X0505 N-CEN LIVE 0000857490 XXXXXXXX 811-05962 false false N-1A true VANGUARD VARIABLE INSURANCE FUNDS 811-05962 0000857490 549300N9FZ0B1IR95761 100 Vanguard Boulevard Malvern 19355 US-PA US 6106691000 Bank of New York Mellon 240 Greenwich Street New York 10286 212-495-1784 The accounts, books, and other documents required to be maintained by Registrant pursuant to section 31(a) of the Investment Company Act of 1940 and the Rules thereunder. JPMorgan Chase Bank 383 Madison Avenue New York 10179 212-648-0466 The accounts, books, and other documents required to be maintained by Registrant pursuant to section 31(a) of the Investment Company Act of 1940 and the Rules thereunder. State Street Bank and Trust One Congress Street, Suite 1 Boston 20114 617-662-3839 The accounts, books, and other documents required to be maintained by Registrant pursuant to section 31(a) of the Investment Company Act of 1940 and the Rules thereunder. N N N-1A 19 Y Andre F. Perold N/A N Barbara Venneman N/A N David Thomas N/A N Grant Reid N/A N John Murphy N/A N Lubos Pastor N/A N Mark Loughridge N/A N Peter F. Volanakis N/A N Rebecca Patterson N/A N Salim Ramji 004797124 Y Sarah Bloom Raskin N/A N Scott C. Malpass N/A N Tara Bunch N/A N Jacqueline Mary Angell 005606776 100 Vanguard Boulevard Malvern 19355 XXXXXX N N N N N VANGUARD MARKETING CORP. 8-21570 000007452 549300M16F306POWCS41 N/A Y N PRICEWATERHOUSECOOPERS LLP 000000238 5493002GVO7EO8RNNS37 N N N N N N N BALANCED PORTFOLIO S000004390 QTPD0S14VORK5FC2PT42 N 1 0 0 Underlying fund N N Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Administrative fee Cash collateral reinvestment fee 67151.99000000 4431.58000000 Rule 17a-7 (17 CFR 270.17a-7) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Rule 18f-4(f)(17 CFR 270.18f-4(f)) Rule 32a-4 (17 CFR 270.32a-4) N N N N Wellington Management Company LLP 801-15908 000106595 549300YHP12TEZNLCX41 N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Reference Data LLC 5493000NQ9LYLDBCTL34 N ITG Analytics Inc 5493001OPW2K42CH3884 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N London Stock Exchange Group (LSEG) 213800QAUUUP6I445N30 N S&P Global Limited 213800BVVQOBUSJXSB53 GB N N Banco Nacional de Mexico, S.A. 2SFFM4FUIE05S37WFU55 MX N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank Europe plc, Dublin, Ireland N1FBEDJ5J41VKZLO2475 ES N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank N.A. 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N/A N/A 8I5DZWZKVSZI1NUHU748 31655.21000000 THE BANK OF NEW YORK MELLON CORPORATION N/A N/A WFLLPEPC7FZXENRZV188 18947.16000000 BANK OF AMERICA CORPORATION N/A N/A 9DJT3UXIJIZJI4WXO774 34922.15999999 JEFFERIES FINANCIAL GROUP INC. N/A N/A 549300HOF34RGOJ5YL07 21737.12000000 BARCLAYS PLC N/A N/A 213800LBQA1Y9L22JB70 GB 26402.09000000 247304.03999999 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 381878806.00000000 381878806.00000000 Y 2093720116.10500000 Committed 4300000000.00000000 N N N N THE VANGUARD GROUP INC 5493002789CX3L0CJP65 Y Derivative-foreign exchange Equity-common Other Short-term investment vehicle Currency N CONSERVATIVE ALLOCATION PORTFOLIO S000033473 VLNHEQD6T0P0GC1HM259 N 1 0 0 Fund of Funds Underlying fund N N N N N/A N/A N/A Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Rule 32a-4 (17 CFR 270.32a-4) N N N N The Vanguard Group, Inc. 801-11953 000105958 5493002789CX3L0CJP65 N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Reference Data LLC 5493000NQ9LYLDBCTL34 N ITG Analytics Inc 5493001OPW2K42CH3884 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N London Stock Exchange Group (LSEG) 213800QAUUUP6I445N30 N S&P Global Limited 213800BVVQOBUSJXSB53 GB N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N Y THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N 0.00000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 36046872.56999999 36046872.56999999 N 503121013.48250000 Committed 4300000000.00000000 N N N N THE VANGUARD GROUP INC 5493002789CX3L0CJP65 Y Equity-common Other Short-term investment vehicle Currency N DIVERSIFIED VALUE PORTFOLIO S000004398 147HBSXFO6HWZRQP8T25 N 1 0 0 Underlying fund N N Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Administrative fee Cash collateral reinvestment fee 2017460.25000000 26537.55000000 Rule 17a-7 (17 CFR 270.17a-7) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Rule 32a-4 (17 CFR 270.32a-4) N N N N Hotchkis and Wiley Capital Management, LLC 801-60512 000114649 M35WBEXQYIYXS60OGD30 N Lazard Asset Management LLC 801-61701 000122836 P1IBQ1I6K7EXV2Q96E20 N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Reference Data LLC 5493000NQ9LYLDBCTL34 N ITG Analytics Inc 5493001OPW2K42CH3884 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N London Stock Exchange Group (LSEG) 213800QAUUUP6I445N30 N S&P Global Limited 213800BVVQOBUSJXSB53 GB N N Intesa Sanpaolo S.p.A. 2W8N8UU78PMDQKZENC08 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N Y THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N CITIGROUP INC. 008-08177 000007059 6SHGI4ZSSLCXXQSBB395 31743.81999999 Redburn (Europe) Limited N/A N/A 213800PKEJQZQXQCOJ04 GB 4948.00000000 JEFFERIES FINANCIAL GROUP INC. N/A N/A 549300HOF34RGOJ5YL07 17074.23000000 BERNSTEIN INSTITUTIONAL SERVICES LLC N/A N/A 2549006LECDZGK4RBC19 6988.56000000 BANK OF AMERICA CORPORATION N/A N/A 9DJT3UXIJIZJI4WXO774 52258.80000000 THE GOLDMAN SACHS GROUP, INC. N/A N/A 784F5XWPLTWKTBV3E584 7012.76000000 THE BANK OF NEW YORK MELLON CORPORATION N/A N/A WFLLPEPC7FZXENRZV188 7896.00000000 BARCLAYS PLC N/A N/A 213800LBQA1Y9L22JB70 GB 12588.14000000 WELLS FARGO & COMPANY N/A N/A PBLD0EJDB5FWOLXP3B76 7048.75999999 MORGAN STANLEY N/A N/A IGJSJL3JD5P30I6NJZ34 21492.25999999 219992.30999993 Cowen and Company, LLC 008-22522 000007616 549300WR155U7DVMIW58 571729.80000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 964741066.10000002 THE GOLDMAN SACHS GROUP, INC. 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N/A N/A 8I5DZWZKVSZI1NUHU748 7724037.39000000 BNP PARIBAS N/A N/A R0MUWSFPU8MPRO8K5P83 FR 4290100000.00000000 BARCLAYS PLC N/A N/A 213800LBQA1Y9L22JB70 GB 7631485.58999999 4695715958.98000000 Y 2249406741.77833333 Committed 4300000000.00000000 N N N N THE VANGUARD GROUP INC 5493002789CX3L0CJP65 Y Derivative-equity Derivative-foreign exchange Equity-common Other Repurchase agreement Short-term investment vehicle Currency N EQUITY INDEX PORTFOLIO S000004400 7JQ1DLD3O9GPKG81WF09 N 1 0 0 Underlying fund N N -0.01462000 -0.17953000 0.08131291 0.08139522 N N Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Administrative fee Cash collateral reinvestment fee 315606.58000000 44935.77000000 Rule 12d1-4 (17 CFR 270.12d1-4) Rule 17a-7 (17 CFR 270.17a-7) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Rule 32a-4 (17 CFR 270.32a-4) N N N N The Vanguard Group, Inc. 801-11953 000105958 5493002789CX3L0CJP65 N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Reference Data LLC 5493000NQ9LYLDBCTL34 N ITG Analytics Inc 5493001OPW2K42CH3884 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N London Stock Exchange Group (LSEG) 213800QAUUUP6I445N30 N S&P Global Limited 213800BVVQOBUSJXSB53 GB N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP PARIBAS SA SUCCURSALE ITALIA R0MUWSFPU8MPRO8K5P83 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) JP MORGAN SE LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP MORGAN SE LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP MORGAN SE LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 