,836
	United States Treasury Note/Bond		1.250%	3/31/28	13,502	11,996
	United States Treasury Note/Bond		3.625%	3/31/28	45,000	43,868
	United States Treasury Note/Bond		1.250%	4/30/28	15,597	13,828
	United States Treasury Note/Bond		2.875%	5/15/28	45,000	42,581
2	United States Treasury Note/Bond		1.250%	5/31/28	38,706	34,243
2	United States Treasury Note/Bond		1.250%	6/30/28	30,901	27,285
	United States Treasury Note/Bond		1.000%	7/31/28	26,613	23,191
	United States Treasury Note/Bond		1.125%	8/31/28	24,191	21,152
	United States Treasury Note/Bond		1.250%	9/30/28	22,714	19,932
	United States Treasury Note/Bond		4.625%	9/30/28	17,794	18,050
	United States Treasury Note/Bond		1.375%	10/31/28	29,814	26,265
	United States Treasury Note/Bond		1.500%	11/30/28	22,454	19,858
2	United States Treasury Note/Bond		4.375%	11/30/28	55,971	56,277
	United States Treasury Note/Bond		1.750%	1/31/29	25,991	23,181

4

Core Bond Fund

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
	United States Treasury Note/Bond		3.250%	6/30/29	38,185	36,419
	United States Treasury Note/Bond		2.625%	7/31/29	16,820	15,537
	United States Treasury Note/Bond		3.875%	11/30/29	23,852	23,420
	United States Treasury Note/Bond		3.875%	12/31/29	25,000	24,547
	United States Treasury Note/Bond		3.500%	1/31/30	14,754	14,196
	United States Treasury Note/Bond		3.500%	4/30/30	53,213	51,134
	United States Treasury Note/Bond		0.625%	5/15/30	35,467	28,640
	United States Treasury Note/Bond		3.750%	5/31/30	15,778	15,364
	United States Treasury Note/Bond		3.750%	6/30/30	15,817	15,399
	United States Treasury Note/Bond		4.000%	7/31/30	73,889	72,942
	United States Treasury Note/Bond		0.625%	8/15/30	51,500	41,232
	United States Treasury Note/Bond		4.125%	8/31/30	95,000	94,406
	United States Treasury Note/Bond		4.625%	9/30/30	74,435	76,063
	United States Treasury Note/Bond		4.875%	10/31/30	18,498	19,174
	United States Treasury Note/Bond		0.875%	11/15/30	20,000	16,188
	United States Treasury Note/Bond		4.375%	11/30/30	37,186	37,488
	United States Treasury Note/Bond		3.750%	12/31/30	16,917	16,446
	United States Treasury Note/Bond		4.000%	1/31/31	18,438	18,199
	United States Treasury Note/Bond		4.250%	2/28/31	18,074	18,108
	United States Treasury Note/Bond		1.250%	8/15/31	45,000	36,647
	United States Treasury Note/Bond		2.875%	5/15/32	16,689	15,156
	United States Treasury Note/Bond		4.625%	2/15/40	6,372	6,597
	United States Treasury Note/Bond		1.125%	8/15/40	5,646	3,492
	United States Treasury Note/Bond		1.375%	11/15/40	20,619	13,254
	United States Treasury Note/Bond		1.875%	2/15/41	53,566	37,329
	United States Treasury Note/Bond		2.250%	5/15/41	20,000	14,775
	United States Treasury Note/Bond		1.750%	8/15/41	24,580	16,580
3,4	United States Treasury Note/Bond		2.000%	11/15/41	47,400	33,239
4	United States Treasury Note/Bond		2.375%	2/15/42	48,270	35,886
	United States Treasury Note/Bond		3.125%	2/15/42	8,081	6,760
	United States Treasury Note/Bond		3.000%	5/15/42	6,500	5,319
	United States Treasury Note/Bond		3.250%	5/15/42	9,670	8,220
	United States Treasury Note/Bond		2.750%	8/15/42	38,075	29,877
	United States Treasury Note/Bond		3.375%	8/15/42	29,466	25,451
	United States Treasury Note/Bond		2.750%	11/15/42	6,900	5,398
	United States Treasury Note/Bond		3.875%	2/15/43	25,964	24,000
	United States Treasury Note/Bond		3.875%	5/15/43	38,104	35,175
	United States Treasury Note/Bond		4.375%	8/15/43	39,898	39,437
	United States Treasury Note/Bond		4.750%	11/15/43	3,700	3,839
	United States Treasury Note/Bond		3.125%	8/15/44	9,000	7,367
	United States Treasury Note/Bond		2.500%	5/15/46	20,000	14,416
	United States Treasury Note/Bond		2.875%	11/15/46	4,750	3,658
	United States Treasury Note/Bond		3.000%	2/15/47	33,500	26,334
	United States Treasury Note/Bond		3.000%	5/15/47	32,970	25,881
	United States Treasury Note/Bond		2.750%	8/15/47	12,000	8,974
	United States Treasury Note/Bond		2.750%	11/15/47	20,000	14,934
	United States Treasury Note/Bond		3.000%	2/15/48	41,750	32,643
	United States Treasury Note/Bond		3.125%	5/15/48	30,134	24,079
	United States Treasury Note/Bond		3.000%	8/15/48	21,854	17,046
	United States Treasury Note/Bond		3.375%	11/15/48	23,301	19,464
	United States Treasury Note/Bond		3.000%	2/15/49	43,912	34,210
	United States Treasury Note/Bond		2.875%	5/15/49	7,500	5,702
	United States Treasury Note/Bond		2.250%	8/15/49	16,000	10,665
	United States Treasury Note/Bond		2.375%	11/15/49	17,615	12,055
	United States Treasury Note/Bond		2.000%	2/15/50	18,309	11,460

