Vanguard Variable Insurance Funds N-CSR Certified annual shareholder report (management investment company)

UNITED STATES

SECURITIES AND EXCHANGE COMMISSION

Washington, D.C. 20549

FORM N-CSR

CERTIFIED SHAREHOLDER REPORT

OF

REGISTERED MANAGEMENT INVESTMENT COMPANIES

Investment Company Act file number: 811-05962

Name of Registrant:	Vanguard Variable Insurance Funds
Address of Registrant:	P.O. Box 2600
	Valley Forge, PA 19482

Name and address of agent for service:	Anne E. Robinson, Esquire
	P.O. Box 876
	Valley Forge, PA 19482

Registrant’s telephone number, including area code:(610) 669-1000

Date of fiscal year end: December 31

Date of reporting period: January 1, 2019—December 31, 2019

Item 1:Reports to Shareholders

Annual Report|December 31, 2019
Vanguard Variable Insurance Fund
Balanced Portfolio Capital Growth Portfolio Conservative Allocation Portfolio Diversified Value Portfolio Equity Income Portfolio Equity Index Portfolio Global Bond Index Portfolio with underlying Total Bond Market Index Portfolio Growth Portfolio High Yield Bond Portfolio International Portfolio	Mid-Cap Index Portfolio Moderate Allocation Portfolio Money Market Portfolio Real Estate Index Portfolio Short-Term Investment-Grade Portfolio Small Company Growth Portfolio Total Bond Market Index Portfolio Total International Stock Market Index Portfolio Total Stock Market Index Portfolio with underlying Equity Index Portfolio
See the inside front cover for important information about access to your fund’s annual and semiannual shareholder reports.

Important information about access to shareholder reports

Beginning on January 1, 2021, as permitted by regulations adopted by the Securities and Exchange Commission, paper copies of your fund’s annual and semiannual shareholder reports will no longer be sent to you by mail, unless you specifically request them. Instead, you will be notified by mail each time a report is posted on the website and will be provided with a link to access the report.

If you have already elected to receive shareholder reports electronically, you will not be affected by this change and do not need to take any action. 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.

You may elect to receive paper copies of all future shareholder reports free of charge. If you invest through a financial intermediary, you can contact the intermediary to request that you continue to receive paper copies. If you invest directly with the fund, you can call Vanguard at one of the phone numbers on the back cover of this report or log on to vanguard.com. Your election to receive paper copies will apply to all the funds you hold through an intermediary or directly with Vanguard.

Contents
CEO’s Perspective	1
Balanced Portfolio	2
Capital Growth Portfolio	31
Conservative Allocation Portfolio	45
Diversified Value Portfolio	57
Equity Income Portfolio	73
Equity Index Portfolio	89
Global Bond Index Portfolio (with underlying Total Bond Market Index Portfolio)	104
Growth Portfolio	183
High Yield Bond Portfolio	198
International Portfolio	219
Mid-Cap Index Portfolio	236
Moderate Allocation Portfolio	251
Money Market Portfolio	263
Real Estate Index Portfolio	275
Short-Term Investment-Grade Portfolio	290
Small Company Growth Portfolio	334
Total Bond Market Index Portfolio	350
Total International Stock Market Index Portfolio	418
Total Stock Market Index Portfolio (with underlying Equity Index Portfolio)	430

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

A Note From Our Chairman

Tim Buckley

Chairman and Chief Executive Officer

Dear Planholder,

Recent volatility in financial markets—affecting stocks, bonds, and commodities—has been a good reminder of the wise old adage, “Never keep all your eggs in one basket.” Maintaining balance and diversification in your investment portfolio can help to both limit risk and set you up for long-term success.

It’s understandable why some investors might become complacent after a long market run-up like the one that lifted stock prices, especially U.S. stock prices, in the years following the global financial crisis. But failing to rebalance regularly can leave a portfolio with a much different mix of assets than intended and, often, more risk than intended.

Balance across and diversification within asset classes are powerful tools for managing risk and achieving your investment goals. A portfolio’s allocation will determine a large portion of its long-term return and also the majority of its volatility risk. A well-diversified portfolio is less vulnerable to significant swings in the performance of any one segment of the asset classes in which it invests.

Balance and diversification will never eliminate the risk of loss, nor will they guarantee positive returns in a declining market. But they may reduce the chance that you’ll suffer disproportionate losses in one particular high-flying asset class or sector when it comes back to earth. And exposure to all key market components should give you at least some participation in the sectors that are performing best at any given time.

Vanguard is committed to helping you achieve balance and diversification in your portfolios to help meet your investment goals. We thank you for your continued loyalty.

Sincerely,

Mortimer J. Buckley

Chairman and Chief Executive Officer

January 23, 2020

1

Balanced Portfolio

Your Portfolio’s Performance at a Glance

•   The Balanced Portfolio of Vanguard Variable Insurance Fund returned 22.48% for the 12 months ended December 31, 2019, trailing the 24.40% return of its composite benchmark. Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

•   Stocks and bonds recorded their best results in years. Stocks benefited from three reductions of the Federal Reserve’s target for short-term interest rates during the year. And safer assets including bonds attracted investors as U.S.-China trade tensions fueled global economic growth concerns.

•   Growth stocks outperformed their value counterparts, while large- and mid-capitalization stocks surpassed small-caps.

•   The portfolio’s returns were positive in all 11 equity sectors. The advisor’s holdings in industrials and consumer discretionary contributed most to relative performance. Information technology and communication services were the biggest net detractors.

•   The fixed income portfolio benefited from strong selection in investment-grade corporate bonds and modestly from duration and yield curve positioning.

•   Over the decade ended December 31, 2019, the portfolio’s average annual return trailed that of its benchmark.

Market Barometer
	Average Annual Total Returns
	Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

2

Balanced Portfolio

Advisor’s Report

The Balanced Portfolio returned 22.48% for the 12 months ended December 31, 2019, below the 24.40% return of its blended benchmark (a mix of 65% large-capitalization stocks and 35% high-quality corporate bonds). The stock portion of the portfolio underperformed its benchmark, the Standard & Poor’s 500 Index, while the bond portion outperformed its benchmark, the Bloomberg Barclays U.S. Credit A or Better Bond Index.

The investment environment

Stock markets in the United States and abroad posted positive results for the year. The S&P 500 Index returned 31.49%, the MSCI World Index 28.40%, and the MSCI EAFE Index 22.01%.

The market rallied sharply at the start of 2019 because of supportive rhetoric from the Federal Reserve, the perception of easing tensions between the U.S. and China, and solid corporate earnings. As the year progressed, corporate earnings remained resilient but not robust, and geopolitical tensions again spiked. Ultimately, the combination of stabilizing economic data, accommodative central banks, and continued optimism toward an eventual U.S.-China trade deal proved favorable for equities.

The Fed pursued what could be termed a pro-market policy path, cutting interest rates 75 basis points over the year. (A basis point is one-hundredth of a percentage point.) Although geopolitical tensions ebbed and flowed, President Trump seemed to give the market sufficient hope that a trade deal with China could ultimately be consummated.

Corporate earnings for the 12 months were decent, if not spectacular. Earnings growth for the S&P 500 slowed significantly, but stocks and earnings over the past three years have largely moved in lockstep.

In the United States, large-capitalization growth stocks significantly outperformed large-cap value stocks, as measured by the Russell 1000 Growth Index (36.39%) and the Russell 1000 Value Index (26.54%).

This served as a slight headwind to the portfolio, which historically has had a value tilt.

The broad fixed income market generated largely positive returns, driven by a decline in sovereign yields in most markets, particularly in the first three quarters of the year. Corporate bond spreads tightened because of optimism that monetary accommodation could offset the drag on global growth from restrictive trade policies. Inflation showed no meaningful acceleration even as wage growth edged higher.

The Bloomberg Barclays U.S. Aggregate Bond Index returned 8.72%. The higher-quality credit market performed even better, as the Bloomberg Barclays U.S. Credit A or Better Bond Index returned 11.53%. The yield on the 10-year U.S. Treasury note declined 76 basis points, ending 2019 at 1.92%.

Our successes

In the stock portion of the portfolio, although security selection was a slight detractor to overall performance, selection was best in industrials, consumer discretionary, energy, and financials. Our holdings in Bank of America, JPMorgan Chase, American Tower, and Hilton Worldwide were strong contributors.

Relative performance was also boosted by not holding some securities. These included Berkshire Hathaway, Amazon. com, Johnson & Johnson, and Boeing.

In the fixed income market, spread sectors rallied at the beginning of 2019, reversing the widening that occurred at the end of 2018. Security selection in investment-grade corporates, particularly consumer noncyclicals and the communications subsector of industrials, drove the portfolio’s relative outperformance. Selection in financials and utilities also helped. In noncorporate credit, underweights to supranationals and local agency bonds as well as selection in local agency and taxable municipals contributed.

Duration/yield curve positioning modestly lifted overall performance. But short duration/yield curve flattening strategies, particularly in the early part of the year, detracted, partially offsetting the positive impact of a longer duration positioning later. Duration is a measure of the sensitivity of fixed income securities to changes in yields.

Our shortfalls

In the stock portion of the portfolio, sector allocation detracted most from relative performance. Our underweighted position in information technology was a significant headwind, as was our overweight to energy.

Security selection in communication services, information technology, and materials also hurt. Notable detractors included Verizon Communications, Simon Property Group, Pfizer, and Exelon. Stocks we did not hold or held underweighted positions in that reduced relative performance included Apple, Facebook, and Mastercard.

In fixed income, the portfolio’s under-weighted positioning in credit spread duration versus the all-credit benchmark lagged most as spreads tightened during the year. An underweight to financials (banking) and an overweight to utilities (electric) also hurt. An out-of-benchmark allocation to agency mortgage-backed securities--pass-throughs and collateralized mortgage obligations–detracted further.

Portfolio positioning

Our intermediate-term outlook for equity markets is balanced. On the encouraging side, economic growth is modestly positive in most regions, central banks have largely adopted an accommodative posture to setting monetary policy, and President Trump has sustained a pro-market orientation with respect to trade negotiations and fiscal policy. On the cautious side, we are ten years into an economic cycle and growth remains subdued, geopolitical relations delicate, and equity valuations near all-time highs.

3

Balanced Portfolio

In the stock portion of the portfolio, we are enthusiastic about the prospects for many individual businesses, such as JPMorgan Chase and Bank of America. These two, in particular, are extending their competitive advantage through investments in technology. Additionally, large pharmaceutical companies including Pfizer, Novartis, and AstraZeneca are reinvigorating their growth pipelines.

Global consumer staples such as Nestle and Diageo are using sharpened strategies to deliver growth. Consumer companies including Hilton Worldwide, Home Depot, Lowe’s, and TJX are reinvesting their scale advantages to enhance consumer value. Technology firms such as Microsoft and Alphabet are providing compelling innovation in attractive end-markets and driving scale benefits from their customers, employees, and shareholders.

Over the course of the year, we initiated new positions in American Express, Raytheon, and Boston Properties. We believe these companies are superb fits for our philosophy and process and we are optimistic about their future. We eliminated holdings in United Parcel Service, Citigroup, and Halliburton as we believe that challenging industry dynamics will make it difficult for these businesses to compound value at an attractive rate.

The portfolio is overweighted in financials because we believe large U.S. banks present a particularly compelling combination of quality and value. It is underweighted in information technology because we are concerned about the sustainability of very high growth rates and lofty equity valuations.

We remain committed to our investment philosophy and process of constructing a portfolio of resilient businesses at reasonable valuations run by strong management teams likely to make value-enhancing decisions. Our goal is to deliver a superior rate of economic growth (earnings plus dividends) over the long term and protect on the downside during difficult markets and economies.

In fixed income, we believe credit valuations are modestly rich because of risks involving geopolitics, trade tensions, and elections. However, global central banks should continue to support asset valuations. We expect global inflation to remain benign, making it unlikely that we will see a sustained move higher in global rates in 2020. We have positioned the fixed income portion of the portfolio with a slight duration overweight relative to the benchmark.

We are increasingly cautious about the business cycle and believe that credit fundamentals have deteriorated in part because of slowing earnings growth. Credit remains the portfolio’s main investment focus, and we continue to look for opportunities in the sector. We are positioned with an underweight to corporate credit relative to the all-credit benchmark and a bias toward more defensive sectors such as utilities and communication services.

We believe that taxable municipals remain fairly valued and a high-quality diversifier relative to our corporate bond risk. We retain a core overweighted position to the sector but have modestly reduced it recently, particularly for not-for-profit hospitals, because of secular headwinds and tight valuations.

The portfolio maintains an out-of-benchmark allocation to Treasury bills. We have increased our out-of-benchmark mortgage allocation and favor low- to mid-coupon agency pass-throughs and collateralized mortgage obligations for their favorable prepayment profile.

We own a modest out-of-benchmark allocation to prime, non-agency mortgage-backed securities. We also hold out-of-benchmark allocations to the securitized sectors, such as asset-backed securities, collateralized loan obligations, and commercial mortgage-backed securities, that offer attractive value and diversification relative to corporates. We are focused on acquiring high-quality issuance and senior portions of the capital structure.

Consistent with our practices, we always endeavor to hold adequate liquidity in the fixed income portion of the portfolio, most notably by owning government bonds and agency mortgage-backed securities. This liquidity should provide some downside protection for shareholders if the economic cycle or the equity portfolio takes an unfavorable turn.

We remain disciplined in the application of our investment process, allowing us to create a balanced portfolio that we believe should perform well in a variety of environments. We focus on long-term, low-turnover investing—features that have served the portfolio’s shareholders well over time.

Portfolio Managers:

Edward P. Bousa, CFA,

Senior Managing Director and

Equity Portfolio Manager

Daniel J. Pozen

Senior Managing Director and

Equity Portfolio Manager

Michael E. Stack, CFA,

Senior Managing Director and

Fixed Income Portfolio Manager

Loren L. Moran, CFA,

Senior Managing Director and

Fixed Income Portfolio Manager

Wellington Management Company LLP

January 14, 2020

4

Balanced Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 table below illustrates your portfolio’s costs in two ways:

•   Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•   Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Balanced Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,085.76	$1.10
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.15	1.07

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.21%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

5

Balanced Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019 Initial

Investment of $10,000

		Average Annual Total Returns			Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	Balanced Portfolio	22.48%	8.56%	9.91%	$25,733
	S&P 500 Index	31.49	11.70	13.56	35,666
	Composite Stock/Bond Index	24.40	9.09	10.62	27,428
	Dow Jones U.S. Total Stock Market Float Adjusted Index	30.90	11.18	13.43	35,251

Composite Stock/Bond Index: Weighted 65% S&P 500 Index and 35% Bloomberg Barclays U.S. Credit A or Better Bond Index.

See Financial Highlights for dividend and capital gains information.

6

Balanced Portfolio

Sector Diversification

As of December 31, 2019

Equity Exposure
Communication Services	10.0%
Consumer Discretionary	5.3
Consumer Staples	7.4
Energy	6.7
Financials	22.7
Health Care	16.2
Industrials	9.5
Information Technology	13.9
Materials	1.2
Real Estate	2.6
Utilities	4.5

The table reflects the portfolio’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

Fixed Income Exposure
Asset-Backed	4.8%
Finance	24.7
Foreign	4.1
Government Mortgage-Backed	8.2
Industrial	30.9
Treasury	13.8
Utilities	8.4
Other	5.1

The table reflects the portfolio’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

7

Balanced Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

			Market
			Value•
		Shares	($000	)
Common Stocks (65.4%)
Communication Services (6.6%)
	Verizon Communications Inc.	1,303,788	80,053
*	Alphabet Inc. Class A	53,232	71,298
	Comcast Corp. Class A	1,137,493	51,153
	AT&T Inc.	294,452	11,507
			214,011
Consumer Discretionary (3.4%)
	Home Depot Inc.	122,973	26,855
	Lowe’s Cos. Inc.	193,594	23,185
	TJX Cos. Inc.	330,934	20,207
	Hilton Worldwide Holdings Inc.	181,998	20,185
	McDonald’s Corp.	85,336	16,863
	Ross Stores Inc.	45,465	5,293
			112,588
Consumer Staples (4.8%)
	Nestle SA	295,228	31,963
	PepsiCo Inc.	188,116	25,710
	Coca-Cola Co.	448,365	24,817
	Sysco Corp.	272,758	23,332
	Walmart Inc.	186,283	22,138
	Diageo plc	460,154	19,389
	Unilever NV	175,236	10,057
			157,406
Energy (4.4%)
	Chevron Corp.	418,565	50,441
	TOTAL SA	498,338	27,653
	ConocoPhillips	312,942	20,351
	Suncor Energy Inc.	588,518	19,289
	Exxon Mobil Corp.	159,283	11,115
	BP plc	1,435,658	9,031
	Hess Corp.	75,089	5,017
			142,897
Financials (14.9%)
	JPMorgan Chase & Co.	608,572	84,835
	Bank of America Corp.	2,346,016	82,627
	Chubb Ltd.	265,934	41,395
	Prudential Financial Inc.	399,275	37,428
	American Express Co.	204,233	25,425
	PNC Financial Services Group Inc.	137,040	21,876
	Northern Trust Corp.	201,607	21,419
	American International Group Inc.	415,596	21,332
	Intercontinental Exchange Inc.	218,861	20,256
	Progressive Corp.	272,331	19,714
	BlackRock Inc.	38,607	19,408
	Mitsubishi UFJ Financial Group Inc.	2,891,510	15,632
	Bank of Nova Scotia	261,909	14,795
	Hartford Financial Services Group Inc.	186,106	11,310
	Marsh & McLennan Cos.Inc.	95,276	10,615
	Charles Schwab Corp.	204,970	9,748
	Tokio Marine Holdings Inc.	135,665	7,596
	ING Groep NV	517,786	6,225
	BNP Paribas SA	91,845	5,459
	UBS Group AG	350,957	4,415
	Prudential plc	186,082	3,565
			485,075
Health Care (10.6%)
	Pfizer Inc.	1,213,471	47,544
	AstraZeneca plc ADR	834,171	41,592
	UnitedHealth Group Inc.	119,218	35,048
	Medtronic plc	307,627	34,900
	Merck & Co. Inc.	338,198	30,759
	Novartis AG	308,797	29,240
	Eli Lilly & Co.	221,262	29,081
	CVS Health Corp.	334,459	24,847
	Bristol-Myers Squibb Co.	350,653	22,508
	Koninklijke Philips NV	352,247	17,219
	Abbott Laboratories	186,541	16,203
	HCA Healthcare Inc.	92,481	13,670
	Becton Dickinson and Co.	16,051	4,365
			346,976
Industrials (6.2%)
	United Technologies Corp.	200,832	30,077
	Union Pacific Corp.	163,546	29,567
	Deere & Co.	162,251	28,112
	Lockheed Martin Corp.	62,927	24,502
	Vinci SA	150,742	16,789
	Schneider Electric SE	162,824	16,729
	General Dynamics Corp.	91,047	16,056
	Raytheon Co.	72,108	15,845
	Johnson Controls International plc	321,084	13,071
	CSX Corp.	103,239	7,470
	Eaton Corp. plc	47,031	4,455
			202,673
Information Technology (9.1%)
	Microsoft Corp.	732,676	115,543
	Apple Inc.	162,022	47,578
	Intel Corp.	669,571	40,074
	Cisco Systems Inc.	628,530	30,144
	Texas Instruments Inc.	142,936	18,337
	Accenture plc Class A	68,489	14,422
	Samsung Electronics Co.Ltd. GDR	9,633	11,528
	HP Inc.	368,146	7,565
	Taiwan Semiconductor Manufacturing Co. Ltd.ADR	114,254	6,638
	International Business Machines Corp.	37,796	5,066
			296,895
Materials (0.8%)
	International Paper Co.	388,896	17,909
	PPG Industries Inc.	56,890	7,594
			25,503
Real Estate (1.7%)
	American Tower Corp.	100,026	22,988
	Simon Property Group Inc.	125,970	18,765
	Boston Properties Inc.	94,960	13,091
			54,844
Utilities (2.9%)
	Dominion Energy Inc.	383,799	31,786
	NextEra Energy Inc.	111,577	27,020
	Exelon Corp.	526,359	23,997
*	Iberdrola SA	1,241,308	12,792
			95,595
Total Common Stocks (Cost $1,514,146)			2,134,463

8

Balanced Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
U.S. Government and Agency Obligations (7.3%)
U.S. Government Securities (4.6%)
	United States Treasury Note/Bond	1.500%	8/31/21	4,500		4,492
	United States Treasury Note/Bond	2.875%	11/15/21	4,100		4,196
	United States Treasury Note/Bond	2.500%	3/31/23	18,815		19,327
	United States Treasury Note/Bond	2.625%	6/30/23	6,650		6,871
1	United States Treasury Note/Bond	2.875%	10/31/23	5,600		5,849
	United States Treasury Note/Bond	2.625%	12/31/23	6,400		6,635
	United States Treasury Note/Bond	1.750%	6/30/24	12,675		12,707
	United States Treasury Note/Bond	1.500%	10/31/24	4,100		4,064
	United States Treasury Note/Bond	3.125%	11/15/28	570		627
	United States Treasury Note/Bond	2.625%	2/15/29	5,695		6,035
	United States Treasury Note/Bond	2.375%	5/15/29	18,515		19,244
	United States Treasury Note/Bond	1.625%	8/15/29	11,730		11,426
	United States Treasury Note/Bond	1.750%	11/15/29	4,300		4,235
	United States Treasury Note/Bond	2.875%	5/15/43	6,088		6,635
	United States Treasury Note/Bond	3.375%	5/15/44	2,935		3,475
	United States Treasury Note/Bond	3.125%	8/15/44	1,740		1,980
	United States Treasury Note/Bond	2.500%	2/15/45	2,060		2,103
	United States Treasury Note/Bond	2.250%	8/15/46	3,068		2,982
	United States Treasury Note/Bond	2.750%	8/15/47	2,390		2,563
	United States Treasury Note/Bond	3.000%	8/15/48	545		614
	United States Treasury Note/Bond	2.875%	5/15/49	8,100		8,932
	United States Treasury Note/Bond	2.250%	8/15/49	8,780		8,521
	United States Treasury Strip Principal	0.000%	5/15/47	4,910		2,527
	United States Treasury Strip Principal	0.000%	8/15/47	6,835		3,491
						149,531
Conventional Mortgage-Backed Securities (2.1%)
2,3	Fannie Mae Pool	2.500%	4/1/37–12/1/49	4,762		4,731
2,3	Fannie Mae Pool	2.780%	6/1/26	1,025		1,061
2,3	Fannie Mae Pool	3.000%	11/1/49	7,038		7,141
2,3	Fannie Mae Pool	3.070%	2/1/25	500		522
2,3	Fannie Mae Pool	3.500%	12/1/47–1/1/58	17,781		18,369
2,3	Fannie Mae Pool	4.000%	8/1/48–12/1/49	3,605		3,765
2,3	Freddie Mac Gold Pool	4.000%	9/1/41–12/1/48	1,475		1,537
2	Ginnie Mae I Pool	7.000%	11/15/31–11/15/33	68		76
2	Ginnie Mae I Pool	8.000%	9/15/30	45		53
2,3,4	UMBS Pool	2.500%	11/1/49–1/1/50	18,884		18,735
2,3,4	UMBS Pool	3.000%	7/1/49–1/1/50	8,862		8,993
2,3	UMBS Pool	4.000%	12/1/49	4,753		4,977
2,3,4	UMBS TBA	3.500%	1/1/50	400		411
						70,371
Nonconventional Mortgage-Backed Securities (0.6%)
2,3	Fannie Mae REMICS	1.500%	8/25/41–6/25/42	766		744
2,3	Fannie Mae REMICS	1.700%	6/25/43	157		155
2,3	Fannie Mae REMICS	2.000%	6/25/44	180		179
2,3	Fannie Mae REMICS	3.000%	3/25/53–9/25/57	3,079		3,140
2,3	Fannie Mae REMICS	3.500%	4/25/31–6/25/59	10,422		10,870
2,3	Fannie Mae REMICS	4.000%	9/25/29–7/25/53	628		654
2,3	Freddie Mac REMICS	3.000%	12/15/39	222		226
2,3	Freddie Mac REMICS	3.500%	3/15/31	116		121
2,3	Freddie Mac REMICS	4.000%	12/15/30–4/15/31	2,186		2,320
2	Government National Mortgage Assn.	1.700%	10/20/45	326		322
2	Government National Mortgage Assn.	1.800%	5/20/41	359		355
						19,086
Total U.S. Government and Agency Obligations (Cost $233,314)						238,988
Asset-Backed/Commercial Mortgage-Backed Securities (1.6%)
2,5	Aaset 2019-1 Trust	3.844%	5/15/39	426		429
2,5	American Express Credit Account Master Trust	2.950%	3/15/23	1,720		1,739
5	American Tower Trust I	3.070%	3/15/23	1,100		1,114
2	AmeriCredit Automobile Receivables Trust 2016-3	2.240%	4/8/22	360		360
2,5	Angel Oak Mortgage Trust 2019-5	2.593%	10/25/49	428		427
2,5	Angel Oak Mortgage Trust 2019-6	2.620%	11/25/59	1,085		1,083
2,5	Angel Oak Mortgage Trust I LLC 2019-2	3.628%	3/25/49	258		261
2,5	Angel Oak Mortgage Trust LLC	2.993%	7/26/49	891		893
2,5,6	Ares XXIX CLO Ltd., 3M USD LIBOR + 1.190%	3.192%	4/17/26	328		329
2,5,6	Atlas Senior Loan Fund X Ltd., 3M USD LIBOR + 1.090%	3.091%	1/15/31	250		248
2,5,6	Avery Point IV CLO Ltd., 3M USD LIBOR + 1.100%	3.040%	4/25/26	569		570
5	Bank of Montreal	2.500%	1/11/22	1,700		1,723
2	BMW Vehicle Lease Trust 2018-1A	3.260%	7/20/21	295		297
2,5	Canadian Pacer Auto Receivable Trust A Series 2018	3.000%	6/21/21	87		87
2,5	Canadian Pacer Auto Receivable Trust A Series 2018	3.270%	12/19/22	140		141
2	CarMax Auto Owner Trust 2018-4	3.110%	2/15/22	542		544
2	CarMax Auto Owner Trust 2018-4	3.360%	9/15/23	975		993
2,5	Castlelake Aircraft Securitization Trust 2019-1	3.967%	4/15/39	842		853
2,5,6	Cent CLO, 3M USD LIBOR + 1.150%	3.090%	10/25/28	550		551
2,5	Chesapeake Funding II LLC	3.390%	1/15/31	759		768
2,5	Chesapeake Funding II LLC 2017-2A	1.990%	5/15/29	94		93
2,5	Chesapeake Funding II LLC 2018-1	3.040%	4/15/30	784		792
2,5	Cloud Pass-Through Trust 2019-1	3.554%	12/5/22	939		950
2,5	COLT 2018-3 Mortgage Loan Trust	3.692%	10/26/48	249		250
2,5	COLT 2019-2 Mortgage Loan Trust	3.337%	5/25/49	430		434
2	COMM 2012-CCRE2 Mortgage Trust	3.147%	8/15/45	480		490
2,5	Daimler Trucks Retail Trust 2019-1	2.770%	4/15/21	549		550
2,5	DB Master Finance LLC	3.787%	5/20/49	453		462
2,5	DB Master Finance LLC	4.021%	5/20/49	403		413
2,5	Deephave Residential Mortgage Trust 2019-2	3.558%	4/25/59	399		405
5	DNB Boligkreditt AS	2.500%	3/28/22	1,315		1,332
2,5	Enterprise Fleet Financing LLC	3.100%	10/20/23	270		274
2,5	Enterprise Fleet Financing LLC	2.290%	2/20/25	960		963
2,5	Enterprise Fleet Financing LLC Series 2017-1	2.130%	7/20/22	19		19
2,5	Enterprise Fleet Financing LLC Series 2018-1	2.870%	10/20/23	532		534
2,5	Enterprise Fleet Financing LLC Series 2018-3	3.380%	5/20/24	467		472
2,5	Enterprise Fleet Financing LLC Series 2019-1	2.980%	10/20/24	745		752
2,5	Enterprise Fleet Financing LLC Series 2019-3	2.060%	5/20/25	645		646
2,5	Exeter Automobile Receivables Trust 2018-3	2.900%	1/18/22	8		8
2,5	Exeter Automobile Receivables Trust 2019-3	2.590%	9/15/22	312		313
2,5	Exeter Automobile Receivables Trust 2019-4	2.180%	1/17/23	513		513

9

Balanced Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
2,3,6	Fannie Mae Connecticut Avenue Securities, 1M USD LIBOR + 5.900%	7.692%	10/25/28	273		293
2	Ford Credit Floorplan Master Owner Trust A	2.440%	9/15/26	370		371
2,3	Freddie Mac Multifamily Structured Pass Through Certificates	2.610%	1/25/26	525		531
2,3	Freddie Mac Multifamily Structured Pass Through Certificates	2.282%	7/25/26	885		885
2,5	Golden Credit Card Trust	1.980%	4/15/22	545		545
2,5	Golden Credit Card Trust 2018-1A	2.620%	1/15/23	485		488
5	GTP Acquisition Partners I LLC	2.350%	6/15/20	580		580
2,5	Hertz Fleet Lease Funding LP 2019-1	2.700%	1/10/33	1,095		1,103
2,5	Horizon Aircraft Finance Ltd.	3.721%	7/15/39	324		324
2,5	Horizon Aircraft Finance Ltd.	3.425%	11/15/39	323		321
2,5	MACH 1 Cayman 2019-1 Ltd.	3.474%	10/15/39	385		383
2,5,6	Madison Park Funding XII Ltd., 3M USD LIBOR + 1.260%	3.226%	7/20/26	399		399
2,5,6	Madison Park Funding XIII Ltd., 3M USD LIBOR + 0.950%	2.916%	4/19/30	930		925
2,5	MAPS Ltd.	4.458%	3/15/44	233		240
2,5,6	Master Credit Card Trust II Series 2018-1A, 1M USD LIBOR + 0.490%	2.275%	7/21/24	1,000		998
2	Nissan Auto Lease Trust 2018-B	3.250%	9/15/21	460		464
2,5	OneMain Direct Auto Receivables Trust	3.430%	12/16/24	1,100		1,114
2,5	OneMain Direct Auto Receivables Trust 2017-2	2.310%	12/14/21	44		44
2,5	OneMain Financial Issuance Trust 2017-1	2.370%	9/14/32	220		220
2,5	OneMain Financial Issuance Trust 2019-1	3.480%	2/14/31	1,000		1,010
2	Santander Drive Auto Receivables Trust 2018-5	3.190%	3/15/22	170		170
2,5	Santander Retail Auto Lease Trust 2019-A	2.720%	1/20/22	528		530
2,5	Santander Retail Auto Lease Trust 2019-B	2.300%	1/20/23	345		347
2	Seasoned Credit Risk Transfer Trust Series 2018-4	3.500%	3/25/58	741		759
2	Seasoned Credit Risk Transfer Trust Series 2019-1	3.500%	7/25/58	1,072		1,102
2	Seasoned Credit Risk Transfer Trust Series 2019-3	3.500%	10/25/58	1,681		1,730
2,5	Securitized Term Auto Receivables Trust 2018-2	3.060%	2/25/21	120		120
2,5	Securitized Term Auto Receivables Trust 2018-2	3.325%	8/25/22	550		557
2,5,6	Seneca Park CLO Ltd. 2014-1, 3M USD LIBOR + 1.120%	3.122%	7/17/26	223		223
2,5	SFAVE Commercial Mortgage Securities Trust 2015-5AVE	4.144%	1/5/43	700		726
2,5	SoFi Consumer Loan Program 2018-2 Trust	2.930%	4/26/27	14		14
2,5	SoFi Consumer Loan Program 2018-4 Trust	3.540%	11/26/27	421		424
2,5	SoFi Consumer Loan Program 2019-1 Trust	3.240%	2/25/28	538		541
2,5	Springleaf Funding Trust 2015-B	3.480%	5/15/28	590		594
§,2,5	Start III Ltd.	3.536%	11/15/44	399		399
2,5	START Ireland	4.089%	3/15/44	549		556
2,5,6	Symphony CLO XIV Ltd., 3M USD LIBOR + 0.950%	2.951%	7/14/26	1,125		1,124
2,5,6	Thacher Park CLO Ltd., 3M USD LIBOR + 1.160%	3.126%	10/20/26	271		271
5	Toronto-Dominion Bank	2.500%	1/18/22	2,100		2,126
2,5	Towd Point Mortgage Trust 2016-3	2.250%	4/25/56	40		40
2,5	Trillium Credit Card Trust II 2019-2A	3.038%	1/26/24	1,250		1,264
2	Utility Debt Securitization Authority Series 2013T	3.435%	12/15/25	210		216
2,5	Vantage Data Centers LLC 2018-1A	4.072%	2/16/43	481		501
2,5	Vantage Data Centers LLC 2019-1A	3.188%	7/15/44	269		271
2	Verizon Owner Trust 2018-A	3.230%	4/20/23	585		594
2,5	Verus Securitization Trust 2019-2	3.211%	5/25/59	438		442
2,5,6	Voya CLO 2014-1 Ltd., 3M USD LIBOR + 0.990%	2.993%	4/18/31	515		510
2,5	Westlake Automobile Receivables Trust	2.150%	2/15/23	415		415
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $51,612)						51,879
Corporate Bonds (21.2%)
Finance (8.2%)
	Banking (6.8%)
5	ABN AMRO Bank NV	2.450%	6/4/20	623		624
	American Express Credit Corp.	2.700%	3/3/22	1,505		1,529
	Banco Santander SA	3.125%	2/23/23	800		816
	Banco Santander SA	3.848%	4/12/23	400		416
	Bank of America Corp.	3.300%	1/11/23	120		124
2	Bank of America Corp.	2.816%	7/21/23	1,645		1,668
	Bank of America Corp.	3.004%	12/20/23	3,408		3,482
	Bank of America Corp.	4.000%	1/22/25	875		930
2	Bank of America Corp.	3.559%	4/23/27	2,450		2,583
2	Bank of America Corp.	3.593%	7/21/28	1,025		1,088
2	Bank of America Corp.	3.419%	12/20/28	512		536
2	Bank of America Corp.	4.271%	7/23/29	4,780		5,294
2	Bank of America Corp.	3.974%	2/7/30	1,895		2,063
2	Bank of America Corp.	3.194%	7/23/30	1,055		1,091
	Bank of America Corp.	5.875%	2/7/42	260		369
	Bank of America Corp.	5.000%	1/21/44	1,000		1,306
2	Bank of America Corp.	4.330%	3/15/50	2,235		2,680
	Bank of Montreal	3.100%	4/13/21	1,290		1,309
	Bank of New York Mellon Corp.	2.150%	2/24/20	1,580		1,580
	Bank of New York Mellon Corp.	2.200%	8/16/23	460		465
	Bank of New York Mellon Corp.	3.000%	2/24/25	720		748
6	Bank of New York Mellon Corp., 3M USD LIBOR + 1.050%	2.986%	10/30/23	1,145		1,165
	Bank of Nova Scotia	2.800%	7/21/21	750		760
	Bank of Nova Scotia	2.700%	8/3/26	1,825		1,854
5	Banque Federative du Credit Mutuel SA	2.750%	10/15/20	1,200		1,208
	Barclays Bank plc	5.140%	10/14/20	160		163
2	Barclays plc	3.932%	5/7/25	1,565		1,644
6	Barclays plc, 3M USD LIBOR + 1.380%	3.284%	5/16/24	1,005		1,015
5	BNP Paribas SA	2.950%	5/23/22	200		204
	BNP Paribas SA	3.250%	3/3/23	190		197
5	BNP Paribas SA	3.800%	1/10/24	1,170		1,227
5	BNP Paribas SA	3.375%	1/9/25	1,775		1,837
2,5	BNP Paribas SA	2.819%	11/19/25	1,335		1,345
5	BNP Paribas SA	3.500%	11/16/27	2,050		2,136
5	BPCE SA	5.700%	10/22/23	270		298
	BPCE SA	4.000%	4/15/24	775		829
5	BPCE SA	5.150%	7/21/24	1,260		1,381
5	BPCE SA	3.500%	10/23/27	1,780		1,840
5	BPCE SA	2.700%	10/1/29	1,450		1,437
6	Canadian Imperial Bank of Commerce, 3M USD LIBOR + 0.720%	2.614%	6/16/22	1,565		1,579
	Capital One Financial Corp.	2.500%	5/12/20	500		501
	Capital One Financial Corp.	4.750%	7/15/21	400		416
	Capital One Financial Corp.	3.750%	4/24/24	1,305		1,369
	Capital One Financial Corp.	3.200%	2/5/25	760		783
	Citibank NA	3.050%	5/1/20	1,850		1,855
	Citigroup Inc.	2.400%	2/18/20	800		800
	Citigroup Inc.	4.500%	1/14/22	1,975		2,069
2	Citigroup Inc.	3.520%	10/27/28	1,975		2,074
	Citigroup Inc.	6.625%	6/15/32	2,000		2,679
2	Citigroup Inc.	3.878%	1/24/39	1,025		1,121
	Citigroup Inc.	8.125%	7/15/39	101		169
	Comerica Bank	2.500%	7/23/24	790		799
	Commonwealth Bank of Australia	2.300%	3/12/20	655		655
5	Credit Agricole SA	3.750%	4/24/23	1,160		1,210
5	Credit Agricole SA	3.250%	10/4/24	2,390		2,472
	Credit Suisse AG	3.000%	10/29/21	735		749
	Credit Suisse AG	3.625%	9/9/24	250		265