FR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP MORGAN SE LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank Ltd RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB publ F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N Y THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N CITIGROUP INC. 008-08177 000007059 6SHGI4ZSSLCXXQSBB395 13339.70999999 Cowen and Company, LLC 008-22522 000007616 549300WR155U7DVMIW58 540.43000000 Mizuho Financial Group, Inc. N/A N/A 353800CI5L6DDAN5XZ33 JP 2811.80000000 Bank of Montr??al N/A N/A NQQ6HPCNCCU6TUTQYE16 CA 274.37000000 THE GOLDMAN SACHS GROUP, INC. N/A N/A 784F5XWPLTWKTBV3E584 1269.00999999 MORGAN STANLEY N/A N/A IGJSJL3JD5P30I6NJZ34 1915.92000000 BANK OF AMERICA CORPORATION N/A N/A 9DJT3UXIJIZJI4WXO774 3877.89000000 BARCLAYS PLC N/A N/A 213800LBQA1Y9L22JB70 GB 7181.12000000 JEFFERIES FINANCIAL GROUP INC. N/A N/A 549300HOF34RGOJ5YL07 1539.23000000 JPMORGAN CHASE & CO. N/A N/A 8I5DZWZKVSZI1NUHU748 9179.72999999 43119.19999995 MORGAN STANLEY N/A N/A IGJSJL3JD5P30I6NJZ34 182608.16000000 JPMORGAN CHASE & CO. N/A N/A 8I5DZWZKVSZI1NUHU748 1468685.45000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 1052779927.00000000 THE GOLDMAN SACHS GROUP, INC. N/A N/A 784F5XWPLTWKTBV3E584 2284458.90000000 1056715679.51000000 N 12169577048.24833333 Committed 4300000000.00000000 N N N N THE VANGUARD GROUP INC 5493002789CX3L0CJP65 Y Debt Derivative-equity Derivative-foreign exchange Equity-common Other Short-term investment vehicle Currency N GLOBAL BOND INDEX PORTFOLIO S000058615 5493000M7H01XFWLUI64 N 1 0 0 Fund of Funds Underlying fund N N -0.12334000 -0.26084000 0.74294537 0.74296249 N N N N N/A N/A N/A Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Rule 32a-4 (17 CFR 270.32a-4) N N N N The Vanguard Group, Inc. 801-11953 000105958 5493002789CX3L0CJP65 N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Reference Data LLC 5493000NQ9LYLDBCTL34 N ITG Analytics Inc 5493001OPW2K42CH3884 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N London Stock Exchange Group (LSEG) 213800QAUUUP6I445N30 N S&P Global Limited 213800BVVQOBUSJXSB53 GB N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N Y THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N 0.00000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 48610213.78000000 48610213.78000000 N 554724452.62000000 Committed 4300000000.00000000 N N N N THE VANGUARD GROUP INC 5493002789CX3L0CJP65 Y Debt Equity-common Other Short-term investment vehicle Currency N GROWTH PORTFOLIO S000004401 8GPO0HVVK2EH3X06HD40 N 1 0 0 Underlying fund Y N Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Administrative fee Cash collateral reinvestment fee 450539.41000000 43688.85000000 Rule 17a-7 (17 CFR 270.17a-7) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Rule 32a-4 (17 CFR 270.32a-4) N N N N Wellington Management Company LLP 801-15908 000106595 549300YHP12TEZNLCX41 N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Reference Data LLC 5493000NQ9LYLDBCTL34 N ITG Analytics Inc 5493001OPW2K42CH3884 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N London Stock Exchange Group (LSEG) 213800QAUUUP6I445N30 N S&P Global Limited 213800BVVQOBUSJXSB53 GB N N Citibank Europe plc, Dublin, Ireland N1FBEDJ5J41VKZLO2475 ES N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Citibank, N.A. E57ODZWZ7FF32TWEFA76 BR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG, Netherlands 7LTWFZYICNSX8D621K86 FR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank S.A./N.V. 