5

Core Bond Fund

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
1	United States Treasury Note/Bond		1.250%	5/15/50	92,164	47,133
	United States Treasury Note/Bond		2.375%	5/15/51	32,936	22,350
	United States Treasury Note/Bond		1.875%	11/15/51	8,500	5,092
	United States Treasury Note/Bond		2.250%	2/15/52	19,500	12,824
	United States Treasury Note/Bond		2.875%	5/15/52	31,048	23,485
	United States Treasury Note/Bond		3.000%	8/15/52	5,863	4,553
	United States Treasury Note/Bond		4.000%	11/15/52	10,871	10,219
	United States Treasury Note/Bond		3.625%	2/15/53	18,457	16,202
	United States Treasury Note/Bond		3.625%	5/15/53	17,960	15,780
	United States Treasury Note/Bond		4.750%	11/15/53	50,700	54,114
						2,939,590
Conventional Mortgage-Backed Securities (20.8%)
5,6	Fannie Mae Pool		3.000%	10/1/46–3/1/48	493	420
5,6	Fannie Mae Pool		3.500%	7/1/47–2/1/50	1,149	1,029
5,6	Fannie Mae Pool		4.000%	9/1/42	172	164
5,6	Fannie Mae Pool		5.000%	10/1/49	30	30
5,6	Freddie Mac Gold Pool		3.000%	8/1/45–8/1/47	52,907	46,969
5,6	Freddie Mac Gold Pool		3.500%	3/1/45–2/1/50	1,583	1,423
5,6	Freddie Mac Gold Pool		4.000%	7/1/39–12/1/49	6,768	6,405
5,6	Freddie Mac Gold Pool		4.500%	12/1/39–2/1/49	1,478	1,450
5,6	Freddie Mac Gold Pool		5.000%	12/1/35–6/1/40	541	549
5,6	Freddie Mac Gold Pool		5.500%	5/1/40	82	85
5	Ginnie Mae I Pool		3.000%	4/15/45	126	114
5	Ginnie Mae I Pool		4.000%	7/15/45–8/15/45	41	39
5	Ginnie Mae I Pool		4.500%	2/15/39–9/15/46	38	38
5	Ginnie Mae I Pool		6.000%	7/15/37	23	25
5	Ginnie Mae II Pool		2.000%	11/20/50–6/20/52	80,151	65,605
5,7	Ginnie Mae II Pool		2.500%	5/20/50–5/15/54	79,720	66,093
5,7	Ginnie Mae II Pool		3.000%	5/20/43–5/15/54	91,408	80,449
5,7	Ginnie Mae II Pool		3.500%	10/20/43–4/15/54	66,234	60,475
5,7	Ginnie Mae II Pool		4.000%	11/20/42–4/15/54	52,086	48,918
5,7	Ginnie Mae II Pool		4.500%	4/20/48–5/15/54	44,475	42,954
5,7	Ginnie Mae II Pool		5.000%	8/20/48–4/15/54	34,264	33,690
5,7	Ginnie Mae II Pool		5.500%	4/15/54	38,250	38,232
5,7	Ginnie Mae II Pool		6.000%	4/15/54	51,000	51,454
5,7	Ginnie Mae II Pool		6.500%	3/15/54–4/15/54	137,700	140,002
5,6,7	UMBS Pool		1.500%	3/1/36–4/25/54	58,107	44,741
5,6,7	UMBS Pool		2.000%	10/1/35–4/25/54	512,355	420,408
5,6,7	UMBS Pool		2.500%	10/1/35–4/25/54	181,529	157,649
5,6,7	UMBS Pool		3.000%	12/1/37–4/25/54	304,418	268,663
5,6,7	UMBS Pool		3.500%	7/1/32–4/25/54	324,131	292,609
5,6,7	UMBS Pool		4.000%	12/1/38–5/25/54	35,830	35,165
5,6,7	UMBS Pool		4.500%	4/1/39–4/25/54	87,717	85,460
5,6,7	UMBS Pool		5.000%	8/1/39–4/25/54	97,734	95,941
5,6,7	UMBS Pool		5.500%	12/1/38–4/25/54	86,262	87,696
5,6,7	UMBS Pool		6.000%	11/1/52–4/25/54	103,787	105,067
						2,280,011
Nonconventional Mortgage-Backed Securities (2.6%)
5,6	Fannie Mae REMICS		3.500%	3/25/43	26,073	23,705
5,6	Fannie Mae REMICS		4.500%	8/25/49	3,823	3,691
5,6	Freddie Mac REMICS		2.000%	9/25/47	12,780	10,978
5,6	Freddie Mac REMICS		2.500%	2/25/41–12/25/48	94,718	80,511
5,6	Freddie Mac REMICS		3.000%	7/15/43–12/15/46	85,090	74,292
5,6	Freddie Mac REMICS		3.500%	8/15/47–10/15/47	79,241	71,321