10

Balanced Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
5	Credit Suisse Group AG	3.574%	1/9/23	550		564
2,5	Credit Suisse Group AG	4.207%	6/12/24	340		359
2,5	Credit Suisse Group AG	2.593%	9/11/25	520		521
2,5	Credit Suisse Group AG	3.869%	1/12/29	305		324
5,6	Credit Suisse Group AG, 3M USD LIBOR + 1.240%	3.127%	6/12/24	690		699
	Credit Suisse Group Funding Guernsey Ltd.	3.800%	9/15/22	1,335		1,388
	Credit Suisse Group Funding Guernsey Ltd.	3.750%	3/26/25	3,470		3,667
5	Danske Bank A/S	2.000%	9/8/21	1,120		1,113
5	Danske Bank A/S	5.000%	1/12/22	610		640
5	Danske Bank A/S	3.875%	9/12/23	1,220		1,264
5	Danske Bank A/S	5.375%	1/12/24	795		872
	Deutsche Bank AG	4.250%	10/14/21	815		838
	Fifth Third Bank	2.875%	10/1/21	425		431
	Fifth Third Bank	3.850%	3/15/26	830		882
	Goldman Sachs Group Inc.	5.375%	3/15/20	405		408
	Goldman Sachs Group Inc.	2.600%	4/23/20	170		170
	Goldman Sachs Group Inc.	5.250%	7/27/21	865		907
	Goldman Sachs Group Inc.	5.750%	1/24/22	360		385
2	Goldman Sachs Group Inc.	2.876%	10/31/22	1,795		1,817
	Goldman Sachs Group Inc.	3.625%	1/22/23	1,980		2,056
2	Goldman Sachs Group Inc.	3.272%	9/29/25	1,205		1,244
	Goldman Sachs Group Inc.	3.500%	11/16/26	2,000		2,086
	Goldman Sachs Group Inc.	3.850%	1/26/27	740		787
2	Goldman Sachs Group Inc.	3.691%	6/5/28	810		859
2	Goldman Sachs Group Inc.	3.814%	4/23/29	3,065		3,279
2	Goldman Sachs Group Inc.	4.223%	5/1/29	2,630		2,889
	Goldman Sachs Group Inc.	6.750%	10/1/37	835		1,157
5	HSBC Bank plc	4.750%	1/19/21	1,700		1,743
	HSBC Holdings plc	3.400%	3/8/21	1,535		1,558
	HSBC Holdings plc	4.000%	3/30/22	2,395		2,492
	HSBC Holdings plc	3.600%	5/25/23	1,600		1,664
2	HSBC Holdings plc	4.041%	3/13/28	890		950
2	HSBC Holdings plc	4.583%	6/19/29	1,675		1,869
	HSBC Holdings plc	6.500%	5/2/36	1,000		1,360
	HSBC Holdings plc	6.100%	1/14/42	375		532
	HSBC Holdings plc	5.250%	3/14/44	440		557
6	HSBC Holdings plc, 3M USD LIBOR + 1.000%	2.904%	5/18/24	730		735
	HSBC USA Inc.	2.350%	3/5/20	2,775		2,775
	HSBC USA Inc.	3.500%	6/23/24	620		656
	Huntington Bancshares Inc.	3.150%	3/14/21	800		808
	Huntington National Bank	2.400%	4/1/20	1,160		1,160
	ING Groep NV	3.150%	3/29/22	365		373
	ING Groep NV	3.950%	3/29/27	2,695		2,898
	JPMorgan Chase & Co.	4.350%	8/15/21	1,862		1,931
	JPMorgan Chase & Co.	4.500%	1/24/22	495		519
	JPMorgan Chase & Co.	3.250%	9/23/22	970		1,002
	JPMorgan Chase & Co.	3.375%	5/1/23	875		908
	JPMorgan Chase & Co.	3.875%	2/1/24	800		856
	JPMorgan Chase & Co.	3.900%	7/15/25	2,270		2,449
	JPMorgan Chase & Co.	4.125%	12/15/26	765		837
	JPMorgan Chase & Co.	4.250%	10/1/27	2,295		2,537
2	JPMorgan Chase & Co.	4.452%	12/5/29	2,100		2,389
	JPMorgan Chase & Co.	5.400%	1/6/42	750		1,014
2	JPMorgan Chase & Co.	3.964%	11/15/48	6,150		6,896
5	Macquarie Bank Ltd.	2.400%	1/21/20	330		330
2,5	Macquarie Group Ltd.	4.150%	3/27/24	1,375		1,441
	Manufacturers & Traders Trust Co.	2.100%	2/6/20	495		495
	Manufacturers & Traders Trust Co.	2.900%	2/6/25	685		704
	Mitsubishi UFJ Financial Group Inc.	2.623%	7/18/22	1,940		1,965
	Morgan Stanley	5.750%	1/25/21	1,740		1,804
	Morgan Stanley	2.500%	4/21/21	1,175		1,180
	Morgan Stanley	2.625%	11/17/21	800		809
	Morgan Stanley	2.750%	5/19/22	1,710		1,740
	Morgan Stanley	3.700%	10/23/24	750		794
2	Morgan Stanley	2.720%	7/22/25	1,750		1,766
	Morgan Stanley	3.125%	7/27/26	1,345		1,384
	Morgan Stanley	6.250%	8/9/26	3,000		3,642
	Morgan Stanley	3.625%	1/20/27	1,250		1,327
2	Morgan Stanley	3.772%	1/24/29	3,910		4,200
	Morgan Stanley	4.300%	1/27/45	850		998
2,5	Nationwide Building Society	3.622%	4/26/23	680		699
5	NBK SPC Ltd.	2.750%	5/30/22	1,530		1,540
	PNC Bank NA	3.300%	10/30/24	460		478
	PNC Bank NA	2.950%	2/23/25	1,105		1,130
	PNC Bank NA	4.200%	11/1/25	255		277
	PNC Bank NA	3.100%	10/25/27	1,165		1,215
	PNC Bank NA	3.250%	1/22/28	1,675		1,759
	PNC Financial Services Group Inc.	3.900%	4/29/24	580		610
	Royal Bank of Canada	2.750%	2/1/22	1,195		1,215
	Santander Holdings USA Inc.	2.650%	4/17/20	580		581
	Santander Holdings USA Inc.	3.700%	3/28/22	915		940
	Santander Holdings USA Inc.	3.400%	1/18/23	605		620
5	Skandinaviska Enskilda Banken AB	2.450%	5/27/20	1,600		1,603
5	Societe Generale SA	3.250%	1/12/22	1,015		1,036
2,5	Standard Chartered plc	2.744%	9/10/22	2,030		2,039
2	State Street Corp.	2.653%	5/15/23	840		853
	Svenska Handelsbanken AB	1.875%	9/7/21	1,050		1,048
	Synchrony Bank	3.650%	5/24/21	1,290		1,315
	Toronto-Dominion Bank	2.500%	12/14/20	985		990
	Truist Bank	2.625%	1/15/22	1,250		1,265
	Truist Bank	3.300%	5/15/26	340		353
	Truist Financial Corp.	3.200%	9/3/21	665		678
	Truist Financial Corp.	2.750%	4/1/22	1,700		1,730
	Truist Financial Corp.	3.700%	6/5/25	1,385		1,492
5	UBS AG	2.200%	6/8/20	750		751
2,5	UBS Group AG	3.126%	8/13/30	555		565
5	UBS Group Funding Jersey Ltd.	2.950%	9/24/20	1,160		1,168
5	UBS Group Funding Jersey Ltd.	2.650%	2/1/22	1,250		1,263
	US Bancorp	2.625%	1/24/22	1,305		1,324
	US Bancorp	3.700%	1/30/24	1,560		1,658
	Wachovia Corp.	7.500%	4/15/35	1,000		1,400
	Wells Fargo & Co.	3.000%	1/22/21	505		511
	Wells Fargo & Co.	3.500%	3/8/22	640		660
	Wells Fargo & Co.	3.069%	1/24/23	195		198
	Wells Fargo & Co.	3.450%	2/13/23	735		760
	Wells Fargo & Co.	4.480%	1/16/24	1,199		1,291
	Wells Fargo & Co.	3.750%	1/24/24	1,560		1,643
	Wells Fargo & Co.	3.000%	2/19/25	890		918
	Wells Fargo & Co.	3.550%	9/29/25	860		909
	Wells Fargo & Co.	3.000%	4/22/26	1,045		1,075
	Wells Fargo & Co.	4.100%	6/3/26	340		365
	Wells Fargo & Co.	3.000%	10/23/26	170		174
2	Wells Fargo & Co.	3.196%	6/17/27	1,705		1,765
2	Wells Fargo & Co.	2.879%	10/30/30	435		438
	Wells Fargo & Co.	5.606%	1/15/44	2,276		3,010
	Wells Fargo & Co.	4.900%	11/17/45	515		629
	Wells Fargo & Co.	4.750%	12/7/46	2,070		2,465
	Westpac Banking Corp.	2.300%	5/26/20	630		631
	Brokerage (0.0%)
	Ameriprise Financial Inc.	5.300%	3/15/20	305		307
	Charles Schwab Corp.	3.200%	3/2/27	545		572
	Insurance (1.2%)
	Aetna Inc.	2.800%	6/15/23	680		691
5	AIA Group Ltd.	3.600%	4/9/29	1,475		1,552
	American International Group Inc.	4.250%	3/15/29	1,040		1,155
	American International Group Inc.	4.500%	7/16/44	200		229
	American International Group Inc.	4.750%	4/1/48	135		161
	Anthem Inc.	3.300%	1/15/23	1,100		1,138
	Anthem Inc.	3.650%	12/1/27	750		791
	Anthem Inc.	4.101%	3/1/28	1,140		1,235
	Anthem Inc.	4.650%	8/15/44	426		473
	Anthem Inc.	4.375%	12/1/47	625		685
	Berkshire Hathaway Inc.	2.750%	3/15/23	1,050		1,078
	Berkshire Hathaway Inc.	3.125%	3/15/26	715		754
	Chubb INA Holdings Inc.	2.300%	11/3/20	170		171
	Chubb INA Holdings Inc.	3.350%	5/15/24	555		583

11

Balanced Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Chubb INA Holdings Inc.	4.350%	11/3/45	800		961
5	Five Corners Funding Trust	4.419%	11/15/23	210		228
5	Liberty Mutual Group Inc.	4.250%	6/15/23	80		85
5	Liberty Mutual Group Inc.	4.569%	2/1/29	280		313
	Loews Corp.	2.625%	5/15/23	440		448
	Marsh & McLennan Cos. Inc.	4.375%	3/15/29	675		769
	Marsh & McLennan Cos. Inc.	4.900%	3/15/49	265		335
2,5	Massachusetts Mutual Life Insurance Co.	7.625%	11/15/23	2,000		2,283
	MetLife Inc.	3.600%	4/10/24	580		618
	MetLife Inc.	4.125%	8/13/42	145		164
	MetLife Inc.	4.875%	11/13/43	530		656
5	Metropolitan Life Global Funding I	3.450%	10/9/21	810		832
5	Metropolitan Life Global Funding I	2.650%	4/8/22	340		345
5	Metropolitan Life Global Funding I	3.450%	12/18/26	640		683
5	Metropolitan Life Global Funding I	3.000%	9/19/27	1,165		1,199
5	Nationwide Financial Services Inc.	3.900%	11/30/49	1,430		1,481
5	New York Life Global Funding	2.900%	1/17/24	810		836
5	New York Life Insurance Co.	5.875%	5/15/33	2,100		2,766
5	New York Life Insurance Co.	4.450%	5/15/69	435		499
5	Northwestern Mutual Life Insurance Co.	3.850%	9/30/47	656		688
5	Northwestern Mutual Life Insurance Co.	3.625%	9/30/59	270		268
5	Principal Financial Global Funding LLC	2.500%	9/16/29	1,000		986
5	Teachers Insurance & Annuity Assn. of America	4.900%	9/15/44	875		1,079
5	Teachers Insurance & Annuity Assn. of America	4.270%	5/15/47	1,145		1,302
	UnitedHealth Group Inc.	3.875%	10/15/20	601		608
	UnitedHealth Group Inc.	2.875%	3/15/22	27		28
	UnitedHealth Group Inc.	2.875%	3/15/23	1,175		1,202
	UnitedHealth Group Inc.	3.100%	3/15/26	430		448
	UnitedHealth Group Inc.	3.850%	6/15/28	1,190		1,303
	UnitedHealth Group Inc.	4.625%	7/15/35	240		290
	UnitedHealth Group Inc.	4.250%	3/15/43	1,600		1,819
	UnitedHealth Group Inc.	4.750%	7/15/45	760		928
	UnitedHealth Group Inc.	4.200%	1/15/47	215		246
	UnitedHealth Group Inc.	4.250%	6/15/48	880		1,021
	Real Estate Investment Trusts (0.2%)
	AvalonBay Communities Inc.	3.625%	10/1/20	520		524
	Boston Properties LP	3.125%	9/1/23	355		366
	Boston Properties LP	3.800%	2/1/24	45		47
	Healthpeak Properties Inc.	3.000%	1/15/30	930		929
	Realty Income Corp.	4.650%	8/1/23	640		692
	Simon Property Group LP	3.750%	2/1/24	90		95
	Simon Property Group LP	3.375%	10/1/24	275		289
	Simon Property Group LP	2.450%	9/13/29	1,160		1,138
5	WEA Finance LLC	4.125%	9/20/28	590		637
5	WEA Finance LLC	4.625%	9/20/48	755		866
						268,371
Industrial (10.2%)
	Basic Industry (0.0%)
	International Paper Co.	4.350%	8/15/48	1,255		1,333
	Capital Goods (0.7%)
5	BAE Systems Holdings Inc.	2.850%	12/15/20	160		161
5	BAE Systems Holdings Inc.	3.850%	12/15/25	1,085		1,148
	Boeing Co.	2.700%	2/1/27	495		499
	Boeing Co.	5.875%	2/15/40	175		231
	Boeing Co.	3.375%	6/15/46	614		594
	Boeing Co.	3.850%	11/1/48	198		208
	Boeing Co.	3.750%	2/1/50	90		95
	Boeing Co.	3.825%	3/1/59	67		70
	Boeing Co.	3.950%	8/1/59	408		436
	Caterpillar Financial Services Corp.	2.625%	3/1/23	1,360		1,387
	Caterpillar Inc.	3.900%	5/27/21	590		606
	Caterpillar Inc.	2.600%	6/26/22	705		715
	Caterpillar Inc.	3.400%	5/15/24	810		856
	General Dynamics Corp.	2.875%	5/11/20	1,505		1,511
	General Dynamics Corp.	3.875%	7/15/21	355		365
	General Electric Co.	2.700%	10/9/22	210		213
	General Electric Co.	3.100%	1/9/23	360		367
	Honeywell International Inc.	4.250%	3/1/21	1,002		1,032
	Illinois Tool Works Inc.	3.500%	3/1/24	1,295		1,371
	John Deere Capital Corp.	3.450%	3/13/25	1,200		1,274
	Lockheed Martin Corp.	2.900%	3/1/25	610		634
	Lockheed Martin Corp.	4.500%	5/15/36	211		250
	Lockheed Martin Corp.	4.700%	5/15/46	376		475
	Lockheed Martin Corp.	4.090%	9/15/52	144		168
	Parker-Hannifin Corp.	3.250%	6/14/29	270		280
	Parker-Hannifin Corp.	4.450%	11/21/44	450		500
5	Siemens Financieringsmaatschappij NV	2.900%	5/27/22	1,050		1,070
5	Siemens Financieringsmaatschappij NV	3.125%	3/16/24	1,680		1,740
5	Siemens Financieringsmaatschappij NV	4.400%	5/27/45	800		955
	Stanley Black & Decker Inc.	4.850%	11/15/48	685		846
	United Technologies Corp.	3.100%	6/1/22	535		549
	United Technologies Corp.	4.125%	11/16/28	1,125		1,265
	United Technologies Corp.	6.050%	6/1/36	675		909
	United Technologies Corp.	4.450%	11/16/38	275		323
	United Technologies Corp.	4.500%	6/1/42	787		942
	United Technologies Corp.	3.750%	11/1/46	163		178
	Communication (1.6%)
	America Movil SAB de CV	3.125%	7/16/22	1,880		1,918
	America Movil SAB de CV	3.625%	4/22/29	780		827
	America Movil SAB de CV	6.125%	3/30/40	390		523
	American Tower Corp.	3.450%	9/15/21	1,125		1,152
	American Tower Corp.	5.000%	2/15/24	80		88
	American Tower Corp.	4.400%	2/15/26	450		492
	American Tower Corp.	3.800%	8/15/29	1,111		1,187
	AT&T Inc.	2.450%	6/30/20	225		226
	AT&T Inc.	4.600%	2/15/21	100		102
	AT&T Inc.	3.600%	7/15/25	625		660
5	British Telecommunications plc	3.250%	11/8/29	905		904
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.800%	3/1/50	955		1,000
	Comcast Corp.	3.600%	3/1/24	2,900		3,071
	Comcast Corp.	3.375%	2/15/25	70		74
	Comcast Corp.	2.350%	1/15/27	540		538
	Comcast Corp.	4.250%	1/15/33	1,032		1,183
	Comcast Corp.	4.200%	8/15/34	730		833
	Comcast Corp.	5.650%	6/15/35	110		144
	Comcast Corp.	4.400%	8/15/35	877		1,026
	Comcast Corp.	6.500%	11/15/35	115		162
	Comcast Corp.	6.400%	5/15/38	27		38
	Comcast Corp.	4.600%	10/15/38	1,335		1,584
	Comcast Corp.	4.650%	7/15/42	1,290		1,533
	Comcast Corp.	4.500%	1/15/43	500		583
	Comcast Corp.	4.750%	3/1/44	876		1,063
	Comcast Corp.	4.600%	8/15/45	1,198		1,429
	Comcast Corp.	3.969%	11/1/47	252		275
	Comcast Corp.	4.000%	3/1/48	345		379
	Comcast Corp.	4.700%	10/15/48	1,670		2,056
	Comcast Corp.	3.999%	11/1/49	602		665
	Comcast Corp.	4.049%	11/1/52	187		211
	Comcast Corp.	4.950%	10/15/58	1,020		1,326
5	Cox Communications Inc.	3.250%	12/15/22	795		817
5	Cox Communications Inc.	2.950%	6/30/23	145		147
5	Cox Communications Inc.	3.150%	8/15/24	181		186
5	Cox Communications Inc.	4.800%	2/1/35	1,540		1,700
5	Cox Communications Inc.	6.450%	12/1/36	45		57
5	Cox Communications Inc.	4.600%	8/15/47	125		138
	Crown Castle International Corp.	3.650%	9/1/27	285		300
	Crown Castle International Corp.	3.800%	2/15/28	235		250
5	Deutsche Telekom International Finance BV	3.600%	1/19/27	300		315
5	Deutsche Telekom International Finance BV	4.375%	6/21/28	671		743
	NBCUniversal Media LLC	2.875%	1/15/23	240		246

12

Balanced Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	NBCUniversal Media LLC	4.450%	1/15/43	309		358
	Orange SA	4.125%	9/14/21	1,740		1,804
	Orange SA	9.000%	3/1/31	530		820
5	SK Telecom Co. Ltd.	3.750%	4/16/23	385		399
5	Sky Ltd.	3.750%	9/16/24	1,435		1,535
2,5	Sprint Spectrum Co LLC / Sprint Spectrum Co II LLC / Sprint Spectrum Co III LLC	4.738%	3/20/25	1,300		1,377
	Telefonica Emisiones SAU	5.213%	3/8/47	800		950
	Telefonica Emisiones SAU	5.520%	3/1/49	755		944
	Time Warner Entertainment Co. LP	8.375%	3/15/23	95		112
	Verizon Communications Inc.	4.812%	3/15/39	2,406		2,909
	Verizon Communications Inc.	4.750%	11/1/41	290		351
	Verizon Communications Inc.	4.862%	8/21/46	1,151		1,425
	Verizon Communications Inc.	5.012%	4/15/49	647		827
	Verizon Communications Inc.	4.672%	3/15/55	274		336
	Viacom Inc.	5.850%	9/1/43	600		752
	ViacomCBS Inc.	4.300%	2/15/21	675		687
	ViacomCBS Inc.	3.700%	6/1/28	440		459
	Vodafone Group plc	5.000%	5/30/38	50		58
	Vodafone Group plc	5.250%	5/30/48	1,260		1,522
	Walt Disney Co.	3.000%	9/15/22	245		252
	Walt Disney Co.	2.000%	9/1/29	2,600		2,520
	Walt Disney Co.	2.750%	9/1/49	560		526
	Consumer Cyclical (1.1%)
	Alibaba Group Holding Ltd.	3.600%	11/28/24	1,065		1,119
	Alibaba Group Holding Ltd.	3.400%	12/6/27	3,470		3,616
5	Alimentation Couche-Tard Inc.	3.550%	7/26/27	2,450		2,511
	Amazon.com Inc.	2.500%	11/29/22	885		902
	Amazon.com Inc.	2.800%	8/22/24	715		740
	Amazon.com Inc.	4.800%	12/5/34	995		1,253
	Amazon.com Inc.	4.950%	12/5/44	580		759
	Amazon.com Inc.	4.250%	8/22/57	1,335		1,622
	AutoZone Inc.	3.700%	4/15/22	1,371		1,414
5	BMW US Capital LLC	2.000%	4/11/21	585		585
5	BMW US Capital LLC	2.250%	9/15/23	2,500		2,498
5	Daimler Finance North America LLC	2.200%	5/5/20	470		470
5	Daimler Finance North America LLC	2.450%	5/18/20	155		155
5	Daimler Finance North America LLC	2.300%	2/12/21	945		947
5	Daimler Finance North America LLC	3.250%	8/1/24	160		165
	Ford Motor Credit Co. LLC	3.157%	8/4/20	710		713
	Ford Motor Credit Co. LLC	3.815%	11/2/27	1,075		1,038
	General Motors Financial Co. Inc.	3.550%	4/9/21	455		462
	General Motors Financial Co. Inc.	3.950%	4/13/24	1,570		1,641
	Home Depot Inc.	2.700%	4/1/23	720		737
	Home Depot Inc.	3.900%	12/6/28	290		324
	Home Depot Inc.	4.400%	3/15/45	780		928
	Home Depot Inc.	4.500%	12/6/48	345		425
5	Hyundai Capital America	2.550%	4/3/20	790		791
5,6	Hyundai Capital America, 3M USD LIBOR + 0.940%	2.967%	7/8/21	1,400		1,403
	Lowe’s Cos. Inc.	3.100%	5/3/27	1,300		1,342
	Lowe’s Cos. Inc.	6.500%	3/15/29	334		424
	Lowe’s Cos. Inc.	4.550%	4/5/49	1,140		1,330
	McDonald’s Corp.	2.625%	1/15/22	195		198
	McDonald’s Corp.	3.250%	6/10/24	140		147
	McDonald’s Corp.	4.875%	12/9/45	1,160		1,399
	McDonald’s Corp.	3.625%	9/1/49	275		279
	Starbucks Corp.	4.500%	11/15/48	1,000		1,148
	Walmart Inc.	2.550%	4/11/23	1,250		1,275
	Walmart Inc.	3.550%	6/26/25	1,605		1,717
	Walmart Inc.	3.625%	12/15/47	380		421
	Consumer Noncyclical (3.3%)
5	AbbVie Inc.	4.050%	11/21/39	590		617
5	AbbVie Inc.	4.250%	11/21/49	970		1,021
5	Alcon Finance Corp.	2.750%	9/23/26	200		203
5	Alcon Finance Corp.	3.800%	9/23/49	400		418
	Allergan Funding SCS	3.450%	3/15/22	450		460
	Allergan Funding SCS	3.800%	3/15/25	575		602
	Allergan Funding SCS	4.850%	6/15/44	450		500
	Altria Group Inc.	4.750%	5/5/21	590		610
	Altria Group Inc.	2.850%	8/9/22	455		463
	Altria Group Inc.	5.800%	2/14/39	770		900
	Altria Group Inc.	4.500%	5/2/43	245		249
	Altria Group Inc.	3.875%	9/16/46	625		580
	Amgen Inc.	5.150%	11/15/41	620		750
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	4.900%	2/1/46	1,940		2,297
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	4.700%	2/1/36	1,290		1,488
	Anheuser-Busch InBev Finance Inc.	3.300%	2/1/23	1,798		1,860
	Anheuser-Busch InBev Worldwide Inc.	2.500%	7/15/22	1,007		1,024
	Anheuser-Busch InBev Worldwide Inc.	3.750%	7/15/42	520		526
	Anheuser-Busch InBev Worldwide Inc.	4.600%	4/15/48	395		449
	Archer-Daniels-Midland Co.	4.500%	3/15/49	970		1,183
	Ascension Health	2.532%	11/15/29	655		647
	Ascension Health	3.945%	11/15/46	280		310
2	Ascension Health	4.847%	11/15/53	55		69
	AstraZeneca plc	2.375%	11/16/20	1,180		1,184
	AstraZeneca plc	4.000%	1/17/29	2,345		2,600
	AstraZeneca plc	6.450%	9/15/37	615		861
	BAT Capital Corp.	3.557%	8/15/27	1,875		1,909
5	BAT International Finance plc	3.500%	6/15/22	235		242
5	BAT International Finance plc	3.250%	6/7/22	1,480		1,512
5	Bayer US Finance II LLC	4.250%	12/15/25	2,325		2,503
5	Bayer US Finance LLC	3.000%	10/8/21	1,980		2,005
5	Bayer US Finance LLC	3.375%	10/8/24	815		839
	Boston Scientific Corp.	4.000%	3/1/29	195		215
5	Bristol-Myers Squibb Co.	3.550%	8/15/22	662		684
5	Bristol-Myers Squibb Co.	2.750%	2/15/23	138		140
5	Bristol-Myers Squibb Co.	3.250%	2/20/23	239		246
5	Bristol-Myers Squibb Co.	4.000%	8/15/23	45		48
5	Bristol-Myers Squibb Co.	3.400%	7/26/29	885		945
5	Bristol-Myers Squibb Co.	4.125%	6/15/39	505		582
5	Bristol-Myers Squibb Co.	4.550%	2/20/48	217		266
5	Bristol-Myers Squibb Co.	4.250%	10/26/49	1,100		1,296
5	Cargill Inc.	4.307%	5/14/21	2,092		2,158
5	Cargill Inc.	6.875%	5/1/28	645		813
5	Cargill Inc.	4.760%	11/23/45	635		790
5	Cigna Corp.	3.250%	4/15/25	880		905
	Cigna Corp.	4.375%	10/15/28	515		570
	Cigna Corp.	4.800%	8/15/38	730		840
	Cigna Corp.	4.900%	12/15/48	497		589
	Coca-Cola European Partners plc	3.500%	9/15/20	500		505
	Coca-Cola Femsa SAB de CV	3.875%	11/26/23	850		898
	Colgate-Palmolive Co.	7.600%	5/19/25	480		604
	CommonSpirit Health	2.950%	11/1/22	535		544
	CommonSpirit Health	4.200%	8/1/23	535		562
	CommonSpirit Health	2.760%	10/1/24	860		865
	CommonSpirit Health	3.347%	10/1/29	1,245		1,252
2	CommonSpirit Health	4.350%	11/1/42	536		551
	CommonSpirit Health	4.187%	10/1/49	1,275		1,271
	Conagra Brands Inc.	4.600%	11/1/25	220		242
	Conagra Brands Inc.	5.300%	11/1/38	655		777
	Constellation Brands Inc.	2.700%	5/9/22	65		66
	CVS Health Corp.	2.750%	12/1/22	965		980
	CVS Health Corp.	4.875%	7/20/35	315		359
	CVS Health Corp.	5.125%	7/20/45	855		1,007
5	Danone SA	2.947%	11/2/26	735		744
	Diageo Capital plc	2.625%	4/29/23	1,230		1,250
	Diageo Capital plc	2.375%	10/24/29	580		571
	Diageo Investment Corp.	2.875%	5/11/22	525		535
	Dignity Health	3.812%	11/1/24	560		587
5	EMD Finance LLC	2.950%	3/19/22	605		614
	Estee Lauder Cos. Inc.	2.375%	12/1/29	370		370
5	Forest Laboratories Inc.	4.875%	2/15/21	268		274
	Gilead Sciences Inc.	2.550%	9/1/20	615		618
	Gilead Sciences Inc.	3.700%	4/1/24	1,010		1,072
	Gilead Sciences Inc.	3.500%	2/1/25	560		594
	Gilead Sciences Inc.	4.500%	2/1/45	825		952

13

Balanced Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Gilead Sciences Inc.	4.750%	3/1/46	195		233
	GlaxoSmithKline Capital Inc.	2.800%	3/18/23	385		394
	GlaxoSmithKline Capital Inc.	5.375%	4/15/34	2,000		2,550
5	Imperial Tobacco Finance plc	3.750%	7/21/22	1,680		1,729
	Kaiser Foundation Hospitals	3.500%	4/1/22	285		294
	Kaiser Foundation Hospitals	3.150%	5/1/27	490		511
	Kaiser Foundation Hospitals	4.875%	4/1/42	365		447
	Kroger Co.	3.850%	8/1/23	270		285
	Kroger Co.	4.000%	2/1/24	540		573
	Medtronic Inc.	3.150%	3/15/22	664		683
	Medtronic Inc.	3.500%	3/15/25	566		606
	Memorial Sloan-Kettering Cancer Center	4.125%	7/1/52	310		357
	Memorial Sloan-Kettering Cancer Center	4.200%	7/1/55	280		325
	Merck & Co. Inc.	2.350%	2/10/22	790		800
	Merck & Co. Inc.	2.800%	5/18/23	1,175		1,211
	Merck & Co. Inc.	2.750%	2/10/25	1,210		1,250
	Merck & Co. Inc.	3.400%	3/7/29	1,470		1,588
	Merck & Co. Inc.	4.150%	5/18/43	760		898
	Merck & Co. Inc.	4.000%	3/7/49	1,915		2,229
	Mercy Health	4.302%	7/1/28	570	��	630
	Molson Coors Beverage Co.	3.500%	5/1/22	690		708
	Molson Coors Beverage Co.	3.000%	7/15/26	1,800		1,819
	New York & Presbyterian Hospital	4.024%	8/1/45	180		200
	Novartis Capital Corp.	3.400%	5/6/24	415		439
	Novartis Capital Corp.	4.400%	5/6/44	640		777
	Partners Healthcare System	3.443%	7/1/21	50		51
	PepsiCo Inc.	2.750%	3/5/22	670		684
	PepsiCo Inc.	2.375%	10/6/26	1,945		1,972
	PepsiCo Inc.	4.000%	3/5/42	845		961
	PepsiCo Inc.	3.450%	10/6/46	1,215		1,283
	Pfizer Inc.	3.000%	6/15/23	755		784
	Pfizer Inc.	3.000%	12/15/26	725		760
	Pfizer Inc.	3.450%	3/15/29	2,165		2,328
	Pfizer Inc.	4.100%	9/15/38	1,505		1,719
	Philip Morris International Inc.	4.500%	3/26/20	250		251
	Philip Morris International Inc.	4.125%	5/17/21	1,025		1,054
	Philip Morris International Inc.	2.500%	8/22/22	575		580
	Philip Morris International Inc.	2.625%	3/6/23	1,150		1,169
	Philip Morris International Inc.	3.600%	11/15/23	620		652
	Philip Morris International Inc.	3.375%	8/11/25	424		446
	Philip Morris International Inc.	4.875%	11/15/43	145		171
2	Procter & Gamble - Esop	9.360%	1/1/21	350		367
	Providence St. Joseph Health Obligated Group	2.746%	10/1/26	490		495
	Providence St. Joseph Health Obligated Group	2.532%	10/1/29	505		494
2	Providence St. Joseph Health Obligated Group	3.930%	10/1/48	325		348
5	Roche Holdings Inc.	2.375%	1/28/27	1,650		1,655
	Sanofi	4.000%	3/29/21	1,130		1,159
5	Sigma Alimentos SA de CV	4.125%	5/2/26	510		534
	SSM Health Care Corp.	3.823%	6/1/27	940		994
	Unilever Capital Corp.	4.250%	2/10/21	2,805		2,880
	Energy (1.0%)
5	BG Energy Capital plc	4.000%	10/15/21	555		574
	BP Capital Markets America Inc.	4.500%	10/1/20	400		408
	BP Capital Markets America Inc.	3.245%	5/6/22	650		671
	BP Capital Markets plc	2.315%	2/13/20	160		160
	BP Capital Markets plc	3.062%	3/17/22	1,100		1,128
	BP Capital Markets plc	2.500%	11/6/22	500		509
	BP Capital Markets plc	3.994%	9/26/23	420		448
	BP Capital Markets plc	3.814%	2/10/24	1,700		1,814
	BP Capital Markets plc	3.506%	3/17/25	1,280		1,362
	Chevron Corp.	3.191%	6/24/23	1,235		1,284
	Cimarex Energy Co.	4.375%	6/1/24	927		976
	ConocoPhillips Co.	4.950%	3/15/26	115		132
	Dominion Energy Gas Holdings LLC	3.550%	11/1/23	470		486
	Dominion Energy Gas Holdings LLC	3.000%	11/15/29	585		581
	Dominion Energy Gas Holdings LLC	4.800%	11/1/43	125		139
	Dominion Energy Gas Holdings LLC	4.600%	12/15/44	1,603		1,740
	Energy Transfer Operating LP	5.250%	4/15/29	1,375		1,541
	Energy Transfer Partners LP	5.300%	4/15/47	155		165
	Enterprise Products Operating LLC	4.250%	2/15/48	730		787
	Exxon Mobil Corp.	2.726%	3/1/23	320		328
	Exxon Mobil Corp.	3.043%	3/1/26	225		236
	Exxon Mobil Corp.	2.275%	8/16/26	1,070		1,073
	Exxon Mobil Corp.	2.440%	8/16/29	735		739
	Exxon Mobil Corp.	4.114%	3/1/46	320		374
	Occidental Petroleum Corp.	2.700%	2/15/23	250		252
	Occidental Petroleum Corp.	3.400%	4/15/26	240		245
	Phillips 66 Partners LP	3.750%	3/1/28	1,525		1,585
5	Schlumberger Holdings Corp.	3.900%	5/17/28	807		857
5	Schlumberger Investment SA	2.400%	8/1/22	630		634
	Schlumberger Investment SA	3.650%	12/1/23	1,120		1,179
	Shell International Finance BV	4.125%	5/11/35	1,130		1,319
	Shell International Finance BV	5.500%	3/25/40	345		467
	Shell International Finance BV	4.375%	5/11/45	2,500		2,977
	Suncor Energy Inc.	5.950%	12/1/34	500		651
	Sunoco Logistics Partners Operations LP	5.350%	5/15/45	90		96
	Sunoco Logistics Partners Operations LP	5.400%	10/1/47	20		22
	Total Capital International SA	2.700%	1/25/23	885		904
	Total Capital International SA	3.750%	4/10/24	1,400		1,495
	TransCanada PipeLines Ltd.	3.800%	10/1/20	1,220		1,230
	TransCanada PipeLines Ltd.	4.875%	1/15/26	1,255		1,402
	Other Industrial (0.1%)
	Georgetown University	4.315%	4/1/49	205		246
2	Johns Hopkins University	4.083%	7/1/53	690		797
5	SBA Tower Trust	3.168%	4/11/22	1,330		1,345
5	SBA Tower Trust	3.448%	3/15/23	705		727
5	SBA Tower Trust	2.836%	1/15/25	725		729
	Technology (1.9%)
	Apple Inc.	3.000%	2/9/24	620		642
	Apple Inc.	3.450%	5/6/24	1,000		1,063
	Apple Inc.	2.850%	5/11/24	1,225		1,266
	Apple Inc.	2.750%	1/13/25	590		609
	Apple Inc.	3.250%	2/23/26	1,020		1,079
	Apple Inc.	2.450%	8/4/26	1,170		1,186
	Apple Inc.	3.350%	2/9/27	1,545		1,644
	Apple Inc.	3.200%	5/11/27	1,065		1,122
	Apple Inc.	2.900%	9/12/27	2,250		2,339
	Apple Inc.	3.850%	5/4/43	430		480
	Apple Inc.	4.450%	5/6/44	120		147
	Apple Inc.	3.850%	8/4/46	985		1,106
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.625%	1/15/24	1,380		1,429
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.875%	1/15/27	1,265		1,312
5	Broadcom Inc.	4.250%	4/15/26	170		180
	Cisco Systems Inc.	2.500%	9/20/26	431		439
	Fiserv Inc.	3.200%	7/1/26	655		678
	Intel Corp.	2.875%	5/11/24	800		830
	Intel Corp.	4.100%	5/19/46	1,360		1,563
	International Business Machines Corp.	3.375%	8/1/23	1,750		1,830
	International Business Machines Corp.	3.000%	5/15/24	2,500		2,589
	International Business Machines Corp.	3.300%	5/15/26	4,500		4,741
	International Business Machines Corp.	3.500%	5/15/29	2,975		3,193
	International Business Machines Corp.	5.875%	11/29/32	1,010		1,333
	Microsoft Corp.	3.625%	12/15/23	500		532
	Microsoft Corp.	2.875%	2/6/24	1,385		1,436
	Microsoft Corp.	2.700%	2/12/25	760		786
	Microsoft Corp.	3.125%	11/3/25	845		893
	Microsoft Corp.	2.400%	8/8/26	1,890		1,909
	Microsoft Corp.	3.500%	2/12/35	605		666
	Microsoft Corp.	3.450%	8/8/36	1,725		1,886
	Microsoft Corp.	4.100%	2/6/37	1,225		1,443

14

Balanced Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Microsoft Corp.	4.450%	11/3/45	380		473
	Microsoft Corp.	3.700%	8/8/46	1,615		1,822
	Microsoft Corp.	4.250%	2/6/47	2,500		3,051
	Oracle Corp.	2.800%	7/8/21	375		380
	Oracle Corp.	2.500%	5/15/22	1,210		1,227
	Oracle Corp.	2.950%	11/15/24	2,190		2,270
	Oracle Corp.	2.950%	5/15/25	355		369
	Oracle Corp.	3.250%	11/15/27	3,065		3,241
	Oracle Corp.	4.000%	11/15/47	895		1,000
	QUALCOMM Inc.	2.600%	1/30/23	705		717
	QUALCOMM Inc.	2.900%	5/20/24	1,020		1,051
5	Tencent Holdings Ltd.	3.575%	4/11/26	200		208
5	Tencent Holdings Ltd.	3.595%	1/19/28	2,495		2,610
5	Tencent Holdings Ltd.	3.975%	4/11/29	925		995
	Transportation (0.5%)
	Burlington Northern Santa Fe LLC	3.000%	3/15/23	565		580
	Burlington Northern Santa Fe LLC	3.850%	9/1/23	1,630		1,731
	Burlington Northern Santa Fe LLC	4.550%	9/1/44	250		298
2	Continental Airlines 2007-1 Class A Pass Through Trust	5.983%	10/19/23	608		640
	CSX Corp.	4.300%	3/1/48	445		500
	CSX Corp.	3.350%	9/15/49	415		408
5	ERAC USA Finance LLC	4.500%	8/16/21	325		337
5	ERAC USA Finance LLC	3.300%	10/15/22	40		41
5	ERAC USA Finance LLC	7.000%	10/15/37	1,150		1,619
5	ERAC USA Finance LLC	5.625%	3/15/42	340		422
2	Federal Express Corp. 1998 Pass Through Trust	6.720%	1/15/22	443		455
	FedEx Corp.	2.700%	4/15/23	255		259
	FedEx Corp.	4.100%	2/1/45	130		125
	FedEx Corp.	4.750%	11/15/45	361		380
	FedEx Corp.	4.550%	4/1/46	178		182
	FedEx Corp.	4.050%	2/15/48	48		46
	FedEx Corp.	4.950%	10/17/48	333		362
	Kansas City Southern	4.950%	8/15/45	480		563
5	Penske Truck Leasing Co. LP / PTL Finance Corp.	3.450%	7/1/24	465		482
5	Penske Truck Leasing Co. LP / PTL Finance Corp.	2.700%	11/1/24	385		387
5	Penske Truck Leasing Co. LP / PTL Finance Corp.	3.950%	3/10/25	1,435		1,518
5	Penske Truck Leasing Co. LP / PTL Finance Corp.	4.450%	1/29/26	925		997
2	Southwest Airlines Co. 2007-1 Pass Through Trust	6.150%	2/1/24	225		237
	Union Pacific Corp.	3.700%	3/1/29	505		550
	Union Pacific Corp.	4.300%	3/1/49	625		715
	Union Pacific Corp.	3.799%	10/1/51	666		706
2	United Airlines 2018-1 Class B Pass Through Trust	4.600%	3/1/26	198		204
	United Parcel Service Inc.	2.450%	10/1/22	425		432
						335,242
Utilities (2.8%)
	Electric (2.4%)
	AEP Texas Inc.	4.150%	5/1/49	145		161
	AEP Texas Inc.	3.450%	1/15/50	380		380
	Alabama Power Co.	5.200%	6/1/41	120		147
	Alabama Power Co.	4.100%	1/15/42	215		230
	Alabama Power Co.	3.750%	3/1/45	630		661
	Alabama Power Co.	4.300%	7/15/48	775		893
	Ameren Illinois Co.	3.800%	5/15/28	590		643
	Ameren Illinois Co.	6.125%	12/15/28	1,000		1,192
	Ameren Illinois Co.	3.700%	12/1/47	140		148
	Berkshire Hathaway Energy Co.	6.125%	4/1/36	1,160		1,597
	Berkshire Hathaway Energy Co.	5.150%	11/15/43	1,490		1,872
	CenterPoint Energy Houston Electric LLC	4.250%	2/1/49	195		228
	Cleco Corporate Holdings LLC	3.743%	5/1/26	1,042		1,076
5	Cleco Corporate Holdings LLC	3.375%	9/15/29	405		402
	Commonwealth Edison Co.	2.950%	8/15/27	645		663
	Commonwealth Edison Co.	4.350%	11/15/45	375		435
	Commonwealth Edison Co.	3.650%	6/15/46	175		184
	Commonwealth Edison Co.	4.000%	3/1/48	480		534
	Consolidated Edison Co. of New York Inc.	4.500%	12/1/45	980		1,143
	Consolidated Edison Co. of New York Inc.	3.850%	6/15/46	76		82
	Consolidated Edison Co. of New York Inc.	4.625%	12/1/54	1,835		2,193
	Consolidated Edison Co. of New York Inc.	4.500%	5/15/58	680		787
	Delmarva Power & Light Co.	3.500%	11/15/23	305		319
	Dominion Energy Inc.	2.579%	7/1/20	640		642
	Dominion Energy Inc.	2.715%	8/15/21	450		453
5	Dominion Energy Inc.	2.450%	1/15/23	3,240		3,247
	Dominion Energy Inc.	5.250%	8/1/33	1,000		1,200
	Dominion Energy Inc.	4.600%	3/15/49	875		1,016
	Dominion Energy South Carolina Inc.	6.625%	2/1/32	138		186
	Dominion Energy South Carolina Inc.	5.300%	5/15/33	44		55
	Dominion Energy South Carolina Inc.	6.050%	1/15/38	1,260		1,695
	Dominion Energy South Carolina Inc.	5.450%	2/1/41	95		122
	Dominion Energy South Carolina Inc.	4.600%	6/15/43	202		238
	Dominion Energy South Carolina Inc.	5.100%	6/1/65	715		929
	DTE Energy Co.	3.800%	3/15/27	250		264
	Duke Energy Carolinas LLC	6.100%	6/1/37	391		530
	Duke Energy Carolinas LLC	3.700%	12/1/47	470		503
	Duke Energy Corp.	2.650%	9/1/26	315		315
	Duke Energy Corp.	3.400%	6/15/29	350		365
	Duke Energy Corp.	4.800%	12/15/45	1,200		1,417
	Duke Energy Corp.	3.750%	9/1/46	265		271
	Duke Energy Florida LLC	6.350%	9/15/37	200		278
	Duke Energy Progress LLC	6.300%	4/1/38	365		504
	Duke Energy Progress LLC	4.100%	3/15/43	118		131
	Duke Energy Progress LLC	4.200%	8/15/45	2,045		2,312
	Emera US Finance LP	3.550%	6/15/26	965		1,001
	Entergy Louisiana LLC	3.120%	9/1/27	410		424
	Evergy Inc.	2.450%	9/15/24	425		427
	Evergy Inc.	2.900%	9/15/29	600		596
	Eversource Energy	2.900%	10/1/24	690		704
	Eversource Energy	3.150%	1/15/25	110		113
	Eversource Energy	3.300%	1/15/28	400		412
	Florida Power & Light Co.	5.650%	2/1/35	1,000		1,269
	Florida Power & Light Co.	4.950%	6/1/35	1,000		1,224
	Florida Power & Light Co.	5.950%	2/1/38	785		1,074
	Florida Power & Light Co.	5.690%	3/1/40	675		912
	Florida Power & Light Co.	3.700%	12/1/47	480		529
	Fortis Inc.	3.055%	10/4/26	1,195		1,218
	Georgia Power Co.	5.400%	6/1/40	205		237
	Georgia Power Co.	4.750%	9/1/40	988		1,119
	Georgia Power Co.	4.300%	3/15/42	1,646		1,782
	Indiana Michigan Power Co.	4.250%	8/15/48	415		472
	Kansas City Power & Light Co.	4.200%	3/15/48	137		157
5	Massachusetts Electric Co.	5.900%	11/15/39	585		777
5	Metropolitan Edison Co.	4.300%	1/15/29	199		221
5	Mid-Atlantic Interstate Transmission LLC	4.100%	5/15/28	195		213
	MidAmerican Energy Co.	4.250%	5/1/46	45		53
	MidAmerican Energy Co.	4.250%	7/15/49	315		378
	MidAmerican Energy Co.	3.150%	4/15/50	1,390		1,372
5	Monongahela Power Co.	5.400%	12/15/43	135		173
	National Rural Utilities Cooperative Finance Corp.	2.950%	2/7/24	415		428
	National Rural Utilities Cooperative Finance Corp.	2.850%	1/27/25	1,040		1,070
	NextEra Energy Capital Holdings Inc.	2.403%	9/1/21	1,295		1,301
	NextEra Energy Capital Holdings Inc.	3.250%	4/1/26	260		270
	NextEra Energy Capital Holdings Inc.	3.550%	5/1/27	880		932
	NextEra Energy Capital Holdings Inc.	3.500%	4/1/29	390		412
	NextEra Energy Capital Holdings Inc.	2.750%	11/1/29	590		589
5	Niagara Mohawk Power Corp.	4.278%	12/15/28	1,000		1,112