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Mizuho Bank, Limited RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (publ), Sweden F3JS33DEI6XQ4ZBPTN86 DK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB (publ), Sweden (operating through its Helsinki branch) F3JS33DEI6XQ4ZBPTN86 FI N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank International GmbH ZMHGNT7ZPKZ3UFZ8EO46 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Bank and Trust Company 571474TGEMMWANRLN572 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) State Street Bank and Trust Company, United Kingdom branch 571474TGEMMWANRLN572 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) State Street Trust Company Canada 549300L71XG2CTQ2V827 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 KR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) The Hongkong and Shanghai Banking Corporation Limited 2HI3YI5320L3RW6NJ957 HK N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) UBS Switzerland AG 549300WOIFUSNYH0FL22 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N Y THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N ALLEN & COMPANY LLC 008-12123 000001042 549300RO3RYDN328JY68 5289.29999999 Robert W. Baird & Co. Incorporated 008-00497 000008158 549300772UJAHRD6LO53 5999.10999999 THE GOLDMAN SACHS GROUP, INC. N/A N/A 784F5XWPLTWKTBV3E584 21819.09000000 Royal Bank of Canada N/A N/A ES7IP3U3RHIGC71XBU11 CA 8689.05999999 BARCLAYS PLC N/A N/A 213800LBQA1Y9L22JB70 GB 7311.83000000 JPMORGAN CHASE & CO. N/A N/A 8I5DZWZKVSZI1NUHU748 20252.96999999 MORGAN STANLEY N/A N/A IGJSJL3JD5P30I6NJZ34 17405.93999999 BANK OF AMERICA CORPORATION N/A N/A 9DJT3UXIJIZJI4WXO774 10795.01000000 JEFFERIES FINANCIAL GROUP INC. N/A N/A 549300HOF34RGOJ5YL07 6101.12999998 UBS GROUP AG N/A N/A 549300SZJ9VS8SGXAN81 CH 16559.37999998 164560.60999985 CITIGROUP INC. 008-08177 000007059 6SHGI4ZSSLCXXQSBB395 620000.00000000 MORGAN STANLEY N/A N/A IGJSJL3JD5P30I6NJZ34 1355400.00000000 JPMORGAN CHASE & CO. N/A N/A 8I5DZWZKVSZI1NUHU748 226100.00000000 THE GOLDMAN SACHS GROUP, INC. N/A N/A 784F5XWPLTWKTBV3E584 1192500.00000000 JEFFERIES FINANCIAL GROUP INC. N/A N/A 549300HOF34RGOJ5YL07 586800.00000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 30480700.00000000 BANK OF AMERICA CORPORATION N/A N/A 9DJT3UXIJIZJI4WXO774 5269981500.00000000 5304443000.00000000 Y 1643505763.60000000 Committed 4300000000.00000000 N N N N THE VANGUARD GROUP INC 5493002789CX3L0CJP65 Y Equity-common Other Repurchase agreement Short-term investment vehicle Currency N HIGH-YIELD BOND PORTFOLIO S000004402 4D0OP9VY0PK1J6L3W040 N 1 0 0 Underlying fund N N N N N/A N/A N/A Rule 18f-4 (17 CFR 270.18f-4) Rule 18f-4(f)(17 CFR 270.18f-4(f)) Rule 32a-4 (17 CFR 270.32a-4) N N N N The Vanguard Group, Inc. 801-11953 000105958 5493002789CX3L0CJP65 N Wellington Management Company LLP 801-15908 000106595 549300YHP12TEZNLCX41 N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Reference Data LLC 5493000NQ9LYLDBCTL34 N ITG Analytics Inc 5493001OPW2K42CH3884 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N London Stock Exchange Group (LSEG) 213800QAUUUP6I445N30 N S&P Global Limited 213800BVVQOBUSJXSB53 GB N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N Y THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N 0.00000000 CITIGROUP INC. 008-08177 000007059 6SHGI4ZSSLCXXQSBB395 68367604.07000001 THE GOLDMAN SACHS GROUP, INC. N/A N/A 784F5XWPLTWKTBV3E584 81577365.30000000 CITADEL SECURITIES LP N/A N/A 549300NV5RXBUS3X7L47 20302786.70999999 DEUTSCHE BANK AKTIENGESELLSCHAFT N/A N/A 7LTWFZYICNSX8D621K86 DE 20699647.57999998 JPMORGAN CHASE & CO. N/A N/A 8I5DZWZKVSZI1NUHU748 101207084.04999998 BANK OF AMERICA CORPORATION N/A N/A 9DJT3UXIJIZJI4WXO774 5115958231.95000009 MORGAN STANLEY N/A N/A IGJSJL3JD5P30I6NJZ34 70846393.74999997 BARCLAYS PLC N/A N/A 213800LBQA1Y9L22JB70 GB 37957495.84999996 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 353699934.00000000 WELLS FARGO & COMPANY N/A N/A PBLD0EJDB5FWOLXP3B76 47085655.98000000 6034420333.84999995 Y 774157017.88333333 Committed 4300000000.00000000 N N N N BLACKROCK INC 529900VBK42Y5HHRMD23 N Debt Derivative-commodity Derivative-credit Derivative-foreign exchange Derivative-interest rate Equity-common Loan Other Repurchase agreement Short-term investment vehicle Currency THE VANGUARD GROUP INC 5493002789CX3L0CJP65 Y Debt Derivative-commodity Derivative-credit Derivative-foreign exchange Derivative-interest rate Equity-common Loan Other Repurchase agreement Short-term investment vehicle Currency WELLINGTON MANAGEMENT COMPANY 549300YHP12TEZNLCX41 Y Debt Derivative-commodity Derivative-credit Derivative-foreign exchange Derivative-interest rate Equity-common Loan Other Repurchase agreement Short-term investment vehicle Currency N INTERNATIONAL PORTFOLIO S000004403 OT40UIT5RF6NRFJZGB59 N 1 0 0 Underlying fund N N Y N N Brown Brothers Harriman & Co. 5493006KMX1VFTPYPW14 N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Administrative fee Cash collateral reinvestment fee Revenue sharing split 4768422.87000000 49033.82000000 Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Rule 32a-4 (17 CFR 270.32a-4) N N N N Schroder Investment Management North America Inc. 801-15834 000105820 5493003P29LAPF3HFV10 GB N Baillie Gifford Overseas Ltd 801-21051 000110296 549300OJXEENXLO4FW52 GB N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Reference Data LLC 5493000NQ9LYLDBCTL34 N ITG Analytics Inc 5493001OPW2K42CH3884 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N London Stock Exchange Group (LSEG) 213800QAUUUP6I445N30 N S&P Global Limited 213800BVVQOBUSJXSB53 GB N N AS SEB Pank 549300ND1MQ8SNNYMJ22 EE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP Paribas S.A. 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E57ODZWZ7FF32TWEFA76 AR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 IN N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 TW N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 ID N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG, Netherlands 7LTWFZYICNSX8D621K86 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG, Netherlands 7LTWFZYICNSX8D621K86 FR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank Malaysia 7LTWFZYICNSX8D621K86 MY N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear Bank S.A./N.V. 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) FAB Capital J.S.C. 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N/A N/A 8I5DZWZKVSZI1NUHU748 5478640.75000000 1680356657.15000010 Y 3185487505.93833333 Committed 4300000000.00000000 N N N N THE VANGUARD GROUP INC 5493002789CX3L0CJP65 Y Derivative-equity Derivative-foreign exchange Equity-common Equity-preferred Other Short-term investment vehicle Currency N MID-CAP INDEX PORTFOLIO S000004404 FU4G3B84SVW07HHVW178 N 1 0 0 Underlying fund N N 0.02576999 -0.16403000 0.24609379 0.24595863 N N Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Administrative fee Cash collateral reinvestment fee 954593.92000000 368697.11000000 Rule 17a-7 (17 CFR 270.17a-7) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Rule 32a-4 (17 CFR 270.32a-4) N N N N The Vanguard Group, Inc. 801-11953 000105958 5493002789CX3L0CJP65 N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Reference Data LLC 5493000NQ9LYLDBCTL34 N ITG Analytics Inc 5493001OPW2K42CH3884 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N London Stock Exchange Group (LSEG) 213800QAUUUP6I445N30 N S&P Global Limited 213800BVVQOBUSJXSB53 GB N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP PARIBAS SA SUCCURSALE ITALIA R0MUWSFPU8MPRO8K5P83 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) Euroclear 549300OZ46BRLZ8Y6F65 IE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) JP