6

Core Bond Fund

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
5,6	Freddie Mac REMICS		4.500%	10/25/44–1/25/47	11,182	10,838
5	Ginnie Mae REMICS		4.500%	5/20/52	6,112	5,760
						281,096
Total U.S. Government and Agency Obligations (Cost $5,618,464)						5,500,697
Asset-Backed/Commercial Mortgage-Backed Securities (5.1%)
5	Ally Auto Receivables Trust Series 2023-1		5.270%	11/15/28	1,230	1,237
5,8	Ally Auto Receivables Trust Series 2023-1		5.760%	1/15/29	1,120	1,130
5,8	Ally Auto Receivables Trust Series 2023-1		5.960%	3/15/29	900	902
5,8	Ally Auto Receivables Trust Series 2023-1		6.740%	4/15/34	590	588
5,8	Ally Auto Receivables Trust Series 2023-A		7.330%	1/17/34	1,440	1,490
5	Ally Auto Receivables Trust Series 2024-1		5.160%	10/15/29	870	867
5	Ally Auto Receivables Trust Series 2024-1		5.410%	11/15/29	620	618
5,8	Ally Auto Receivables Trust Series 2024-1		5.800%	2/16/32	610	609
5	AmeriCredit Automobile Receivables Trust Series 2020-2		2.130%	3/18/26	240	234
5	AmeriCredit Automobile Receivables Trust Series 2023-2		6.000%	7/18/29	4,160	4,226
5,8	Aventura Mall Trust Series 2018-AVM		4.112%	7/5/40	4,390	4,157
5,8	Avis Budget Rental Car Funding AESOP LLC Series 2022-5A		6.240%	4/20/27	1,390	1,388
5,8	Avis Budget Rental Car Funding AESOP LLC Series 2023-1A		6.230%	4/20/29	900	902
5,8	Avis Budget Rental Car Funding AESOP LLC Series 2023-2A		6.180%	10/20/27	250	250
5,8	Avis Budget Rental Car Funding AESOP LLC Series 2023-5A		5.780%	4/20/28	2,140	2,170
5,8	Avis Budget Rental Car Funding AESOP LLC Series 2023-7A		5.900%	8/21/28	1,050	1,069
5,8	Avis Budget Rental Car Funding AESOP LLC Series 2023-8A		6.020%	2/20/30	3,110	3,207
5,8	Avis Budget Rental Car Funding AESOP LLC Series 2024-1A		5.360%	6/20/30	4,040	4,060
5,8	Avis Budget Rental Car Funding AESOP LLC Series 2024-1A		5.850%	6/20/30	2,690	2,691
5,8	Avis Budget Rental Car Funding AESOP LLC Series 2024-1A		6.480%	6/20/30	2,030	2,055
5,8	Avis Budget Rental Car Funding AESOP LLC Series 2024-3A		5.230%	12/20/30	600	600
5,8	Avis Budget Rental Car Funding AESOP LLC Series 2024-3A		5.580%	12/20/30	500	499
5	BA Credit Card Trust Series 2023-A2		4.980%	11/15/28	9,750	9,773
5	BANK Series 2017-BNK4		3.625%	5/15/50	19	18
5	BANK Series 2019-BNK16		4.005%	2/15/52	1,280	1,216
5	BANK Series 2019-BNK23		2.920%	12/15/52	3,570	3,186
5	BANK Series 2022-BNK40		3.393%	3/15/64	7,590	6,776
5	BANK Series 2022-BNK43		4.399%	8/15/55	13,344	12,718
5	BANK Series 2023-5YR3		6.724%	9/15/56	1,600	1,697
5,8	Bank of America Auto Trust Series 2023-1A		5.390%	7/16/29	2,250	2,264
5,8	Bank of America Auto Trust Series 2023-2A		5.660%	11/15/29	1,520	1,543
5,8	Bayview Opportunity Master Fund VII Trust Series 2024-SN1		5.670%	8/15/28	680	681
5,8	Bayview Opportunity Master Fund VII Trust Series 2024-SN1		5.830%	12/15/28	760	762
5,8	Bayview Opportunity Master Fund VII Trust Series 2024-SN1		6.360%	7/16/29	920	925
5	BBCMS Mortgage Trust Series 2020-C6		2.639%	2/15/53	200	175