15

Balanced Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Northern States Power Co.	6.250%	6/1/36	2,000		2,745
2,5	Oglethorpe Power Corp.	6.191%	1/1/31	1,065		1,247
	Oglethorpe Power Corp.	5.950%	11/1/39	170		212
	Oglethorpe Power Corp.	4.550%	6/1/44	50		53
	Oglethorpe Power Corp.	4.250%	4/1/46	537		550
	Oglethorpe Power Corp.	5.050%	10/1/48	80		94
	Oglethorpe Power Corp.	5.250%	9/1/50	630		755
	Oncor Electric Delivery Co. LLC	4.550%	12/1/41	75		88
	PacifiCorp	6.250%	10/15/37	2,000		2,800
	PacifiCorp	4.150%	2/15/50	250		287
	Potomac Electric Power Co.	3.050%	4/1/22	460		469
	Potomac Electric Power Co.	6.500%	11/15/37	750		1,060
	San Diego Gas & Electric Co.	6.000%	6/1/26	600		704
	San Diego Gas & Electric Co.	4.150%	5/15/48	500		547
	Sierra Pacific Power Co.	3.375%	8/15/23	850		883
	Sierra Pacific Power Co.	2.600%	5/1/26	221		222
	Southern California Edison Co.	2.400%	2/1/22	170		171
	Southern California Edison Co.	3.700%	8/1/25	90		95
	Southern California Edison Co.	6.000%	1/15/34	1,000		1,240
	Southern California Edison Co.	5.550%	1/15/37	2,250		2,703
	Southern California Edison Co.	6.050%	3/15/39	55		72
	Southern California Edison Co.	4.000%	4/1/47	195		204
	Southern California Edison Co.	4.125%	3/1/48	645		682
	Southern Co.	2.950%	7/1/23	1,280		1,303
	Southern Co.	4.400%	7/1/46	755		834
	Southwestern Electric Power Co.	6.200%	3/15/40	400		528
	Southwestern Public Service Co.	3.700%	8/15/47	102		107
	Virginia Electric & Power Co.	2.750%	3/15/23	690		701
	Virginia Electric & Power Co.	3.500%	3/15/27	435		462
	Westar Energy Inc.	3.250%	9/1/49	630		615
	Wisconsin Electric Power Co.	5.700%	12/1/36	690		899
	Natural Gas (0.3%)
5	Boston Gas Co.	3.150%	8/1/27	140		145
5	Boston Gas Co.	3.001%	8/1/29	175		178
5	Brooklyn Union Gas Co.	3.407%	3/10/26	95		98
5	Brooklyn Union Gas Co.	4.273%	3/15/48	1,720		1,903
	CenterPoint Energy Resources Corp.	4.500%	1/15/21	105		107
	CenterPoint Energy Resources Corp.	4.000%	4/1/28	1,369		1,468
5	Infraestructura Energetica Nova SAB de CV	4.875%	1/14/48	455		435
5	KeySpan Gas East Corp.	2.742%	8/15/26	670		668
	NiSource Finance Corp.	5.250%	2/15/43	390		472
	NiSource Finance Corp.	4.800%	2/15/44	1,355		1,554
	Sempra Energy	2.875%	10/1/22	750		763
	Sempra Energy	3.250%	6/15/27	1,095		1,121
	Sempra Energy	6.000%	10/15/39	600		779
	Southern California Gas Co.	2.600%	6/15/26	820		819
	Other Utility (0.1%)
	American Water Capital Corp.	2.950%	9/1/27	540		550
	American Water Capital Corp.	4.200%	9/1/48	810		913
						90,919
Total Corporate Bonds (Cost $644,994)						694,532
Sovereign Bonds (1.4%)
7	Canadian Treasury Bill	1.751%	1/6/20	945		728
5	Electricite de France SA	4.600%	1/27/20	1,200		1,202
5	Electricite de France SA	4.875%	9/21/38	2,400		2,797
5	Electricite de France SA	4.875%	1/22/44	50		58
5	Electricite de France SA	4.950%	10/13/45	400		465
	Equinor ASA	2.900%	11/8/20	1,410		1,422
	Equinor ASA	2.750%	11/10/21	850		864
	Equinor ASA	2.450%	1/17/23	382		388
	Equinor ASA	2.650%	1/15/24	360		368
	Equinor ASA	3.700%	3/1/24	640		682
	Equinor ASA	3.250%	11/10/24	795		837
	International Bank for Reconstruction & Development	4.750%	2/15/35	2,000		2,608
8	Japan	0.100%	1/15/20	86,750		798
9	Japan Bank for International Cooperation	2.250%	2/24/20	1,190		1,190
9	Japan Bank for International Cooperation	2.125%	6/1/20	882		883
9	Japan Bank for International Cooperation	2.125%	7/21/20	1,100		1,101
5,10	Kingdom of Saudi Arabia	2.375%	10/26/21	850		853
5,10	Kingdom of Saudi Arabia	2.875%	3/4/23	1,130		1,150
11	Korea Development Bank	2.500%	3/11/20	2,000		2,002
12	Province of Ontario	2.500%	4/27/26	2,150		2,201
13	Province of Quebec	2.500%	4/20/26	3,820		3,910
5	Saudi Arabian Oil Co.	3.500%	4/16/29	1,030		1,064
5	Sinopec Group Overseas Development 2015 Ltd.	2.500%	4/28/20	1,615		1,616
5	Sinopec Group Overseas Development 2015 Ltd.	3.250%	4/28/25	1,615		1,664
5	Sinopec Group Overseas Development 2017 Ltd.	3.000%	4/12/22	850		863
5	Sinopec Group Overseas Development 2018 Ltd.	2.950%	11/12/29	1,165		1,169
5	State Grid Overseas Investment 2016 Ltd.	2.750%	5/4/22	1,550		1,563
5	State Grid Overseas Investment 2016 Ltd.	3.500%	5/4/27	775		812
5,14	State of Qatar	5.250%	1/20/20	1,665		1,668
5,14	State of Qatar	2.375%	6/2/21	1,590		1,594
5,14	State of Qatar	3.875%	4/23/23	1,985		2,096
5,14	State of Qatar	4.000%	3/14/29	851		949
5,14	State of Qatar	5.103%	4/23/48	820		1,048
5	Temasek Financial I Ltd.	2.375%	1/23/23	1,130		1,140
5	Temasek Financial I Ltd.	3.625%	8/1/28	1,025		1,128
Total Sovereign Bonds (Cost $42,628)						44,881
Taxable Municipal Bonds (1.7%)
	Atlanta GA Downtown Development Authority Revenue	6.875%	2/1/21	130		134
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	2.574%	4/1/31	350		348
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.263%	4/1/49	685		1,046
	Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	7.043%	4/1/50	1,025		1,664
	California GO	5.700%	11/1/21	185		198
	California GO	7.500%	4/1/34	155		233
	California GO	7.550%	4/1/39	675		1,083
	California GO	7.350%	11/1/39	2,000		3,072
	California GO	7.625%	3/1/40	35		56
	California GO	7.600%	11/1/40	700		1,156
	Chicago IL Metropolitan Water Reclamation District GO	5.720%	12/1/38	215		281
	Chicago IL O’Hare International Airport Revenue	6.845%	1/1/38	530		532
	Chicago IL O’Hare International Airport Revenue	6.395%	1/1/40	245		352
	Chicago IL Transit Authority Sales Tax Receipts Revenue	6.200%	12/1/40	550		720
	Chicago IL Transit Authority Sales Tax Receipts Revenue	6.899%	12/1/40	825		1,115
	Chicago IL Transit Authority Transfer Tax Receipts Revenue	6.899%	12/1/40	1,780		2,405
	County of Broward FL Airport System Revenue	3.477%	10/1/43	300		301
	Dallas TX Area Rapid Transit Revenue	5.999%	12/1/44	750		1,069
	Foothill-Eastern California Transportation Corridor Agency	4.094%	1/15/49	295		295
15	Foothill-Eastern California Transportation Corridor Agency	3.924%	1/15/53	1,030		1,016

16

Balanced Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Georgia Municipal Electric Power Authority Revenue	6.637%	4/1/57	1,985		2,673
	Georgia Municipal Electric Power Authority Revenue	6.655%	4/1/57	233		321
	Grand Parkway Transportation Corp. Texas System Toll Revenue	5.184%	10/1/42	1,015		1,300
	Houston TX GO	6.290%	3/1/32	400		482
	Illinois GO	5.100%	6/1/33	810		873
	Illinois Toll Highway Authority Revenue	6.184%	1/1/34	750		996
15	Kansas Development Finance Authority Revenue (Public Employees Retirement System)	5.501%	5/1/34	2,000		2,485
	Los Angeles CA Community College District GO	6.750%	8/1/49	180		296
	Maryland Transportation Authority Facilities Projects Revenue	5.888%	7/1/43	545		727
	Massachusetts School Building Authority Dedicated Sales Tax Revenue	5.715%	8/15/39	1,000		1,320
	Massachusetts School Building Authority Dedicated Sales Tax Revenue	3.395%	10/15/40	500		500
	Michigan Finance Authority Revenue (Trinity Health Credit Group)	3.084%	12/1/34	295		294
	Michigan Finance Authority Revenue (Trinity Health Credit Group)	3.384%	12/1/40	535		534
	New Jersey Turnpike Authority Revenue	7.414%	1/1/40	410		643
	New Jersey Turnpike Authority Revenue	7.102%	1/1/41	600		915
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.790%	6/15/41	25		25
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.790%	6/15/41	90		91
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.882%	6/15/44	15		22
	New York Metropolitan Transportation Authority Revenue	6.814%	11/15/40	70		99
	New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund)	7.336%	11/15/39	325		509
	New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund)	6.089%	11/15/40	445		598
	New York State Dormitory Authority Revenue	3.142%	7/1/43	325		322
	New York State Dormitory Authority Revenue (Personal Income Tax)	3.110%	2/15/39	640		640
	New York State Dormitory Authority Revenue (Personal Income Tax)	3.190%	2/15/43	355		356
	New York State Thruway Authority	2.900%	1/1/35	490		488
	New York State Thruway Authority	3.500%	1/1/42	275		274
	New York State Urban Development Corp. Revenue	2.100%	3/15/22	2,315		2,320
	North Texas Tollway Authority System Revenue	6.718%	1/1/49	1,480		2,322
	Oregon Department of Transportation Highway User Tax Revenue	5.834%	11/15/34	655		873
15	Oregon School Boards Association GO	5.528%	6/30/28	2,000		2,359
16	Philadelphia PA Authority for Industrial Development	6.550%	10/15/28	1,945		2,427
	Port Authority of New York & New Jersey Revenue	5.859%	12/1/24	65		76
	Port Authority of New York & New Jersey Revenue	6.040%	12/1/29	265		341
	Port Authority of New York & New Jersey Revenue	4.458%	10/1/62	1,175		1,440
	Port Authority of New York & New Jersey Revenue	4.810%	10/15/65	640		806
	Rutgers The State University of New Jersey	3.270%	5/1/43	350		346
	Sales Tax Securitization Corp. Illinois Revenue	4.787%	1/1/48	1,000		1,162
	San Antonio TX Electric & Gas Systems Revenue	5.985%	2/1/39	305		420
	University of California Regents Medical Center Revenue	3.063%	7/1/25	1,280		1,340
	University of California Regents Medical Center Revenue	6.548%	5/15/48	195		282
	University of California Regents Medical Center Revenue	6.583%	5/15/49	765		1,101
	University of California Revenue	3.349%	7/1/29	210		224
	University of California Revenue	4.601%	5/15/31	590		674
	University of California Revenue	5.770%	5/15/43	1,010		1,339
	University of California Revenue	4.765%	5/15/44	145		156
	University of California Revenue	3.931%	5/15/45	570		611
Total Taxable Municipal Bonds (Cost $47,778)						55,478

			Shares
Temporary Cash Investments (0.7%)
Money Market Fund (0.0%)
17	Vanguard Market Liquidity Fund	1.816%	104	10

				Face
				Amount
				($000	)
Repurchase Agreement (0.5%)
	RBS Securities, Inc. (Dated 12/31/19, Repurchase Value $17,101,000, collateralized by U.S.Treasury Note/Bond, 0.125%, 7/15/22, with a value of $17,442,000)	1.550%	1/2/20	17,100		17,100
Certificate of Deposit (0.1%)
7	Toronto-Dominion Bank (New York Branch)	2.000%	1/3/20	2,000		1,540
Commercial Paper (0.1%)
5,18	Boeing Co.	2.160%	2/26/20	2,640		2,631
	Ford Motor Credit Co. LLC	3.550%	5/1/20	1,100		1,091
						3,722
Total Temporary Cash Investments (Cost $22,340)						22,372
Total Investments (99.3%) (Cost $2,556,812)				3,242,593

17

Balanced Portfolio

	Amount
	($000	)
Other Assets and Liabilities (0.7%)
Other Assets
Investment in Vanguard	144
Receivables for Investment Securities Sold	16,008
Receivables for Accrued Income	10,748
Receivables for Capital Shares Issued	1,781
Unrealized Appreciation—Forward Currency Contracts	1
Other Assets	192
Total Other Assets	28,874
Liabilities
Payables for Investment Securities Purchased	(1,514	)
Payables for Capital Shares Redeemed	(1,274	)
Payables to Vanguard	(2,055	)
Variation Margin Payable—Futures Contracts	(6	)
Unrealized Depreciation—Forward Currency Contracts	(35	)
Other Liabilities	(80	)
Total Liabilities	(4,964	)
Net Assets (100%)
Applicable to 130,965,210 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	3,266,503
Net Asset Value Per Share	$24.94

At December 31, 2019, net assets consisted of:

	Amount
	($000	)
Paid-in Capital	2,404,119
Total Distributable Earnings (Loss)	862,384
Net Assets	3,266,503

•	See Note A in Notes to Financial Statements.
*	Non-income-producing security.
§	Security value determined using significant unobservable inputs.
1	Securities with a value of $313,000 have been segregated as initial margin for open futures contracts.
2	The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.
3	The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.
4	Includes securities purchased on a when-issued or delayed-delivery basis for which the portfolio has not taken delivery as of December 31, 2019.
5	Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $198,472,000, representing 6.1% of net assets.
6	Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.
7	Face amount denominated in Canadian dollars.
8	Face amount denominated in Japanese yen.
9	Guaranteed by the Government of Japan.
10	Guaranteed by the Kingdom of Saudi Arabia.
11	Guaranteed by the Republic of Korea.
12	Guaranteed by the Providence of Ontario.
13	Guaranteed by Province of Quebec.
14	Guaranteed by the State of Qatar.
15	Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).
16	Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.
17	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
18	Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors.” At December 31, 2019, the value of these securities was $2,631,000, representing 0.1% of net assets.

ADR—American Depositary Receipt.

GDR—Global Depositary Receipt.

GO—General Obligation Bond.

LIBOR—London Interbank Offered Rate.

REMICS—Real Estate Mortgage Investment Conduits.

TBA—To Be Announced.

UMBS—Uniform Mortgage-Backed Securities.

18

Balanced Portfolio

Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
							($000)
							Value and
				Number of			Unrealized
				Long (Short)		Notional	Appreciation
		Expiration		Contracts		Amount	(Depreciation)
Long Futures Contracts
5-Year U.S. Treasury Note		March 2020		268		31,787	(116)
Forward Currency Contracts
	Contract					Unrealized	Unrealized
	Settlement	Contract Amount (000)				Appreciation	(Depreciation)
Counterparty	Date	Receive		Deliver		($000)	($000)
J.P. Morgan Securities LLC	1/3/20	USD	1,511	CAD	2,000	—	(29)
J.P. Morgan Securities LLC	1/15/20	USD	800	JPY	86,750	1	—
Bank of America, N.A.	1/6/20	USD	721	CAD	945	—	(6)
						1	(35)

CAD—Canadian dollar.

JPY—Japanese yen.

USD—U.S. dollar.

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

19

Balanced Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000)
Investment Income
Income
Dividends1	51,489
Interest	35,291
Securities Lending—Net	151
Total Income	86,931
Expenses
Investment Advisory Fees—Note B
Basic Fee	1,555
Performance Adjustment	(90)
The Vanguard Group—Note C
Management and Administrative	4,447
Marketing and Distribution	271
Custodian Fees	31
Auditing Fees	32
Shareholders’ Reports	31
Trustees’ Fees and Expenses	3
Total Expenses	6,280
Net Investment Income	80,651
Realized Net Gain (Loss)
Investment Securities Sold2	104,128
Futures Contracts	141
Swap Contracts	(65)
Forward Currency Contracts	(451)
Foreign Currencies	(15)
Realized Net Gain (Loss)	103,738
Change in Unrealized Appreciation (Depreciation)
Investment Securities2	419,579
Futures Contracts	119
Swap Contracts	3
Forward Currency Contracts	151
Foreign Currencies	15
Change in Unrealized Appreciation (Depreciation)	419,867
Net Increase (Decrease) in Net Assets Resulting from Operations	604,256

1 Dividends are net of foreign withholding taxes of $1,038,000.

2 Realized net gain (loss) and change in unrealized appreciation (depreciation) from an affiliated company of the fund were ($1,000) and ($1,000). Purchases and sales are for temporary cash investment purposes.

Statement of Changes in Net Assets

	Year Ended December 31,
	2019	2018
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	80,651	76,968
Realized Net Gain (Loss)	103,738	161,353
Change in Unrealized Appreciation (Depreciation)	419,867	(334,570)
Net Increase (Decrease) in Net Assets Resulting from Operations	604,256	(96,249)
Distributions
Net Investment Income	(80,367)	(68,274)
Realized Capital Gain1	(161,598)	(144,148)
Total Distributions	(241,965)	(212,422)
Capital Share Transactions
Issued	264,878	245,575
Issued in Lieu of Cash Distributions	241,965	212,422
Redeemed	(310,250)	(384,075)
Net Increase (Decrease) from Capital Share Transactions	196,593	73,922
Total Increase (Decrease)	558,884	(234,749)
Net Assets
Beginning of Period	2,707,619	2,942,368
End of Period	3,266,503	2,707,619

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $0 and $13,427,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

20

Balanced Portfolio

Financial Highlights

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$22.20	$24.80	$23.03	$22.32	$23.99
Investment Operations
Net Investment Income	.6231	.6261	.5821	.581	.576
Net Realized and Unrealized Gain (Loss) on Investments	4.105	(1.414)	2.648	1.713	(.548)
Total from Investment Operations	4.728	(.788)	3.230	2.294	.028
Distributions
Dividends from Net Investment Income	(.660)	(.582)	(.567)	(.576)	(.570)
Distributions from Realized Capital Gains	(1.328)	(1.230)	(.893)	(1.008)	(1.128)
Total Distributions	(1.988)	(1.812)	(1.460)	(1.584)	(1.698)
Net Asset Value, End of Period	$24.94	$22.20	$24.80	$23.03	$22.32
Total Return	22.48%	-3.41%	14.72%	11.01%	0.09%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$3,267	$2,708	$2,942	$2,554	$2,312
Ratio of Total Expenses to Average Net Assets2	0.21%	0.21%	0.23%	0.23%	0.23%
Ratio of Net Investment Income to Average Net Assets	2.68%	2.67%	2.49%	2.66%	2.53%
Portfolio Turnover Rate3	29%	36%	28%	33%	45%

1 Calculated based on average shares outstanding

1 Includes performance-based investment advisory fee increases (decreases) of (0.00%), (0.00%), (0.00%), (0.01%), and 0.00%.

3 Includes 8%, 2%, 0%, 0%, and 14% attributable to mortgage-dollar-roll activity.

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

21

Balanced Portfolio

Notes to Financial Statements

The Balanced Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts. Certain of the portfolio’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The portfolio 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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. 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 portfolio’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the portfolio’s pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio to calculate its net asset value may differ from quoted or published prices for the same securities.

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

3. Futures Contracts: The portfolio 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 portfolio 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 portfolio 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 portfolio’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).

During the year ended December 31, 2019, the portfolio’s average investments in long and short futures contracts represented 1% and less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

22

Balanced Portfolio

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

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 forward currency contract gains (losses).

During the year ended December 31, 2019, the portfolio’s average investment in forward currency contracts represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period.

5. Swap Contracts: The portfolio invests in credit default swaps to adjust the overall credit risk of the portfolio or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The portfolio may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The portfolio may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.

The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the portfolio under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.

The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the portfolio (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the portfolio) will be significantly less than the amount paid by the portfolio and, in a physically settled swap, the portfolio may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the portfolio. The portfolio’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The portfolio mitigates its counterparty risk by entering into swaps only with a diverse group of

23

Balanced Portfolio

prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the portfolio under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the portfolio’s net assets decline below a certain level, triggering a payment by the portfolio if the portfolio is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the portfolio has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

During the year ended December 31, 2019, the portfolio’s average amounts of investments in credit protection purchased swaps represented less than 1% of net assets, based on the average of notional amounts at each quarter-end during the period. The portfolio had no open swap contracts at December 31, 2019.

6. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The portfolio may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the portfolio is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The portfolio mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counter-parties, and monitoring its exposure to each counterparty. The portfolio may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the portfolio may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the portfolio under the master netting arrangements.

7. Mortgage Dollar Rolls: The portfolio enters into mortgage-dollar-roll transactions, in which the portfolio sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The portfolio forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The portfolio has also entered into mortgage-dollar-roll transactions in which the portfolio buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The portfolio continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The portfolio accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the portfolio’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Net Assets.

8. Repurchase Agreements: The portfolio enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the portfolio under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The portfolio further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any repurchase agreements with

24

Balanced Portfolio

that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

9. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

11. Securities Lending: To earn additional income, the portfolio lends its securities to qualified institutional borrowers. Security loans are subject to termination by the portfolio at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The portfolio further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the portfolio may experience delays and costs in recovering the securities loaned. The portfolio invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the portfolio is entitled to all distributions made on or in respect of the loaned securities.

12. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

13. Other: Dividend income is recorded on the ex-dividend date. Interest income is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

B.  Wellington Management Company LLP provides investment advisory services to the portfolio for a fee calculated at an annual percentage rate of average net assets. The basic fee is subject to quarterly adjustments based on the portfolio’s performance relative to the combined index comprising the S&P 500 Index and the Bloomberg Barclays U.S. Credit A or Better Bond Index for the preceding three years. For the year ended December 31, 2019, the investment advisory fee represented an effective annual basic rate of 0.05% of the portfolio’s average net assets before a decrease of $90,000 (0.00%) based on performance.

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

25

Balanced Portfolio

Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $144,000, representing less than 0.01% of the portfolio’s net assets and 0.06% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

D.  Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the portfolio’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
Common Stocks	1,893,594	240,869	—
U.S. Government and Agency Obligations	—	238,988	—
Asset-Backed/Commercial Mortgage-Backed Securities	—	51,480	399
Corporate Bonds	—	694,532	—
Sovereign Bonds	—	44,881	—
Taxable Municipal Bonds	—	55,478	—
Temporary Cash Investments	10	22,362	—
Futures Contracts—Liabilities1	(6)	—	—
Forward Currency Contracts—Assets	—	1	—
Forward Currency Contracts—Liabilities	—	(35)	—
Total	1,893,598	1,348,556	399

1 Represents variation margin on the last day of the reporting period.

E.  At December 31, 2019, the fair values of derivatives were reflected in the Statement of Net Assets as follows:

	Interest Rate	Currency	Credit
	Contracts	Contracts	Contracts	Total
Statement of Net Assets Caption	($000)	($000)	($000)	($000)
Unrealized Appreciation—Forward Currency Contracts	—	1	—	1
Total Assets	—	1	—	1
Variation Margin Payable—Futures Contracts	(6)	—	—	(6)
Unrealized Depreciation—Forward Currency Contracts	—	(35)	—	(35)
Total Liabilities	(6)	(35)	—	(41)

26

Balanced Portfolio

Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended December 31, 2019, were:

	Interest Rate	Currency	Credit
	Contracts	Contracts	Contracts	Total
Realized Net Gain (Loss) on Derivatives	($000)	($000)	($000)	($000)
Futures Contracts	141	—	—	141
Swap Contracts	—	—	(65)	(65)
Forward Currency Contracts	—	(451)	—	(451)
Realized Net Gain (Loss) on Derivatives	141	(451)	(65)	(375)
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts	119	—	—	119
Swap Contracts	—	—	3	3
Forward Currency Contracts	—	151	—	151
Change in Unrealized Appreciation (Depreciation) on Derivatives	119	151	3	273

F.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions and swap agreements were reclassified between the individual components of total distributable earnings (loss).

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

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles; and the realization of unrealized gains or losses on certain futures contracts and forward currency contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	79,973
Undistributed Long-Term Gains	98,697
Capital Loss Carryforwards (Non-expiring)	—
Net Unrealized Gains (Losses)	685,140

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	2,557,469
Gross Unrealized Appreciation	710,745
Gross Unrealized Depreciation	(25,622)
Net Unrealized Appreciation (Depreciation)	685,123

G.  During the year ended December 31, 2019, the portfolio purchased $618,313,000 of investment securities and sold $624,282,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $279,934,000 and $240,716,000, respectively.

27

Balanced Portfolio

H.  Capital shares issued and redeemed were:

	Year Ended December 31,
	2019	2018
	Shares	Shares
	(000)	(000)
Issued	11,351	10,418
Issued in Lieu of Cash Distributions	10,988	9,268
Redeemed	(13,353)	(16,340)
Net Increase (Decrease) in Shares Outstanding	8,986	3,346

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 73% of the portfolio’s net assets. If this shareholder were to redeem its investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

I.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

28

Balanced Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Balanced Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Balanced Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Balanced Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $161,598,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For corporate shareholders, 44.7% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

29

Balanced Portfolio

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Credit A or Better Bond Index (the Index or Bloomberg Barclays Index).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Balanced Portfolio and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Balanced Portfolio. The Index is licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Balanced Portfolio. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Index is the licensing of the Index, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Balanced Portfolio or the owners of the Balanced Portfolio.

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Index in connection with the Balanced Portfolio. Investors acquire the Balanced Portfolio from Vanguard and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Balanced Portfolio. The Balanced Portfolio is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Balanced Portfolio or the advisability of investing in securities generally or the ability of the Index to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Balanced Portfolio with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Balanced Portfolio to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Balanced Portfolio or any other third party into consideration in determining, composing or calculating the Index. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Balanced Portfolio.

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Balanced Portfolio, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Balanced Portfolio, investors or other third parties.

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDEX, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBLITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE BALANCED PORTFOLIO.

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

© 2020 Bloomberg. Used with Permission.

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

30

Capital Growth Portfolio

Your Portfolio’s Performance at a Glance

•   For the 12 months ended December 31, 2019, the Capital Growth Portfolio of Vanguard Variable Insurance Fund returned 26.50%, trailing the 31.49% return of its benchmark, the Standard & Poor’s 500 Index.

•   Stocks and bonds recorded their best results in years. Stocks benefited from accommodative monetary policies implemented by the Federal Reserve and other major central banks. Less-risky assets such as bonds also attracted investors as the U.S.-China trade conflict fueled global economic growth concerns.

•   The portfolio benefited from its underweight to energy and consumer staples. Positive selection in consumer discretionary also produced positive results. The portfolio’s positions in industrials, health care, information technology, and communication services detracted from relative performance.

•   Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer
		Average Annual Total Returns
	Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

31

Capital Growth Portfolio

Advisor’s Report

For the 12 months ended December 31, 2019, the Capital Growth Portfolio of Vanguard Variable Insurance Fund returned 26.50%, trailing the 31.49% return of its benchmark, the unmanaged Standard & Poor’s 500 Index. Relative to the S&P 500, the portfolio’s sector allocation and stock selection detracted from performance. The portfolio’s health care overweight and modest cash holdings presented headwinds. Unfavorable stock selection in information technology and industrials also detracted from relative results.

Investment environment

The American economy’s decade-long expansion moderated somewhat in 2019, demonstrating signs of late-cycle fatigue amid a broader global slowdown. Consumer spending generally remained healthy, bolstered by continued labor market strength and increases in households’ net worth, and consumer confidence remained elevated. But business investment weakened during the year, a notable reversal from year-earlier conditions, and trade-driven uncertainty hurt business confidence. Other major economies slowed, particularly in Europe and China, while U.S.-China relations were unusually volatile because of economic and political disputes. The Federal Reserve responded to the unease with three interest rate cuts, an about-face from the prior year’s tightening campaign.

The equity market proved especially resilient in the face of this uncertainty and finished the period near record highs. The S&P 500’s strong return defied a sharp deceleration in corporate earnings throughout the year, as the latest estimate of 1% earnings growth for the S&P 500 Index in 2019 is well below the original expectations for double-digit growth. Indeed, the index’s current earnings forecast for 2020 is only modestly above year-ago expectations for 2019 earnings, which implies that forward valuations climbed in tandem with the market’s ascent.

Cyclical sectors generally performed well, with information technology (+50.3%) leading the way. Communication services (+33.1%) and financials (+32.1%) also performed well. Commodity-oriented sectors lagged, despite a healthy 35% climb in the price of West Texas Intermediate crude oil, as energy (+11.8%) and materials (+24.5%) both underperformed the benchmark as a whole amid a weakening in the global industrial economy. Health care (+20.8%) also lagged, beset by intensifying political scrutiny early in the year.

Outlook for U.S. equities

Our view tilts slightly toward caution, a view that has admittedly been misplaced in recent months. The S&P 500 is near record highs despite a moderation in economic activity. The market’s absolute valuation is elevated. The S&P 500’s price/ earnings (P/E) ratio, based on expected profits, is 18.2 times—relative to its 20-year average forward P/E of 15.5 times. This valuation is perhaps reasonable given current bond yields (1.92% on the 10-year U.S. Treasury note), but we are less comfortable with the apparent divergence between equity market performance and underlying economic activity. In August, the 10-year Treasury yield briefly dipped below that of the 2-year Treasury yield, an inversion notorious as a harbinger of recession. Financial conditions have improved somewhat since then, but market sentiment is decidedly sanguine in the face of mixed fundamentals.

Similarly, confidence in a U.S.-China trade resolution has increased, with a “phase one” deal signed in January, even as political crises percolate—impeachment for the U.S. and Hong Kong unrest for China. We have long been hopeful that trade-inspired geopolitical risks would subside, but so far we have observed mostly false starts and provocation. American domestic political rancor has likewise escalated, with hyper-partisanship effectively paralyzing the federal government’s legislative and executive branches for the indefinite future as the 2020 election looms. Most recently, U.S.-Iran hostility dramatically spiked before settling into a fragile detente.

Despite the relentless uncertainty, we nonetheless remain believers in America’s economic engine, the free-enterprise system. This fundamental faith undergirds and informs our desire to own U.S. equities over the long term. Our largest sector positions continue to be in information technology and health care, where the development of innovative technologies and therapies is not tied to near-term economic prospects. But we also invest in companies and industries, such as semiconductors and airlines, that are more cyclical. These companies rely heavily on global economic growth.

Portfolio update

We maintained large overweight positions in information technology, health care, and industrial stocks. These sectors constituted 69% of average assets compared with their 45% combined weighting in the S&P 500. The portfolio was approximately equal-weighted in consumer discretionary, at 9% of average assets compared with the 10% index weighting. We maintained an underweight position in all other sectors, particularly energy, financials, and communication services. The portfolio had limited or no exposure to several smaller sectors, including materials, real estate, and utilities.

Modest cash holdings weighed on relative performance during the year given the market’s sharp rise, and our meaningful health care overweight also proved unhelpful. Our information technology overweight position and energy underweight position provided a partial offset.

Unfavorable stock selection—in particular, weak selection in the information technology, health care, and industrial sectors—drove most of the portfolio’s underperformance during the period. In information technology, several standout performers, including KLA (+104%) and

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Capital Growth Portfolio

Micron (+69%), could not compensate for the portfolio’s negligible ownership of index heavyweight Apple (+89%). In industrials, FedEx (–5%) was the primary detractor, but several airlines also dragged on relative results, including American (–10%), United (+5%), and Southwest (+18%).

Advisor perspectives

We routinely discuss portfolio positioning within the framework of the S&P 500 sectors. For instance, our overweight sector allocations have for some time included information technology, health care, and industrials. We also occasionally discuss portfolio structure more thematically. For example, we highlight our preference for “mind”—technology, innovation, and the like—over “matter”— commodities and other real assets.

Another way to frame our exposures is via high-level categories such as defensive, growth/cyclical, and commodity-linked stocks. For instance, our aggregate portfolio weighting in the defensive sectors, which include health care, consumer staples, real estate, and utilities, is comparable to that of the S&P 500. Our actual underlying ownership in this bucket, however, is heavily skewed toward health care. We believe our portfolio has credible defensive qualities even if it’s achieved in this unorthodox fashion, and we prefer pharmaceutical and biotech companies—and, in particular, the unsung potential of novel drugs—to various businesses tied to food and other staples. At the end of the period, the health care sector traded at a more attractive absolute and relative valuation (16.2 times forward P/E, in line with its 16.2 times 20-year average) than its defensive sector peers, including consumer staples (20.2 times versus 16.8 times) and utilities (19.9 times versus 14.5 times).

In the two other buckets, the story is similar: comparable exposure at the aggregate level, but significant differentiation beneath the surface. In growth/cyclical, which houses our information technology overweight position, our ownership of the market’s putative technology leaders—Facebook, Apple, Amazon, Netflix, and Google/ Alphabet (FAANG)—has, with the exception of Google/Alphabet, materially lagged the market weighting of these stocks. We instead own semiconductor and other technology hardware and software companies with secular (and cyclical) growth trajectories at a valuation discount to the typical FAANG premium.

In the commodity-linked sectors (energy, materials, and industrials), our slight overweight is somewhat misleading, as our ownership—principally commodity-consuming industrial companies—stands in contrast to the bucket’s bias toward the commodities. Avoiding the commodity producers has generally served us well in recent years; that said, the portfolio has derived no obvious benefit from its substantial exposure to commodities on the cost side of the ledger. In industrials, for instance, our allocation to airlines again underperformed the market despite solid fundamentals amid a long-term moderation in crude oil prices; we continue to see exceptional value in this industry.

Conclusion

In the end, a differentiated portfolio guarantees only divergence, not outperformance. The portfolio’s disappointing year reaffirms this, with weak stock selection serving as the primary culprit for our underperformance, as many of the portfolio’s idiosyncratic, bottom-up features directly contributed to poor relative results. Despite this, we are optimistic that our portfolio—along with its company-specific trajectories— features an attractive combination of secular growth and reasonable valuations, and we are hopeful it will outperform in the years ahead.

PRIMECAP Management Company

January 14, 2020

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Capital Growth Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 table below illustrates your portfolio’s costs in two ways:

•   Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•   Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Capital Growth Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,127.21	$1.82
Based on Hypothetical 5% Yearly Return	1,000.00	1,023.49	1.73

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.34%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

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Capital Growth Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019

Initial Investment of $10,000

			Average Annual Total Returns		Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	Capital Growth Portfolio	26.50%	12.87%	14.54%	$38,865
	S&P 500 Index	31.49	11.70	13.56	35,666

See Financial Highlights for dividend and capital gains information.