MORGAN SE LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP MORGAN SE LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP MORGAN SE LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP MORGAN SE LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 FR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank Ltd RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB publ F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N Y THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N CITIGROUP INC. 008-08177 000007059 6SHGI4ZSSLCXXQSBB395 30340.83999999 MORGAN STANLEY N/A N/A IGJSJL3JD5P30I6NJZ34 14572.79000000 Royal Bank of Canada N/A N/A ES7IP3U3RHIGC71XBU11 CA 1233.95999999 BARCLAYS PLC N/A N/A 213800LBQA1Y9L22JB70 GB 10712.57000000 WELLS FARGO & COMPANY N/A N/A PBLD0EJDB5FWOLXP3B76 1032.45000000 BANK OF AMERICA CORPORATION N/A N/A 9DJT3UXIJIZJI4WXO774 9661.42000000 JPMORGAN CHASE & CO. N/A N/A 8I5DZWZKVSZI1NUHU748 2555.51999999 CITADEL SECURITIES LP N/A N/A 549300NV5RXBUS3X7L47 5315.69000000 THE GOLDMAN SACHS GROUP, INC. N/A N/A 784F5XWPLTWKTBV3E584 3303.35000000 Mizuho Financial Group, Inc. N/A N/A 353800CI5L6DDAN5XZ33 JP 3101.01000000 85380.43999995 CITIGROUP INC. 008-08177 000007059 6SHGI4ZSSLCXXQSBB395 67060.57000000 BANK OF AMERICA CORPORATION N/A N/A 9DJT3UXIJIZJI4WXO774 85533.43000000 MORGAN STANLEY N/A N/A IGJSJL3JD5P30I6NJZ34 1127911.75000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 339209186.00000000 BARCLAYS PLC N/A N/A 213800LBQA1Y9L22JB70 GB 23536.08000000 JPMORGAN CHASE & CO. N/A N/A 8I5DZWZKVSZI1NUHU748 2356323.10000000 THE GOLDMAN SACHS GROUP, INC. N/A N/A 784F5XWPLTWKTBV3E584 235826.00000000 343105376.93000000 N 3089347670.73000000 Committed 4300000000.00000000 N N N N THE VANGUARD GROUP INC 5493002789CX3L0CJP65 Y Debt Derivative-equity Derivative-foreign exchange Equity-common Other Short-term investment vehicle Currency N MODERATE ALLOCATION PORTFOLIO S000033474 LO8HTLND48FQ3OSHAQ70 N 1 0 0 Fund of Funds Underlying fund N N N N N/A N/A N/A Rule 12d1-4 (17 CFR 270.12d1-4) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Rule 32a-4 (17 CFR 270.32a-4) N N N N The Vanguard Group, Inc. 801-11953 000105958 5493002789CX3L0CJP65 N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Reference Data LLC 5493000NQ9LYLDBCTL34 N ITG Analytics Inc 5493001OPW2K42CH3884 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N London Stock Exchange Group (LSEG) 213800QAUUUP6I445N30 N S&P Global Limited 213800BVVQOBUSJXSB53 GB N N JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N Y THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N 0.00000000 Vanguard Market Liquidity Fund N/A N/A 1I6HV0TLSTR3A4XQ6L78 37257102.53000000 37257102.53000000 N 704528216.66333333 Committed 4300000000.00000000 N N N N THE VANGUARD GROUP INC 5493002789CX3L0CJP65 Y Debt Equity-common Other Short-term investment vehicle Currency N MONEY MARKET PORTFOLIO S000004391 0NONMH8REY0TF2TI6Z60 N 1 0 0 Money Market Fund Underlying fund N N N N N/A N/A N/A Rule 32a-4 (17 CFR 270.32a-4) Y N N N The Vanguard Group, Inc. 801-11953 000105958 5493002789CX3L0CJP65 N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Reference Data LLC 5493000NQ9LYLDBCTL34 N ITG Analytics Inc 5493001OPW2K42CH3884 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N London Stock Exchange Group (LSEG) 213800QAUUUP6I445N30 N S&P Global Limited 213800BVVQOBUSJXSB53 GB N N The Bank of New York Mellon HPFHU0OQ28E4N0NFVK49 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N State Street Bank and Trust Company 571474TGEMMWANRLN572 N Y THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N 0.00000000 CITIGROUP INC. 008-08177 000007059 6SHGI4ZSSLCXXQSBB395 5510431580.44999998 State Street Global