7

Core Bond Fund

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
5	BBCMS Mortgage Trust Series 2021-C9		2.299%	2/15/54	2,100	1,766
5	BBCMS Mortgage Trust Series 2022-C16		4.600%	6/15/55	2,150	2,086
5	BBCMS Mortgage Trust Series 2023-C22		6.804%	11/15/56	800	904
5	BBCMS Mortgage Trust Series 2024-5C25		5.946%	3/15/57	16,680	17,286
5	BBCMS Mortgage Trust Series 2024-5C25		6.358%	3/15/57	2,700	2,801
5	BBCMS Mortgage Trust Series 2024-C24		5.419%	2/15/57	4,680	4,814
5	Benchmark Mortgage Trust Series 2018-B1		3.666%	1/15/51	5,380	5,035
5	Benchmark Mortgage Trust Series 2020-B16		2.732%	2/15/53	200	176
5	Benchmark Mortgage Trust Series 2022-B36		4.470%	7/15/55	11,472	10,994
5	Benchmark Mortgage Trust Series 2023-B38		5.525%	4/15/56	1,700	1,752
5	Benchmark Mortgage Trust Series 2023-V3		6.363%	7/15/56	3,600	3,762
5	Benchmark Mortgage Trust Series 2024-V6		5.926%	3/15/29	5,000	5,175
5	BMO Mortgage Trust Series 2023-C7		6.160%	12/15/56	11,500	12,430
5	BMO Mortgage Trust Series 2024-5C3		5.739%	2/15/57	6,550	6,719
5	BMO Mortgage Trust Series 2024-C8		5.598%	3/15/57	11,000	11,437
5	BMW Vehicle Lease Trust Series 2023-2		5.980%	2/25/27	2,900	2,934
5,8	BPR Trust Series 2023-BRK2		6.899%	11/5/28	2,800	2,908
5,8	BX Trust Series 2019-OC11		3.202%	12/9/41	1,380	1,228
5	Capital One Prime Auto Receivables Trust Series 2023-2		5.740%	11/15/28	3,000	3,060
5	CarMax Auto Owner Trust Series 2023-1		4.650%	1/16/29	860	851
5	CarMax Auto Owner Trust Series 2023-3		5.260%	2/15/29	3,550	3,565
5	CarMax Auto Owner Trust Series 2023-4		5.960%	5/15/29	2,900	2,979
5	CarMax Auto Owner Trust Series 2024-1		4.920%	10/16/28	1,620	1,616
5	CarMax Auto Owner Trust Series 2024-1		4.940%	8/15/29	760	758
5	CD Mortgage Trust Series 2016-CD1		3.631%	8/10/49	270	188
5	CD Mortgage Trust Series 2017-CD4		3.514%	5/10/50	320	298
5	CD Mortgage Trust Series 2017-CD6		3.709%	11/13/50	30	27
5	CD Mortgage Trust Series 2018-CD7		4.013%	8/15/51	7,827	7,398
5	CD Mortgage Trust Series 2018-CD7		4.842%	8/15/51	100	90
5	CFCRE Commercial Mortgage Trust Series 2016-C4		3.283%	5/10/58	61	58
5,8	Chase Auto Owner Trust Series 2024-1A		5.050%	10/25/29	1,120	1,123
5,8	Chase Auto Owner Trust Series 2024-1A		5.160%	11/26/29	320	321
5,8	Chase Auto Owner Trust Series 2024-1A		5.360%	1/25/30	300	301
5,8	Chase Auto Owner Trust Series 2024-1A		5.870%	6/25/31	440	441
5	Chase Issuance Trust Series 2024-A2		4.630%	1/15/31	7,440	7,410
5	Citigroup Commercial Mortgage Trust Series 2017-P8		3.203%	9/15/50	20	19
5	Citigroup Commercial Mortgage Trust Series 2017-P8		4.192%	9/15/50	60	54
5	Citigroup Commercial Mortgage Trust Series 2017-P8		4.257%	9/15/50	40	35
5	Citigroup Commercial Mortgage Trust Series 2018-C5		4.228%	6/10/51	45	43
5,8	Citizens Auto Receivables Trust Series 2023-1		5.780%	10/15/30	4,890	4,961
5,8	Citizens Auto Receivables Trust Series 2024-1		5.030%	10/15/30	1,470	1,465
5	CNH Equipment Trust Series 2023-B		5.600%	2/15/29	4,540	4,591
5	CNH Equipment Trust Series 2024-A		4.800%	7/15/31	1,410	1,401
5,8	COMM Mortgage Trust Series 2013-CR6		3.397%	3/10/46	98	90
5,8,9	Connecticut Avenue Securities Trust Series 2023-R07, SOFR30A + 1.950%		7.271%	9/25/43	1,786	1,803
5,8,9	Connecticut Avenue Securities Trust Series 2023-R08, SOFR30A + 1.500%		6.820%	10/25/43	1,755	1,762
5,8,9	Connecticut Avenue Securities Trust Series 2024-R01, SOFR30A + 1.050%		6.370%	1/25/44	4,812	4,813

8

Core Bond Fund

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
5,8,9	Connecticut Avenue Securities Trust Series 2024-R02, SOFR30A + 1.100%		6.420%	2/25/44	694	695
5	CSAIL Commercial Mortgage Trust Series 2020-C19		2.561%	3/15/53	250	211
5,8	DLLAA LLC Series 2023-1A		5.640%	2/22/28	3,130	3,161
5,8	DLLAA LLC Series 2023-1A		5.730%	10/20/31	1,770	1,795
5,8	DLLST LLC Series 2024-1A		4.930%	4/22/30	560	555
5	Drive Auto Receivables Trust Series 2024-1		5.310%	1/16/29	2,060	2,056
5	Drive Auto Receivables Trust Series 2024-1		5.430%	11/17/31	2,400	2,403
5,8	EDvestinU Private Education Loan Issue No. 1 LLC Series 2019-A		3.580%	11/25/38	25	24
5,8	Enterprise Fleet Financing LLC Series 2023-3		6.410%	6/20/30	1,020	1,058
5,8	Enterprise Fleet Financing LLC Series 2024-1		5.160%	9/20/30	1,450	1,446
5	Fifth Third Auto Trust Series 2023-1		5.520%	2/17/31	2,980	3,016
5	First National Master Note Trust Series 2023-2		5.770%	9/15/29	1,580	1,600
5	Ford Credit Auto Lease Trust Series 2023-B		6.200%	2/15/27	3,010	3,049
5	Ford Credit Auto Lease Trust Series 2023-B		6.430%	4/15/27	4,170	4,249
5	Ford Credit Auto Lease Trust Series 2024-A		5.290%	6/15/27	2,040	2,034
5,8	Ford Credit Auto Owner Trust Series 2020-1		2.540%	8/15/31	100	97
5,8	Ford Credit Auto Owner Trust Series 2022-1		3.880%	11/15/34	410	397
5,8	Ford Credit Auto Owner Trust Series 2022-1		4.670%	11/15/34	1,250	1,215
5,8	Ford Credit Auto Owner Trust Series 2023-1		4.850%	8/15/35	13,616	13,538
5,8	Ford Credit Auto Owner Trust Series 2023-2		5.280%	2/15/36	6,240	6,314
5	Ford Credit Auto Owner Trust Series 2023-B		5.060%	2/15/29	1,530	1,530
5	Ford Credit Auto Owner Trust Series 2023-C		5.490%	5/15/29	2,560	2,594
5	Ford Credit Auto Owner Trust Series 2023-C		5.930%	8/15/29	2,010	2,053
5	Ford Credit Auto Owner Trust Series 2023-C		6.370%	5/15/31	2,230	2,305
5,8	Ford Credit Auto Owner Trust Series 2024-1		4.870%	8/15/36	180	180
5,8	Ford Credit Auto Owner Trust Series 2024-1		5.240%	8/15/36	2,250	2,248
5	Ford Credit Auto Owner Trust Series 2024-A		5.260%	11/15/29	1,500	1,504
5,6,8,9	Freddie Mac STACR REMICS Trust Series 2023-HQA3, SOFR30A + 1.850%		7.170%	11/25/43	913	924
5,6,8,9	Freddie Mac STACR REMICS Trust Series 2023-HQA3, SOFR30A + 1.850%		7.170%	11/25/43	637	643
5,6,8,9	Freddie Mac STACR REMICS Trust Series 2024-DNA1, SOFR30A + 1.350%		6.670%	2/25/44	2,655	2,662
5,6,8	Freddie Mac STACR REMICS Trust Series 2024-HQA1		6.569%	3/25/44	2,500	2,502
5,8	GCAT Trust Series 2022-INV3		4.000%	8/25/52	7,123	6,418
5,8	GCAT Trust Series 2022-INV3		4.500%	8/25/52	4,832	4,480
5	GM Financial Automobile Leasing Trust Series 2023-3		5.880%	8/20/27	1,820	1,828
5	GM Financial Automobile Leasing Trust Series 2024-1		5.330%	3/20/28	1,910	1,910
5	GM Financial Consumer Automobile Receivables Trust Series 2023-1		4.590%	7/17/28	50	49
5	GM Financial Consumer Automobile Receivables Trust Series 2023-1		5.320%	10/16/28	2,080	2,074
5	GM Financial Consumer Automobile Receivables Trust Series 2023-3		5.340%	12/18/28	2,950	2,969
5	GM Financial Consumer Automobile Receivables Trust Series 2024-1		4.860%	6/18/29	1,060	1,059
5	GM Financial Consumer Automobile Receivables Trust Series 2024-1		5.160%	8/16/29	380	379
5,8	GM Financial Revolving Receivables Trust Series 2021-1		1.490%	6/12/34	70	63