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Capital Growth Portfolio

Sector Diversification

As of December 31, 2019

Communication Services	5.4%
Consumer Discretionary	10.3
Energy	1.4
Financials	9.0
Health Care	26.1
Industrials	17.8
Information Technology	29.6
Materials	0.4

The table reflects the portfolio’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

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Capital Growth Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

			Market
			Value•
		Shares	($000	)
Common Stocks (95.6%)
Communication Services (5.2%)
*	Alphabet Inc. Class C	29,620	39,603
*	Alphabet Inc. Class A	29,500	39,512
	Walt Disney Co.	69,400	10,037
	Activision Blizzard Inc.	160,300	9,525
	Comcast Corp. Class A	43,900	1,974
*	Charter Communications Inc. Class A	2,900	1,407
			102,058
Consumer Discretionary (9.8%)
*	Alibaba Group Holding Ltd. ADR	231,800	49,165
	Sony Corp. ADR	494,400	33,619
	Ross Stores Inc.	213,900	24,902
	Whirlpool Corp.	116,000	17,113
	TJX Cos. Inc.	254,600	15,546
	Carnival Corp.	209,400	10,644
	Royal Caribbean Cruises Ltd.	78,000	10,414
*	Amazon.com Inc.	5,400	9,978
*,^	Mattel Inc.	669,500	9,072
*,^	Tesla Inc.	14,400	6,024
	L Brands Inc.	238,300	4,318
	eBay Inc.	46,800	1,690
	Marriott International Inc. Class A	11,100	1,681
			194,166
Energy (1.3%)
	Pioneer Natural Resources Co.	64,200	9,718
	Hess Corp.	131,200	8,765
	EOG Resources Inc.	43,200	3,618
	Schlumberger Ltd.	45,700	1,837
	Noble Energy Inc.	49,700	1,235
*	Transocean Ltd.	169,200	1,164
			26,337
Financials (8.6%)
	Wells Fargo & Co.	837,400	45,052
	JPMorgan Chase & Co.	307,000	42,796
	Charles Schwab Corp.	461,000	21,925
	Bank of America Corp.	549,000	19,336
	Marsh & McLennan Cos. Inc.	170,700	19,018
	Discover Financial Services	82,500	6,998
	US Bancorp	81,300	4,820
	CME Group Inc.	20,400	4,095
	Citigroup Inc.	41,900	3,347
	Progressive Corp.	44,500	3,221
			170,608
Health Care (25.0%)
	Eli Lilly & Co.	651,871	85,676
*	Biogen Inc.	264,200	78,396
	Amgen Inc.	297,771	71,784
	AstraZeneca plc ADR	791,400	39,459
*	Boston Scientific Corp.	847,702	38,333
	Novartis AG ADR	397,550	37,644
	Roche Holding AG	91,677	29,795
	Thermo Fisher Scientific Inc.	69,500	22,579
	Bristol-Myers Squibb Co.	242,600	15,573
	Medtronic plc	117,200	13,296
*	BioMarin Pharmaceutical Inc.	141,900	11,998
	Abbott Laboratories	134,400	11,674
*	Elanco Animal Health Inc.	348,916	10,276
	CVS Health Corp.	82,600	6,136
1	Siemens Healthineers AG	96,400	4,621
	Zimmer Biomet Holdings Inc.	30,000	4,490
*	Alcon Inc.	70,410	3,983
	Merck & Co. Inc.	36,200	3,292
	Agilent Technologies Inc.	26,500	2,261
	Sanofi ADR	36,800	1,847
			493,113
Industrials (17.0%)
	Southwest Airlines Co.	978,150	52,801
	Airbus SE	296,100	43,457
	FedEx Corp.	266,400	40,282
*	United Airlines Holdings Inc.	455,700	40,143
	Siemens AG	298,111	38,931
	Caterpillar Inc.	153,500	22,669
	Delta Air Lines Inc.	334,000	19,532
	American Airlines Group Inc.	543,900	15,599
	Union Pacific Corp.	59,200	10,703
	Alaska Air Group Inc.	143,000	9,688
	Honeywell International Inc.	53,600	9,487
	Boeing Co.	25,550	8,323
	United Parcel Service Inc. Class B	47,850	5,601
	United Technologies Corp.	31,500	4,718
	Textron Inc.	102,000	4,549
	TransDigm Group Inc.	5,000	2,800
	CSX Corp.	34,200	2,475
	Deere & Co.	12,400	2,149
	Pentair plc	23,700	1,087
	nVent Electric plc	23,700	606
			335,600
Information Technology (28.3%)
*	Adobe Inc.	308,100	101,614
	Microsoft Corp.	604,600	95,345
	Texas Instruments Inc.	556,400	71,381
*	Micron Technology Inc.	885,400	47,617
	QUALCOMM Inc.	326,800	28,834
	KLA Corp.	142,600	25,407
	Intel Corp.	403,500	24,149
	NetApp Inc.	336,100	20,922
	Telefonaktiebolaget LM Ericsson ADR	2,085,100	18,307
	Hewlett Packard Enterprise Co.	1,140,550	18,089
	HP Inc.	809,250	16,630
	Cisco Systems Inc.	327,100	15,688
	Intuit Inc.	48,600	12,730
	NVIDIA Corp.	54,000	12,706
	Analog Devices Inc.	86,800	10,315
	Visa Inc. Class A	46,000	8,643
	Oracle Corp.	161,300	8,546
	Corning Inc.	127,350	3,707
	Apple Inc.	12,500	3,671
*	PayPal Holdings Inc.	31,700	3,429
	Entegris Inc.	46,900	2,349
	DXC Technology Co.	57,461	2,160
	Plantronics Inc.	71,650	1,959
*	BlackBerry Ltd.	195,800	1,257
	Micro Focus International plc ADR	72,667	1,020
*	Dell Technologies Inc.	18,447	948
	Perspecta Inc.	28,730	760
			558,183
Materials (0.4%)
	Albemarle Corp.	63,900	4,667
	DuPont de Nemours Inc.	23,866	1,532
	Dow Inc.	23,866	1,306
	Corteva Inc.	23,866	706
			8,211
Total Common Stocks (Cost $1,095,556)			1,888,276
Temporary Cash Investment (5.1%)
Money Market Fund (5.1%)
2,3	Vanguard Market Liquidity Fund, 1.816% (Cost $101,624)	1,016,003	101,611
Total Investments (100.7%) (Cost $1,197,180)			1,989,887
			Amount
			($000	)
Other Assets and Liabilities (-0.7%)
Other Assets			23,813
Liabilities3			(37,980	)
			(14,167	)
Net Assets (100%)
Applicable to 48,477,319 outstanding $.001 par value shares of beneficial interest (unlimited authorization)			1,975,720
Net Asset Value Per Share			$40.76

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Capital Growth Portfolio

	Amount
	($000)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value
Unaffiliated Issuers	1,888,276
Affiliated Issuers	101,611
Total Investments in Securities	1,989,887
Investment in Vanguard	87
Receivables for Investment Securities Sold	21,303
Receivables for Accrued Income	2,138
Receivables for Capital Shares Issued	285
Total Assets	2,013,700
Liabilities
Payables for Investment Securities Purchased	28,490
Collateral for Securities on Loan	6,348
Payables for Capital Shares Redeemed	1,785
Payables to Vanguard	1,357
Total Liabilities	37,980
Net Assets	1,975,720

At December 31, 2019, net assets consisted of:
	Amount
	($000)
Paid-in Capital	1,101,963
Total Distributable Earnings (Loss)	873,757
Net Assets	1,975,720

•	See Note A in Notes to Financial Statements.
*	Non-income-producing security.
^	Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $6,163,000.
1	Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the value of this security represented 0.2% of net assets.
2	Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
3	Collateral of $6,348,000 was received for securities on loan.
	ADR—American Depositary Receipt.

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

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Capital Growth Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000	)
Investment Income
Income
Dividends1	27,842
Interest2	2,872
Securities Lending—Net	93
Total Income	30,807
Expenses
Investment Advisory Fees—Note B	2,698
The Vanguard Group—Note C
Management and Administrative	3,150
Marketing and Distribution	211
Custodian Fees	9
Auditing Fees	30
Shareholders’ Reports	15
Trustees’ Fees and Expenses	2
Total Expenses	6,115
Net Investment Income	24,692
Realized Net Gain (Loss)
Investment Securities Sold2	58,486
Foreign Currencies	(13	)
Realized Net Gain (Loss)	58,473
Change in Unrealized Appreciation (Depreciation)
Investment Securities2	336,511
Foreign Currencies	9
Change in Unrealized Appreciation (Depreciation)	336,520
Net Increase (Decrease) in Net Assets Resulting from Operations	419,685

1 Dividends are net of foreign withholding taxes of $627,000.

2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the portfolio were $2,872,000, $5,000, and $12,000, respectively. Purchases and sales are for temporary cash investment purposes.

Statement of Changes in Net Assets

	Year Ended December 31,
	2019		2018
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	24,692		19,251
Realized Net Gain (Loss)	58,473		47,961
Change in Unrealized Appreciation (Depreciation)	336,520		(101,916	)
Net Increase (Decrease) in Net Assets Resulting from Operations	419,685		(34,704	)
Distributions
Net Investment Income	(19,835	)	(13,245	)
Realized Capital Gain1	(48,481	)	(41,571	)
Total Distributions	(68,316	)	(54,816	)
Capital Share Transactions
Issued	222,383		433,119
Issued in Lieu of Cash Distributions	68,316		54,816
Redeemed	(262,062	)	(218,735	)
Net Increase (Decrease) from Capital Share Transactions	28,637		269,200
Total Increase (Decrease)	380,006		179,680
Net Assets
Beginning of Period	1,595,714		1,416,034
End of Period	1,975,720		1,595,714

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $1,053,000 and $420,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

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Capital Growth Portfolio

Financial Highlights

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$33.49	$35.12	$28.36	$26.64	$27.15
Investment Operations
Net Investment Income	.5031	.4291	.3661	.374	.310
Net Realized and Unrealized Gain (Loss) on Investments	8.182	(.754)	7.580	2.362	.391
Total from Investment Operations	8.685	(.325)	7.946	2.736	.701
Distributions
Dividends from Net Investment Income	(.411)	(.315)	(.371)	(.318)	(.301)
Distributions from Realized Capital Gains	(1.004)	(.990)	(.815)	(.698)	(.910)
Total Distributions	(1.415)	(1.305)	(1.186)	(1.016)	(1.211)
Net Asset Value, End of Period	$40.76	$33.49	$35.12	$28.36	$26.64
Total Return	26.50%	-1.18%	28.83%	10.84%	2.62%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$1,976	$1,596	$1,416	$964	$894
Ratio of Total Expenses to Average Net Assets	0.34%	0.34%	0.36%	0.36%	0.36%
Ratio of Net Investment Income to Average Net Assets	1.37%	1.18%	1.16%	1.44%	1.21%
Portfolio Turnover Rate	5%	6%	7%	5%	5%

1 Calculated based on average shares outstanding.

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

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Capital Growth Portfolio

Notes to Financial Statements

The Capital Growth Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The portfolio 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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the portfolio’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the portfolio’s pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.

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

3. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

5. Securities Lending: To earn additional income, the portfolio lends its securities to qualified institutional borrowers. Security loans are subject to termination by the portfolio at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The portfolio further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the portfolio may experience delays and costs in recovering the securities loaned. The portfolio invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the portfolio is entitled to all distributions made on or in respect of the loaned securities.

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Capital Growth Portfolio

6. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

B.  PRIMECAP Management Company provides investment advisory services to the portfolio for a fee calculated at an annual percentage rate of average net assets. For the year ended December 31, 2019, the investment advisory fee represented an effective annual rate of 0.15% of the portfolio’s average net assets.

C.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $87,000, representing less than 0.01% of the portfolio’s net assets and 0.03% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

D.  Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the portfolio’s investments as of December 31, 2019, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
Common Stocks	1,771,472	116,804	—
Temporary Cash Investments	101,611	—	—
Total	1,873,083	116,804	—

42

Capital Growth Portfolio

E.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions were reclassified between the individual components of total distributable earnings (loss).

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

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	24,391
Undistributed Long-Term Gains	57,103
Capital Loss Carryforwards (Non-expiring)	—
Net Unrealized Gains (Losses)	792,719

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	1,197,180
Gross Unrealized Appreciation	848,959
Gross Unrealized Depreciation	(56,252)
Net Unrealized Appreciation (Depreciation)	792,707

F.  During the year ended December 31, 2019, the portfolio purchased $125,087,000 of investment securities and sold $84,367,000 of investment securities, other than temporary cash investments.

G.  Capital shares issued and redeemed were:

	Year Ended December 31,
	2019	2018
	Shares	Shares
	(000)	(000)
Issued	6,109	11,899
Issued in Lieu of Cash Distributions	1,900	1,525
Redeemed	(7,186)	(6,095)
Net Increase (Decrease) in Shares Outstanding	823	7,329

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 48% of the portfolio’s net assets. If this shareholder were to redeem its investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

H.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

43

Capital Growth Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Capital Growth Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets and statement of assets and liabilities of Capital Growth Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Capital Growth Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $47,429,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For corporate shareholders, 89.6% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

44

Conservative Allocation Portfolio

Your Portfolio’s Performance at a Glance

•   For the 12 months ended December 31, 2019, the Conservative Allocation Portfolio returned 15.83%, in line with the 16.35% return of its composite index after factoring in the portfolio’s expenses.

•   Stocks and bonds recorded their best results in years. Stocks benefited from accommodative monetary policies implemented by the Federal Reserve and other major central banks. Safer assets such as bonds also attracted investors as the U.S.-China trade conflict fueled global economic growth concerns.

•   The portfolio targets an asset allocation of approximately 60% bonds and 40% stocks through these holdings: Vanguard Variable Insurance Fund (VVIF) Total Bond Market Index Portfolio, VVIF Equity Index Portfolio, Vanguard Total International Bond Index Fund, Vanguard Total International Stock Index Fund, and Vanguard Extended Market Index Fund.

•   The Total Bond Market Index Portfolio returned almost 9%, and the Total International Bond Index Fund returned nearly 8%. The Equity Index Portfolio returned about 31%, the Extended Market Index Fund about 28%, and the Total International Stock Fund more than 21%.

•   Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer

		Average Annual Total Returns
		Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

45

Conservative Allocation Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A typical portfolio’s expenses are expressed as a percentage of its average net assets. The Conservative Allocation Portfolio has no direct expenses, but bears its proportionate share of the expenses of the underlying funds in which it invests. These indirect expenses make up the acquired fund fees and expenses, also expressed as a percentage of average net assets. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your portfolio 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 costs were calculated using the acquired fund fees and expenses for the Conservative Allocation Portfolio.

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

•   Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•   Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only. The portfolio’s expense figure does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Conservative Allocation Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,050.28	$0.67
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.55	$0.66

The calculations are based on the Conservative Allocation Portfolio’s acquired fund fees and expenses for the most recent six-month period. The Conservative Allocation Portfolio’s annualized expense figure for that period is 0.13%. The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio for the underlying funds, 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 recent 12-month period (184/365).

46

Conservative Allocation Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: October 19, 2011–December 31, 2019

Initial Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended December 31, 2019
				Since	Final Value
		One	Five	Inception	of a $10,000
		Year	Years	(10/19/2011)	Investment
	Conservative Allocation Portfolio	15.83%	5.77%	6.86%	$17,234
	Conservative Allocation Composite Index	16.35	6.02	7.08	17,528
	Dow Jones U.S. Total Stock Market Float Adjusted Index	30.90	11.18	14.82	31,055

Conservative Allocation Composite Index: Weighted 48% Bloomberg Barclays U.S. Aggregate Float Adjusted Index, 28% S&P Total Market Index, 12% Bloomberg Barclays Global Aggregate ex-USD Float Adjusted RIC Capped Index (USD Hedged), and 12% FTSE Global All Cap ex US Index as of June 3, 2013. Previously, the composite was weighted 60% Bloomberg Barclays U.S. Aggregate Float Adjusted Index, 28% S&P Total Market Index, and 12% MSCI ACWI ex USA IMI Index through June 2, 2013.

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

See Financial Highlights for dividend and capital gains information.

47

Conservative Allocation Portfolio

Underlying Vanguard Funds

As of December 31, 2019

Vanguard Variable Insurance Fund Total Bond Market Index Portfolio	41.8%
Vanguard Variable Insurance Fund Equity Index Portfolio	20.3
Vanguard Total International Bond Index Fund Admiral Shares	17.8
Vanguard Total International Stock Index Fund Admiral Shares	16.1
Vanguard Extended Market Index Fund Admiral Shares	4.0

48

Conservative Allocation Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

			Market
			Value•
		Shares	($000)
Investment Companies (100.0%)
U.S. Stock Funds (24.3%)
Vanguard Variable Insurance Fund—Equity Index Portfolio		1,805,023	86,099
Vanguard Extended Market Index Fund Admiral Shares		177,406	16,962
			103,061
International Stock Fund (16.1%)
Vanguard Total International Stock Index Fund Admiral Shares		2,297,209	68,618
U.S. Bond Fund (41.8%)
Vanguard Variable Insurance Fund—Total Bond Market Index Portfolio		14,529,229	177,402
International Bond Fund (17.8%)
Vanguard Total International Bond Index Fund Admiral Shares		3,346,906	75,707
Total Investment Companies (Cost $396,328)			424,788
Temporary Cash Investment (0.0%)
Money Market Fund (0.0%)
1	Vanguard Market Liquidity Fund, 1.816%(Cost $0)	1	—
Total Investments (100.0%) (Cost $396,328)			424,788
Other Assets and Liabilities (0.0%)
Other Assets			143
Liabilities			(111)
			32
Net Assets (100%)
Applicable to 16,015,542 outstanding $.001 par value shares of beneficial interest (unlimited authorization)			424,820
Net Asset Value Per Share			$26.53
			Amount
			($000)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value—Affiliated Funds			424,788
Receivables for Capital Shares Issued			143
Total Assets			424,931
Liabilities
Payables for Investment Securities Purchased			8
Payables for Capital Shares Redeemed			90
Other Liabilities			13
Total Liabilities			111
Net Assets			424,820
At December 31, 2019, net assets consisted of:
			Amount
			($000)
Paid-in Capital			380,826
Total Distributable Earnings (Loss)			43,994
Net Assets			424,820

• 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.

49

Conservative Allocation Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000)
Investment Income
Income
Income Distributions Received from Affiliated Funds	9,654
Net Investment Income—Note B	9,654
Realized Net Gain (Loss)
Capital Gain Distributions Received from Affiliated Funds	1,713
Affiliated Funds Sold	4,651
Realized Net Gain (Loss)	6,364
Change in Unrealized Appreciation (Depreciation) from Affiliated Funds	36,711
Net Increase (Decrease) in Net Assets Resulting from Operations	52,729

Statement of Changes in Net Assets

	Year Ended December 31,
	2019	2018
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	9,654	7,418
Realized Net Gain (Loss)	6,364	7,997
Change in Unrealized Appreciation (Depreciation)	36,711	(25,149)
Net Increase (Decrease) in Net Assets Resulting from Operations	52,729	(9,734)
Distributions
Net Investment Income	(7,812)	(6,271)
Realized Capital Gain1	(8,058)	(6,817)
Total Distributions	(15,870)	(13,088)
Capital Share Transactions
Issued	94,274	74,458
Issued in Lieu of Cash Distributions	15,870	13,088
Redeemed	(43,396)	(49,700)
Net Increase (Decrease) from Capital Share Transactions	66,748	37,846
Total Increase (Decrease)	103,607	15,024
Net Assets
Beginning of Period	321,213	306,189
End of Period	424,820	321,213

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $90,000 and $284,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

50

Conservative Allocation Portfolio

Financial Highlights

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$24.02	$25.84	$24.22	$23.72	$24.44
Investment Operations
Net Investment Income1	.660	.581	.592	.527	.470
Capital Gain Distributions Received1	.117	.100	.203	.128	.201
Net Realized and Unrealized Gain (Loss) on Investments	2.921	(1.417)	1.769	.728	(.611)
Total from Investment Operations	3.698	(.736)	2.564	1.383	.060
Distributions
Dividends from Net Investment Income	(.585)	(.519)	(.500)	(.407)	(.387)
Distributions from Realized Capital Gains	(.603)	(.565)	(.444)	(.476)	(.393)
Total Distributions	(1.188)	(1.084)	(.944)	(.883)	(.780)
Net Asset Value, End of Period	$26.53	$24.02	$25.84	$24.22	$23.72
Total Return	15.83%	-2.98%	10.89%	6.02%	0.20%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$425	$321	$306	$233	$199
Ratio of Total Expenses to Average Net Assets	—	—	—	—	—
Acquired Fund Fees and Expenses	0.13%	0.13%	0.14%	0.16%	0.16%
Ratio of Net Investment Income to Average Net Assets	2.61%	2.33%	2.38%	2.20%	1.95%
Portfolio Turnover Rate	10%	18%	19%	14%	15%

1 Calculated based on average shares outstanding.

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

51

Conservative Allocation Portfolio

Notes to Financial Statements

The Conservative Allocation Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio follows a balanced investment strategy by investing in selected Vanguard funds and portfolios to achieve its targeted allocation of assets to U.S. and international stocks, and U.S. and international bonds. Financial statements and other information about each underlying fund and portfolio are available on vanguard.com. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts.

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

1. Security Valuation: Investments are valued at the net asset value of each underlying Vanguard fund determined as of the close of the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date.

2. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

4. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and borne by the funds in which the portfolio invests (see Note B). Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

5. Other: Income and capital gain distributions received are recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the portfolio and all other expenses incurred by the portfolio during the period ended December 31, 2019, were borne by the underlying Vanguard funds in which the portfolio invests. The portfolio’s trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard.

52

Conservative Allocation Portfolio

C.  Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

At December 31, 2019, 100% of the market value of the portfolio’s investments was determined based on Level 1 inputs.

D.  Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	9,841
Undistributed Long-Term Gains	5,693
Capital Loss Carryforwards (Non-expiring)	—
Net Unrealized Gains (Losses)	28,460

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	396,328
Gross Unrealized Appreciation	29,437
Gross Unrealized Depreciation	(977)
Net Unrealized Appreciation (Depreciation)	28,460

E.  Capital shares issued and redeemed were:

	Year Ended December 31,
	2019	2018
	Shares	Shares
	(000)	(000)
Issued	3,717	2,995
Issued in Lieu of Cash Distributions	651	527
Redeemed	(1,725)	(2,000)
Net Increase (Decrease) in Shares Outstanding	2,643	1,522

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 89% of the portfolio’s net assets.

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Conservative Allocation Portfolio

F.  Transactions during the period in affiliated underlying Vanguard funds were as follows:

					Current Period Transactions
	Dec, 31,		Proceeds	Realized				Dec. 31,
	2018		from	Net	Change in		Capital Gain	2019
	Market	Purchases	Securities	Gain	Unrealized		Distributions	Market
	Value	at Cost	Sold	(Loss)	App. (Dep.)	Income	Received	Value
	($000)	($000)	($000)	($000)	($000)	($000)	($000)	($000)
Vanguard Market Liquidity Fund	—	NA1	NA1	—	—	2	—	—
Vanguard Extended Market Index Fund	12,932	2,587	1,996	575	2,864	211	—	16,962
Vanguard Variable Insurance Fund—Equity Index Portfolio	65,384	17,547	13,952	2,782	14,338	1,308	1,713	86,099
Vanguard Variable Insurance Fund—Total Bond Market Index Portfolio	132,862	48,609	12,823	409	8,345	3,778	—	177,402
Vanguard Total International Bond Index Fund	57,503	17,365	1,443	159	2,123	2,396	—	75,707
Vanguard Total International Stock Index Fund	52,082	14,861	8,092	726	9,041	1,959	—	68,618
Total	320,763	100,969	38,306	4,651	36,711	9,654	1,713	424,788

1 Not applicable—purchases and sales are for temporary cash investment purposes.

G.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

54

Conservative Allocation Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Conservative Allocation Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets and statement of assets and liabilities of Conservative Allocation Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the transfer agent. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Conservative Allocation Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $7,968,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For corporate shareholders, 13.3% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

The portfolio designates to shareholders foreign source income of $4,365,000 and foreign taxes paid of $149,000. Shareholders will receive more detailed information with their Form 1099-DIV in January 2020 to determine the calendar-year amounts to be included on their 2019 tax returns.

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Conservative Allocation Portfolio

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Aggregate Float Adjusted Index and the Bloomberg Barclays Global Aggregate ex-USD Float Adjusted RIC Capped Index (USD Hedged) (the Indices or Bloomberg Barclays Indices).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Conservative Allocation Portfolio and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Conservative Allocation Portfolio. The Indices are licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Conservative Allocation Portfolio. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Indices is the licensing of the Indices, which are determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Conservative Allocation Portfolio or the owners of the Conservative Allocation Portfolio.

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Indices in connection with the Conservative Allocation Portfolio. Investors acquire the Conservative Allocation Portfolio from Vanguard and investors neither acquire any interest in the Indices nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Conservative Allocation Portfolio. The Conservative Allocation Portfolio is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Conservative Allocation Portfolio or the advisability of investing in securities generally or the ability of the Indices to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Conservative Allocation Portfolio with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Conservative Allocation Portfolio to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Conservative Allocation Portfolio or any other third party into consideration in determining, composing or calculating the Indices. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Conservative Allocation Portfolio.

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Conservative Allocation Portfolio, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Conservative Allocation Portfolio, investors or other third parties.

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© 2020 Bloomberg. Used with Permission.

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

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Diversified Value Portfolio

Your Portfolio’s Performance at a Glance

•   The Diversified Value Portfolio of Vanguard Variable Insurance Fund returned 25.70% for the 12 months ended December 31, 2019, trailing the 26.54% return of its benchmark, the Russell 1000 Value Index. Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

•   The broad U.S. stock market, as measured by the Russell 3000 Index, climbed 31% for the year. Global stock prices rose amid optimism that U.S.-China trade tensions were easing and that a trade deal might be signed in early 2020. Inversions of the U.S. Treasury yield curve, historically a signal of recession, raised concerns midway through the year. But the yield curve returned to its normal pattern in the second half as the Federal Reserve cut short-term interest rates three times in 2019.

•   Growth stocks outperformed their value counterparts, while large- and mid-capitalization stocks surpassed small-caps.

•   Returns were positive in nine of the portfolio’s 11 sectors. The advisor’s holdings in information technology, industrials, and consumer discretionary contributed most to relative performance. Consumer staples, health care, and materials were the biggest net detractors.

•   Over the decade ended December 31, 2019, the portfolio’s average annualized return trailed that of its benchmark.

Market Barometer
		Average Annual Total Returns
		Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

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Diversified Value Portfolio

Advisor’s Report

The Diversified Value Portfolio returned 25.70% for the 12 months ended December 31, 2019, below the 26.54% return of its benchmark, the Russell 1000 Value Index.

Change in investment advisors

In December 2019, Vanguard announced changes to the advisory firms managing the Diversified Value Portfolio. Barrow, Hanley, Mewhinney & Strauss, LLC, no longer serves as an advisor to the portfolio. The portfolio has adopted a multi-manager approach, with Lazard Asset Management LLC and Hotchkis and Wiley Capital Management, LLC, each managing a portion of its assets. As a result of the advisor changes, turnover in the portfolio increased to 117% for the 2019 fiscal year from 18% the prior year, because of higher purchase and sales activity in November and December. The performance commentary in this Advisor’s Report reflects the performance during the portion of the 2019 fiscal year while Barrow Hanley was managing the portfolio. Vanguard Equity Index Group managed the portfolio during the transition to the new advisors. This report was prepared on January 24, 2020.

The investment environment

U.S. and global stock markets advanced broadly over the 12 months ended December 31, 2019, amid signs of easing in U.S.-China trade tensions and an end to the Brexit impasse, even though concerns remained about slowing global growth and geopolitical flare-ups.

U.S. gross domestic product, the broadest measure of economic activity, expanded in the first quarter of 2019 at an annual rate of about 3%, after adjusting for inflation. The pace then slowed amid fading effects from tax cuts, weaker business confidence, and trade disputes. The labor market remained robust even as job creation eased a little. The unemployment rate continued to trend lower, falling to 3.5% by late 2019, which helped keep consumers spending.

Inversions of the U.S. Treasury yield curve, historically a signal of recession, raised concerns midway through the year. But the yield curve returned to its normal pattern in the second half as the U.S. Federal Reserve cut short-term interest rates three times from August through October. Other major central banks adopted more accommodative monetary policies as well. A strong U.S. dollar lost ground as the year ended.

Successes and shortfalls

The portfolio experienced a few successes for the year but also several shortfalls that hurt performance relative to the Russell 1000 Value Index. Information technology, industrials, and consumer discretionary were areas of particular strength, while consumer staples, health care, and materials were the largest detractors. While an overweight allocation to energy hampered results, selection within the sector was positive.

The biggest shortfall during the year involved tobacco companies, in the consumer staples sector. Positions in Imperial Brands, Philip Morris International, and Altria Group all weighed on performance. All three positions had been long-term holdings given the strong recurring cash flow, attractive valuations, and sizable dividend yield. Regulatory scrutiny of tobacco companies heightened during the year, as the U.S. Food and Drug Administration began disputing the safety claims of e-cigarettes and evaluating certain marketing tactics that targeted minors.

Imperial, the fourth-largest tobacco company outside China, declined more than 9% for the year and was the largest detractor among the tobacco holdings. The shares performed poorly because of disappointing growth in next-generation products, specifically vapor device myblu. Given the uncertainties facing traditional cigarettes, the market is placing high value on the success of smoking alternatives, and Imperial was punished by the market for its poor showing in the second quarter. While the myblu franchise is still marginally unprofitable and does not have much influence on the firm’s earnings, Imperial’s core tobacco portfolio is still growing, driven by strong pricing.

The portfolio’s largest detractor during the year was EOG Resources, a leading U.S. developer of unconventional oil plays with 11 basins in various stages of development. The firm reported an 18% increase in oil production during the second quarter and beat consensus expectations for earnings and free cash flow, but the stock meaningfully underperformed its large-capitalization energy peers. While EOG dragged down results, security selection within energy was positive. Positions in Phillips 66 and Valero Energy, as well as our avoidance of Exxon Mobil, boosted results in the sector.

The portfolio’s relative returns were helped most by the advisor’s strong security selection and overweighting in information technology, the best-performing sector. Microsoft and QUALCOMM accounted for the bulk of the sector’s outperformance for the year. QUALCOMM is a leader in mobile processors and modems and has a successful technology-licensing business. Shares outperformed in the second quarter as QUALCOMM and Apple settled a two-year licensing dispute. Partially offsetting the good news, QUALCOMM had a legal setback when a judge ruled against the company in a Federal Trade Commission case. QUALCOMM has filed motions for an appeal, and while it will likely take time for the legal process to play out, Barrow Hanley continued to hold the stock as it found valuations attractive. QUALCOMM was sold during the transition, as it was not a name the new advisors wanted to own.

Dollar General was another area of strength for the portfolio. The discount retailer’s stock price rose meaningfully in the third quarter after the company delivered its third consecutive quarter of approximately 4% comparable-sales growth (an acceleration from the recent past) and greater-than-expected profits.

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Diversified Value Portfolio

Barrow Hanley found several operational initiatives—including accelerating non-consumables sales, digital coupons, high-returning store remodels, and market-share gains from convenience stores and drugstores—as ways for Dollar General to continue to experience growth above prior years.

Overall, Air Products and Chemicals, one of the largest producers of industrial gases, was the top-contributing stock for the year. Air Products and Chemicals is an asset-intensive business with high barriers to entry. The company has employed a “glocal” business model, which centers its operations near its client base. Air Products and Chemicals benefited from accelerating new project backlogs and pricing, and has begun to see the benefits of capital allocation plans that were announced in 2018.

Portfolio outlook

Given the changes announced in December 2019, the outlooks below represent the new investment advisors: Lazard and Hotchkis and Wiley.

Lazard employs a research-driven, bottom-up relative-value approach in selecting stocks. The firm seeks to identify individual stocks that offer an appropriate trade-off between low relative valuation and high financial productivity. The portfolio management team uses return on equity as the primary measure of financial productivity. Secondary measures include return on assets, cash return on equity, and operating margin. The firm’s stock selection process can lead to a portfolio with characteristics and sector weightings that differ meaningfully from the benchmark. The multicap portfolio is expected to have 55 to 70 holdings.

Lazard’s outlook for the U.S. economy and markets in 2020 is positive. After a year of escalating trade tensions, the United States and China appeared by late 2019 to have reached a near-term agreement that could temporarily stabilize the situation. Lazard believes the primary challenges to an optimistic outlook are lingering weakness in the global manufacturing economy (which perhaps is still suffering from trade-related uncertainty combined with decelerating Chinese demand), broad uncertainty about the future of U.S. trade relationships with key global partners, and geopolitical risks.

While equity market appreciation in 2019 was entirely driven by valuation expansion, Lazard believes markets in 2020 are likely to be more focused on earnings growth. If historical patterns are repeated, Lazard expects positive earnings growth but considers consensus expectations for 2020 of 8.9% growth to be too optimistic.

Hotchkis and Wiley invests mainly in mid- to large-cap stocks with value-oriented characteristics. The advisor follows a disciplined investment approach, focusing on such investment parameters as a company’s tangible assets, sustainable cash flow, and potential for improving business performance. The advisor’s portfolio will typically hold 50 to 70 stocks.

Hotchkis and Wiley noted that growth has outperformed value to an almost unprecedented extent in recent years. Over the past 25 years, the average forward price/earnings ratio for the Russell 1000 Growth Index has been 20.2 times compared with 15 times for the Russell 1000 Value Index, which represents an average valuation spread of 5.2 times. At year-end, the forward P/E for the growth and value indexes were 25.6 times and 16.6 times, respectively, or a spread of 9 times. The only time this valuation gap was wider was during the tech/internet bubble from 1999 to 2001. The current gap has also led to a substantial divergence between certain industries.

Markets also have exhibited a preference for companies and industries seen as having low volatility. As an example, the forward P/E ratio for large-cap utilities has increased by more than 60% over the past decade while the forward P/E for large-cap banks has fallen by 5%. Overall, Hotchkis and Wiley views the market as fully valued from a historical perspective, but the firm believes the valuation disparities across the market create an investment environment highly conducive to its long-term value-focused approach. Hotchkis and Wiley is confident about the portfolio’s prospects given the considerable valuation advantage combined with good underlying businesses and healthy balance sheets.

Diversified Value Portfolio Investment Advisors

Portfolio Assets Managed
Investment Advisor	%		$ Million		Investment Strategy
Lazard Asset Management LLC		56		549	Employs a relative-value approach that seeks a combination of attractive valuation and high financial productivity. The process is research-driven, relying upon bottom-up stock analysis performed by the firm’s global sector analysts.
Hotchkis and Wiley Capital Management, LLC		39		377	Uses a disciplined investment approach, focusing on such investment parameters as a company’s tangible assets, sustainable cash flow, and potential for improving business performance.
Cash Investments		5		48	These short-term reserves are invested by Vanguard in equity index products to simulate investment in stocks. Each advisor may also maintain a modest cash position.

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Diversified Value Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 table below illustrates your portfolio’s costs in two ways:

•   Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•   Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019

	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Diversified Value Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,093.75	$1.27
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.00	1.22

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.24%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

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Diversified Value Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019

Initial Investment of $10,000

 

		Average Annual Total Returns			Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	Diversified Value Portfolio	25.70%	7.33%	10.36%	$26,795
	Russell 1000 Value Index	26.54	8.29	11.80	30,505
	Dow Jones U.S. Total Stock Market Float Adjusted Index	30.90	11.18	13.43	35,251

See Financial Highlights for dividend and capital gains information.

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Diversified Value Portfolio

Sector Diversification

As of December 31, 2019

Communication Services	8.9%
Consumer Discretionary	8.3
Consumer Staples	6.6
Energy	7.5
Financials	19.4
Health Care	14.0
Industrials	11.9
Information Technology	19.8
Materials	1.1
Real Estate	1.2
Utilities	1.3

The table reflects the portfolio’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

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Diversified Value Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

			Market
			Value•
		Shares	($000	)
Common Stocks (96.3%)1
Communication Services (8.5%)
*	Alphabet Inc. Class A	23,255	31,148
	Walt Disney Co.	61,501	8,895
*	Discovery Inc. Series C	263,279	8,027
	Vodafone Group plc ADR	351,149	6,788
	Comcast Corp. Class A	150,238	6,756
*	Electronic Arts Inc.	57,465	6,178
	News Corp. Class A	331,144	4,682
	Activision Blizzard Inc.	60,181	3,576
	ViacomCBS Inc. Class B	76,923	3,228
	Interpublic Group of Cos. Inc.	86,012	1,987
	Omnicom Group Inc.	22,891	1,855
			83,120
Consumer Discretionary (7.9%)
	McDonald’s Corp.	91,193	18,021
	Lowe’s Cos. Inc.	127,310	15,246
	General Motors Co.	295,783	10,826
	Ross Stores Inc.	71,557	8,331
	Dollar General Corp.	46,730	7,289
	Magna International Inc.	102,075	5,598
	Aptiv plc	42,375	4,024
	Goodyear Tire & Rubber Co.	202,508	3,150
	Harley-Davidson Inc.	62,517	2,325
*	Adient plc	88,537	1,881
			76,691
Consumer Staples (6.4%)
	Coca-Cola Co.	404,197	22,372
	Procter & Gamble Co.	133,627	16,690
	Mondelez International Inc. Class A	198,069	10,910
	Kimberly-Clark Corp.	51,651	7,105
	Unilever plc ADR	91,393	5,225
			62,302
Energy (7.2%)
	ConocoPhillips	172,704	11,231
	Chevron Corp.	87,929	10,596
	Hess Corp.	109,212	7,297
	National Oilwell Varco Inc.	287,615	7,205
	Marathon Oil Corp.	482,787	6,556
	Royal Dutch Shell plc ADR	101,636	5,995
	Apache Corp.	227,253	5,815
	Murphy Oil Corp.	183,894	4,928
	Halliburton Co.	135,779	3,323
	Marathon Petroleum Corp.	54,843	3,304
	EOG Resources Inc.	36,704	3,074
	Kosmos Energy Ltd.	218,705	1,247
			70,571
Financials (19.0%)
	Bank of America Corp.	879,081	30,961
	Intercontinental Exchange Inc.	218,880	20,257
	Wells Fargo & Co.	315,033	16,949
	American International Group Inc.	315,202	16,179
	Citigroup Inc.	164,953	13,178
	Aon plc	53,122	11,065
	Goldman Sachs Group Inc.	47,790	10,988
	Capital One Financial Corp.	77,472	7,973
	PNC Financial Services Group Inc.	45,123	7,203
	Travelers Cos. Inc.	42,182	5,777
	AXA Equitable Holdings Inc.	226,264	5,607
	Citizens Financial Group Inc.	135,361	5,497
	Commerce Bancshares Inc.	74,055	5,031
	Morgan Stanley	77,157	3,944
	JPMorgan Chase & Co.	28,184	3,929
	Bank of New York Mellon Corp.	73,534	3,701
	State Street Corp.	46,610	3,687
	Discover Financial Services	40,777	3,459
	E*TRADE Financial Corp.	68,533	3,109
	Navient Corp.	207,852	2,844
	Fifth Third Bancorp	63,123	1,940
	CIT Group Inc.	35,852	1,636
			184,914
Health Care (13.5%)
	Medtronic plc	255,703	29,010
	Johnson & Johnson	140,364	20,475
	Anthem Inc.	38,608	11,661
	Pfizer Inc.	255,779	10,021
	Danaher Corp.	64,827	9,950
	Thermo Fisher Scientific Inc.	21,113	6,859
	Humana Inc.	18,270	6,696
	GlaxoSmithKline plc ADR	129,516	6,086
*	Laboratory Corp. of America Holdings	34,920	5,907
	Zoetis Inc.	39,242	5,194
	CVS Health Corp.	69,632	5,173
*	Elanco Animal Health Inc.	117,021	3,446
	Sanofi ADR	61,264	3,075
*	Biogen Inc.	6,988	2,074
	HCA Healthcare Inc.	13,649	2,018
*	Centene Corp.	31,960	2,009
	Zimmer Biomet Holdings Inc.	13,211	1,977
			131,631
Industrials (11.5%)
	General Electric Co.	1,645,022	18,358
	Honeywell International Inc.	102,206	18,090
	Raytheon Co.	48,993	10,766
	Norfolk Southern Corp.	47,505	9,222
	Cummins Inc.	45,351	8,116
	CNH Industrial NV	695,334	7,649
	Deere & Co.	42,901	7,433
	Caterpillar Inc.	42,786	6,319
	Boeing Co.	14,889	4,850
	FedEx Corp.	25,573	3,867
	Spirit AeroSystems Holdings Inc. Class A	50,374	3,671
	Eaton Corp. plc	31,408	2,975
	3M Co.	16,300	2,876
	Johnson Controls International plc	66,745	2,717
	PACCAR Inc.	23,620	1,868
	Fluor Corp.	85,250	1,610
*	Embraer SA ADR	66,511	1,296
	JB Hunt Transport Services Inc.	124	15
			111,698
Information Technology (18.8%)
	Microsoft Corp.	285,031	44,949
	Apple Inc.	61,954	18,193
	Cisco Systems Inc.	331,706	15,909
	Visa Inc. Class A	80,353	15,098
	Analog Devices Inc.	101,482	12,060
	Texas Instruments Inc.	92,556	11,874
	Oracle Corp.	209,864	11,119
	Corning Inc.	281,530	8,195
	Hewlett Packard Enterprise Co.	503,407	7,984
	Accenture plc Class A	32,752	6,897
	Fidelity National Information Services Inc.	42,920	5,970
*	Palo Alto Networks Inc.	23,320	5,393
	Skyworks Solutions Inc.	39,033	4,718
	Telefonaktiebolaget LM Ericsson ADR	463,415	4,069
	Motorola Solutions Inc.	23,371	3,766
	TE Connectivity Ltd.	31,460	3,015
*	PTC Inc.	39,446	2,954
*	Teradata Corp.	49,813	1,333
			183,496
Materials (1.1%)
	Vulcan Materials Co.	37,048	5,334
	International Paper Co.	113,697	5,236
			10,570
Real Estate (1.1%)
	Prologis Inc.	120,848	10,773
Utilities (1.3%)
	PPL Corp.	235,955	8,466
	Southern Co.	60,423	3,849
			12,315
Total Common Stocks (Cost $900,043)			938,081
Temporary Cash Investments (2.9%)1
Money Market Fund (2.9%)
2	Vanguard Market Liquidity Fund, 1.816% (Cost $28,157)	281,534	28,156
Total Investments (99.2%) (Cost $928,200)			966,237

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Diversified Value Portfolio

	Amount
	($000	)
Other Assets and Liabilities (0.8%)
Other Assets
Investment in Vanguard	43
Receivables for Investment Securities Sold	996
Receivables for Accrued Income	839
Receivables for Capital Shares Issued	441
Other Assets3	6,368
Total Other Assets	8,687
Liabilities
Payables for Investment Securities Purchased	(253	)
Payables to Investment Advisor	(48	)
Payables to Vanguard	(827	)
Variation Margin Payable—Futures Contracts	(71	)
Total Liabilities	(1,199	)
Net Assets (100%)
Applicable to 59,192,714 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	973,725
Net Asset Value Per Share	$16.45

At December 31, 2019, net assets consisted of:

	Amount
	($000	)
Paid-in Capital	767,905
Total Distributable Earnings (Loss)	205,820
Net Assets	973,725

• See Note A in Notes to Financial Statements.