Markets, LLC 008-69862 000285852 549300FDEDF5ORXCMQ56 12919000000.00000000 THE BANK OF NEW YORK MELLON CORPORATION N/A N/A WFLLPEPC7FZXENRZV188 12865233678.47000000 DEUTSCHE BANK AKTIENGESELLSCHAFT N/A N/A 7LTWFZYICNSX8D621K86 DE 2723325033.04999982 BARCLAYS PLC N/A N/A 213800LBQA1Y9L22JB70 GB 3950724829.55000011 FEDERAL RESERVE BANK OF NEW YORK N/A N/A 254900Y8NKGV541U8Q32 11997000000.00000000 BANCO BILBAO VIZCAYA ARGENTARIA SOCIEDAD ANONIMA N/A N/A K8MS7FD7N5Z2WQ51AZ71 ES 3013000000.00000000 Sumitomo Mitsui Financial Group, Inc. N/A N/A 35380028MYWPB6AUO129 JP 5882000000.00000000 JPMORGAN CHASE & CO. N/A N/A 8I5DZWZKVSZI1NUHU748 4675138138.43999990 NORTHERN TRUST CORPORATION N/A N/A 549300GLF98S992BC502 4301000000.00000000 86128845157.98999998 N 1296933740.30056000 Committed 4300000000.00000000 N N N REAL ESTATE INDEX PORTFOLIO S000004392 NSYZG9R2JB2XHYUW8881 N 1 0 0 Underlying fund N N 0.07195000 -0.19652000 0.57946390 0.57969631 Y N Y N N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N Administrative fee Cash collateral reinvestment fee 1206345.10000000 44430.16000000 Rule 17a-7 (17 CFR 270.17a-7) Rule 18f-4(c)(4) (17CFR 270.18f-4(c)(4)) Rule 32a-4 (17 CFR 270.32a-4) N N N N The Vanguard Group, Inc. 801-11953 000105958 5493002789CX3L0CJP65 N The Vanguard Group, Inc. 084-00772 5493002789CX3L0CJP65 Y N N Bloomberg Finance LP 5493001KJTIIGC8Y1R12 N ICE Data Pricing and Reference Data LLC 5493000NQ9LYLDBCTL34 N ITG Analytics Inc 5493001OPW2K42CH3884 N JPMorgan Chase Bank 7H6GLXDRUGQFU57RNE97 N London Stock Exchange Group (LSEG) 213800QAUUUP6I445N30 N S&P Global Limited 213800BVVQOBUSJXSB53 GB N N BNP PARIBAS SA R0MUWSFPU8MPRO8K5P83 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) BNP PARIBAS SA SUCCURSALE ITALIA R0MUWSFPU8MPRO8K5P83 IT N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Deutsche Bank AG 7LTWFZYICNSX8D621K86 DE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Euroclear 549300OZ46BRLZ8Y6F65 BE N Y Foreign securities depository - rule 17f-7 (17 CFR 270.17f-7) JP MORGAN SE LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 NL N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP MORGAN SE LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 CH N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP MORGAN SE LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 FR N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JP MORGAN SE LUXEMBOURG BRANCH 549300ZK53CNGEEI6A29 BE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 AU N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 N N Bank - section 17(f)(1) (15 U.S.C. 80a-17(f)(1)) JPMorgan Chase Bank NA 7H6GLXDRUGQFU57RNE97 GB N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Mizuho Bank Ltd RB0PEZSDGCO3JS6CEU02 JP N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Royal Bank of Canada ES7IP3U3RHIGC71XBU11 CA N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) Skandinaviska Enskilda Banken AB publ F3JS33DEI6XQ4ZBPTN86 SE N Y Foreign custodian - rule 17f-5 (17 CFR 270.17f-5) N The Vanguard Group, Inc. 5493002789CX3L0CJP65 Y N N JPMORGAN CHASE BANK, N.A. 7H6GLXDRUGQFU57RNE97 N Y THE VANGUARD GROUP, INC. 5493002789CX3L0CJP65 Y N N CITIGROUP INC. 008-08177 000007059 6SHGI4ZSSLCXXQSBB395 1381.88999999 Cowen and Company, LLC 008-22522 000007616 549300WR155U7DVMIW58 422.11000000 THE GOLDMAN SACHS GROUP, INC. N/A N/A 784F5XWPLTWKTBV3E584 6564.48000000 BANK OF AMERICA CORPORATION N/A N/A 9DJT3UXIJIZJI4WXO774 3382.02999999 JPMORGAN CHASE & CO. N/A N/A 8I5DZWZKVSZI1NUHU748 2347.62999999 BARCLAYS PLC N/A N/A 213800LBQA1Y9L22JB70 GB 1782.98000000 Mizuho Financial Group, Inc. N/A N/A 353800CI5L6DDAN5XZ33 JP 2931.93000000 JEFFERIES FINANCIAL GROUP INC. 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