9

Core Bond Fund

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
5,8	GM Financial Revolving Receivables Trust Series 2021-1		1.670%	6/12/34	120	108
5,8	GM Financial Revolving Receivables Trust Series 2023-2		5.770%	8/11/36	4,220	4,357
5,8	GM Financial Revolving Receivables Trust Series 2023-2		6.210%	8/11/36	1,660	1,718
5,8	GM Financial Revolving Receivables Trust Series 2024-1		4.980%	12/11/36	3,690	3,706
5,8	GM Financial Revolving Receivables Trust Series 2024-1		5.230%	12/11/36	870	869
5,8	GMF Floorplan Owner Revolving Trust Series 2024-1A		5.330%	3/15/29	1,240	1,242
5,8	GMF Floorplan Owner Revolving Trust Series 2024-2A		5.060%	3/17/31	7,030	7,068
5,8	GMF Floorplan Owner Revolving Trust Series 2024-2A		5.350%	3/17/31	520	522
5,8	GreatAmerica Leasing Receivables Series 2024-1		5.080%	12/16/30	910	906
5	GS Mortgage Securities Trust Series 2014-GC24		4.521%	9/10/47	150	126
5	GS Mortgage Securities Trust Series 2019-GC38		3.968%	2/10/52	150	141
5	GS Mortgage Securities Trust Series 2020-GC45		2.911%	2/13/53	630	557
5	Harley-Davidson Motorcycle Trust Series 2023-B		5.780%	4/15/31	1,650	1,676
5,8	Hertz Vehicle Financing LLC Series 2022-2A		2.330%	6/26/28	3,120	2,857
5,8	Hertz Vehicle Financing III LLC Series 2022-1A		2.630%	6/25/26	160	154
5,8	Hertz Vehicle Financing III LLC Series 2023-3A		5.940%	2/25/28	2,500	2,537
5,8	Hertz Vehicle Financing III LLC Series 2023-4A		6.150%	3/25/30	3,500	3,623
5,8	Hertz Vehicle Financing III LP Series 2021-2A		1.680%	12/27/27	100	91
5,8	HPEFS Equipment Trust Series 2024-1A		5.330%	5/20/31	1,090	1,084
5,8	HPEFS Equipment Trust Series 2024-1A		5.820%	11/20/31	1,360	1,361
5,8	Hyundai Auto Lease Securitization Trust Series 2023-C		5.840%	9/15/27	1,100	1,111
5,8	Hyundai Auto Lease Securitization Trust Series 2024-A		5.070%	2/15/28	1,100	1,095
5,8	Hyundai Auto Lease Securitization Trust Series 2024-A		5.350%	5/15/28	6,630	6,621
5	Hyundai Auto Receivables Trust Series 2023-B		5.310%	8/15/29	1,480	1,494
5	Hyundai Auto Receivables Trust Series 2023-C		5.550%	12/17/29	1,700	1,727
5	Hyundai Auto Receivables Trust Series 2023-C		6.010%	12/17/29	5,830	5,939
5	Hyundai Auto Receivables Trust Series 2024-A		5.140%	1/15/31	1,320	1,315
5	Hyundai Auto Receivables Trust Series 2024-A		5.270%	7/15/31	1,080	1,076
5	John Deere Owner Trust Series 2023-B		5.110%	5/15/30	1,500	1,499
5	John Deere Owner Trust Series 2023-C		5.390%	8/15/30	1,970	1,989
5	JPMDB Commercial Mortgage Securities Trust Series 2017-C7		3.409%	10/15/50	60	56
5	JPMDB Commercial Mortgage Securities Trust Series 2018-C8		4.211%	6/15/51	50	47
5,8	Kubota Credit Owner Trust Series 2023-2A		5.230%	6/15/28	1,430	1,433
5,8	Kubota Credit Owner Trust Series 2024-1A		5.200%	1/15/30	1,200	1,201
5,8	Laurel Road Prime Student Loan Trust Series 2018-B		3.540%	5/26/43	4	4
5,8	M&T Bank Auto Receivables Trust Series 2024-1A		5.150%	2/17/32	1,410	1,409
5,8	M&T Bank Auto Receivables Trust Series 2024-1A		5.220%	2/17/32	1,850	1,850
5,8	MMAF Equipment Finance LLC Series 2024-A		4.950%	7/14/31	1,510	1,505
5	Morgan Stanley Bank of America Merrill Lynch Trust Series 2013-C10		3.942%	7/15/46	200	164