* Non-income-producing security.

1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the portfolio’s effective common stock and temporary cash investment positions represent 99.1% and 0.1%, respectively, of net assets.

2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

3 Cash of $863,000 has been segregated as initial margin for open futures contracts.

ADR—American Depositary Receipt.

Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
					($000	)
					Value and
		Number of			Unrealized
		Long (Short	)	Notional	Appreciation
	Expiration	Contracts		Amount	(Depreciation	)
Long Futures Contracts
E-mini S&P 500 Index	March 2020	166		26,818	293

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

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Diversified Value Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000	)
Investment Income
Income
Dividends1	24,343
Interest2	352
Securities Lending—Net	2
Total Income	24,697
Expenses
Investment Advisory Fees—Note B
Basic Fee	1,091
Performance Adjustment	(296	)
The Vanguard Group—Note C
Management and Administrative	1,359
Marketing and Distribution	84
Custodian Fees	7
Auditing Fees	30
Shareholders’ Reports	11
Trustees’ Fees and Expenses	1
Total Expenses	2,287
Net Investment Income	22,410
Realized Net Gain (Loss)
Investment Securities Sold2	147,691
Futures Contracts	324
Realized Net Gain (Loss)	148,015
Change in Unrealized Appreciation (Depreciation)
Investment Securities2	43,184
Futures Contracts	293
Change in Unrealized Appreciation (Depreciation)	43,477
Net Increase (Decrease) in Net Assets Resulting from Operations	213,902

1 Dividends are net of foreign withholding taxes of $147,000.

2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the portfolio were $352,000, ($9,000), and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.

Statement of Changes in Net Assets

	Year Ended December 31,
	2019		2018
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	22,410		27,150
Realized Net Gain (Loss)	148,015		54,769
Change in Unrealized Appreciation (Depreciation)	43,477		(172,551	)
Net Increase (Decrease) in Net Assets Resulting from Operations	213,902		(90,632	)
Distributions
Net Investment Income	(27,864	)	(27,747	)
Realized Capital Gain1	(55,311	)	(54,228	)
Total Distributions	(83,175	)	(81,975	)
Capital Share Transactions
Issued	72,081		95,428
Issued in Lieu of Cash Distributions	83,175		81,975
Redeemed	(199,650	)	(254,507	)
Net Increase (Decrease) from Capital Share Transactions	(44,394	)	(77,104	)
Total Increase (Decrease)	86,333		(249,711	)
Net Assets
Beginning of Period	887,392		1,137,103
End of Period	973,725		887,392

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $1,913,000 and $420,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

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Diversified Value Portfolio

Financial Highlights

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$14.33	$17.04	$17.11	$16.55	$18.65
Investment Operations
Net Investment Income	.3641	.4121	.4011	.496	.471
Net Realized and Unrealized Gain (Loss) on Investments	3.135	(1.872)	1.658	1.468	(.901)
Total from Investment Operations	3.499	(1.460)	2.059	1.964	(.430)
Distributions
Dividends from Net Investment Income	(.462)	(.423)	(.491)	(.461)	(.466)
Distributions from Realized Capital Gains	(.917)	(.827)	(1.638)	(.943)	(1.204)
Total Distributions	(1.379)	(1.250)	(2.129)	(1.404)	(1.670)
Net Asset Value, End of Period	$16.45	$14.33	$17.04	$17.11	$16.55
Total Return	25.70%	-9.12%	13.16%	12.96%	-2.45%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$974	$887	$1,137	$1,130	$1,060
Ratio of Total Expenses to Average Net Assets2	0.24%	0.25%	0.27%	0.27%	0.28%
Ratio of Net Investment Income to Average Net Assets	2.39%	2.58%	2.45%	3.01%	2.55%
Portfolio Turnover Rate	117%	18%	18%	34%	13%

1 Calculated based on average shares outstanding.

2 Includes performance-based investment advisory fee increases (decreases) of (0.03%), (0.03%), (0.03%), (0.03%), and (0.03%).

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

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Diversified Value Portfolio

Notes to Financial Statements

The Diversified Value Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The portfolio 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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the portfolio’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value.

2. Futures Contracts: The portfolio uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The portfolio may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the portfolio 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 portfolio 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 portfolio’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).

During the year ended December 31, 2019, the portfolio’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

3. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

5. Securities Lending: To earn additional income, the portfolio lends its securities to qualified institutional borrowers. Security loans are subject to termination by the portfolio at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The portfolio further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the portfolio may experience delays and costs in recovering the securities loaned. The portfolio invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents

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Diversified Value Portfolio

fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the portfolio is entitled to all distributions made on or in respect of the loaned securities.

6. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

7. Other: Dividend income is recorded on the ex-dividend date. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

B.  Beginning December 2019, Lazard Asset Management LLC and Hotchkis and Wiley Capital Management, LLC, each provide investment advisory services to a portion of the portfolio for a fee calculated at an annual percentage rate of average net assets managed by the advisor. In accordance with the advisory contracts entered into with Lazard Asset Management LLC and Hotchkis and Wiley Capital Management, LLC, beginning January 1, 2021, the investment advisory fees will be subject to quarterly adjustments based on performance relative to the S&P 500 Index and the Russell 1000 Value Index, respectively, since December 31, 2019. Until November 2019, the portfolio was managed by Barrow, Hanley, Mewhinney & Strauss, LLC. The basic fee paid to Barrow, Hanley, Mewhinney & Strauss, LLC, was subject to quarterly adjustments based on performance relative to the MSCI Prime Market 750 Index for the preceding three years.

Vanguard manages the cash reserves of the portfolio as described below.

For the year ended December 31, 2019, the aggregate investment advisory fee represented an effective annual basic rate of 0.12% of the portfolio’s average net assets, before a decrease of $296,000 (0.03%) based on performance.

C.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio corporate management, administrative, marketing, distribution, and cash management services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the portfolio based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $43,000, representing less than 0.01% of the portfolio’s net assets and 0.02% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

D.  Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

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Diversified Value Portfolio

At December 31, 2019, 100% of the market value of the portfolio’s investments and derivatives was determined based on Level 1 inputs.

E.  Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	24,069
Undistributed Long-Term Gains	144,460
Capital Loss Carryforwards (Non-expiring)	—
Net Unrealized Gains (Losses)	38,037

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	928,200
Gross Unrealized Appreciation	72,403
Gross Unrealized Depreciation	(34,366	)
Net Unrealized Appreciation (Depreciation)	38,037

F.  During the year ended December 31, 2019, the portfolio purchased $1,071,139,000 of investment securities and sold $1,187,952,000 of investment securities, other than temporary cash investments.

G.  Capital shares issued and redeemed were:

	Year Ended December 31,
	2019		2018
	Shares		Shares
	(000	)	(000	)
Issued	4,725		5,928
Issued in Lieu of Cash Distributions	5,732		5,292
Redeemed	(13,173	)	(16,026	)
Net Increase (Decrease) in Shares Outstanding	(2,716	)	(4,806	)

At December 31, 2019, two shareholders (each an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders) were each a record or beneficial owner of 25% or more of the portfolio’s net assets, with a combined ownership of 72%. If any of these shareholders were to redeem their investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

H.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

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Diversified Value Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Diversified Value Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Diversified Value Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Diversified Value Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $53,398,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For corporate shareholders, 78.8% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

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Diversified Value Portfolio

Trustees Approve Advisory Arrangements

Effective November 2019, the board of trustees of Vanguard Variable Insurance Fund Diversified Value Portfolio approved a restructuring of the portfolio’s investment advisory arrangements whereby Hotchkis and Wiley Capital Management, LLC (Hotchkis and Wiley), and Lazard Asset Management LLC (Lazard) have been added as advisors and Barrow, Hanley, Mewhinney & Strauss, LLC, has been removed as an advisor to the portfolio. The board determined that the foregoing actions were in the best interests of the portfolio and its shareholders.

The board based its decision upon an evaluation of each 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 will meet regularly with the advisors and make monthly presentations to the board during the fiscal year that direct the board’s focus to relevant information and topics.

The board, or an investment committee made up of board members, will also receive information throughout the year during advisor presentations. For each advisor presentation, the board will be provided with letters and reports that include 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 will receive monthly reports, which include a Market and Economic Report, a Fund Dashboard Monthly Summary, and a Fund Performance Report.

Prior to their meeting to determine whether to renew the advisory arrangements, the trustees will be provided with a memo and materials that summarize the information they receive over the course of the year. They will also consider the factors discussed below, among others. However, no single factor will determine whether the board approves the arrangements. Rather, it will be the totality of the circumstances that drives the board’s decision.

Nature, extent, and quality of services

The board considered the quality of the investment management services to be provided by Hotchkis and Wiley and Lazard and took into account the organizational depth and stability of each advisor. The board considered the following:

Hotchkis and Wiley. Founded in 1980, Hotchkis and Wiley is a value-oriented firm that manages various large-, mid-, and small-cap portfolios. The investment team employs a disciplined, value-oriented investment strategy with a particular focus on long-run, normalized earnings. It has stayed true to this approach, even when it is out of favor. Though Hotchkis and Wiley is normally categorized as a deep-value firm, it also describes its approach as being more adaptable and driven by market opportunity. The portfolio is currently selling at an attractive valuation relative to its benchmark, as the valuation spread has continued to widen, and it consistently sells at a discount to the value benchmark and peers. Hotchkis and Wiley has managed a portion of the portfolio since December 2019.

Lazard.Lazard, a subsidiary of the investment bank Lazard Ltd., provides investment management services for clients around the world in a variety of investment mandates, including international equities, domestic equities, and fixed income securities. The investment team employs its U.S. Equity Select strategy to organize its holdings into compounder and improver categories. These firms have sustainably high returns and free cash flow and the ability to increase capital, cash flow, and competitive advantage over time. Compounders will normally represent 60%–80% of the portfolio. Improvers are companies with significantly improving financial productivity. These companies’ current valuations represent an excessively pessimistic view of future returns and free cash flow. These stocks will typically represent 20%–40% of the portfolio. Lazard has managed a portion of the portfolio since December 2019.

The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted approval of the advisory arrangements.

Investment performance

The board concluded that Hotchkis and Wiley and Lazard, in their management of other Vanguard funds, have track records of consistent performance and disciplined investment processes.

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Diversified Value Portfolio

Cost

The board considered the cost of services to be provided and competitive fee rates and concluded that the portfolio’s advisory fee rates and expense ratio under the new advisory arrangements should remain below the advisory fee rates and expense ratios of the portfolio’s peers.

The board did not consider the profitability of Hotchkis and Wiley and Lazard in determining whether to approve the advisory fees, because the firms are independent of Vanguard and the advisory fees are the result of arm’s-length negotiations.

The benefit of economies of scale

The board concluded that the portfolio will realize economies of scale that are built into the advisory fee rates negotiated with Hotchkis and Wiley and Lazard without any need for asset-level breakpoints. The advisory fee rates are very low relative to the average rate paid by funds in the portfolio’s peer group.

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

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Equity Income Portfolio

Your Portfolio’s Performance at a Glance

•  For the 12 months ended December 31, 2019, the Equity Income Portfolio of Vanguard Variable Insurance Fund returned 24.43%, slightly above the 24.24% return of its benchmark, the FTSE High Dividend Yield Index.

•  Stocks and bonds recorded their best results in years. Stocks benefited from accommodative monetary policies implemented by the Federal Reserve and other major central banks. Less-risky assets such as bonds also attracted investors as the U.S.-China trade conflict fueled global economic growth concerns.

•  Positive selection in health care, energy, and financials boosted performance, as did an overweight allocation to real estate. The portfolio’s positions in materials and communication services detracted the most from performance.

•  Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer
		Average Annual Total Returns
		Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

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Equity Income Portfolio

Advisors’ Report

The Equity Income Portfolio returned 24.43% for the 12 months ended December 31, 2019. The performance of the portfolio was slightly higher than the 24.24% return of its benchmark, the FTSE High Dividend Yield Index.

The portfolio is managed by two independent advisors, a strategy that enhances diversification by providing exposure to distinct yet complementary investment approaches. It is not uncommon for different advisors to have different views about individual securities or the broader investment environment.

The advisors, the amount and percentage of the portfolio’s assets each manages, and brief descriptions of their investment strategies are presented in the accompanying table. Each advisor has also provided a discussion of the investment environment that existed during the 12 months and its effect on the portfolio’s positioning. These comments were prepared on January 20, 2020.

Wellington Management Company LLP

Portfolio Manager:

W. Michael Reckmeyer, III, CFA,

Senior Managing Director

The investment environment

U.S. equities, as measured by the Standard & Poor’s 500 Index, posted positive results for the 12 months.

In the first quarter of 2019, U.S. equities rallied to their largest quarterly gain since 2009, buoyed by a dovish shift in Federal Reserve policy and guidance, optimism for a U.S.-China trade deal, relatively strong fourth-quarter 2018 earnings, and corporate stock buybacks. By the summer of 2019, unresolved U.S. trade frictions with China, Mexico, Japan, and the European Union unsettled markets and raised concerns about the potential risks to U.S. economic growth from increasing cost pressures, supply chain disruptions, and waning business confidence and unsettled investment plans.

In an effort to sustain economic expansion and mitigate the risks of moderating growth and trade tensions, the Fed lowered its benchmark interest rate in August and September by a combined 50 basis points. U.S. equities surged in the fourth quarter, as stocks benefited from diminished recession fears, improved trade sentiment, and accommodative Fed policies.

In October, the Fed lowered interest rates for the final time in 2019 by 25 basis points. The outlook for U.S.-China trade relations was volatile but eased in December after news of a “phase one” trade agreement. Also in December, the U.S. House of Representatives voted to impeach President Trump. Markets were unaffected, however, given that the Republican-led Senate appeared unlikely to vote to remove President Trump from office.

Our successes and shortfalls

During the course of 2019, our portion of the portfolio benefited from strong stock selection. In particular, our holdings in health care, energy, and financials contributed most to relative performance. This was partially offset by weaker security selection in the communication services, materials, and utilities sectors. Sector allocation, a result of our bottom-up selection process, detracted from overall results because of our underweight positions in information technology and financials and our overweight position in health care and a small cash position.

Top contributors to relative performance included our out-of-benchmark positions in Bank of America and TC Energy, an overweight to KLA, and our decision not to own benchmark constituent AbbVie. We initiated a new position in UnitedHealth in the first half of the year, which also benefited relative results as the stock posted strong returns.

Individual detractors included Unilever and our decision to eliminate QUALCOMM, which ended the period with strong gains. Not owning AT&T and Target also weighed on relative results as both stocks outperformed.

At the end of 2019, we were most overweighted in the industrials, health care, and real estate sectors. We were most underweighted in the consumer discretionary, consumer staples, and materials sectors.

Our largest new positions during the year included Progressive, UnitedHealth, and Truist Financial. We also added to our positions in Bank of America and Pfizer. We eliminated our stakes in Wells Fargo, DuPont, and Occidental Petroleum. We trimmed our positions in Eli Lilly and Analog Devices.

As always, we remain focused on finding investment opportunities in quality dividend-paying companies with superior total return potential at discounted valuations.

Vanguard Quantitative Equity Group

Portfolio Managers:

James P. Stetler

Binbin Guo, Principal, Head of Alpha Equity Investments

Investment environment

Stocks in the United States surged in 2019, outperforming their international counterparts. The S&P 500 Index returned 31.49%, while the FTSE Global All Cap ex US Index returned 21.80%. The primary catalysts for the strong results were accommodative monetary policy by the U.S. Federal Reserve, corporate earnings, and an easing of geopolitical tensions near the end of the year.

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Equity Income Portfolio

The 12 months began with concerns about moderating economic growth, tightening fiscal policy, and geopolitical tensions. However, the market quickly pivoted and produced strong results in the first quarter of 2019 because of more supportive rhetoric from the Fed, the perception of easing tensions between the U.S. and China, and solid corporate earnings. Concerns grew about corporate earnings and geopolitical risks midyear. But the combination of stabilizing economic data, accommodative central banks, and the completion of a U.S.-China “phase one” trade deal boosted equities later.

The Fed ended the fiscal year by reversing course from the previous year and pursuing a pro-market policy. After raising interest rates by 25 basis points in December 2018, the Fed cut them three times by a combined 75 basis points over the course of 2019. The signing of the U.S.-China trade deal provided more certainty and helped produce a more supportive environment. Corporate earnings for the 12 months remained resilient, if not spectacular.

The broad fixed income markets generated positive returns, primarily because of stronger-than-expected growth, tame inflation, and continued central bank monetary support. Against this backdrop, U.S. Treasury yields fell and the Bloomberg Barclays U.S. Aggregate Float Adjusted Index returned 8.87% for the year. Sovereign yields also declined in most markets following the injection of monetary stimulus by the Fed and the European Central Bank. The Bloomberg Barclays Global Aggregate ex-USD Float Adjusted RIC Capped Index Hedged returned 8.06%.

Investment strategy

While it’s important to understand how overall performance is affected by the macroeconomic factors described above, our approach to investing focuses on specific fundamentals, not technical analysis of stock price movements.

We use a strict quantitative approach to evaluate a stock’s attractiveness based on five characteristics: high quality—healthy balance sheets and steady cash-flow generation; management decisions—sound investment policies that favor internal over external funding; consistent earnings growth—the ability to grow earnings year after year; strong market sentiment—market confirmation of our view; and reasonable valuation—we strive to avoid overpriced stocks.

The interaction of these characteristics generates an expected return that seeks to capitalize on investor biases. We then construct our portfolio with the goal of maximizing these expected returns and minimizing exposure to risks that our research indicates do not improve returns, such as industry selection and other risks relative to our benchmark.

Portfolio update

Against this fiscal year’s unusual backdrop, our management decisions, quality, and growth models detracted, while our sentiment and valuation models aided relative performance. In the case of valuation, results were helped by the fact that our portfolio had negative exposure to this model.

Results lagged the benchmark in all 11 industry sectors. Consumer discretionary, energy, and industrials detracted the most from relative performance. At the individual stock level, the greatest shortfalls came from overweighting ADTRAN, Tailored Brands, National Presto Industries, General Electric, and Unum Group. The strongest results came from overweights to Cypress Semiconductor and Kraft Heinz. Underweights to Pfizer, 3M, and Carnival also helped results.

We continue to believe that constructing a portfolio focused on fundamentals will benefit investors over the long term, although we recognize that the market can reward or punish us in the near term. We believe our portfolio offers a strong mix of stocks with attractive growth, sentiment, and value characteristics.

Equity Income Portfolio Investment Advisors
	Portfolio Assets Managed
Investment Advisor	%	$ Million	Investment Strategy
Wellington Management Company LLP	62	1,152	Employs a fundamental approach to identify desirable individual stocks, seeking those that typically offer above-average dividend yields, below-average valuations, and the potential for dividend increases in the future.
Vanguard Quantitative Equity Group	34	616	Employs a quantitative approach that focuses on fundamental factors, using models that assess valuation, growth prospects, management decisions, market sentiment, and earnings and balance-sheet quality of companies as compared with their peers.
Cash Investments	4	66	These short-term reserves are invested by Vanguard in equity index products to simulate investment in stocks. Each advisor may also maintain a modest cash position.

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Equity Income Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 table below illustrates your portfolio’s costs in two ways:

•  Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•  Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Equity Income Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,088.74	$1.58
Based on Hypothetical 5% Yearly Return	1,000.00	1,023.69	1.53

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.30%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

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Equity Income Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019

Initial Investment of $10,000

 

			Average Annual Total Returns		Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	Equity Income Portfolio	24.43%	9.93%	12.81%	$33,366
	FTSE High Dividend Yield Index	24.24	9.86	12.95	33,796
	Dow Jones U.S. Total Stock Market Float Adjusted Index	30.90	11.18	13.43	35,251

See Financial Highlights for dividend and capital gains information.

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Equity Income Portfolio

Sector Diversification

As of December 31, 2019

Communication Services	6.7%
Consumer Discretionary	4.5
Consumer Staples	12.2
Energy	7.8
Financials	18.6
Health Care	17.0
Industrials	10.1
Information Technology	11.1
Materials	2.8
Real Estate	1.5
Utilities	7.7
The table reflects the portfolio’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

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Equity Income Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

			Market
			Value•
		Shares	($000)
Common Stocks (95.6%)1
Communication Services (6.1%)
	Verizon Communications Inc.	803,612	49,342
	Comcast Corp. Class A	782,221	35,177
	AT&T Inc.	318,854	12,461
	BCE Inc.	124,290	5,758
	CenturyLink Inc.	274,506	3,626
	Omnicom Group Inc.	24,505	1,985
	Meredith Corp.	45,001	1,461
	TEGNA Inc.	52,407	875
	Cogent Communications Holdings Inc.	9,007	593
	National CineMedia Inc.	63,140	460
			111,738
Consumer Discretionary (3.9%)
	Home Depot Inc.	85,502	18,672
	McDonald’s Corp.	49,702	9,822
	Lowe’s Cos. Inc.	69,339	8,304
	Target Corp.	54,357	6,969
	Cie Generale des Etablissements Michelin SCA	42,377	5,215
	Carnival Corp.	88,049	4,476
	Whirlpool Corp.	24,493	3,613
	General Motors Co.	92,281	3,377
	International Game Technology plc	223,427	3,345
	Autoliv Inc.	39,045	3,296
	Big Lots Inc.	39,718	1,141
	Dine Brands Global Inc.	11,701	977
	Kontoor Brands Inc.	18,583	780
	Newell Brands Inc.	39,110	752
	Best Buy Co. Inc.	5,524	485
	H&R Block Inc.	16,242	381
	Ethan Allen Interiors Inc.	14,470	276
			71,881
Consumer Staples (12.1%)
	Philip Morris International Inc.	383,013	32,590
	Coca-Cola Co.	547,960	30,329
	Procter & Gamble Co.	240,770	30,072
	PepsiCo Inc.	151,855	20,754
	Unilever NV	310,236	17,826
	Walmart Inc.	127,103	15,105
	Sysco Corp.	156,768	13,410
	Archer-Daniels-Midland Co.	271,728	12,595
	Mondelez International Inc. Class A	223,274	12,298
	Nestle SA	87,873	9,514
	Kimberly-Clark Corp.	40,918	5,628
	Kraft Heinz Co.	130,059	4,179
	Bunge Ltd.	63,233	3,639
	Coca-Cola European Partners plc	69,714	3,547
	Campbell Soup Co.	68,933	3,407
	Coty Inc. Class A	277,896	3,126
	Altria Group Inc.	38,319	1,912
^	B&G Foods Inc.	33,476	600
	Spectrum Brands Holdings Inc.	7,790	501
	SpartanNash Co.	16,062	229
	Colgate-Palmolive Co.	2,159	149
			221,410
Energy (7.7%)
	Chevron Corp.	309,920	37,348
	Exxon Mobil Corp.	480,409	33,523
	Suncor Energy Inc.	674,745	22,132
^	TC Energy Corp. (XTSE)	271,381	14,454
	Phillips 66	93,145	10,377
	Kinder Morgan Inc.	463,755	9,818
	CVR Energy Inc.	78,214	3,162
	Murphy Oil Corp.	98,514	2,640
	ConocoPhillips	38,497	2,503
	Delek US Holdings Inc.	70,562	2,366
	Helmerich & Payne Inc.	32,114	1,459
	Valero Energy Corp.	10,011	938
	Schlumberger Ltd.	13,007	523
			141,243
Financials (18.3%)
	JPMorgan Chase & Co.	529,572	73,822
	Bank of America Corp.	1,130,841	39,828
	MetLife Inc.	455,084	23,196
	PNC Financial Services Group Inc.	110,185	17,589
	Progressive Corp.	241,198	17,460
	Truist Financial Corp.	270,712	15,246
	Citigroup Inc.	167,536	13,384
	Chubb Ltd.	68,728	10,698
	Marsh & McLennan Cos. Inc.	95,758	10,668
	Wells Fargo & Co.	193,952	10,435
	M&T Bank Corp.	56,105	9,524
	American International Group Inc.	151,629	7,783
	US Bancorp	129,193	7,660
	BlackRock Inc.	15,195	7,639
	Travelers Cos. Inc.	53,614	7,342
	Principal Financial Group Inc.	90,334	4,968
	Morgan Stanley	97,054	4,961
	Aflac Inc.	92,344	4,885
	Regions Financial Corp.	252,659	4,336
	Fifth Third Bancorp	139,942	4,302
	Synchrony Financial	114,325	4,117
	Prudential Financial Inc.	42,949	4,026
	AXA Equitable Holdings Inc.	145,399	3,603
	Unum Group	116,259	3,390
	FNB Corp.	265,801	3,376
	Popular Inc.	56,829	3,339
	Navient Corp.	234,038	3,202
	First American Financial Corp.	53,643	3,128
	Ameriprise Financial Inc.	18,451	3,074
	PacWest Bancorp	78,942	3,021
	Columbia Banking System Inc.	31,667	1,288
	Bank of NT Butterfield & Son Ltd.	29,710	1,100
	OneMain Holdings Inc.	19,494	822
	CME Group Inc.	4,056	814
	Great Western Bancorp Inc.	20,606	716
	Citizens Financial Group Inc.	11,841	481
			335,223
Health Care (16.5%)
	Johnson & Johnson	366,099	53,403
	Pfizer Inc.	1,075,098	42,122
	Merck & Co. Inc.	408,367	37,141
	Eli Lilly & Co.	194,802	25,603
	UnitedHealth Group Inc.	59,671	17,542
	Bristol-Myers Squibb Co.	266,217	17,088
	Medtronic plc	149,080	16,913
	Koninklijke Philips NV	317,922	15,541
	Roche Holding AG	45,358	14,741
	CVS Health Corp.	190,002	14,115
	Novartis AG	138,100	13,077
	AstraZeneca plc ADR	240,366	11,985
	AbbVie Inc.	117,792	10,429
	Gilead Sciences Inc.	85,856	5,579
	Amgen Inc.	19,150	4,617
	Cardinal Health Inc.	54,295	2,746
	Patterson Cos. Inc.	47,057	964
			303,606
Industrials (9.7%)
	Lockheed Martin Corp.	67,128	26,138
	Deere & Co.	106,429	18,440
	Union Pacific Corp.	90,397	16,343
	Eaton Corp. plc	162,798	15,420
	Caterpillar Inc.	101,876	15,045
	Ingersoll-Rand plc	82,173	10,922
	United Technologies Corp.	70,792	10,602
	Honeywell International Inc.	59,845	10,593
	Raytheon Co.	37,673	8,278
	BAE Systems plc	1,021,533	7,649
	3M Co.	39,047	6,889
	PACCAR Inc.	57,642	4,559
	General Electric Co.	302,780	3,379
	Nielsen Holdings plc	149,792	3,041
	Copa Holdings SA Class A	25,892	2,798
	Hubbell Inc. Class B	17,649	2,609
	Triton International Ltd.	64,643	2,599
	H&E Equipment Services Inc.	69,180	2,313
	CH Robinson Worldwide Inc.	23,064	1,804
	Cummins Inc.	9,493	1,699
	Johnson Controls International plc	36,440	1,483
	United Parcel Service Inc. Class B	12,297	1,440
	Macquarie Infrastructure Corp.	24,875	1,066
	KAR Auction Services Inc.	39,945	870
	Emerson Electric Co.	9,108	695
	Mobile Mini Inc.	17,816	675
	McGrath RentCorp	5,989	458
	Illinois Tool Works Inc.	1,678	301
			178,108

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Equity Income Portfolio

			Market
			Value•
		Shares	($000)
Information Technology (9.7%)
	Cisco Systems Inc.	818,958	39,277
	Intel Corp.	645,513	38,634
	Analog Devices Inc.	111,038	13,196
	Corning Inc.	400,662	11,663
	TE Connectivity Ltd.	119,584	11,461
	KLA Corp.	60,827	10,838
	Texas Instruments Inc.	77,352	9,923
	International Business Machines Corp.	48,272	6,470
	Broadcom Inc.	20,020	6,327
	HP Inc.	244,431	5,023
	QUALCOMM Inc.	53,210	4,695
	Maxim Integrated Products Inc.	67,296	4,139
	Seagate Technology plc	65,462	3,895
	ManTech International Corp. Class A	38,260	3,056
	Xperi Corp.	148,482	2,747
	Western Digital Corp.	31,683	2,011
	ADTRAN Inc.	187,358	1,853
	Western Union Co.	61,911	1,658
	Automatic Data Processing Inc.	7,074	1,206
			178,072
Materials (2.6%)
	Celanese Corp. Class A	96,211	11,846
	Dow Inc.	205,342	11,238
	Corteva Inc.	137,363	4,060
	Nutrien Ltd.	79,046	3,787
	Reliance Steel & Aluminum Co.	30,625	3,668
	CF Industries Holdings Inc.	67,885	3,241
	Scotts Miracle-Gro Co.	29,404	3,122
	Linde plc	14,401	3,066
	DuPont de Nemours Inc.	30,298	1,945
	International Paper Co.	21,428	987
	Air Products & Chemicals Inc.	3,554	835
	Trinseo SA	14,213	529
			48,324
Real Estate (1.3%)
	Crown Castle International Corp.	161,878	23,011
	Kennedy-Wilson Holdings Inc.	37,927	846
			23,857
Utilities (7.7%)
	Sempra Energy	132,847	20,124
	Dominion Energy Inc.	201,912	16,722
	American Electric Power Co. Inc.	150,792	14,251
	NextEra Energy Inc.	56,733	13,738
	Eversource Energy	133,966	11,397
	Exelon Corp.	244,476	11,146
	Duke Energy Corp.	105,245	9,599
	UGI Corp.	195,840	8,844
	Southern Co.	108,217	6,893
	FirstEnergy Corp.	92,547	4,498
	Entergy Corp.	36,195	4,336
	AES Corp.	211,341	4,206
	Evergy Inc.	60,975	3,969
	Clearway Energy Inc.	122,290	2,440
	Hawaiian Electric Industries Inc.	50,074	2,347
	PPL Corp.	49,342	1,770
	Portland General Electric Co.	25,408	1,418
	PNM Resources Inc.	20,714	1,050
	Ameren Corp.	12,302	945
	Clearway Energy Inc. Class A	36,675	701
	Atlantica Yield plc	12,296	325
	IDACORP Inc.	2,840	303
			141,022
Total Common Stocks (Cost $1,423,685)			1,754,484
Temporary Cash Investments (5.2%)1
Money Market Fund (4.4%)
2,3	Vanguard Market
	Liquidity Fund, 1.816%	805,449	80,553

		Face
		Amount
		($000)
Repurchase Agreement (0.6%)
	BNP Paribas Securities Corp. 1.570%, 1/2/20 (Dated 12/31/19, Repurchase Value $11,401,000, collateralized by Federal National Mortgage Assn. 3.000%–4.493%, 9/1/34–10/1/49, Government National Mortgage Assn. 3.250%–4.000%, 2/20/44–12/20/47, U.S. Treasury Bill 0%, 1/16/20–2/27/20, and U.S. Treasury Note/Bond 1.125%–2.625%, 8/15/20–9/30/21 with a value of $11,628,000)	11,400	11,400
U.S. Government and Agency Obligations (0.2%)
4	United States Treasury Bill, 1.641%, 1/9/20	300	300
4	United States Treasury Bill, 1.513%, 1/30/20	100	100
4	United States Treasury Bill, 1.531%, 2/13/20	100	100
4	United States Treasury Bill, 1.546%, 3/26/20	1,100	1,096
4	United States Treasury Bill, 1.527%–1.541%, 4/30/20	1,300	1,293
			2,889
Total Temporary Cash Investments (Cost $94,844)			94,842
Total Investments (100.8%) (Cost $1,518,529)			1,849,326

	Amount
	($000)
Other Assets and Liabilities (-0.8%)
Other Assets
Investment in Vanguard	79
Receivables for Investment Securities Sold	219
Receivables for Accrued Income	2,660
Receivables for Capital Shares Issued	431
Variation Margin Receivable—Futures Contracts	172
Other Assets4	57
Total Other Assets	3,618
Liabilities
Payables for Investment Securities Purchased	(757)
Collateral for Securities on Loan	(15,009)
Payables to Investment Advisor	(309)
Payables for Capital Shares Redeemed	(1,828)
Payables to Vanguard	(835)
Variation Margin Payable—Futures Contracts	(4)
Total Liabilities	(18,742)
Net Assets (100%)
Applicable to 75,884,812 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	1,834,202
Net Asset Value Per Share	$24.17

At December 31, 2019, net assets consisted of:
	Amount
	($000)
Paid-in Capital	1,402,276
Total Distributable Earnings (Loss)	431,926
Net Assets	1,834,202

• See Note A in Notes to Financial Statements.

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $14,300,000.

1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the portfolio’s effective common stock and temporary cash investment positions represent 99.3% and 1.5%, respectively, of net assets.

2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

3 Collateral of $15,009,000 was received for securities on loan.

4 Securities with a value of $2,790,000 and cash of $9,000 have been segregated as initial margin for open futures contracts.
ADR—American Depositary Receipt.

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Equity Income Portfolio

Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
				($000)
				Value and
		Number of		Unrealized
		Long (Short)	Notional	Appreciation
	Expiration	Contracts	Amount	(Depreciation)
Long Futures Contracts
E-mini S&P 500 Index	March 2020	419	67,692	1,013

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

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Equity Income Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000	)
Investment Income
Income
Dividends1	47,576
Interest2	1,796
Securities Lending—Net	137
Total Income	49,509
Expenses
Investment Advisory Fees—Note B
Basic Fee	1,503
Performance Adjustment	96
The Vanguard Group—Note C
Management and Administrative	2,974
Marketing and Distribution	184
Custodian Fees	25
Auditing Fees	34
Shareholders’ Reports	17
Trustees’ Fees and Expenses	2
Total Expenses	4,835
Net Investment Income	44,674
Realized Net Gain (Loss)
Investment Securities Sold2	44,178
Futures Contracts	12,971
Foreign Currencies	5
Realized Net Gain (Loss)	57,154
Change in Unrealized Appreciation (Depreciation)
Investment Securities2	244,753
Futures Contracts	2,635
Foreign Currencies	10
Change in Unrealized Appreciation (Depreciation)	247,398
Net Increase (Decrease) in Net Assets Resulting from Operations	349,226

1 Dividends are net of foreign withholding taxes of $554,000.

2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the portfolio were $1,237,000, $7,000, and $3,000, respectively. Purchases and sales are for temporary cash investment purposes.

Statement of Changes in Net Assets

	Year Ended December 31,
	2019		2018
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	44,674		38,158
Realized Net Gain (Loss)	57,154		96,730
Change in Unrealized Appreciation (Depreciation)	247,398		(221,746	)
Net Increase (Decrease) in Net Assets Resulting from Operations	349,226		(86,858	)
Distributions
Net Investment Income	(39,417	)	(31,643	)
Realized Capital Gain1	(95,726	)	(83,467	)
Total Distributions	(135,143	)	(115,110	)
Capital Share Transactions
Issued	355,641		314,593
Issued in Lieu of Cash Distributions	135,143		115,110
Redeemed	(244,176	)	(226,263	)
Net Increase (Decrease) from Capital Share Transactions	246,608		203,440
Total Increase (Decrease)	460,691		1,472
Net Assets
Beginning of Period	1,373,511		1,372,039
End of Period	1,834,202		1,373,511

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $4,045,000 and $10,108,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

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Financial Highlights

For a Share Outstanding	Year Ended December 31,
Throughout Each Period	2019		2018		2017		2016		2015
Net Asset Value, Beginning of Period	$21.24		$24.64		$22.10		$21.22		$23.04
Investment Operations
Net Investment Income	.619	1	.620	1	.582	1	.568		.597
Net Realized and Unrealized Gain (Loss) on Investments	4.319		(1.977	)	3.275		2.361		(.437	)
Total from Investment Operations	4.938		(1.357	)	3.857		2.929		.160
Distributions
Dividends from Net Investment Income	(.586	)	(.562	)	(.583	)	(.583	)	(.596	)
Distributions from Realized Capital Gains	(1.422	)	(1.481	)	(.734	)	(1.466	)	(1.384	)
Total Distributions	(2.008	)	(2.043	)	(1.317	)	(2.049	)	(1.980	)
Net Asset Value, End of Period	$24.17		$21.24		$24.64		$22.10		$21.22
Total Return	24.43%		-5.96%		18.25%		15.07%		0.85%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$1,834		$1,374		$1,372		$1,172		$940
Ratio of Total Expenses to Average Net Assets2	0.30%		0.29%		0.31%		0.30%		0.31%
Ratio of Net Investment Income to Average Net Assets	2.76%		2.69%		2.56%		2.89%		2.76%
Portfolio Turnover Rate	33%		36%		38%		32%		36%

1 Calculated based on average shares outstanding.

2 Includes performance-based investment advisory fee increases (decreases) of 0.01%, (0.00%), (0.00%), (0.01%), and (0.01%).

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

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Equity Income Portfolio

Notes to Financial Statements

The Equity Income Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The portfolio 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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the portfolio’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the portfolio’s pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. 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.

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

3. Futures Contracts: The portfolio uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The portfolio may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the portfolio 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 portfolio 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 portfolio’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).

During the year ended December 31, 2019, the portfolio’s average investments in long and short futures contracts represented 4% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

4. Repurchase Agreements: The portfolio enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the portfolio under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of

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the collateral be sufficient to cover payments of interest and principal. The portfolio further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

5. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

7. Securities Lending: To earn additional income, the portfolio lends its securities to qualified institutional borrowers. Security loans are subject to termination by the portfolio at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The portfolio further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the portfolio may experience delays and costs in recovering the securities loaned. The portfolio invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the portfolio is entitled to all distributions made on or in respect of the loaned securities.

8. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

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

B.  The investment advisory firm Wellington Management Company LLP provides investment advisory services to a portion of the portfolio for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fee of Wellington Management Company LLP is subject to quarterly adjustments based on performance relative to the FTSE High Dividend Yield Index for the preceding three years.

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Equity Income Portfolio

Vanguard provides investment advisory services to a portion of the portfolio as described below; the portfolio paid Vanguard advisory fees of $485,000 for the year ended December 31, 2019.

For the year ended December 31, 2019, the aggregate investment advisory fee paid to all advisors represented an effective annual basic rate of 0.09% of the portfolio’s average net assets, before an increase of $96,000 (0.01%) based on performance.

C.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $79,000, representing less than 0.01% of the portfolio’s net assets and 0.03% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

D.  Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the portfolio’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:

	Level 1		Level 2		Level 3
Investments	($000	)	($000	)	($000	)
Common Stocks	1,688,747		65,737		—
Temporary Cash Investments	80,553		14,289		—
Futures Contracts—Assets1	172		—		—
Futures Contracts—Liabilities1	(4	)	—		—
Total	1,769,468		80,026		—

1  Represents variation margin on the last day of the reporting period.

E.  Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	42,919
Undistributed Long-Term Gains	58,909
Capital Loss Carryforwards (Non-expiring)	—
Net Unrealized Gains (Losses)	330,715

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Equity Income Portfolio

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	1,518,619
Gross Unrealized Appreciation	367,324
Gross Unrealized Depreciation	(36,617	)
Net Unrealized Appreciation (Depreciation)	330,707

F.  During the year ended December 31, 2019, the portfolio purchased $685,676,000 of investment securities and sold $512,056,000 of investment securities, other than temporary cash investments.

G.   Capital shares issued and redeemed were:

	Year Ended December 31,
	2019		2018
	Shares		Shares
	(000	)	(000	)
Issued	15,838		13,652
Issued in Lieu of Cash Distributions	6,289		5,121
Redeemed	(10,907	)	(9,792	)
Net Increase (Decrease) in Shares Outstanding	11,220		8,981

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 50% of the portfolio’s net assets. If this shareholder were to redeem its investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

H.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

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Equity Income Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Equity Income Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Equity Income Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Equity Income Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $91,681,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For corporate shareholders, 91.2% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

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Equity Index Portfolio

Your Portfolio’s Performance at a Glance

•   For the 12 months ended December 31, 2019, the Equity Index Portfolio of Vanguard Variable Insurance Fund returned 31.30%, in line with the 31.49% return of its benchmark index after factoring in the portfolio’s expenses.

•   Stocks benefited from accommodative monetary policies from the Federal Reserve and other major central banks and better-than-expected corporate earnings during the 12 months. Large-capitalization stocks outpaced mid- and small-caps, and growth stocks beat their value counterparts.

•   The portfolio benefited most from its holdings in information technology, financials, and communication services.

•   The portfolio recorded an average annual return of 13.40% for the past ten years, in line with its benchmark average of 13.56%.

•   Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer
		Average Annual Total Returns
		Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

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Equity Index Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 portfolio’s costs in two ways:

•   Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•   Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Equity Index Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,108.53	$0.74
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.50	$0.71

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.14%. 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 recent 12-month period (184/365).

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Equity Index Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019

Initial Investment of $10,000

		Average Annual Total Returns			Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	Equity Index Portfolio	31.30%	11.55%	13.40%	$35,166
	S&P 500 Index	31.49	11.70	13.56	35,666
	Dow Jones U.S. Total Stock Market Float Adjusted Index	30.90	11.18	13.43	35,251

See Financial Highlights for dividend and capital gains information.

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Equity Index Portfolio

Sector Diversification

As of December 31, 2019

Communication Services	10.4%
Consumer Discretionary	9.7
Consumer Staples	7.2
Energy	4.3
Financials	13.0
Health Care	14.2
Industrials	9.1
Information Technology	23.2
Materials	2.7
Real Estate	2.9
Utilities	3.3

The table reflects the portfolio’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

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Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

			Market
			Value•
		Shares	($000)
Common Stocks (99.4%)1
Communication Services (10.3%)
*	Facebook Inc. Class A	577,310	118,493
*	Alphabet Inc. Class C	72,211	96,548
*	Alphabet Inc. Class A	71,372	95,595
	AT&T Inc.	1,752,449	68,486
	Walt Disney Co.	432,394	62,537
	Verizon Communications Inc.	992,155	60,918
	Comcast Corp. Class A	1,089,103	48,977
*	Netflix Inc.	105,138	34,020
*	Charter Communications Inc. Class A	37,611	18,244
	Activision Blizzard Inc.	184,305	10,952
*	Electronic Arts Inc.	70,042	7,530
*	Twitter Inc.	186,254	5,970
*	T-Mobile US Inc.	75,950	5,956
	ViacomCBS Inc. Class B	129,668	5,442
	Omnicom Group Inc.	52,251	4,233
*	Take-Two Interactive Software Inc.	27,192	3,329
	Fox Corp. Class A	85,582	3,173
	CenturyLink Inc.	235,800	3,115
*	Discovery Inc. Series C	80,628	2,458
*	Live Nation Entertainment Inc.	33,726	2,410
*	DISH Network Corp. Class A	61,432	2,179
	Interpublic Group of Cos. Inc.	93,330	2,156
	News Corp. Class A	110,023	1,556
	Fox Corp. Class B	38,277	1,393
*	Discovery Inc. Series A	37,907	1,241
	News Corp. Class B	12,487	181
			667,092
Consumer Discretionary (9.7%)
*	Amazon.com Inc.	99,911	184,620
	Home Depot Inc.	261,686	57,147
	McDonald’s Corp.	180,654	35,699
	NIKE Inc. Class B	298,992	30,291
	Starbucks Corp.	283,276	24,906
	Lowe’s Cos. Inc.	183,875	22,021
*	Booking Holdings Inc.	10,041	20,621
	TJX Cos. Inc.	290,877	17,761
	Target Corp.	121,556	15,585
	General Motors Co.	301,722	11,043
	Ross Stores Inc.	86,754	10,100
	Marriott International Inc. Class A	65,085	9,856
	Dollar General Corp.	61,067	9,525
	Ford Motor Co.	934,365	8,690
*	O’Reilly Automotive Inc.	18,148	7,954
	VF Corp.	78,624	7,836
	Hilton Worldwide Holdings Inc.	67,676	7,506
	Yum! Brands Inc.	72,543	7,307
*	AutoZone Inc.	5,715	6,808
	eBay Inc.	183,449	6,624
	Aptiv plc	61,265	5,818
	Las Vegas Sands Corp.	81,149	5,603
	Royal Caribbean Cruises Ltd.	41,235	5,505
*	Dollar Tree Inc.	56,825	5,344
*	Chipotle Mexican Grill Inc. Class A	6,135	5,136
	Carnival Corp.	96,154	4,887
	Best Buy Co. Inc.	54,650	4,798
	DR Horton Inc.	80,515	4,247
	MGM Resorts International	123,705	4,116
	Genuine Parts Co.	34,889	3,706
	Lennar Corp. Class A	66,408	3,705
	Expedia Group Inc.	33,565	3,630
*	Ulta Beauty Inc.	13,732	3,476
	Tiffany & Co.	25,932	3,466
*	CarMax Inc.	39,501	3,463
	Garmin Ltd.	34,574	3,373
	Wynn Resorts Ltd.	23,215	3,224
	Hasbro Inc.	30,470	3,218
	Darden Restaurants Inc.	29,457	3,211
*	NVR Inc.	834	3,176
*	Norwegian Cruise Line Holdings Ltd.	50,948	2,976
	Advance Auto Parts Inc.	16,657	2,668
	Tractor Supply Co.	28,472	2,660
*	LKQ Corp.	73,701	2,631
	PulteGroup Inc.	61,103	2,371
	Whirlpool Corp.	15,126	2,232
	BorgWarner Inc.	49,420	2,144
*	Mohawk Industries Inc.	14,225	1,940
	Kohl’s Corp.	37,467	1,909
	PVH Corp.	17,743	1,866
	Tapestry Inc.	66,031	1,781
	Newell Brands Inc.	91,185	1,753
	Leggett & Platt Inc.	31,487	1,600
	Ralph Lauren Corp. Class A	11,900	1,395
*	Capri Holdings Ltd.	36,285	1,384
	Harley-Davidson Inc.	36,867	1,371
	Hanesbrands Inc.	86,582	1,286
	Macy’s Inc.	73,934	1,257
	H&R Block Inc.	46,949	1,102
	Nordstrom Inc.	25,631	1,049
	L Brands Inc.	55,576	1,007
*,^	Under Armour Inc. Class A	46,263	999
	Gap Inc.	50,910	900
*	Under Armour Inc. Class C	45,229	867
	Lennar Corp. Class B	1,030	46
			626,196
Consumer Staples (7.2%)
	Procter & Gamble Co.	598,253	74,722
	Coca-Cola Co.	925,112	51,205
	PepsiCo Inc.	334,534	45,721
	Walmart Inc.	340,295	40,441
	Philip Morris International Inc.	373,246	31,759
	Costco Wholesale Corp.	105,974	31,148
	Altria Group Inc.	448,148	22,367
	Mondelez International Inc. Class A	345,368	19,023
	Colgate-Palmolive Co.	205,612	14,154
	Kimberly-Clark Corp.	82,232	11,311
	Estee Lauder Cos. Inc. Class A	53,392	11,028
	Walgreens Boots Alliance Inc.	179,879	10,606
	Sysco Corp.	122,366	10,467
	General Mills Inc.	144,955	7,764
	Constellation Brands Inc. Class A	40,188	7,626
	Tyson Foods Inc. Class A	70,805	6,446
	Archer-Daniels-Midland Co.	133,597	6,192
*	Monster Beverage Corp.	91,595	5,821
	Kroger Co.	192,411	5,578
	Hershey Co.	35,580	5,230
	McCormick & Co. Inc.	29,648	5,032
	Kraft Heinz Co.	149,463	4,802
	Clorox Co.	30,111	4,623
	Church & Dwight Co. Inc.	58,915	4,144
	Kellogg Co.	59,649	4,125
	Conagra Brands Inc.	116,853	4,001
	Lamb Weston Holdings Inc.	35,105	3,020
	Hormel Foods Corp.	66,824	3,014
	Brown-Forman Corp. Class B	43,605	2,948
	JM Smucker Co.	27,417	2,855
	Molson Coors Brewing Co. Class B	44,960	2,423
	Campbell Soup Co.	40,424	1,998
	Coty Inc. Class A	70,883	797
			462,391
Energy (4.3%)
	Exxon Mobil Corp.	1,015,102	70,834
	Chevron Corp.	453,635	54,668
	ConocoPhillips	263,270	17,120
	Schlumberger Ltd.	332,214	13,355
	Phillips 66	106,608	11,877
	EOG Resources Inc.	139,601	11,693
	Kinder Morgan Inc.	467,361	9,894
	Marathon Petroleum Corp.	155,793	9,387
	Valero Energy Corp.	98,527	9,227
	Occidental Petroleum Corp.	214,354	8,834
	ONEOK Inc.	99,108	7,500
	Williams Cos. Inc.	290,862	6,899
	Pioneer Natural Resources Co.	39,752	6,017
	Halliburton Co.	210,696	5,156
	Concho Resources Inc.	48,270	4,227
	Hess Corp.	62,151	4,152
	Baker Hughes Co. Class A	155,953	3,997
	Diamondback Energy Inc.	38,675	3,591
	Noble Energy Inc.	114,490	2,844
	Marathon Oil Corp.	191,490	2,600
	Devon Energy Corp.	92,641	2,406
	National Oilwell Varco Inc.	92,356	2,314
	Apache Corp.	90,006	2,303
	TechnipFMC plc	100,593	2,157
	HollyFrontier Corp.	35,543	1,802

93

Equity Index Portfolio

			Market
			Value•
		Shares	($000)
	Cabot Oil & Gas Corp.	97,645	1,700
	Cimarex Energy Co.	24,374	1,279
	Helmerich & Payne Inc.	26,103	1,186
			279,019
Financials (12.9%)
	JPMorgan Chase & Co.	752,435	104,889
*	Berkshire Hathaway Inc. Class B	437,823	99,167
	Bank of America Corp.	1,942,181	68,404
	Wells Fargo & Co.	923,324	49,675
	Citigroup Inc.	523,776	41,844
	US Bancorp	340,918	20,213
	American Express Co.	160,955	20,037
	Truist Financial Corp.	321,697	18,118
	Goldman Sachs Group Inc.	76,459	17,580
	CME Group Inc.	85,964	17,255
	Chubb Ltd.	108,717	16,923
	PNC Financial Services Group Inc.	105,099	16,777
	S&P Global Inc.	58,624	16,007
	Morgan Stanley	295,128	15,087
	BlackRock Inc.	28,289	14,221
	Marsh & McLennan Cos. Inc.	121,057	13,487
	Charles Schwab Corp.	274,275	13,045
	Intercontinental Exchange Inc.	133,555	12,361
	Aon plc	56,158	11,697
	Capital One Financial Corp.	111,734	11,499
	American International Group Inc.	208,725	10,714
	Progressive Corp.	140,247	10,153
	Bank of New York Mellon Corp.	201,333	10,133
	MetLife Inc.	187,574	9,561
	Aflac Inc.	176,067	9,314
	Moody’s Corp.	38,947	9,246
	Prudential Financial Inc.	96,476	9,044
	Allstate Corp.	77,686	8,736
	Travelers Cos. Inc.	61,915	8,479
*	Berkshire Hathaway Inc. Class A	21	7,131
	State Street Corp.	87,241	6,901
	T. Rowe Price Group Inc.	56,043	6,828
	Discover Financial Services	75,182	6,377
	Willis Towers Watson plc	30,839	6,228
	Northern Trust Corp.	50,831	5,400
	M&T Bank Corp.	31,660	5,374
	MSCI Inc. Class A	20,336	5,250
	Hartford Financial Services Group Inc.	86,390	5,250
	Fifth Third Bancorp	170,283	5,235
	Synchrony Financial	142,636	5,136
	Ameriprise Financial Inc.	30,400	5,064
	KeyCorp	236,396	4,785
	First Republic Bank	40,416	4,747
	Arthur J Gallagher & Co.	44,695	4,256
	Citizens Financial Group Inc.	104,378	4,239
	Regions Financial Corp.	231,638	3,975
	Cincinnati Financial Corp.	36,489	3,837
	Huntington Bancshares Inc.	248,048	3,741
	MarketAxess Holdings Inc.	9,088	3,445
	Principal Financial Group Inc.	62,045	3,412
	Loews Corp.	61,390	3,222
	Cboe Global Markets Inc.	26,640	3,197
*	SVB Financial Group	12,394	3,111
	Nasdaq Inc.	27,580	2,954
	Lincoln National Corp.	47,637	2,811
	Everest Re Group Ltd.	9,808	2,715
	Raymond James Financial Inc.	29,688	2,656
	Globe Life Inc.	23,846	2,510
	Comerica Inc.	34,500	2,475
	E*TRADE Financial Corp.	54,349	2,466
	WR Berkley Corp.	34,736	2,400
	Zions Bancorp NA	40,798	2,118
	Assurant Inc.	14,586	1,912
	People’s United Financial Inc.	106,292	1,796
	Franklin Resources Inc.	66,742	1,734
	Invesco Ltd.	89,065	1,601
	Unum Group	49,546	1,445
			831,400
Health Care (14.1%)
	Johnson & Johnson	631,389	92,101
	UnitedHealth Group Inc.	227,287	66,818
	Merck & Co. Inc.	610,782	55,551
	Pfizer Inc.	1,327,673	52,018
	Abbott Laboratories	423,980	36,827
	Medtronic plc	321,536	36,478
	Bristol-Myers Squibb Co.	562,369	36,098
	Amgen Inc.	142,542	34,363
	AbbVie Inc.	354,771	31,411
	Thermo Fisher Scientific Inc.	96,195	31,251
	Eli Lilly & Co.	202,699	26,641
	Danaher Corp.	153,350	23,536
	CVS Health Corp.	312,110	23,187
	Gilead Sciences Inc.	303,516	19,722
	Anthem Inc.	60,831	18,373
	Cigna Corp.	89,588	18,320
	Becton Dickinson and Co.	64,882	17,646
*	Intuitive Surgical Inc.	27,726	16,390
	Stryker Corp.	77,237	16,215
	Zoetis Inc.	114,258	15,122
*	Boston Scientific Corp.	334,354	15,119
	Allergan plc	78,753	15,055
*	Vertex Pharmaceuticals Inc.	61,684	13,506
*	Biogen Inc.	43,289	12,845
*	Illumina Inc.	35,266	11,699
*	Edwards Lifesciences Corp.	50,030	11,671
	Humana Inc.	31,769	11,644
	Baxter International Inc.	122,469	10,241
	HCA Healthcare Inc.	63,476	9,382
	Zimmer Biomet Holdings Inc.	49,334	7,384
*	Regeneron Pharmaceuticals Inc.	19,163	7,195
*	IQVIA Holdings Inc.	43,289	6,689
	Agilent Technologies Inc.	74,258	6,335
*	Centene Corp.	99,274	6,241
	McKesson Corp.	43,230	5,980
*	Alexion Pharmaceuticals Inc.	53,090	5,742
	Cerner Corp.	75,351	5,530
*	IDEXX Laboratories Inc.	20,579	5,374
	ResMed Inc.	34,487	5,344
*	Align Technology Inc.	17,211	4,803
*	Mettler-Toledo International Inc.	5,836	4,630
	Teleflex Inc.	11,094	4,176
*	WellCare Health Plans Inc.	12,067	3,985
*	Laboratory Corp. of America Holdings	23,310	3,943
	Cooper Cos. Inc.	11,904	3,825
*	Incyte Corp.	42,929	3,749
*	Waters Corp.	15,472	3,615
	Cardinal Health Inc.	70,237	3,553
	Quest Diagnostics Inc.	32,348	3,454
*	Hologic Inc.	64,272	3,356
	STERIS plc	20,374	3,105
*	Varian Medical Systems Inc.	21,843	3,102
	AmerisourceBergen Corp. Class A	36,028	3,063
	Dentsply Sirona Inc.	53,455	3,025
	Universal Health Services Inc. Class B	19,248	2,761
	PerkinElmer Inc.	26,711	2,594
*	Mylan NV	123,531	2,483
*	Henry Schein Inc.	35,202	2,349
*	ABIOMED Inc.	10,806	1,843
	Perrigo Co. plc	32,577	1,683
*	DaVita Inc.	21,432	1,608
			911,749
Industrials (9.0%)
	Boeing Co.	128,265	41,784
	Honeywell International Inc.	171,403	30,338
	Union Pacific Corp.	166,545	30,110
	United Technologies Corp.	194,638	29,149
	3M Co.	137,967	24,340
	General Electric Co.	2,095,232	23,383
	Lockheed Martin Corp.	59,542	23,184
	United Parcel Service Inc. Class B	168,103	19,678
	Caterpillar Inc.	132,592	19,581
	Raytheon Co.	66,806	14,680
	CSX Corp.	186,562	13,500
	Deere & Co.	75,542	13,088
	Northrop Grumman Corp.	37,600	12,933
	Illinois Tool Works Inc.	70,161	12,603
	Norfolk Southern Corp.	62,555	12,144
	Emerson Electric Co.	146,140	11,145
	Waste Management Inc.	93,617	10,669
	L3Harris Technologies Inc.	53,029	10,493
	General Dynamics Corp.	56,225	9,915
	Eaton Corp. plc	99,169	9,393
	Roper Technologies Inc.	24,959	8,841
	FedEx Corp.	57,590	8,708
	Delta Air Lines Inc.	138,054	8,073
	Ingersoll-Rand plc	57,459	7,637
	Johnson Controls International plc	185,035	7,533
*	IHS Markit Ltd.	96,162	7,246
	TransDigm Group Inc.	11,946	6,690
	Cummins Inc.	36,747	6,576
	PACCAR Inc.	82,955	6,562
	Parker-Hannifin Corp.	30,820	6,343
	Southwest Airlines Co.	113,602	6,132
	Stanley Black & Decker Inc.	36,471	6,045
	Verisk Analytics Inc. Class A	39,311	5,871
	Rockwell Automation Inc.	27,721	5,618
	AMETEK Inc.	54,838	5,470
	Fortive Corp.	70,966	5,421
	Cintas Corp.	20,113	5,412
	Fastenal Co.	137,593	5,084
*	United Airlines Holdings Inc.	52,229	4,601
	Republic Services Inc. Class A	50,553	4,531
*	Copart Inc.	49,102	4,465
	Equifax Inc.	29,051	4,071
	Dover Corp.	34,891	4,021
	Kansas City Southern	23,807	3,646
	WW Grainger Inc.	10,459	3,541
	Xylem Inc.	43,256	3,408
	Westinghouse Air Brake Technologies Corp.	43,689	3,399
	Masco Corp.	68,235	3,275

94

Equity Index Portfolio

			Market
			Value•
		Shares	($000)
	Expeditors International of Washington Inc.	40,915	3,192
	IDEX Corp.	18,274	3,143
*	United Rentals Inc.	18,060	3,012
	Jacobs Engineering Group Inc.	32,573	2,926
	Old Dominion Freight Line Inc.	15,302	2,904
	Arconic Inc.	93,043	2,863
	Allegion plc	22,270	2,773
	American Airlines Group Inc.	93,752	2,689
	CH Robinson Worldwide Inc.	32,528	2,544
	Huntington Ingalls Industries Inc.	9,788	2,456
	Textron Inc.	54,744	2,442
	JB Hunt Transport Services Inc.	20,404	2,383
	Snap-on Inc.	13,135	2,225
	Fortune Brands Home & Security Inc.	33,475	2,187
	Alaska Air Group Inc.	29,477	1,997
	Pentair plc	40,215	1,845
	Robert Half International Inc.	28,132	1,776
	Nielsen Holdings plc	85,151	1,729
	AO Smith Corp.	32,910	1,568
	Flowserve Corp.	31,307	1,558
	Quanta Services Inc.	34,051	1,386
	Rollins Inc.	33,685	1,117
			581,045
Information Technology (23.1%)
	Apple Inc.	1,001,977	294,231
	Microsoft Corp.	1,830,140	288,613
	Visa Inc. Class A	410,650	77,161
	Mastercard Inc. Class A	212,955	63,586
	Intel Corp.	1,043,559	62,457
	Cisco Systems Inc.	1,017,763	48,812
*	Adobe Inc.	116,124	38,299
*	salesforce.com Inc.	212,786	34,607
	NVIDIA Corp.	146,818	34,546
	Accenture plc Class A	152,333	32,077
*	PayPal Holdings Inc.	281,686	30,470
	Broadcom Inc.	95,160	30,072
	Texas Instruments Inc.	224,242	28,768
	International Business Machines Corp.	212,466	28,479
	Oracle Corp.	519,725	27,535
	QUALCOMM Inc.	273,926	24,168
	Fidelity National Information Services Inc.	147,425	20,505
	Automatic Data Processing Inc.	103,785	17,695
	Intuit Inc.	62,442	16,355
*	Fiserv Inc.	136,995	15,841
*	Micron Technology Inc.	265,584	14,283
	Applied Materials Inc.	221,593	13,526
	Global Payments Inc.	72,083	13,159
*	ServiceNow Inc.	45,242	12,773
*	Advanced Micro Devices Inc.	267,151	12,252
	Analog Devices Inc.	88,346	10,499
	Lam Research Corp.	34,799	10,175
*	Autodesk Inc.	52,783	9,684
	Cognizant Technology Solutions Corp. Class A	131,352	8,146
	Amphenol Corp. Class A	71,110	7,696
	TE Connectivity Ltd.	80,249	7,691
	HP Inc.	355,478	7,305
	KLA Corp.	37,844	6,743
	Motorola Solutions Inc.	41,096	6,622
	Paychex Inc.	76,409	6,499
	Microchip Technology Inc.	57,326	6,003
*	FleetCor Technologies Inc.	20,816	5,989
	Xilinx Inc.	60,328	5,898
	Corning Inc.	184,537	5,372
*	ANSYS Inc.	20,533	5,285
*	Synopsys Inc.	36,091	5,024
	Skyworks Solutions Inc.	40,881	4,942
	CDW Corp.	34,476	4,925
	Hewlett Packard Enterprise Co.	310,513	4,925
*	VeriSign Inc.	24,794	4,777
*	Cadence Design Systems Inc.	67,224	4,663
*	Keysight Technologies Inc.	44,993	4,618
	Western Digital Corp.	71,388	4,531
	Maxim Integrated Products Inc.	64,963	3,996
*	Fortinet Inc.	34,063	3,637
	NortonLifeLock Inc.	137,740	3,515
	NetApp Inc.	54,830	3,413
	Broadridge Financial Solutions Inc.	27,543	3,403
*	Akamai Technologies Inc.	38,828	3,354
*	Gartner Inc.	21,496	3,313
	Seagate Technology plc	55,545	3,305
	Citrix Systems Inc.	29,409	3,261
*	Qorvo Inc.	27,923	3,245
*	Zebra Technologies Corp.	12,553	3,207
	Leidos Holdings Inc.	31,967	3,129
	Western Union Co.	100,812	2,700
	Jack Henry & Associates Inc.	18,501	2,695
*	Arista Networks Inc.	12,983	2,641
	DXC Technology Co.	61,270	2,303
*	F5 Networks Inc.	14,627	2,043
	Juniper Networks Inc.	80,114	1,973
	FLIR Systems Inc.	32,314	1,683
	Xerox Holdings Corp.	44,500	1,641
*	IPG Photonics Corp.	8,509	1,233
	Alliance Data Systems Corp.	9,809	1,101
			1,489,073
Materials (2.6%)
	Linde plc	128,862	27,435
	Air Products & Chemicals Inc.	52,876	12,425
	Ecolab Inc.	60,155	11,609
	Sherwin-Williams Co.	19,708	11,500
	DuPont de Nemours Inc.	177,749	11,412
	Dow Inc.	177,906	9,737
	Newmont Goldcorp Corp.	196,646	8,544
	PPG Industries Inc.	56,726	7,572
	LyondellBasell Industries NV Class A	61,602	5,820
	Corteva Inc.	179,713	5,312
	Ball Corp.	78,495	5,076
	Freeport-McMoRan Inc.	348,269	4,569
	Vulcan Materials Co.	31,715	4,567
	International Paper Co.	94,099	4,333
	Amcor plc	388,930	4,216
	Martin Marietta Materials Inc.	14,989	4,192
	Nucor Corp.	72,792	4,097
	Celanese Corp. Class A	29,027	3,574
	International Flavors & Fragrances Inc.	25,569	3,299
	FMC Corp.	31,145	3,109
	Westrock Co.	61,998	2,660
	Avery Dennison Corp.	20,017	2,619
	Eastman Chemical Co.	32,621	2,586
	Packaging Corp. of America	22,654	2,537
	CF Industries Holdings Inc.	52,302	2,497
	Albemarle Corp.	25,372	1,853
	Mosaic Co.	83,663	1,810
	Sealed Air Corp.	36,974	1,473
			170,433
Real Estate (2.9%)
	American Tower Corp.	106,260	24,421
	Crown Castle International Corp.	99,743	14,178
	Prologis Inc.	151,543	13,508
	Equinix Inc.	20,456	11,940
	Simon Property Group Inc.	73,636	10,969
	Welltower Inc.	97,336	7,960
	Public Storage	36,035	7,674
	AvalonBay Communities Inc.	33,496	7,024
	Equity Residential	83,726	6,775
	SBA Communications Corp. Class A	27,016	6,511
	Digital Realty Trust Inc.	50,075	5,996
	Realty Income Corp.	78,184	5,757
	Weyerhaeuser Co.	178,793	5,399
	Ventas Inc.	89,430	5,164
*	CBRE Group Inc. Class A	80,334	4,924
	Essex Property Trust Inc.	15,859	4,771
	Boston Properties Inc.	34,510	4,757
	Alexandria Real Estate Equities Inc.	27,646	4,467
	Healthpeak Properties Inc.	118,842	4,096
	Mid-America Apartment Communities Inc.	27,339	3,605
	UDR Inc.	70,406	3,288
	Extra Space Storage Inc.	31,120	3,287
	Host Hotels & Resorts Inc.	172,322	3,197
	Duke Realty Corp.	88,342	3,063
	Regency Centers Corp.	40,102	2,530
	Vornado Realty Trust	37,905	2,521
	Iron Mountain Inc.	69,123	2,203
	Federal Realty Investment Trust	16,806	2,163
	Kimco Realty Corp.	101,049	2,093
	Apartment Investment & Management Co.	35,620	1,840
	SL Green Realty Corp.	19,511	1,793
	Macerich Co.	1,770	48
			187,922
Utilities (3.3%)
	NextEra Energy Inc.	117,247	28,393
	Dominion Energy Inc.	197,439	16,352
	Southern Co.	251,561	16,024
	Duke Energy Corp.	174,914	15,954
	American Electric Power Co. Inc.	118,482	11,198
	Exelon Corp.	233,252	10,634
	Sempra Energy	67,616	10,242
	Xcel Energy Inc.	125,783	7,986
	Consolidated Edison Inc.	79,726	7,213
	Public Service Enterprise Group Inc.	121,309	7,163
	WEC Energy Group Inc.	75,645	6,977
	Eversource Energy	77,646	6,605
	Edison International	86,033	6,488
	FirstEnergy Corp.	129,604	6,299
	PPL Corp.	173,481	6,224
	DTE Energy Co.	46,078	5,984
	Entergy Corp.	47,760	5,722

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Equity Index Portfolio

			Market
			Value•
		Shares	($000)
	American Water Works Co. Inc.	43,374	5,328
	Ameren Corp.	59,075	4,537
	CMS Energy Corp.	68,142	4,282
	Evergy Inc.	54,752	3,564
	CenterPoint Energy Inc.	120,685	3,291
	Atmos Energy Corp.	28,687	3,209
	AES Corp.	159,530	3,175
	Alliant Energy Corp.	57,752	3,160
	NiSource Inc.	89,391	2,489
	Pinnacle West Capital Corp.	26,897	2,419
	NRG Energy Inc.	60,211	2,393
			213,305
Total Common Stocks (Cost $3,704,149)			6,419,625
Temporary Cash Investments (0.8%)1
Money Market Fund (0.8%)
2,3	Vanguard Market Liquidity Fund, 1.816%	477,431	47,748
		Face
		Amount
		($000)
U.S. Government and Agency Obligations (0.0%)
4	United States Treasury Bill, 1.546%, 3/26/20	1,000	996
4	United States Treasury Bill, 1.527%–1.541%, 4/30/20	1,470	1,463
			2,459
Total Temporary Cash Investments (Cost $50,210)			50,207
Total Investments (100.2%) (Cost $3,754,359)			6,469,832

	Amount
	($000)
Other Assets and Liabilities (-0.2%)
Other Assets
Investment in Vanguard	280
Receivables for Investment Securities Sold	37
Receivables for Accrued Income	6,569
Receivables for Capital Shares Issued	511
Variation Margin Receivable—Futures Contracts	94
Total Other Assets	7,491
Liabilities
Payables for Investment Securities Purchased	(15,083)
Collateral for Securities on Loan	(264)
Payables for Capital Shares Redeemed	(1,992)
Payables to Vanguard	(1,966)
Total Liabilities	(19,305)
Net Assets (100%)
Applicable to 135,394,379 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	6,458,018
Net Asset Value Per Share	$47.70

At December 31, 2019, net assets consisted of:
	Amount
	($000)
Paid-in Capital	3,511,475
Total Distributable Earnings (Loss)	2,946,543
Net Assets	6,458,018

• See Note A in Notes to Financial Statements.

* Non-income-producing security.

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $259,000.

1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the portfolio’s effective common stock and temporary cash investment positions represent 100.0% and 0.2%, respectively, of net assets.

2 Collateral of $264,000 was received for securities on loan.

3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

4 Securities with a value of $1,549,000 have been segregated as initial margin for open futures contracts.

Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
					($000)
					Value and
		Number of			Unrealized
		Long (Short	)	Notional	Appreciation
	Expiration	Contracts		Amount	(Depreciation)
Long Futures Contracts
E-mini S&P 500 Index	March 2020	243		39,258	596

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

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Equity Index Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000)
Investment Income
Income
Dividends	114,609
Interest1	618
Securities Lending—Net	84
Total Income	115,311
Expenses
The Vanguard Group—Note B
Investment Advisory Services	854
Management and Administrative	6,511
Marketing and Distribution	525
Custodian Fees	21
Auditing Fees	75
Shareholders’ Reports	41
Trustees’ Fees and Expenses	3
Total Expenses	8,030
Net Investment Income	107,281
Realized Net Gain (Loss)
Investment Securities Sold1	124,531
Futures Contracts	7,573
Realized Net Gain (Loss)	132,104
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	1,295,700
Futures Contracts	296
Change in Unrealized Appreciation (Depreciation)	1,295,996
Net Increase (Decrease) in Net Assets Resulting from Operations	1,535,381

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the portfolio were $582,000, ($2,000), and ($4,000), respectively. Purchases and sales are for temporary cash investment purposes.

Statement of Changes in Net Assets

	Year Ended December 31,
	2019	2018
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	107,281	103,632
Realized Net Gain (Loss)	132,104	138,799
Change in Unrealized Appreciation (Depreciation)	1,295,996	(473,810)
Net Increase (Decrease) in Net Assets Resulting from Operations	1,535,381	(231,379)
Distributions
Net Investment Income	(107,141)	(88,315)
Realized Capital Gain1	(140,285)	(85,966)
Total Distributions	(247,426)	(174,281)
Capital Share Transactions
Issued	584,985	560,449
Issued in Lieu of Cash Distributions	247,426	174,281
Redeemed	(596,018)	(573,178)
Net Increase (Decrease) from Capital Share Transactions	236,393	161,552
Total Increase (Decrease)	1,524,348	(244,108)
Net Assets
Beginning of Period	4,933,670	5,177,778
End of Period	6,458,018	4,933,670

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $347,000 and $2,110,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

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Equity Index Portfolio

Financial Highlights

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$38.03	$41.17	$35.63	$33.25	$34.44
Investment Operations
Net Investment Income	.8051	.8041	.6991	.704	.7592
Net Realized and Unrealized Gain (Loss) on Investments	10.791	(2.556)	6.734	3.055	(.338)
Total from Investment Operations	11.596	(1.752)	7.433	3.759	.421
Distributions
Dividends from Net Investment Income	(.834)	(.703)	(.699)	(.759)	(.569)
Distributions from Realized Capital Gains	(1.092)	(.685)	(1.194)	(.620)	(1.042)
Total Distributions	(1.926)	(1.388)	(1.893)	(1.379)	(1.611)
Net Asset Value, End of Period	$47.70	$38.03	$41.17	$35.63	$33.25
Total Return	31.30%	-4.51%	21.66%	11.81%	1.27%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$6,458	$4,934	$5,178	$4,329	$3,985
Ratio of Total Expenses to Average Net Assets	0.14%	0.14%	0.15%	0.15%	0.15%
Ratio of Net Investment Income to Average Net Assets	1.87%	1.94%	1.85%	2.08%	2.31%2
Portfolio Turnover Rate	4%	5%	5%	7%	4%

1 Calculated based on average shares outstanding.

2 Net investment income per share and the ratio of net investment income to average net assets include $.13 and 0.35%, respectively, resulting from a special dividend from Medtronic plc in January 2015.

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

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Equity Index Portfolio

Notes to Financial Statements

The Equity Index Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts.

A.       The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The portfolio 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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the portfolio’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. 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.

2. Futures Contracts: The portfolio uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The portfolio may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the portfolio 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 portfolio 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 portfolio’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).

During the year ended December 31, 2019, the portfolio’s average investments in long and short futures contracts represented less than 1% and 0%, respectively, of net assets, based on the average of the notional amounts at each quarter-end during the period.

3. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

5. Securities Lending: To earn additional income, the portfolio lends its securities to qualified institutional borrowers. Security loans are subject to termination by the portfolio at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The portfolio further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties.

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Equity Index Portfolio

The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the portfolio may experience delays and costs in recovering the securities loaned. The portfolio invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the portfolio is entitled to all distributions made on or in respect of the loaned securities.

6. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

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

B.       In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $280,000, representing less than 0.01% of the portfolio’s net assets and 0.11% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.       Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

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Equity Index Portfolio

The following table summarizes the market value of the portfolio’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:

	Level 1		Level 2		Level 3
Investments	($000	)	($000	)	($000	)
Common Stocks	6,419,625		—		—
Temporary Cash Investments	47,748		2,459		—
Futures Contracts—Assets1	94		—		—
Total	6,467,467		2,459		—

1 Represents variation margin on the last day of the reporting period.

D.       Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	105,297
Undistributed Long-Term Gains	127,272
Capital Loss Carryforwards (Non-expiring)	—
Net Unrealized Gains (Losses)	2,715,473

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	3,754,359
Gross Unrealized Appreciation	3,036,531
Gross Unrealized Depreciation	(321,058	)
Net Unrealized Appreciation (Depreciation)	2,715,473

E.       During the year ended December 31, 2019, the portfolio purchased $335,753,000 of investment securities and sold $242,628,000 of investment securities, other than temporary cash investments.

F.       Capital shares issued and redeemed were:

	Year Ended December 31,
	2019		2018
	Shares		Shares
	(000	)	(000	)
Issued	13,588		13,586
Issued in Lieu of Cash Distributions	6,019		4,242
Redeemed	(13,957	)	(13,844	)
Net Increase (Decrease) in Shares Outstanding	5,650		3,984

At December 31, 2019, two shareholders (an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders and Total Stock Market Index Portfolio), were each the record or beneficial owner of 25% or more of the portfolio’s net assets, with a combined ownership of 63%. If any of these shareholders were to redeem their investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

G.       Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

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Equity Index Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Equity Index Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Equity Index Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Equity Index Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $139,938,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For corporate shareholders, 95.4% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

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Equity Index Portfolio

The S&P 500 Index is a product of S&P Dow Jones Indices LLC, a division of S&P Global, or its affiliates (“SPDJI”), and has been licensed for use by Vanguard. Standard & Poor’s^®, and S&P^®are registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”) and Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The trademarks have been licensed to SPDJI and have been sublicensed for use for certain purposes by Vanguard. Vanguard Equity Index Portfolio is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of the Vanguard Equity Index Portfolio or any member of the public regarding the advisability of investing in securities generally or in Vanguard Equity Index Portfolio particularly or the ability of the S&P 500 Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P 500 Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The S&P 500 Index is determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or the Vanguard Equity Index Portfolio. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard Equity Index Portfolio into consideration in determining, composing or calculating the S&P 500 Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices, and amount of Vanguard Equity Index Portfolio or the timing of the issuance or sale of Vanguard Equity Index Portfolio or in the determination or calculation of the equation by which Vanguard Equity Index Portfolio is to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of Vanguard Equity Index Portfolio. There is no assurance that investment products based on the S&P 500 Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.

S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P 500 INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF THE VANGUARD EQUITY INDEX PORTFOLIO, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500 INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.

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Global Bond Index Portfolio

Your Portfolio’s Performance at a Glance

•     For the 12 months ended December 31, 2019, the Global Bond Index Portfolio returned 8.41%, in line with the 8.64% return of its benchmark, the Global Bond Composite Index, after factoring in expenses.

•     Investors were drawn to bonds and other assets perceived as safer during the period. The U.S.-China trade conflict fueled global economic growth concerns for much of the year before tensions eased in December. Bond prices rose and yields declined as the Federal Reserve trimmed its target for short-term interest rates three times in 2019. Other major central banks also adopted accommodative monetary policies.

•      U.S. bonds, which make up about 70% of the benchmark, returned almost 9%. Japanese bonds returned more than 5%; U.K. bonds, more than 10%; Italian bonds, more than 13%; and German bonds, nearly 7%. Lower-quality bonds outperformed their higher-quality counterparts.