10

Core Bond Fund

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
5	Morgan Stanley Capital I Trust Series 2018-L1		4.407%	10/15/51	2,180	2,111
5,8	Morgan Stanley Residential Mortgage Loan Trust Series 2023-1		4.000%	2/25/53	54,103	48,645
5,8	MSBAM Commercial Mortgage Securities Trust Series 2012-CKSV		3.277%	10/15/30	893	796
5	MSWF Commercial Mortgage Trust Series 2023-2		6.014%	12/15/56	8,690	9,297
5,8	Navient Private Education Loan Trust Series 2018-BA		3.610%	12/15/59	97	95
5,8,9	Navient Student Loan Trust Series 2023-BA, SOFR30A + 1.700%		7.019%	3/15/72	527	532
5,8	OBX Trust Series 2022-INV5		4.000%	10/25/52	3,275	2,951
5,8	Palisades Center Trust Series 2016-PLSD		2.713%	4/13/33	500	318
5,8	PFS Financing Corp. Series 2023-B		5.270%	5/15/28	1,780	1,782
5,8	PFS Financing Corp. Series 2023-C		5.520%	10/15/28	1,660	1,675
5,8	PFS Financing Corp. Series 2024-B		4.950%	2/15/29	9,240	9,206
5,8	Porsche Financial Auto Securitization Trust Series 2023-2A		5.790%	11/24/31	1,750	1,781
5,8	Progress Residential Trust Series 2022-SFR3		3.200%	4/17/39	138	130
5,8	Progress Residential Trust Series 2022-SFR3		3.600%	4/17/39	100	95
5,8	Progress Residential Trust Series 2022-SFR5		4.451%	6/17/39	118	115
5,8	Progress Residential Trust Series 2022-SFR5		4.896%	6/17/39	100	98
5,8	Progress Residential Trust Series 2024-SFR1		3.350%	2/17/41	1,580	1,455
5,7,8	Progress Residential Trust Series 2024-SFR2		3.300%	4/17/41	1,390	1,272
5,8	Santander Bank Auto Credit-Linked Notes Series 2023-B		5.933%	12/15/33	390	391
5,8	Santander Bank Auto Credit-Linked Notes Series 2023-B		6.663%	12/15/33	430	432
5	Santander Drive Auto Receivables Trust Series 2023-1		5.090%	5/15/30	840	830
5	Santander Drive Auto Receivables Trust Series 2023-6		5.930%	7/17/28	1,050	1,065
5	Santander Drive Auto Receivables Trust Series 2023-6		5.980%	4/16/29	1,490	1,514
5	Santander Drive Auto Receivables Trust Series 2023-6		6.400%	3/17/31	1,180	1,214
5	Santander Drive Auto Receivables Trust Series 2024-1		5.230%	12/15/28	1,650	1,647
5	Santander Drive Auto Receivables Trust Series 2024-1		5.450%	3/15/30	1,250	1,246
5,8	SBNA Auto Lease Trust Series 2023-A		6.520%	4/20/28	2,040	2,091
5,8	SBNA Auto Lease Trust Series 2024-A		5.240%	1/22/29	1,700	1,696
5,8	SBNA Auto Receivables Trust Series 2024-A		5.290%	9/17/29	2,050	2,048
5,8	SBNA Auto Receivables Trust Series 2024-A		5.590%	1/15/30	960	959
5,8	SBNA Auto Receivables Trust Series 2024-A		6.040%	4/15/30	930	930
5,8	SCCU Auto Receivables Trust Series 2023-1A		5.700%	8/15/29	530	532
5,8	SCOTT Trust Series 2023-SFS		5.910%	3/15/40	3,630	3,651
5,8	SFS Auto Receivables Securitization Trust Series 2023-1A		5.470%	12/20/29	1,820	1,838
5,8	SFS Auto Receivables Securitization Trust Series 2024-1A		4.940%	1/21/31	1,070	1,065
5,8	SFS Auto Receivables Securitization Trust Series 2024-1A		5.380%	1/21/31	1,910	1,914
5,8	SFS Auto Receivables Securitization Trust Series 2024-1A		5.510%	1/20/32	890	893
5,8	SMB Private Education Loan Trust Series 2016-A		2.700%	5/15/31	22	21
5,8	SMB Private Education Loan Trust Series 2017-B		2.820%	10/15/35	52	51