•     Please note that the portfolio returns for Vanguard Variable Insurance Fund are different from those of Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer			Average Annual Total Returns
			Periods Ended December 31, 2019
	One Year		Three Years		Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43	%	15.05	%	11.48	%
Russell 2000 Index (Small-caps)	25.53		8.59		8.23
Russell 3000 Index (Broad U.S. market)	31.02		14.57		11.24
FTSE All-World ex US Index (International)	21.81		9.96		5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72	%	4.03	%	3.05	%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54		4.72		3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25		1.65		1.04
CPI
Consumer Price Index	2.29	%	2.10	%	1.82	%

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Global Bond Index Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A typical portfolio’s expenses are expressed as a percentage of its average net assets. The Global Bond Index Portfolio has no direct expenses, but bears its proportionate share of the expenses of the underlying funds in which it invests. These indirect expenses make up the acquired fund fees and expenses, also expressed as a percentage of average net assets. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your portfolio 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 costs were calculated using the acquired fund fees and expenses for the Global Bond Index Portfolio.

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

•    Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•    Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only. The portfolio’s expense figure does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Global Bond Index Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,021.96	$0.66
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.55	0.66

The calculations are based the Global Bond Index Portfolio’s acquired fund fees and expenses for the most recent six-month period. The Global Bond Index Portfolio’s annualized expense figure for that period is 0.13%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

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Global Bond Index Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: September 7, 2017–December 31, 2019

Initial Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended December 31, 2019
			Since	Final Value
		One	Inception	of a $10,000
		Year	(9/7/2017)	Investment
	Global Bond Index Portfolio	8.41%	3.83%	$10,909
	Global Bond Composite Index	8.64	3.97	10,943

Global Bond Composite Index: Weighted 70% Bloomberg Barclays U.S. Aggregate Float Adjusted Index and 30% Bloomberg Barclays Global Aggregate ex-USD Float Adjusted RIC Capped Index (USD Hedged).

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

See Financial Highlights for dividend and capital gains information.

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Global Bond Index Portfolio

Allocation to Underlying Funds

As of December 31, 2019

Vanguard Variable Insurance Fund Total Bond Market Index Portfolio	70.0	%
Vanguard Total International Bond Index Fund Admiral Shares	30.0

107

Global Bond Index Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

		Market
		Value•
	Shares	($000)
Investment Companies (100.0%)
U.S. Bond Fund (70.0%)
Vanguard Variable Insurance Fund—Total Bond Market Index Portfolio	13,301,507	162,411
International Bond Fund (30.0%)
Vanguard Total International Bond Index Fund Admiral Shares	3,080,840	69,689
Total Investment Companies (Cost $223,662)		232,100
Temporary Cash Investment (0.0%)
Money Market Fund (0.0%)
1 Vanguard Market Liquidity Fund, 1.816%(Cost $12)	125	12
Total Investments (100.0%) (Cost $223,674)		232,112
Other Assets and Liabilities (0.0%)
Other Assets		664
Liabilities		(721)
		(57)
Net Assets (100%)
Applicable to 10,838,626 outstanding $.001 par value shares of beneficial interest (unlimited authorization)		232,055
Net Asset Value Per Share		$21.41
Amount
($000)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value—Affiliated Funds		232,112
Receivables for Capital Shares Issued		664
Total Assets		232,776
Liabilities
Payables for Investment Securities Purchased		498
Payables for Capital Shares Redeemed		223
Total Liabilities		721
Net Assets		232,055
At December 31, 2019, net assets consisted of:
		Amount
		($000)
Paid-in Capital		216,628
Total Distributable Earnings (Loss)		15,427
Net Assets		232,055

•• 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.

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Global Bond Index Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000)
Investment Income
Income
Income Distributions Received from Affiliated Funds	5,652
Net Investment Income—Note B	5,652
Realized Net Gain (Loss)
Capital Gain Distributions Received from Affiliated Funds	—
Affiliated Funds Sold	1,481
Realized Net Gain (Loss)	1,481
Change in Unrealized Appreciation (Depreciation) from Affiliated Funds	9,127
Net Increase (Decrease) in Net Assets Resulting from Operations	16,260

Statement of Changes in Net Assets

	Year Ended December 31,
	2019		2018
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	5,652		2,690
Realized Net Gain (Loss)	1,481		226
Change in Unrealized Appreciation (Depreciation)	9,127		(577	)
Net Increase (Decrease) in Net Assets Resulting from Operations	16,260		2,339
Distributions
Net Investment Income	(2,825	)	(223	)
Realized Capital Gain1	(233	)	(18	)
Total Distributions	(3,058	)	(241	)
Capital Share Transactions
Issued	90,552		113,308
Issued in Lieu of Cash Distributions	3,058		240
Redeemed	(37,595	)	(7,418	)
Net Increase (Decrease) from Capital Share Transactions	56,015		106,130
Total Increase (Decrease)	69,217		108,228
Net Assets
Beginning of Period	162,838		54,610
End of Period	232,055		162,838

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $114,000 and $18,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

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Global Bond Index Portfolio

Financial Highlights

					Sept. 7,
					20171to
	Year Ended Dec. 31,				Dec. 31,
For a Share Outstanding Throughout Each Period	2019		2018		2017
Net Asset Value, Beginning of Period	$20.07		$19.97		$20.00
Investment Operations
Net Investment Income2	.571		.462		.164
Capital Gain Distributions Received2	—		.020		—
Net Realized and Unrealized Gain (Loss) on Investments	1.100		(.327	)	(.194	)
Total from Investment Operations	1.671		.155		(.030	)
Distributions
Dividends from Net Investment Income	(.306	)	(.051	)	—
Distributions from Realized Capital Gains	(.025	)	(.004	)	—
Total Distributions	(.331	)	(.055	)	—
Net Asset Value, End of Period	$21.41		$20.07		$19.97
Total Return	8.41%		0.78%		-0.15%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$232		$163		$55
Ratio of Total Expenses to Average Net Assets	—		—		—
Acquired Fund Fees and Expenses	0.13%		0.13%		0.14%3
Ratio of Net Investment Income to Average Net Assets	2.73%		2.34%		2.59%3
Portfolio Turnover Rate	12%		10%		8%

1 Inception.

2 Calculated based on average shares outstanding.

3 Annualized.

Notes to Financial Statements

The Global Bond Index Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio seeks to match the return of its target index by investing in selected Vanguard funds and portfolios. The portfolio invests a substantial amount of its assets in VVIF Total Bond Market Index Portfolio. The accompanying financial statements of VVIF Total Bond Market Index Portfolio should be read in conjunction with the financial statements of the portfolio. Financial statements and other information about each underlying fund and portfolio are available on vanguard.com. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts.

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

1. Security Valuation: Investments are valued at the net asset value of each underlying Vanguard fund determined as of the close of the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date.

2. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2017–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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Global Bond Index Portfolio

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

4. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and borne by the funds in which the portfolio invests (see Note B). Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

5. Other: Income and capital gain distributions received are recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

B.       In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the portfolio and all other expenses incurred by the portfolio during the period ended December 31, 2019, were borne by the underlying Vanguard funds in which the portfolio invests. The portfolio’s trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard.

C.       Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

At December 31, 2019, 100% of the market value of the portfolio’s investments was determined based on Level 1 inputs.

D.       Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	5,925
Undistributed Long-Term Gains	1,064
Capital Loss Carryforwards (Non-expiring)	—
Net Unrealized Gains (Losses)	8,438

111

Global Bond Index Portfolio

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	223,674
Gross Unrealized Appreciation	8,745
Gross Unrealized Depreciation	(307	)
Net Unrealized Appreciation (Depreciation)	8,438

E.       Capital shares issued and redeemed were:

	Year Ended December 31,
	2019		2018
	Shares		Shares
	(000	)	(000	)
Issued	4,355		5,742
Issued in Lieu of Cash Distributions	150		12
Redeemed	(1,781	)	(375	)
Net Increase (Decrease) in Shares Outstanding	2,724		5,379

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 83% of the portfolio’s net assets.

F.       Transactions during the period in affiliated underlying Vanguard funds were as follows:

					Current Period Transactions
	Dec. 31,		Proceeds	Realized				Dec. 31,
	2018		from	Net	Change in		Capital Gain	2019
	Market	Purchases	Securities	Gain	Unrealized		Distributions	Market
	Value	at Cost	Sold	(Loss)	App. (Dep.)	Income	Received	Value
	($000)	($000)	($000)	($000)	($000)	($000)	($000)	($000)
Vanguard Market Liquidity Fund	1	NA1	NA1	—	—	2	—	12
Vanguard Total International Bond Index Fund	48,815	27,139	8,527	491	1,771	2,215	—	69,689
Vanguard Variable Insurance Fund—Total Bond Market Index Portfolio	114,099	56,611	16,645	990	7,356	3,435	—	162,411
Total	162,915	83,750	25,172	1,481	9,127	5,652	—	232,112

1 Not applicable—purchases and sales are for temporary cash investment purposes.

G.       Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

112

Global Bond Index Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Global Bond Index Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets and statement of assets and liabilities of Global Bond Index Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the transfer agent. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Global Bond Index Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $119,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

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Global Bond Index Portfolio

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Aggregate Float Adjusted Index and the Bloomberg Barclays Global Aggregate ex-USD Float Adjusted RIC Capped Index (USD Hedged) (the Indices or Bloomberg Barclays Indices).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Global Bond Index Portfolio and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Global Bond Index Portfolio. The Indices are licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Global Bond Index Portfolio. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Indices is the licensing of the Indices, which are determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Global Bond Index Portfolio or the owners of the Global Bond Index Portfolio.

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Indices in connection with the Global Bond Index Portfolio. Investors acquire the Global Bond Index Portfolio from Vanguard and investors neither acquire any interest in the Indices nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Global Bond Index Portfolio. The Global Bond Index Portfolio is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Global Bond Index Portfolio or the advisability of investing in securities generally or the ability of the Indices to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Global Bond Index Portfolio with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Global Bond Index Portfolio to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Global Bond Index Portfolio or any other third party into consideration in determining, composing or calculating the Indices. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Global Bond Index Portfolio.

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Global Bond Index Portfolio, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Global Bond Index Portfolio, investors or other third parties.

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDICES, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBLITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE GLOBAL BOND INDEX PORTFOLIO.

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

© 2020 Bloomberg. Used with Permission.

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved

114

Total Bond Market Index Portfolio

Your Portfolio’s Performance at a Glance

•   With yields falling in 2019, prices rose, contributing to strong bond returns for the 12 months ended December 31, 2019. The Total Bond Market Index Portfolio returned 8.67%, in line with the 8.87% return of its benchmark index after taking into account the cost of running the portfolio.

•   The year was marked by concerns about slowing global growth, escalations in trade disputes, flare-ups in geopolitical tensions, and uncertainty over the United Kingdom’s exit from the European Union. The more challenging outlook prompted the Federal Reserve to cut interest rates three times in 2019; other major central banks adopted more accommodative monetary policies as well. Corporate earnings generally proved more resilient than expected and corporate defaults remained low, helping the average yield spread for corporate bonds versus U.S. Treasuries to narrow significantly.

•   Treasuries, which account for over 40% of the portfolio’s assets, returned 6.86%. Mortgage-backed securities returned a little less than that, while corporate bonds fared even better, returning 14.54%.

•   By credit quality, lower-rated investment-grade bonds bested higher-rated ones. And by maturity, longer-dated bonds significantly outperformed.

•   Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer 

			Average Annual Total Returns
			Periods Ended December 31, 2019
	One Year		Three Years		Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43	%	15.05	%	11.48	%
Russell 2000 Index (Small-caps)	25.53		8.59		8.23
Russell 3000 Index (Broad U.S. market)	31.02		14.57		11.24
FTSE All-World ex US Index (International)	21.81		9.96		5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72	%	4.03	%	3.05	%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54		4.72		3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25		1.65		1.04
CPI
Consumer Price Index	2.29	%	2.10	%	1.82	%

115

Total Bond Market Index Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 table below illustrates your portfolio’s costs in two ways:

•   Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•   Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019

	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Total Bond Market Index Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,024.33	$0.71
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.50	0.71

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.14%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

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Total Bond Market Index Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019

Initial Investment of $10,000

 

		Average Annual Total Returns			Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	Total Bond Market Index Portfolio	8.67%	2.92%	3.60%	$14,249
	Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	14,486

See Financial Highlights for dividend and capital gains information.

117

Total Bond Market Index Portfolio

Sector Diversification

As of December 31, 2019

Asset-Backed/Commercial Mortgage-Backed	2.5	%
Finance	8.5
Foreign	4.2
Government Mortgage-Backed	22.3
Industrial	16.4
Treasury/Agency	43.3
Utilities	2.0
Other	0.8

The table reflects the portfolio’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

118

Total Bond Market Index Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
U.S. Government and Agency Obligations (65.2%)
U.S. Government Securities (42.0%)
	United States Treasury Note/Bond	2.625%	8/31/20		2			2
	United States Treasury Note/Bond	2.750%	9/30/20		2			2
	United States Treasury Note/Bond	1.375%	10/31/20		1			1
	United States Treasury Note/Bond	1.750%	10/31/20		1			1
	United States Treasury Note/Bond	2.000%	11/30/20		5			5
	United States Treasury Note/Bond	2.750%	11/30/20		2			2
	United States Treasury Note/Bond	2.500%	12/31/20		1			1
	United States Treasury Note/Bond	2.000%	1/15/21		942			945
	United States Treasury Note/Bond	2.500%	1/31/21		7,700			7,770
	United States Treasury Note/Bond	2.250%	2/15/21		11,225			11,299
	United States Treasury Note/Bond	3.625%	2/15/21		768			785
	United States Treasury Note/Bond	7.875%	2/15/21		1,180			1,260
	United States Treasury Note/Bond	1.125%	2/28/21		580			577
	United States Treasury Note/Bond	2.000%	2/28/21		4,050			4,067
	United States Treasury Note/Bond	2.500%	2/28/21		11,488			11,601
	United States Treasury Note/Bond	2.375%	3/15/21		13,122			13,233
	United States Treasury Note/Bond	1.250%	3/31/21		9,170			9,127
	United States Treasury Note/Bond	2.250%	3/31/21		21,482			21,643
	United States Treasury Note/Bond	2.375%	4/15/21		8,381			8,461
	United States Treasury Note/Bond	1.375%	4/30/21		650			648
	United States Treasury Note/Bond	2.250%	4/30/21		8,016			8,082
	United States Treasury Note/Bond	2.625%	5/15/21		13,389			13,571
	United States Treasury Note/Bond	3.125%	5/15/21		5,625			5,738
	United States Treasury Note/Bond	1.375%	5/31/21		5,426			5,408
	United States Treasury Note/Bond	2.000%	5/31/21		6,752			6,788
	United States Treasury Note/Bond	2.125%	5/31/21		4,271			4,301
	United States Treasury Note/Bond	2.625%	6/15/21		10,023			10,167
	United States Treasury Note/Bond	1.125%	6/30/21		5,078			5,042
	United States Treasury Note/Bond	1.625%	6/30/21		7,852			7,853
	United States Treasury Note/Bond	2.625%	7/15/21		16,405			16,656
	United States Treasury Note/Bond	1.125%	7/31/21		9,520			9,447
	United States Treasury Note/Bond	1.750%	7/31/21		9,417			9,438
	United States Treasury Note/Bond	2.250%	7/31/21		5,675			5,731
	United States Treasury Note/Bond	2.125%	8/15/21		3,445			3,473
	United States Treasury Note/Bond	2.750%	8/15/21		23,185			23,602
	United States Treasury Note/Bond	1.125%	8/31/21		1,578			1,565
	United States Treasury Note/Bond	1.500%	8/31/21		10,140			10,123
	United States Treasury Note/Bond	2.000%	8/31/21		7,800			7,850
	United States Treasury Note/Bond	2.750%	9/15/21		6,614			6,740
	United States Treasury Note/Bond	1.125%	9/30/21		2,317			2,298
	United States Treasury Note/Bond	1.500%	9/30/21		2,125			2,121
	United States Treasury Note/Bond	2.125%	9/30/21		1,775			1,791
	United States Treasury Note/Bond	2.875%	10/15/21		9,746			9,962
	United States Treasury Note/Bond	1.250%	10/31/21		4,654			4,625
	United States Treasury Note/Bond	1.500%	10/31/21		18,666			18,637
	United States Treasury Note/Bond	2.000%	10/31/21		4,420			4,452
	United States Treasury Note/Bond	2.000%	11/15/21		115			116
	United States Treasury Note/Bond	2.875%	11/15/21		1,233			1,262
	United States Treasury Note/Bond	8.000%	11/15/21		3,400			3,795
	United States Treasury Note/Bond	1.500%	11/30/21		3,253			3,248
	United States Treasury Note/Bond	1.750%	11/30/21		7,492			7,513
	United States Treasury Note/Bond	2.625%	12/15/21		12,401			12,643
	United States Treasury Note/Bond	1.625%	12/31/21		3,645			3,649
	United States Treasury Note/Bond	2.000%	12/31/21		6,670			6,722
	United States Treasury Note/Bond	2.125%	12/31/21		928			937
	United States Treasury Note/Bond	2.500%	1/15/22		16,161			16,446
	United States Treasury Note/Bond	1.500%	1/31/22		2,384			2,380
	United States Treasury Note/Bond	1.875%	1/31/22		8,835			8,885
	United States Treasury Note/Bond	2.000%	2/15/22		135			136
	United States Treasury Note/Bond	2.500%	2/15/22		9,901			10,087
	United States Treasury Note/Bond	1.750%	2/28/22		6,330			6,351
	United States Treasury Note/Bond	1.875%	2/28/22		9,990			10,049
	United States Treasury Note/Bond	2.375%	3/15/22		10,896			11,080
	United States Treasury Note/Bond	1.750%	3/31/22		9,889			9,923
	United States Treasury Note/Bond	1.875%	3/31/22		5,215			5,247
	United States Treasury Note/Bond	2.250%	4/15/22		10,050			10,195
	United States Treasury Note/Bond	1.750%	4/30/22		4,977			4,994
	United States Treasury Note/Bond	1.875%	4/30/22		4,927			4,958
	United States Treasury Note/Bond	1.750%	5/15/22		2,962			2,972
	United States Treasury Note/Bond	2.125%	5/15/22		221			224
	United States Treasury Note/Bond	1.750%	5/31/22		5,115			5,133
	United States Treasury Note/Bond	1.875%	5/31/22		6,650			6,694
	United States Treasury Note/Bond	1.750%	6/15/22		13,281			13,329
	United States Treasury Note/Bond	1.750%	6/30/22		5,500			5,521
	United States Treasury Note/Bond	2.125%	6/30/22		5,235			5,302
	United States Treasury Note/Bond	1.750%	7/15/22		16,792			16,850
	United States Treasury Note/Bond	1.875%	7/31/22		6,417			6,459
	United States Treasury Note/Bond	2.000%	7/31/22		6,025			6,084
	United States Treasury Note/Bond	1.500%	8/15/22		10,098			10,071
	United States Treasury Note/Bond	1.625%	8/15/22		2,169			2,170
	United States Treasury Note/Bond	7.250%	8/15/22		875			1,001
	United States Treasury Note/Bond	1.625%	8/31/22		9,570			9,573
	United States Treasury Note/Bond	1.875%	8/31/22		5,445			5,482
	United States Treasury Note/Bond	1.500%	9/15/22		778			776
	United States Treasury Note/Bond	1.750%	9/30/22		9,437			9,471
	United States Treasury Note/Bond	1.875%	9/30/22		9,975			10,047
	United States Treasury Note/Bond	1.375%	10/15/22		11,286			11,212
	United States Treasury Note/Bond	1.875%	10/31/22		6,520			6,565
	United States Treasury Note/Bond	2.000%	10/31/22		7,947			8,030
	United States Treasury Note/Bond	1.625%	11/15/22		21,235			21,242
	United States Treasury Note/Bond	7.625%	11/15/22		40			47
	United States Treasury Note/Bond	2.000%	11/30/22		20,733			20,953
	United States Treasury Note/Bond	1.625%	12/15/22		23,260			23,271
	United States Treasury Note/Bond	2.125%	12/31/22		12,951			13,141
	United States Treasury Note/Bond	1.750%	1/31/23		7,020			7,046
	United States Treasury Note/Bond	2.375%	1/31/23		2,430			2,485
	United States Treasury Note/Bond	2.000%	2/15/23		798			807
	United States Treasury Note/Bond	7.125%	2/15/23		1,690			1,973
	United States Treasury Note/Bond	1.500%	2/28/23		2,889			2,877
	United States Treasury Note/Bond	2.625%	2/28/23		1,261			1,299
	United States Treasury Note/Bond	1.500%	3/31/23		7,005			6,977
	United States Treasury Note/Bond	2.500%	3/31/23		6,770			6,954
	United States Treasury Note/Bond	1.625%	4/30/23		215			215
	United States Treasury Note/Bond	2.750%	4/30/23		3,500			3,625
	United States Treasury Note/Bond	1.750%	5/15/23		7,400			7,424
	United States Treasury Note/Bond	1.625%	5/31/23		7,175			7,172
	United States Treasury Note/Bond	2.750%	5/31/23		5,850			6,062
	United States Treasury Note/Bond	1.375%	6/30/23		5,050			5,004
	United States Treasury Note/Bond	2.625%	6/30/23		5,398			5,577
	United States Treasury Note/Bond	1.250%	7/31/23		2,630			2,593
	United States Treasury Note/Bond	2.750%	7/31/23		3,555			3,690
	United States Treasury Note/Bond	2.500%	8/15/23		5,460			5,621
	United States Treasury Note/Bond	6.250%	8/15/23		6,565			7,621
	United States Treasury Note/Bond	1.375%	8/31/23		10,235			10,136
	United States Treasury Note/Bond	2.750%	8/31/23		8,235			8,553
	United States Treasury Note/Bond	1.375%	9/30/23		2,315			2,291
	United States Treasury Note/Bond	2.875%	9/30/23		4,309			4,498
	United States Treasury Note/Bond	1.625%	10/31/23		3,750			3,744
	United States Treasury Note/Bond	2.875%	10/31/23		11,203			11,702

119

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date	($000		)	($000		)
United States Treasury Note/Bond	2.750%	11/15/23		4,261			4,432
United States Treasury Note/Bond	2.125%	11/30/23		6,150			6,256
United States Treasury Note/Bond	2.875%	11/30/23		344			360
United States Treasury Note/Bond	2.250%	12/31/23		2,267			2,318
United States Treasury Note/Bond	2.625%	12/31/23		7,337			7,606
United States Treasury Note/Bond	2.250%	1/31/24		3,215			3,287
United States Treasury Note/Bond	2.500%	1/31/24		9,419			9,725
United States Treasury Note/Bond	2.750%	2/15/24		10,710			11,165
United States Treasury Note/Bond	2.125%	2/29/24		11,700			11,908
United States Treasury Note/Bond	2.375%	2/29/24		6,712			6,899
United States Treasury Note/Bond	2.125%	3/31/24		18,446			18,780
United States Treasury Note/Bond	2.000%	4/30/24		1,260			1,277
United States Treasury Note/Bond	2.250%	4/30/24		10,559			10,806
United States Treasury Note/Bond	2.500%	5/15/24		9,960			10,299
United States Treasury Note/Bond	2.000%	5/31/24		11,548			11,699
United States Treasury Note/Bond	1.750%	6/30/24		8,060			8,080
United States Treasury Note/Bond	2.000%	6/30/24		10,955			11,099
United States Treasury Note/Bond	1.750%	7/31/24		9,127			9,151
United States Treasury Note/Bond	2.125%	7/31/24		9,736			9,918
United States Treasury Note/Bond	2.375%	8/15/24		11,564			11,909
United States Treasury Note/Bond	1.250%	8/31/24		10,125			9,926
United States Treasury Note/Bond	1.875%	8/31/24		4,655			4,692
United States Treasury Note/Bond	1.500%	9/30/24		785			778
United States Treasury Note/Bond	2.125%	9/30/24		3,394			3,460
United States Treasury Note/Bond	1.500%	10/31/24		9,070			8,991
United States Treasury Note/Bond	2.250%	10/31/24		5,980			6,133
United States Treasury Note/Bond	2.250%	11/15/24		12,681			13,004
United States Treasury Note/Bond	7.500%	11/15/24		25			32
United States Treasury Note/Bond	1.500%	11/30/24		14,847			14,719
United States Treasury Note/Bond	2.125%	11/30/24		10,055			10,252
United States Treasury Note/Bond	1.750%	12/31/24		8,205			8,227
United States Treasury Note/Bond	2.250%	12/31/24		1,645			1,688
United States Treasury Note/Bond	2.500%	1/31/25		6,340			6,584
United States Treasury Note/Bond	2.000%	2/15/25		8,625			8,746
United States Treasury Note/Bond	2.750%	2/28/25		2,513			2,641
United States Treasury Note/Bond	2.625%	3/31/25		8,961			9,366
United States Treasury Note/Bond	2.875%	4/30/25		4,060			4,296
United States Treasury Note/Bond	2.125%	5/15/25		12,735			12,986
United States Treasury Note/Bond	2.875%	5/31/25		6,350			6,721
United States Treasury Note/Bond	2.750%	6/30/25		4,880			5,137
United States Treasury Note/Bond	2.875%	7/31/25		5,105			5,410
United States Treasury Note/Bond	2.000%	8/15/25		14,581			14,767
United States Treasury Note/Bond	6.875%	8/15/25		2,085			2,655
United States Treasury Note/Bond	2.750%	8/31/25		9,260			9,755
United States Treasury Note/Bond	3.000%	9/30/25		5,041			5,381
United States Treasury Note/Bond	3.000%	10/31/25		4,015			4,288
United States Treasury Note/Bond	2.250%	11/15/25		10,421			10,696
United States Treasury Note/Bond	2.875%	11/30/25		6,285			6,672
United States Treasury Note/Bond	2.625%	12/31/25		9,165			9,605
United States Treasury Note/Bond	2.625%	1/31/26		7,459			7,818
United States Treasury Note/Bond	1.625%	2/15/26		16,476			16,311
United States Treasury Note/Bond	6.000%	2/15/26		3,600			4,477
United States Treasury Note/Bond	2.500%	2/28/26		7,770			8,089
United States Treasury Note/Bond	2.250%	3/31/26		6,250			6,418
United States Treasury Note/Bond	2.375%	4/30/26		405			419
United States Treasury Note/Bond	1.625%	5/15/26		10,789			10,669
United States Treasury Note/Bond	2.125%	5/31/26		6,595			6,722
United States Treasury Note/Bond	1.875%	6/30/26		9,335			9,371
United States Treasury Note/Bond	1.875%	7/31/26		11,866			11,907
United States Treasury Note/Bond	1.500%	8/15/26		10,069			9,864
United States Treasury Note/Bond	6.750%	8/15/26		630			824
United States Treasury Note/Bond	1.375%	8/31/26		9,309			9,047
United States Treasury Note/Bond	1.625%	9/30/26		5,215			5,149
United States Treasury Note/Bond	1.625%	10/31/26		7,825			7,720
United States Treasury Note/Bond	2.000%	11/15/26		19,605			19,813
United States Treasury Note/Bond	6.500%	11/15/26		765			997
United States Treasury Note/Bond	1.625%	11/30/26		10,545			10,403
United States Treasury Note/Bond	1.750%	12/31/26		5,575			5,544
United States Treasury Note/Bond	2.250%	2/15/27		6,372			6,545
United States Treasury Note/Bond	6.625%	2/15/27		1,065			1,406
United States Treasury Note/Bond	2.375%	5/15/27		9,832			10,189
United States Treasury Note/Bond	2.250%	8/15/27		7,822			8,037
United States Treasury Note/Bond	6.375%	8/15/27		185			245
United States Treasury Note/Bond	2.250%	11/15/27		11,502			11,822
United States Treasury Note/Bond	6.125%	11/15/27		1,839			2,414
United States Treasury Note/Bond	2.750%	2/15/28		7,480			7,971
United States Treasury Note/Bond	2.875%	5/15/28		12,080			13,001
United States Treasury Note/Bond	2.875%	8/15/28		13,082			14,098
United States Treasury Note/Bond	5.500%	8/15/28		2,745			3,531
United States Treasury Note/Bond	3.125%	11/15/28		8,828			9,705
United States Treasury Note/Bond	5.250%	11/15/28		3,155			4,015
United States Treasury Note/Bond	2.625%	2/15/29		12,045			12,764
United States Treasury Note/Bond	5.250%	2/15/29		600			767
United States Treasury Note/Bond	2.375%	5/15/29		11,878			12,345
United States Treasury Note/Bond	1.625%	8/15/29		12,565			12,239
United States Treasury Note/Bond	6.125%	8/15/29		1,530			2,096
United States Treasury Note/Bond	1.750%	11/15/29		11,231			11,061
United States Treasury Note/Bond	6.250%	5/15/30		2,350			3,303
United States Treasury Note/Bond	5.375%	2/15/31		7,275			9,760
United States Treasury Note/Bond	4.500%	2/15/36		3,047			4,041
United States Treasury Note/Bond	4.750%	2/15/37		700			963
United States Treasury Note/Bond	5.000%	5/15/37		150			212
United States Treasury Note/Bond	4.375%	2/15/38		200			266
United States Treasury Note/Bond	4.500%	5/15/38		2,459			3,323
United States Treasury Note/Bond	3.500%	2/15/39		2,470			2,960
United States Treasury Note/Bond	4.250%	5/15/39		2,247			2,957
United States Treasury Note/Bond	4.500%	8/15/39		2,516			3,414
United States Treasury Note/Bond	4.375%	11/15/39		2,817			3,769
United States Treasury Note/Bond	4.625%	2/15/40		4,250			5,876
United States Treasury Note/Bond	4.375%	5/15/40		3,735			5,015
United States Treasury Note/Bond	3.875%	8/15/40		3,075			3,876
United States Treasury Note/Bond	4.250%	11/15/40		2,395			3,171
United States Treasury Note/Bond	4.750%	2/15/41		3,956			5,582
United States Treasury Note/Bond	4.375%	5/15/41		1,840			2,481
United States Treasury Note/Bond	3.750%	8/15/41		4,425			5,494
United States Treasury Note/Bond	3.125%	11/15/41		2,701			3,064
United States Treasury Note/Bond	3.125%	2/15/42		3,631			4,119
United States Treasury Note/Bond	3.000%	5/15/42		7,620			8,480
United States Treasury Note/Bond	2.750%	8/15/42		6,740			7,198
United States Treasury Note/Bond	2.750%	11/15/42		5,446			5,814
United States Treasury Note/Bond	3.125%	2/15/43		5,850			6,636
United States Treasury Note/Bond	2.875%	5/15/43		8,753			9,541
United States Treasury Note/Bond	3.625%	8/15/43		7,405			9,084
United States Treasury Note/Bond	3.750%	11/15/43		8,693			10,876
United States Treasury Note/Bond	3.625%	2/15/44		8,402			10,331
United States Treasury Note/Bond	3.375%	5/15/44		8,604			10,187
United States Treasury Note/Bond	3.125%	8/15/44		8,606			9,795
United States Treasury Note/Bond	3.000%	11/15/44		9,337			10,414
United States Treasury Note/Bond	2.500%	2/15/45		7,020			7,168
United States Treasury Note/Bond	3.000%	5/15/45		6,917			7,728
United States Treasury Note/Bond	2.875%	8/15/45		8,878			9,707
United States Treasury Note/Bond	3.000%	11/15/45		4,974			5,564
United States Treasury Note/Bond	2.500%	2/15/46		8,128			8,301
United States Treasury Note/Bond	2.500%	5/15/46		8,981			9,170
United States Treasury Note/Bond	2.250%	8/15/46		5,756			5,595
United States Treasury Note/Bond	2.875%	11/15/46		12,500			13,713
United States Treasury Note/Bond	3.000%	2/15/47		1,662			1,868
United States Treasury Note/Bond	3.000%	5/15/47		7,293			8,193
United States Treasury Note/Bond	2.750%	8/15/47		6,713			7,200
United States Treasury Note/Bond	2.750%	11/15/47		10,171			10,907
United States Treasury Note/Bond	3.000%	2/15/48		8,479			9,531
United States Treasury Note/Bond	3.125%	5/15/48		8,985			10,343
United States Treasury Note/Bond	3.000%	8/15/48		9,510			10,712
United States Treasury Note/Bond	3.375%	11/15/48		5,907			7,126
United States Treasury Note/Bond	3.000%	2/15/49		11,044			12,459
United States Treasury Note/Bond	2.875%	5/15/49		10,723			11,823
United States Treasury Note/Bond	2.250%	8/15/49		11,636			11,292
United States Treasury Note/Bond	2.375%	11/15/49		9,660			9,631
							1,805,501

120

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
Agency Bonds and Notes (0.9%)
1	AID-Iraq	2.149%	1/18/22		100			101
1	AID-Israel	5.500%	12/4/23		50			57
1	AID-Israel	5.500%	4/26/24		475			547
1	AID-Jordan	2.578%	6/30/22		200			204
1	AID-Jordan	3.000%	6/30/25		200			208
1	AID-Ukraine	1.471%	9/29/21		175			174
	Federal Farm Credit Banks	2.550%	3/11/21		350			354
	Federal Farm Credit Banks	2.230%	4/5/21		350			353
	Federal Farm Credit Banks	3.050%	11/15/21		100			103
	Federal Farm Credit Banks	1.600%	12/28/21		225			225
	Federal Farm Credit Banks	1.770%	6/26/23		150			151
	Federal Farm Credit Banks	3.500%	12/20/23		75			80
	Federal Home Loan Banks	1.375%	2/18/21		450			449
	Federal Home Loan Banks	5.625%	6/11/21		35			37
	Federal Home Loan Banks	1.875%	7/7/21		1,350			1,355
	Federal Home Loan Banks	1.125%	7/14/21		525			521
	Federal Home Loan Banks	3.000%	10/12/21		1,500			1,536
	Federal Home Loan Banks	1.625%	11/19/21		760			760
	Federal Home Loan Banks	1.875%	11/29/21		500			502
	Federal Home Loan Banks	1.625%	12/20/21		1,300			1,300
	Federal Home Loan Banks	2.125%	6/10/22		175			177
	Federal Home Loan Banks	2.000%	9/9/22		250			252
	Federal Home Loan Banks	2.125%	3/10/23		970			984
	Federal Home Loan Banks	2.500%	2/13/24		535			551
	Federal Home Loan Banks	1.500%	8/15/24		330			326
	Federal Home Loan Banks	3.250%	11/16/28		315			344
	Federal Home Loan Banks	5.500%	7/15/36		1,400			1,966
2	Federal Home Loan Mortgage Corp.	2.375%	2/16/21		1,200			1,210
2	Federal Home Loan Mortgage Corp.	1.125%	8/12/21		1,000			992
2	Federal Home Loan Mortgage Corp.	2.375%	1/13/22		800			812
2	Federal Home Loan Mortgage Corp.	2.750%	6/19/23		500			518
2	Federal Home Loan Mortgage Corp.	6.750%	9/15/29		127			178
2	Federal Home Loan Mortgage Corp.	6.750%	3/15/31		1,525			2,205
2	Federal Home Loan Mortgage Corp.	6.250%	7/15/32		502			721
2	Federal National Mortgage Assn.	1.375%	2/26/21		550			549
2	Federal National Mortgage Assn.	2.500%	4/13/21		500			505
2	Federal National Mortgage Assn.	2.750%	6/22/21		891			905
2	Federal National Mortgage Assn.	1.250%	8/17/21		525			522
2	Federal National Mortgage Assn.	1.375%	10/7/21		1,200			1,195
2	Federal National Mortgage Assn.	2.000%	1/5/22		500			504
2	Federal National Mortgage Assn.	2.625%	1/11/22		216			220
2	Federal National Mortgage Assn.	2.250%	4/12/22		476			483
2	Federal National Mortgage Assn.	1.375%	9/6/22		350			348
2	Federal National Mortgage Assn.	2.000%	10/5/22		850			858
2	Federal National Mortgage Assn.	2.375%	1/19/23		2,394			2,445
2	Federal National Mortgage Assn.	2.875%	9/12/23		400			417
2	Federal National Mortgage Assn.	2.500%	2/5/24		975			1,005
2	Federal National Mortgage Assn.	1.750%	7/2/24		1,028			1,028
2	Federal National Mortgage Assn.	2.625%	9/6/24		160			166
2	Federal National Mortgage Assn.	1.625%	10/15/24		970			964
2	Federal National Mortgage Assn.	2.125%	4/24/26		575			583
2	Federal National Mortgage Assn.	1.875%	9/24/26		500			499
2	Federal National Mortgage Assn.	6.250%	5/15/29		175			236
2	Federal National Mortgage Assn.	7.125%	1/15/30		925			1,335
2	Federal National Mortgage Assn.	7.250%	5/15/30		300			441
2	Federal National Mortgage Assn.	6.625%	11/15/30		300			427
2	Federal National Mortgage Assn.	5.625%	7/15/37		275			395
	Private Export Funding Corp.	4.300%	12/15/21		100			105
	Private Export Funding Corp.	2.800%	5/15/22		125			128
	Private Export Funding Corp.	2.050%	11/15/22		1,075			1,080
	Private Export Funding Corp.	3.550%	1/15/24		100			106
	Private Export Funding Corp.	2.450%	7/15/24		100			102
	Private Export Funding Corp.	1.750%	11/15/24		75			75
	Private Export Funding Corp.	3.250%	6/15/25		50			53
	Tennessee Valley Authority	3.875%	2/15/21		250			256
	Tennessee Valley Authority	1.875%	8/15/22		175			175
	Tennessee Valley Authority	2.875%	9/15/24		191			200
	Tennessee Valley Authority	6.750%	11/1/25		134			169
	Tennessee Valley Authority	7.125%	5/1/30		1,000			1,441
	Tennessee Valley Authority	4.650%	6/15/35		175			216
	Tennessee Valley Authority	5.880%	4/1/36		250			352
	Tennessee Valley Authority	5.500%	6/15/38		100			139
	Tennessee Valley Authority	5.250%	9/15/39		412			564
	Tennessee Valley Authority	4.875%	1/15/48		100			137
	Tennessee Valley Authority	5.375%	4/1/56		50			76
	Tennessee Valley Authority	4.625%	9/15/60		180			246
	Tennessee Valley Authority	4.250%	9/15/65		200			259
								42,162
Conventional Mortgage-Backed Securities (22.2%)
2,3	Fannie Mae Pool	2.000%	11/1/27–11/1/34		1,931			1,926
2,3,4	Fannie Mae Pool	2.500%	1/1/27–1/1/50		23,901			24,126
2,3,4	Fannie Mae Pool	3.000%	11/1/25–12/1/49		82,933			85,015
2,3,4	Fannie Mae Pool	3.500%	10/1/20–9/1/49		105,130			109,506
2,3	Fannie Mae Pool	4.000%	1/1/20–9/1/49		85,138			89,586
2,3,4	Fannie Mae Pool	4.500%	1/1/20–1/1/50		36,954			39,467
2,3,4	Fannie Mae Pool	5.000%	3/1/20–1/1/50		12,277			13,382
2,3	Fannie Mae Pool	5.500%	3/1/20–4/1/40		5,550			6,245
2,3	Fannie Mae Pool	6.000%	12/1/20–5/1/41		3,279			3,740
2,3	Fannie Mae Pool	6.500%	12/1/23–10/1/39		891			1,025
2,3	Fannie Mae Pool	7.000%	6/1/23–11/1/37		246			281
2,3	Fannie Mae Pool	7.500%	11/1/22–2/1/32		26			32
2,3	Fannie Mae Pool	8.000%	6/1/22–11/1/30		13			13
2,3	Fannie Mae Pool	8.500%	7/1/22–4/1/31		6			6
2,3	Fannie Mae Pool	9.500%	2/1/25		1			2
2,3	Freddie Mac Gold Pool	2.000%	8/1/28–12/1/31		660			658
2,3	Freddie Mac Gold Pool	2.500%	4/1/27–2/1/43		13,167			13,344
2,3	Freddie Mac Gold Pool	3.000%	10/1/26–8/1/47		48,850			50,229
2,3	Freddie Mac Gold Pool	3.500%	9/1/25–11/1/48		62,661			65,443
2,3	Freddie Mac Gold Pool	4.000%	1/1/20–11/1/48		39,436			41,634
2,3	Freddie Mac Gold Pool	4.500%	8/1/20–10/1/48		17,755			19,003
2,3	Freddie Mac Gold Pool	5.000%	2/1/20–11/1/48		3,929			4,300
2,3	Freddie Mac Gold Pool	5.500%	7/1/20–6/1/41		2,664			2,968
2,3	Freddie Mac Gold Pool	6.000%	8/1/20–3/1/39		1,979			2,248
2,3	Freddie Mac Gold Pool	6.500%	8/1/23–4/1/39		575			655
2,3	Freddie Mac Gold Pool	7.000%	4/1/23–2/1/37		143			161
2,3	Freddie Mac Gold Pool	7.500%	1/1/23–4/1/28		12			12
2,3	Freddie Mac Gold Pool	8.000%	1/1/22–7/1/30		14			14
2,3	Freddie Mac Gold Pool	8.500%	7/1/24–11/1/30		9			10
2,3	Freddie Mac Gold Pool	9.000%	5/1/27–5/1/30		4			4
2,3	Freddie Mac Pool	4.000%	1/1/49		415			440
2,3	Freddie Mac Pool	4.500%	4/1/49		1,137			1,217