11

Core Bond Fund

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
5,8	SMB Private Education Loan Trust Series 2018-B		3.600%	1/15/37	129	125
5,8	SMB Private Education Loan Trust Series 2018-C		3.630%	11/15/35	177	171
5,8	SMB Private Education Loan Trust Series 2024-A		5.240%	3/15/56	2,750	2,746
5,8	SoFi Professional Loan Program LLC Series 2017-D		2.650%	9/25/40	12	12
5,8	SoFi Professional Loan Program LLC Series 2017-F		2.840%	1/25/41	20	20
5	Synchrony Card Funding LLC Series 2023-A2		5.740%	10/15/29	13,920	14,127
5	Synchrony Card Funding LLC Series 2024-A1		5.040%	3/15/30	6,170	6,170
5,8	Tesla Auto Lease Trust Series 2023-B		6.220%	3/22/27	1,300	1,317
5,8	Tesla Electric Vehicle Trust Series 2023-1		5.380%	2/20/29	720	725
5,8	Tesla Electric Vehicle Trust Series 2023-1		5.820%	5/20/31	720	727
5,8	Toyota Auto Loan Extended Note Trust Series 2022-1A		3.820%	4/25/35	800	774
5	Toyota Auto Receivables Owner Trust Series 2024-A		4.770%	4/16/29	3,240	3,230
5,8	Toyota Lease Owner Trust Series 2023-B		5.710%	12/20/27	2,420	2,442
5,8	US Bank NA Series 2023-1		6.789%	8/25/32	563	566
5,8	Verizon Master Trust Series 2023-6		5.350%	9/22/31	3,030	3,088
5	Verizon Master Trust Series 2023-7		5.670%	11/20/29	4,020	4,086
5,8	Verizon Master Trust Series 2024-2		4.830%	12/22/31	7,730	7,724
5,8	Verizon Master Trust Series 2024-2		5.080%	12/22/31	4,680	4,639
5,8	Verizon Master Trust Series 2024-2		5.320%	12/22/31	5,790	5,734
5	Volkswagen Auto Lease Trust Series 2023-A		5.800%	4/20/28	1,520	1,533
5	Volkswagen Auto Loan Enhanced Trust Series 2023-1		5.010%	1/22/30	4,260	4,259
5	Wells Fargo Commercial Mortgage Trust Series 2018-C43		4.514%	3/15/51	50	45
5	Wells Fargo Commercial Mortgage Trust Series 2018-C46		4.152%	8/15/51	30	29
5	World Omni Auto Receivables Trust Series 2024-A		4.840%	10/15/29	3,570	3,564
5	World Omni Auto Receivables Trust Series 2024-A		5.090%	12/17/29	1,510	1,504
5	World Omni Auto Receivables Trust Series 2024-A		5.310%	10/15/30	780	778
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $554,573)						556,453
Corporate Bonds (36.6%)
Communications (3.6%)
8	Altice Financing SA		5.750%	8/15/29	110	88
7,8	AMC Networks Inc.		10.250%	1/15/29	20	20
	AT&T Inc.		3.800%	2/15/27	12,130	11,743
10	AT&T Inc.		1.600%	5/19/28	1,400	1,414
10	AT&T Inc.		4.300%	11/18/34	600	681
	AT&T Inc.		4.500%	5/15/35	700	653
	AT&T Inc.		4.900%	8/15/37	500	474
	AT&T Inc.		4.300%	12/15/42	6,240	5,365
	AT&T Inc.		3.500%	9/15/53	9,980	7,047
	AT&T Inc.		3.550%	9/15/55	4,238	2,960
	AT&T Inc.		3.800%	12/1/57	4,000	2,893
	AT&T Inc.		3.650%	9/15/59	8,837	6,153
	Bell Telephone Co. of Canada or Bell Canada		5.550%	2/15/54	19,990	19,939
10	Booking Holdings Inc.		4.000%	3/1/44	3,300	3,605
8	Cable One Inc.		4.000%	11/15/30	70	55
8	CCO Holdings LLC		6.375%	9/1/29	30	28

12

Core Bond Fund

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
8	CCO Holdings LLC		4.750%	3/1/30	1,265	1,085
8	CCO Holdings LLC		4.250%	2/1/31	40	33
	Charter Communications Operating LLC		3.750%	2/15/28	70	65
	Charter Communications Operating LLC		2.250%	1/15/29	200	170
	Charter Communications Operating LLC		5.050%	3/30/29	1,480	1,427
	Charter Communications Operating LLC		2.300%	2/1/32	7,360	5,679
	Charter Communications Operating LLC		6.650%	2/1/34	9,352	9,583
	Charter Communications Operating LLC		3.500%	3/1/42	3,580	2,385
	Charter Communications Operating LLC		6.484%	10/23/45	2,100	1,948
	Charter Communications Operating LLC		4.800%	3/1/50	1,390	1,028
11	CK Hutchison Group Telecom Finance SA		2.625%	10/17/34	2,751	2,527
	Comcast Corp.		6.550%	7/1/39	4,080	4,552
	Comcast Corp.		3.250%	11/1/39	1,990	1,560
	Comcast Corp.		3.750%	4/1/40	3,800	3,157
	Comcast Corp.		4.650%	7/15/42	1,200	1,099
	Comcast Corp.		4.700%	10/15/48	168	154
	Comcast Corp.		3.450%	2/1/50	1,500	1,100
	Comcast Corp.		2.650%	8/15/62	300	171
	Comcast Corp.		2.987%	11/1/63	5,000	3,072
8	Cox Communications Inc.		5.800%	12/15/53	4,710	4,657
8	CSC Holdings LLC		11.750%	1/31/29	125	125
8	CSC Holdings LLC		5.750%	1/15/30	285	151
8	CSC Holdings LLC		4.625%	12/1/30	290	147
8	CSC Holdings LLC		3.375%	2/15/31	100	68
8	Directv Financing LLC		5.875%	8/15/27	344	325
8	Directv Financing LLC		8.875%	2/1/30	70	70
	Discovery Communications LLC		5.000%	9/20/37	1,600	1,399
	Discovery Communications LLC		6.350%	6/1/40	1,734	1,698
	Discovery Communications LLC		4.650%	5/15/50	6,440	5,013
	Discovery Communications LLC		4.000%	9/15/55	2,000	1,365
8	DISH Network Corp.		11.750%	11/15/27	335	342
8	Frontier Communications Holdings LLC		5.000%	5/1/28	230	213
8	Frontier Communications Holdings LLC		6.000%	1/15/30	140	119
8	Gray Television Inc.		7.000%	5/15/27	110	102
	Interpublic Group of Cos. Inc.		3.375%	3/1/41	2,040	1,522
5,10	Koninklijke KPN NV		3.875%	2/16/36	1,500	1,636
8	Level 3 Financing Inc.		3.875%	11/15/29	80	44
8	Level 3 Financing Inc.		10.500%	5/15/30	70	72
	Meta Platforms Inc.		5.750%	5/15/63	4,220	4,525
	Netflix Inc.		4.875%	4/15/28	23,405	23,354
	Netflix Inc.		5.875%	11/15/28	58,569	60,876
	Netflix Inc.		6.375%	5/15/29	1,960	2,088
8	News Corp.		3.875%	5/15/29	500	458
8	Nexstar Media Inc.		4.750%	11/1/28	805	734
8	Outfront Media Capital LLC		7.375%	2/15/31	105	110
	Paramount Global		4.950%	1/15/31	974	866
	Paramount Global		4.600%	1/15/45	4,660	3,208
	Rogers Communications Inc.		5.000%	2/15/29	14,780	14,680
	Rogers Communications Inc.		3.800%	3/15/32	6,440	5,795
	Rogers Communications Inc.		4.550%	3/15/52	2,040	1,719
8	Scripps Escrow Inc.		5.875%	7/15/27	315	263
8	Scripps Escrow II Inc.		5.375%	1/15/31	80	49
8	Sirius XM Radio Inc.		5.000%	8/1/27	70	67
8	Sky Ltd.		3.750%	9/16/24	200	198
	Sprint Capital Corp.		6.875%	11/15/28	16,790	17,870

13

Core Bond Fund

			Coupon	Maturity Date	Face Amount ($000)	Market Value• ($000)
	Sprint LLC		7.625%	3/1/26	27,766	28,669
8	Sunrise FinCo I BV		4.875%	7/15/31	225	201
5,10	TDC Net A/S		5.056%	5/31/28	500	554
	Telefonica Emisiones SA		4.665%	3/6/38	4,056	3,693
	Time Warner Cable LLC		7.300%	7/1/38	4,890	4,913
	Time Warner Cable LLC		4.500%	9/15/42	6,620	4,907
	T-Mobile USA Inc.		3.375%	4/15/29	4,770	4,414
	T-Mobile USA Inc.		6.000%	6/15/54	6,340	6,773
	T-Mobile USA Inc.		3.600%	11/15/60	2,442	1,712
	T-Mobile USA Inc.		5.800%	9/15/62	3,740	3,866
8	Univision Communications Inc.		8.000%	8/15/28	185	188
8	Univision Communications Inc.		4.500%	5/1/29	15	13
8	Univision Communications Inc.		7.375%	6/30/30	225	223
	Verizon Communications Inc.		4.125%	3/16/27	458	448
	Verizon Communications Inc.		4.329%	9/21/28	200	196
	Verizon Communications Inc.		3.400%	3/22/41	3,006	2,347
	Verizon Communications Inc.		3.850%	11/1/42	2,693	2,212
	Verizon Communications Inc.		4.862%	8/21/46	3,000	2,815
	Verizon Communications Inc.		5.500%	2/23/54	7,380	7,452
	Verizon Communications Inc.		3.000%	11/20/60	1,800	1,122
	Verizon Communications Inc.		3.700%	3/22/61	2,065	1,510
8	Videotron Ltd.		3.625%	6/15/29	365	330
	Vodafone Group plc		6.150%	2/27/37	2,850	3,044
	Vodafone Group plc		4.375%	2/19/43	2,000	1,728
8	VZ Secured Financing BV		5.000%	1/15/32	370	318
	Warnermedia Holdings Inc.		3.755%	3/15/27	32,390	30,901
	Warnermedia Holdings Inc.		5.050%	3/15/42	7,801	6,691
	Warnermedia Holdings Inc.		5.141%	3/15/52	9,640	8,002
8	WMG Acquisition Corp.		3.750%	12/1/29	840	753
						389,836
Consumer Discretionary (1.1%)
8	Amer Sports Co.		6.750%	2/16/31	60	60
	American Axle & Manufacturing Inc.		5.000%	10/1/29	170	153
	American Honda Finance Corp.		4.750%	1/12/26	3,581	3,558
	Asbury Automotive Group Inc.		4.500%	3/1/28	961	913
	AutoZone Inc.		6.250%	11/1/28	3,170	3,325
8	Beacon Roofing Supply Inc.		4.125%	5/15/29	15	14
8	Boyne USA Inc.		4.750%	5/15/29	50	46
8	Builders FirstSource Inc.		6.375%	3/1/34	215	216
8	Caesars Entertainment Inc.		6.500%	2/15/32	65	66
8	Camelot Return Merger Sub Inc.		8.750%	8/1/28	560	575
8	Carnival Corp.		5.750%	3/1/27	385	381
8	Carnival Corp.		4.000%	8/1/28	610	568
8	Carnival Corp.		6.000%	5/1/29	60	59
8	Carnival Corp.		10.500%	6/1/30	20	22
8	Carnival Holdings Bermuda Ltd.		10.375%	5/1/28	140	153
8	Churchill Downs Inc.		5.500%	4/1/27	325	319
8	Churchill Downs Inc.		4.750%	1/15/28	298	284
8	Churchill Downs Inc.		5.750%	4/1/30	65	63
8	Clarios Global LP		6.750%	5/15/25	46	46
8	Clarios Global LP		8.500%	5/15/27	270	270
	Dana Inc.		4.250%	9/1/30	215	190
	Dana Inc.		4.500%	2/15/32	95	82
	Ford Motor Co.		9.625%	4/22/30	20	23
	Ford Motor Credit Co. LLC		2.700%	8/10/26	70	65