121

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
3	Ginnie Mae I Pool	3.000%	1/15/26–12/15/45		2,949			3,034
3,4	Ginnie Mae I Pool	3.500%	11/15/25–1/1/49		3,159			3,298
3	Ginnie Mae I Pool	4.000%	10/15/24–11/15/47		3,589			3,785
3	Ginnie Mae I Pool	4.500%	5/15/20–3/15/41		3,435			3,707
3	Ginnie Mae I Pool	5.000%	11/15/20–4/15/41		2,321			2,548
3	Ginnie Mae I Pool	5.500%	1/15/32–12/15/40		1,419			1,573
3	Ginnie Mae I Pool	6.000%	1/15/24–3/15/40		1,027			1,150
3	Ginnie Mae I Pool	6.500%	11/15/23–12/15/38		263			287
3	Ginnie Mae I Pool	7.000%	5/15/23–10/15/31		66			76
3	Ginnie Mae I Pool	7.500%	4/15/22–1/15/31		21			24
3	Ginnie Mae I Pool	8.000%	3/15/22–10/15/30		19			19
3	Ginnie Mae I Pool	8.500%	6/15/24–9/15/26		2			2
3	Ginnie Mae I Pool	9.000%	8/15/21–10/15/26		1			1
3,4	Ginnie Mae II Pool	2.500%	6/20/27–1/1/50		8,650			8,681
3,4	Ginnie Mae II Pool	3.000%	2/20/27–1/1/50		61,744			63,674
3,4	Ginnie Mae II Pool	3.500%	9/20/25–9/20/49		91,713			95,454
3	Ginnie Mae II Pool	4.000%	9/20/25–12/1/49		58,284			60,990
3,4	Ginnie Mae II Pool	4.500%	2/20/39–1/1/50		29,226			31,071
3	Ginnie Mae II Pool	5.000%	12/20/32–5/20/49		9,817			10,538
3	Ginnie Mae II Pool	5.500%	6/20/34–9/20/41		1,100			1,224
3	Ginnie Mae II Pool	6.000%	3/20/33–7/20/39		536			613
3	Ginnie Mae II Pool	6.500%	12/20/35–11/20/39		191			222
3	Ginnie Mae II Pool	7.000%	8/20/36–4/20/38		23			28
2,3	UMBS Pool	2.000%	1/1/32		211			209
2,3	UMBS Pool	2.500%	11/1/34–12/1/49		7,106			7,055
2,3	UMBS Pool	3.000%	7/1/30–1/1/50		34,184			34,687
2,3	UMBS Pool	3.500%	7/1/49–10/1/49		14,762			15,280
2,3	UMBS Pool	4.000%	5/1/47–9/1/49		7,783			8,302
2,3	UMBS Pool	4.500%	8/1/48–8/1/49		3,327			3,569
2,3	UMBS Pool	5.000%	3/1/49		1,492			1,636
2,3,4	UMBS TBA	2.500%	1/1/50		3,175			3,139
2,3,4	UMBS TBA	3.000%	11/1/49–1/1/50		3,550			3,600
2,3,4	UMBS TBA	3.500%	9/1/49–1/1/50		1,460			1,501
2,3,4	UMBS TBA	4.000%	1/1/35–1/1/50		6,790			7,066
								954,735
Nonconventional Mortgage-Backed Securities (0.1%)
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.290%	4.034%	12/1/41		23			24
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.310%	3.592%	9/1/37		45			46
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.392%	3.811%	10/1/37		17			17
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.509%	4.082%	7/1/36		7			7
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.553%	2.443%	9/1/43		12			12
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.560%	2.272%	7/1/43		132			133
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.609%	3.642%	12/1/33		6			7
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.623%	4.748%	2/1/36		6			6
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.625%	4.135%	8/1/35		42			45
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.627%	4.752%	3/1/38		5			5
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.635%	3.510%	11/1/36		4			5
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.643%	4.476%	1/1/37		6			7
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.660%	3.910%	9/1/40		7			8
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.665%	4.415%	6/1/36		1			1
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.679%	3.992%	1/1/42		23			24
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.682%	4.167%	10/1/37		18			19
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.690%	3.706%	10/1/39		11			11
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.690%	3.972%	9/1/42		38			40
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.690%	4.622%	5/1/40		13			13
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.695%	4.320%	7/1/39		5			5
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.698%	4.161%	8/1/40		11			11
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.700%	4.364%	12/1/40		14			14
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.701%	3.965%	10/1/42		23			24
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.705%	3.809%	11/1/39		5			6
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.726%	3.956%	9/1/34		5			5
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.734%	3.997%	11/1/39		14			14
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.746%	4.506%	7/1/41		36			38
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.750%	4.213%	10/1/40		9			9
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.767%	4.648%	6/1/41		6			6
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.771%	4.709%	5/1/42		9			10
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.780%	4.905%	2/1/41		6			7
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.793%	3.391%	8/1/42		50			50
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.795%	4.839%	3/1/42		22			23
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.798%	4.358%	3/1/42		21			22
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.804%	3.943%	12/1/39		15			16
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.805%	3.773%	11/1/41		25			27
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.810%	3.685%	10/1/40		15			16

122

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.810%	3.935%	11/1/33–11/1/39		15			15
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.810%	4.810%	12/1/40		10			10
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.813%	3.978%	11/1/41		14			15
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.813%	4.435%	1/1/42		21			22
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.815%	3.690%	11/1/40		5			5
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.815%	3.809%	12/1/40		9			9
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.815%	3.970%	12/1/41		17			18
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.815%	4.693%	5/1/41		17			18
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.815%	4.940%	2/1/41		15			16
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.819%	4.759%	3/1/41		27			28
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.820%	4.168%	12/1/40		7			7
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.822%	4.310%	9/1/40		31			33
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.823%	4.902%	2/1/41		12			12
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.825%	4.825%	3/1/41		14			15
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.830%	3.451%	4/1/41		25			25
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.830%	4.580%	6/1/41		17			18
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.835%	4.723%	1/1/40		15			15
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.840%	4.403%	8/1/39		12			13
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.861%	4.745%	5/1/40		6			6
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.880%	4.406%	11/1/34		10			10
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.909%	4.784%	4/1/37		9			10
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.912%	4.787%	5/1/36		3			3
2,3,5	Fannie Mae Pool, 1Y CMT + 2.155%	4.780%	12/1/37		24			25
2,3,5	Fannie Mae Pool, 1Y CMT + 2.238%	4.613%	7/1/38		8			8
2,3,5	Fannie Mae Pool, 1Y CMT + 2.268%	4.415%	12/1/35		10			10
2,3,5	Fannie Mae Pool, 1Y CMT + 2.313%	4.845%	1/1/35		14			15
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.026%	3.206%	4/1/37		13			14
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.476%	2.242%	3/1/43		100			101
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.582%	2.743%	6/1/43		62			62
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.638%	4.339%	8/1/39		26			27
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.657%	4.260%	10/1/42		21			22
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.700%	4.531%	7/1/37		8			9
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.710%	3.371%	9/1/43		49			50
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.723%	4.720%	5/1/42		44			46
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.789%	4.572%	7/1/42		16			17
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.840%	4.157%	8/1/37		13			14
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 0.985%	3.235%	10/1/37		2			2
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.564%	4.420%	3/1/37		2			2
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.588%	3.921%	9/1/37		5			5
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.625%	4.625%	1/1/38		2			2
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640%	3.830%	12/1/36		9			9
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640%	4.515%	5/1/42		4			4
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.660%	3.711%	10/1/37		10			10
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.695%	4.767%	2/1/37		6			6
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.727%	4.738%	1/1/35		2			2
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.743%	3.865%	12/1/36		16			16
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.745%	4.713%	12/1/40		22			23
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750%	4.625%	5/1/38		1			2
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.765%	3.730%	12/1/36		4			5
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.796%	3.871%	12/1/34		9			9
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.834%	4.220%	12/1/35		11			11
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.864%	4.595%	2/1/42		10			10
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.005%	11/1/40		2			2
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.630%	6/1/40		12			12
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.713%	6/1/41		7			7
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.755%	5/1/40		11			11
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.756%	6/1/40		10			11
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.880%	12/1/40		2			3
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.979%	1/1/41		17			18
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	5.005%	3/1/41		6			6
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.889%	4.956%	2/1/42		13			13
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.895%	4.323%	9/1/40		23			24
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900%	3.846%	11/1/40		15			15
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900%	4.705%	6/1/40		15			16
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910%	4.825%	1/1/41		3			3
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910%	5.035%	2/1/41		18			19
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.977%	4.783%	5/1/37		20			21
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.000%	4.750%	7/1/35		2			2
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.085%	5.210%	3/1/38		3			3
2,3,5	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.006%	11/1/34		22			23
2,3,5	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.750%	5/1/36		6			6
2,3,5	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.991%	2/1/36		7			7

123

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2,3,5	Freddie Mac Non Gold Pool, 1Y CMT + 2.409%	4.964%	10/1/36		12			13
2,3,5	Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.355%	3.438%	6/1/37		7			8
3,5	Ginnie Mae II Pool, 1Y CMT + 1.500%	3.250%	7/20/38–8/20/41		45			46
3,5	Ginnie Mae II Pool, 1Y CMT + 1.500%	3.875%	4/20/41–6/20/43		109			112
3,5	Ginnie Mae II Pool, 1Y CMT + 1.500%	4.000%	1/20/41–3/20/43		122			126
3,5	Ginnie Mae II Pool, 1Y CMT + 1.500%	4.125%	10/20/38–12/20/42		163			167
3,5	Ginnie Mae II Pool, 1Y CMT + 2.000%	4.375%	5/20/41		12			13
3,5	Ginnie Mae II Pool, 1Y CMT + 2.000%	4.625%	11/20/40		1			1
								2,302
Total U.S. Government and Agency Obligations (Cost $2,733,576)								2,804,700
Asset-Backed/Commercial Mortgage-Backed Securities (2.6%)
3	Ally Auto Receivables Trust 2018-1	2.350%	6/15/22		73			73
3	Ally Auto Receivables Trust 2018-1	2.530%	2/15/23		25			25
3	Ally Auto Receivables Trust 2018-3	3.000%	1/17/23		25			25
3	Ally Auto Receivables Trust 2018-3	3.120%	7/17/23		50			51
3	Ally Auto Receivables Trust 2019-2	2.230%	1/16/24		275			276
3	Ally Auto Receivables Trust 2019-2	2.260%	8/15/24		50			50
3	Ally Auto Receivables Trust 2019-4	1.840%	6/17/24		230			230
3	Ally Auto Receivables Trust 2019-4	1.920%	1/15/25		25			25
3	Ally Master Owner Trust Series 2018-1	2.700%	1/17/23		425			428
3	Ally Master Owner Trust Series 2018-2	3.290%	5/15/23		100			102
3	American Express Credit Account Master Trust 2017-1	1.930%	9/15/22		250			250
3	American Express Credit Account Master Trust 2017-3	1.770%	11/15/22		300			300
3	American Express Credit Account Master Trust 2017-6	2.040%	5/15/23		375			376
3	American Express Credit Account Master Trust 2017-7	2.350%	5/15/25		225			228
3	American Express Credit Account Master Trust 2018-1	2.670%	10/17/22		275			275
3	American Express Credit Account Master Trust 2018-2	3.010%	10/15/25		250			258
3	American Express Credit Account Master Trust 2018-4	2.990%	12/15/23		325			330
3	American Express Credit Account Master Trust 2018-8	3.180%	4/15/24		100			102
3	AmeriCredit Automobile Receivables Trust 2017-3	1.900%	3/18/22		38			38
3	AmeriCredit Automobile Receivables Trust 2018-1	3.070%	12/19/22		100			101
3	AmeriCredit Automobile Receivables Trust 2018-1	3.260%	1/18/24		56			57
3	AmeriCredit Automobile Receivables Trust 2018-1	3.500%	1/18/24		50			51
3	AmeriCredit Automobile Receivables Trust 2019-1	2.970%	11/20/23		75			76
3	BA Credit Card Trust 2017-A1	1.950%	8/15/22		250			250
3	BA Credit Card Trust 2018-A1	2.700%	7/17/23		475			480
3	BA Credit Card Trust 2019-A1	1.740%	1/15/25		150			150
3	Banc of America Commercial Mortgage Trust 2015-UBS7	3.429%	9/15/48		50			52
3	Banc of America Commercial Mortgage Trust 2015-UBS7	3.705%	9/15/48		75			80
3	Banc of America Commercial Mortgage Trust 2017-BNK3	3.574%	2/15/50		72			77
3	Banc of America Commercial Mortgage Trust 2017-BNK3	3.748%	2/15/50		28			29
3	BANK 2017 - BNK5	3.390%	6/15/60		150			159
3	BANK 2017 - BNK5	3.624%	6/15/60		100			105
3	BANK 2017 - BNK6	3.518%	7/15/60		404			431
3	BANK 2017 - BNK6	3.741%	7/15/60		404			431
3	BANK 2017 - BNK7	3.175%	9/15/60		100			104
3	BANK 2017 - BNK7	3.435%	9/15/60		75			80
3	BANK 2017 - BNK7	3.748%	9/15/60		75			79
3	BANK 2017 - BNK8	3.488%	11/15/50		150			160
3	BANK 2017 - BNK8	3.731%	11/15/50		25			26
3	BANK 2017 - BNK9	3.279%	11/15/54		150			157
3	BANK 2017 - BNK9	3.538%	11/15/54		150			160
3	BANK 2018 - BN10	3.641%	2/15/61		50			53
3	BANK 2018 - BN10	3.688%	2/15/61		250			270
3	BANK 2018 - BN10	3.898%	2/15/61		50			54
3	BANK 2018 - BN11	4.046%	3/15/61		100			110
3	BANK 2018 - BN12	4.255%	5/15/61		125			140
3	BANK 2018 - BN12	4.359%	5/15/61		50			56
3	BANK 2018 - BN13	4.217%	8/15/61		25			28
3	BANK 2018 - BN14	4.128%	9/15/60		50			53
3	BANK 2018 - BN14	4.231%	9/15/60		100			112
3	BANK 2018 - BN14	4.481%	9/15/60		25			28
3	BANK 2018 - BN15	4.407%	11/15/61		110			125
3	BANK 2019 - BN16	4.005%	2/15/52		125			138
3	BANK 2019 - BN17	3.714%	4/15/52		100			108
3	BANK 2019 - BN17	3.976%	4/15/52		25			27
3	BANK 2019 - BN18	3.584%	5/15/62		375			403
3	BANK 2019 - BN18	3.826%	5/15/62		50			53
3	BANK 2019 - BN19	3.183%	8/15/61		275			287
3	BANK 2019 - BN20	3.011%	9/15/61		170			175
3	BANK 2019 - BN21	2.851%	10/17/52		375			381
3	BANK 2019 - BN21	3.093%	10/17/52		75			75
3	BANK 2019 - BN22	2.978%	11/15/62		290			298
3	BANK 2019 - BN23	2.920%	12/15/52		180			184
3	BANK 2019 - BN23	3.203%	12/15/52		75			76
3	BANK 2019 - BN24	2.960%	11/15/62		150			154
3	BANK 2019 - BN24	3.283%	11/15/62		75			76
3	Bank of America Credit Card Trust 2018-A2	3.000%	9/15/23		400			406
	Bank of Nova Scotia	1.875%	4/26/21		175			175
3	BBCMS Mortgage Trust 2017-C1	3.674%	2/15/50		325			349
3	BBCMS Mortgage Trust 2017-C1	3.898%	2/15/50		100			107
3	BBCMS Mortgage Trust 2018-C2	4.314%	12/15/51		125			141
3	BBCMS Mortgage Trust 2019-C3	3.583%	5/15/52		700			744
3	BBCMS Mortgage Trust 2019-C4	2.919%	8/15/52		275			279
3	BBCMS Mortgage Trust 2019-C4	3.171%	8/15/52		25			25
3	BBCMS Mortgage Trust 2019-C5	3.063%	11/15/52		150			154
3	BBCMS Mortgage Trust 2019-C5	3.366%	11/15/52		100			102
3	Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26	5.450%	1/12/45		27			27
3	BENCHMARK 2018-B1 Mortgage Trust	3.666%	1/15/51		100			108
3	BENCHMARK 2018-B1 Mortgage Trust	3.878%	1/15/51		50			53
3	BENCHMARK 2018-B2 Mortgage Trust	3.662%	2/15/51		125			130
3	BENCHMARK 2018-B2 Mortgage Trust	3.882%	2/15/51		325			353
3	BENCHMARK 2018-B2 Mortgage Trust	4.084%	2/15/51		150			163
3	BENCHMARK 2018-B3 Mortgage Trust	3.848%	4/10/51		100			104
3	BENCHMARK 2018-B3 Mortgage Trust	4.025%	4/10/51		225			248
3	BENCHMARK 2018-B4 Mortgage Trust	4.121%	7/15/51		350			389
3	BENCHMARK 2018-B4 Mortgage Trust	4.311%	7/15/51		75			82
3	BENCHMARK 2018-B5 Mortgage Trust	4.208%	7/15/51		75			84
3	BENCHMARK 2018-B6 Mortgage Trust	4.203%	10/10/51		50			53
3	BENCHMARK 2018-B6 Mortgage Trust	4.261%	10/10/51		50			56
3	BENCHMARK 2018-B6 Mortgage Trust	4.441%	10/10/51		25			28
3	BENCHMARK 2018-B7 Mortgage Trust	4.510%	5/15/53		175			200
3	BENCHMARK 2018-B8 Mortgage Trust	4.232%	1/15/52		125			140
3	BENCHMARK 2018-B8 Mortgage Trust	4.532%	1/15/52		50			56
3	BENCHMARK 2019-B9 Mortgage Trust	4.016%	3/15/52		105			116
3	BENCHMARK 2019-B10 Mortgage Trust	3.717%	3/15/62		80			87
3	BENCHMARK 2019-B10 Mortgage Trust	3.979%	3/15/62		50			54
3	BENCHMARK 2019-B11 Mortgage Trust	3.542%	5/15/52		275			295
3	BENCHMARK 2019-B11 Mortgage Trust	3.784%	5/15/52		75			80
3	BENCHMARK 2019-B13 Mortgage Trust	2.952%	8/15/57		280			286

124

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
3	BENCHMARK 2019-B14 Mortgage Trust	3.049%	12/15/62		225			232
3	BENCHMARK 2019-B15 Mortgage Trust	2.928%	12/15/72		230			233
3	BMW Vehicle Lease Trust 2017-2	2.070%	10/20/20		24			24
3	BMW Vehicle Owner Trust 2018-A	2.350%	4/25/22		125			125
3	BMW Vehicle Owner Trust 2018-A	2.510%	6/25/24		50			50
3	Cantor Commercial Real Estate Lending 2019-CF1	3.786%	5/15/52		125			135
3	Cantor Commercial Real Estate Lending 2019-CF2	2.874%	11/15/52		140			141
3	Cantor Commercial Real Estate Lending 2019-CF3	3.006%	1/15/53		135			138
3	Cantor Commercial Real Estate Lending 2019-CF3	3.298%	1/15/53		60			60
3	Capital One Auto Receivables Trust 2019-1	2.510%	11/15/23		100			101
3	Capital One Auto Receivables Trust 2019-1	2.560%	10/15/24		35			35
3	Capital One Multi-Asset Execution Trust 2015-A2	2.080%	3/15/23		250			250
3	Capital One Multi-Asset Execution Trust 2015-A8	2.050%	8/15/23		150			150
3	Capital One Multi-Asset Execution Trust 2017-A4	1.990%	7/17/23		250			250
3	Capital One Multi-Asset Execution Trust 2017-A6	2.290%	7/15/25		225			228
3	Capital One Multi-Asset Execution Trust 2018-A1	3.010%	2/15/24		125			127
3	Capital One Multi-Asset Execution Trust 2019-A1	2.840%	12/15/24		75			77
3	CarMax Auto Owner Trust 2016-3	1.390%	5/17/21		9			9
3	CarMax Auto Owner Trust 2016-3	1.600%	1/18/22		50			50
3	CarMax Auto Owner Trust 2017-4	2.110%	10/17/22		63			63
3	CarMax Auto Owner Trust 2017-4	2.330%	5/15/23		50			50
3	CarMax Auto Owner Trust 2018-1	2.480%	11/15/22		75			75
3	CarMax Auto Owner Trust 2018-1	2.640%	6/15/23		50			51
3	CarMax Auto Owner Trust 2018-2	2.980%	1/17/23		75			76
3	CarMax Auto Owner Trust 2018-2	3.160%	7/17/23		50			51
3	CarMax Auto Owner Trust 2019-4	2.020%	11/15/24		180			180
3	CarMax Auto Owner Trust 2019-4	2.130%	7/15/25		25			25
3	CD 2016-CD1 Commercial Mortgage Trust	2.724%	8/10/49		150			152
3	CD 2016-CD2 Commercial Mortgage Trust	3.526%	11/10/49		100			106
3	CD 2017-CD3 Commercial Mortgage Trust	3.453%	2/10/50		25			26
3	CD 2017-CD3 Commercial Mortgage Trust	3.631%	2/10/50		144			154
3	CD 2017-CD3 Commercial Mortgage Trust	3.833%	2/10/50		31			33
3	CD 2017-CD6 Commercial Mortgage Trust	3.332%	11/13/50		50			52
3	CD 2017-CD6 Commercial Mortgage Trust	3.456%	11/13/50		125			132
3	CD 2017-CD6 Commercial Mortgage Trust	3.709%	11/13/50		75			79
3	CD 2018-CD7 Commercial Mortgage Trust	4.279%	8/15/51		75			84
3	CD 2019-CD8 Commercial Mortgage Trust	2.912%	8/15/57		175			179
3	CenterPoint Energy Transition Bond Co. IV LLC 2012-1	3.028%	10/15/25		350			358
3	CFCRE Commercial Mortgage Trust 2016-C3	3.865%	1/10/48		125			133
3	CFCRE Commercial Mortgage Trust 2016-C4	3.283%	5/10/58		150			155
3	CFCRE Commercial Mortgage Trust 2016-C4	3.691%	5/10/58		100			104
3	CFCRE Commercial Mortgage Trust 2016-C6	3.217%	11/10/49		250			258
3	CFCRE Commercial Mortgage Trust 2017-C8	3.572%	6/15/50		50			53
3	Chase Issuance Trust 2012-A7	2.160%	9/15/24		313			315
3	Chase Issuance Trust 2014-A2	2.770%	3/15/23		225			227
3	Chase Issuance Trust 2015-A4	1.840%	4/15/22		150			150
3	Chase Issuance Trust 2016-A4	1.490%	7/15/22		200			200
3	Citibank Credit Card Issuance Trust 2014-A1	2.880%	1/23/23		100			101
3	Citibank Credit Card Issuance Trust 2014-A5	2.680%	6/7/23		200			202
3	Citibank Credit Card Issuance Trust 2016-A2	2.190%	11/20/23		200			201
3	Citibank Credit Card Issuance Trust 2018-A1	2.490%	1/20/23		550			554
3	Citibank Credit Card Issuance Trust 2018-A3	3.290%	5/23/25		450			469
3	Citigroup Commercial Mortgage Trust 2012-GC8	3.024%	9/10/45		72			73
3	Citigroup Commercial Mortgage Trust 2013-GC11	3.093%	4/10/46		100			102
3	Citigroup Commercial Mortgage Trust 2013-GC15	4.371%	9/10/46		50			53
3	Citigroup Commercial Mortgage Trust 2013-GC15	4.649%	9/10/46		75			80
3	Citigroup Commercial Mortgage Trust 2014-GC19	3.552%	3/10/47		22			22
3	Citigroup Commercial Mortgage Trust 2014-GC19	4.023%	3/10/47		25			27
3	Citigroup Commercial Mortgage Trust 2014-GC19	4.345%	3/10/47		25			27
3	Citigroup Commercial Mortgage Trust 2014-GC21	3.855%	5/10/47		50			53
3	Citigroup Commercial Mortgage Trust 2014-GC21	4.328%	5/10/47		50			53
3	Citigroup Commercial Mortgage Trust 2014-GC23	3.622%	7/10/47		100			106
3	Citigroup Commercial Mortgage Trust 2014-GC25	3.635%	10/10/47		175			184
3	Citigroup Commercial Mortgage Trust 2015-GC27	3.137%	2/10/48		225			233
3	Citigroup Commercial Mortgage Trust 2015-GC27	3.571%	2/10/48		100			104
3	Citigroup Commercial Mortgage Trust 2015-GC29	2.674%	4/10/48		43			43
3	Citigroup Commercial Mortgage Trust 2015-GC29	3.192%	4/10/48		175			182
3	Citigroup Commercial Mortgage Trust 2015-GC29	3.758%	4/10/48		84			87
3	Citigroup Commercial Mortgage Trust 2015-GC31	3.762%	6/10/48		100			106
3	Citigroup Commercial Mortgage Trust 2015-GC33	3.778%	9/10/58		100			107
3	Citigroup Commercial Mortgage Trust 2016-C1	3.003%	5/10/49		55			56
3	Citigroup Commercial Mortgage Trust 2016-C1	3.209%	5/10/49		125			130
3	Citigroup Commercial Mortgage Trust 2016-GC36	3.616%	2/10/49		225			239
3	Citigroup Commercial Mortgage Trust 2016-P4	2.902%	7/10/49		75			77
3	Citigroup Commercial Mortgage Trust 2017-B1	3.458%	8/15/50		250			264
3	Citigroup Commercial Mortgage Trust 2017-B1	3.711%	8/15/50		50			53
3	Citigroup Commercial Mortgage Trust 2017-C4	3.471%	10/12/50		150			160
3	Citigroup Commercial Mortgage Trust 2017-C4	3.764%	10/12/50		50			53
3	Citigroup Commercial Mortgage Trust 2018-B2	3.788%	3/10/51		50			52

125

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
3	Citigroup Commercial Mortgage Trust 2018-B2	4.009%	3/10/51		275			301
3	Citigroup Commercial Mortgage Trust 2019-GC41	2.869%	8/10/56		225			228
3	Citigroup Commercial Mortgage Trust 2019-GC43	3.038%	11/10/52		275			282
3	COMM 2012-CCRE2 Mortgage Trust	3.147%	8/15/45		58			59
3	COMM 2012-CCRE2 Mortgage Trust	3.791%	8/15/45		65			67
3,6	COMM 2012-CCRE3 Mortgage Trust	3.416%	10/15/45		78			79
3	COMM 2012-CCRE4 Mortgage Trust	2.853%	10/15/45		124			126
3	COMM 2013-CCRE10 Mortgage Trust	4.210%	8/10/46		20			21
3	COMM 2013-CCRE11 Mortgage Trust	3.660%	8/10/50		24			25
3	COMM 2013-CCRE11 Mortgage Trust	3.983%	8/10/50		40			42
3	COMM 2013-CCRE11 Mortgage Trust	4.258%	8/10/50		150			160
3	COMM 2013-CCRE11 Mortgage Trust	4.715%	8/10/50		30			32
3	COMM 2013-CCRE12 Mortgage Trust	2.904%	10/10/46		2			2
3	COMM 2013-CCRE12 Mortgage Trust	3.623%	10/10/46		39			41
3	COMM 2013-CCRE12 Mortgage Trust	3.765%	10/10/46		50			51
3	COMM 2013-CCRE12 Mortgage Trust	4.046%	10/10/46		50			53
3	COMM 2013-CCRE12 Mortgage Trust	4.300%	10/10/46		25			27
3	COMM 2013-CCRE12 Mortgage Trust	4.762%	10/10/46		25			26
3	COMM 2013-CCRE6 Mortgage Trust	3.101%	3/10/46		65			66
3	COMM 2013-CCRE7 Mortgage Trust	3.213%	3/10/46		37			38
3	COMM 2013-CCRE8 Mortgage Trust	3.612%	6/10/46		71			74
3	COMM 2013-CCRE9 Mortgage Trust	4.222%	7/10/45		90			95
3	COMM 2013-LC13 Mortgage Trust	4.205%	8/10/46		40			43
3	COMM 2013-LC6 Mortgage Trust	2.941%	1/10/46		104			106
3	COMM 2013-LC6 Mortgage Trust	3.282%	1/10/46		58			59
3	COMM 2014-CCRE15 Mortgage Trust	2.928%	2/10/47		26			26
3	COMM 2014-CCRE15 Mortgage Trust	3.595%	2/10/47		25			26
3	COMM 2014-CCRE15 Mortgage Trust	4.074%	2/10/47		56			60
3	COMM 2014-CCRE15 Mortgage Trust	4.697%	2/10/47		28			30
3	COMM 2014-CCRE16 Mortgage Trust	3.653%	4/10/47		44			45
3	COMM 2014-CCRE16 Mortgage Trust	4.278%	4/10/47		75			79
3	COMM 2014-CCRE17 Mortgage Trust	3.598%	5/10/47		22			23
3	COMM 2014-CCRE17 Mortgage Trust	3.977%	5/10/47		50			53
3	COMM 2014-CCRE17 Mortgage Trust	4.377%	5/10/47		25			26
3	COMM 2014-CCRE18 Mortgage Trust	3.452%	7/15/47		43			44
3	COMM 2014-CCRE19 Mortgage Trust	3.796%	8/10/47		175			186
3	COMM 2014-CCRE19 Mortgage Trust	4.080%	8/10/47		50			53
3	COMM 2014-CCRE20 Mortgage Trust	3.590%	11/10/47		50			53
3	COMM 2014-CCRE21 Mortgage Trust	3.528%	12/10/47		164			171
3	COMM 2014-LC15 Mortgage Trust	4.006%	4/10/47		150			160
3	COMM 2014-LC17 Mortgage Trust	3.164%	10/10/47		10			10
3	COMM 2014-LC17 Mortgage Trust	3.917%	10/10/47		50			53
3	COMM 2014-UBS2 Mortgage Trust	2.820%	3/10/47		5			5
3	COMM 2014-UBS2 Mortgage Trust	3.472%	3/10/47		18			19
3	COMM 2014-UBS2 Mortgage Trust	3.961%	3/10/47		54			57
3	COMM 2014-UBS2 Mortgage Trust	4.199%	3/10/47		15			16
3	COMM 2014-UBS2 Mortgage Trust	4.701%	3/10/47		10			11
3	COMM 2014-UBS3 Mortgage Trust	3.819%	6/10/47		100			106
3	COMM 2014-UBS4 Mortgage Trust	3.694%	8/10/47		125			132
3	COMM 2014-UBS4 Mortgage Trust	3.968%	8/10/47		44			46
3	COMM 2014-UBS5 Mortgage Trust	3.838%	9/10/47		125			132
3	COMM 2014-UBS6 Mortgage Trust	2.935%	12/10/47		24			24
3	COMM 2014-UBS6 Mortgage Trust	3.387%	12/10/47		125			128
3	COMM 2014-UBS6 Mortgage Trust	3.644%	12/10/47		225			236
3	COMM 2014-UBS6 Mortgage Trust	4.048%	12/10/47		50			53
3	COMM 2015-CCRE22 Mortgage Trust	2.856%	3/10/48		19			19
3	COMM 2015-CCRE22 Mortgage Trust	3.309%	3/10/48		150			157
3	COMM 2015-CCRE22 Mortgage Trust	3.603%	3/10/48		50			52
3	COMM 2015-CCRE23 Mortgage Trust	3.257%	5/10/48		75			77
3	COMM 2015-CCRE23 Mortgage Trust	3.497%	5/10/48		100			105
3	COMM 2015-CCRE23 Mortgage Trust	3.801%	5/10/48		50			53
3	COMM 2015-CCRE25 Mortgage Trust	3.759%	8/10/48		125			133
3	COMM 2015-CCRE26 Mortgage Trust	3.630%	10/10/48		225			238
3	COMM 2015-CCRE27 Mortgage Trust	3.404%	10/10/48		125			129
3	COMM 2015-CCRE27 Mortgage Trust	3.612%	10/10/48		125			132
3	COMM 2015-LC19 Mortgage Trust	3.040%	2/10/48		25			26
3	COMM 2015-LC19 Mortgage Trust	3.183%	2/10/48		125			130
3	COMM 2015-LC19 Mortgage Trust	3.527%	2/10/48		50			52
3	COMM 2016-CCRE28 Mortgage Trust	3.762%	2/10/49		150			160
3	COMM 2016-DC2 Mortgage Trust	3.550%	2/10/49		125			130
3	Comm Mortgage Trust 2019-G44	2.950%	8/15/57		115			117
3	CSAIL 2015-C1 Commercial Mortgage Trust	3.505%	4/15/50		100			105
3	CSAIL 2015-C1 Commercial Mortgage Trust	3.791%	4/15/50		75			79
3	CSAIL 2015-C1 Commercial Mortgage Trust	4.044%	4/15/50		50			52
3	CSAIL 2015-C2 Commercial Mortgage Trust	3.504%	6/15/57		150			157
3	CSAIL 2015-C2 Commercial Mortgage Trust	3.849%	6/15/57		75			78
3	CSAIL 2015-C3 Commercial Mortgage Trust	3.448%	8/15/48		85			88
3	CSAIL 2015-C3 Commercial Mortgage Trust	3.718%	8/15/48		100			106
3	CSAIL 2015-C3 Commercial Mortgage Trust	4.104%	8/15/48		50			52
3	CSAIL 2015-C4 Commercial Mortgage Trust	3.617%	11/15/48		50			52
3	CSAIL 2015-C4 Commercial Mortgage Trust	3.808%	11/15/48		75			80
3	CSAIL 2016-C7 Commercial Mortgage Trust	3.502%	11/15/49		200			210
3	CSAIL 2017-C8 Commercial Mortgage Trust	3.392%	6/15/50		150			158
3	CSAIL 2017-CX10 Commercial Mortgage Trust	3.458%	11/15/50		150			158
3	CSAIL 2017-CX9 Commercial Mortgage Trust	3.446%	9/15/50		50			52
3	CSAIL 2018-CX11 Commercial Mortgage Trust	4.033%	4/15/51		275			302
3	CSAIL 2018-CX12 Commercial Mortgage Trust	4.224%	8/15/51		25			27
3	CSAIL 2019-C15 Commercial Mortgage Trust	4.053%	3/15/52		225			247
3	CSAIL 2019-C16 Commercial Mortgage Trust	3.329%	6/15/52		275			288
3	DBJPM 16-C1 Mortgage Trust	3.276%	5/10/49		75			78
3	DBJPM 16-C3 Mortgage Trust	2.890%	8/10/49		100			102
3	DBJPM 17-C6 Mortgage Trust	3.328%	6/10/50		100			105
3	DBJPM 17-C6 Mortgage Trust	3.561%	6/10/50		50			52
3	Discover Card Execution Note Trust 2015-A2	1.900%	10/17/22		275			275
3	Discover Card Execution Note Trust 2015-A4	2.190%	4/17/23		225			226
3	Discover Card Execution Note Trust 2017-A2	2.390%	7/15/24		150			152
3	Discover Card Execution Note Trust 2018-A1	3.030%	8/15/25		225			231
3	Discover Card Execution Note Trust 2019-A3	1.890%	10/15/24		275			275
3	Drive Auto Receivables Trust 2018-2	3.630%	8/15/24		95			95
2,3	Fannie Mae-Aces 2011-M2	3.764%	4/25/21		100			102
2,3	Fannie Mae-Aces 2011-M4	3.726%	6/25/21		174			177
2,3	Fannie Mae-Aces 2013-M12	2.406%	3/25/23		189			191
2,3	Fannie Mae-Aces 2013-M14	2.651%	4/25/23		83			84
2,3	Fannie Mae-Aces 2013-M14	3.329%	10/25/23		297			309
2,3	Fannie Mae-Aces 2013-M4	2.608%	3/25/22		2			2
2,3	Fannie Mae-Aces 2013-M7	2.280%	12/27/22		66			67
2,3	Fannie Mae-Aces 2014-M1	3.188%	7/25/23		352			364
2,3	Fannie Mae-Aces 2014-M12	2.614%	10/25/21		227			229
2,3	Fannie Mae-Aces 2014-M13	2.566%	8/25/24		10			10
2,3	Fannie Mae-Aces 2014-M13	3.021%	8/25/24		200			205
2,3	Fannie Mae-Aces 2014-M2	3.513%	12/25/23		282			296
2,3	Fannie Mae-Aces 2014-M3	3.480%	1/25/24		136			141
2,3	Fannie Mae-Aces 2014-M4	3.346%	3/25/24		175			182
2,3	Fannie Mae-Aces 2014-M6	2.679%	5/25/21		180			182
2,3	Fannie Mae-Aces 2014-M7	3.275%	6/25/24		263			276
2,3	Fannie Mae-Aces 2014-M8	2.346%	6/25/24		18			18

126

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2,3	Fannie Mae-Aces 2014-M8	3.056%	6/25/24		175			181
2,3	Fannie Mae-Aces 2014-M9	3.103%	7/25/24		200			207
2,3	Fannie Mae-Aces 2015-M1	2.532%	9/25/24		300			303
2,3	Fannie Mae-Aces 2015-M10	3.092%	4/25/27		100			105
2,3	Fannie Mae-Aces 2015-M12	2.796%	5/25/25		225			231
2,3	Fannie Mae-Aces 2015-M15	2.923%	10/25/25		275			284
2,3	Fannie Mae-Aces 2015-M2	2.620%	12/25/24		195			200
2,3	Fannie Mae-Aces 2015-M3	2.723%	10/25/24		100			102
2,3	Fannie Mae-Aces 2015-M4	2.509%	7/25/22		124			125
2,3	Fannie Mae-Aces 2015-M7	2.590%	12/25/24		198			201
2,3	Fannie Mae-Aces 2015-M8	2.344%	1/25/25		80			80
2,3	Fannie Mae-Aces 2015-M8	2.900%	1/25/25		100			103
2,3	Fannie Mae-Aces 2016-M11	2.369%	7/25/26		250			251
2,3	Fannie Mae-Aces 2016-M12	2.444%	9/25/26		250			254
2,3	Fannie Mae-Aces 2016-M2	2.152%	1/25/23		182			182
2,3	Fannie Mae-Aces 2016-M3	2.702%	2/25/26		100			102
2,3	Fannie Mae-Aces 2016-M4	2.576%	3/25/26		100			102
2,3	Fannie Mae-Aces 2016-M5	2.469%	4/25/26		200			201
2,3	Fannie Mae-Aces 2016-M7	2.157%	10/25/23		49			49
2,3	Fannie Mae-Aces 2016-M7	2.499%	9/25/26		75			75
2,3	Fannie Mae-Aces 2016-M9	2.292%	6/25/26		300			298
2,3	Fannie Mae-Aces 2017-M1	2.417%	10/25/26		200			202
2,3	Fannie Mae-Aces 2017-M10	2.561%	7/25/24		110			112
2,3	Fannie Mae-Aces 2017-M12	3.079%	6/25/27		300			312
2,3	Fannie Mae-Aces 2017-M15	3.136%	11/25/27		275			286
2,3	Fannie Mae-Aces 2017-M4	2.586%	12/25/26		200			202
2,3	Fannie Mae-Aces 2017-M7	2.961%	2/25/27		150			156
2,3	Fannie Mae-Aces 2017-M8	3.061%	5/25/27		514			538
2,3	Fannie Mae-Aces 2018-M12	3.640%	8/25/30		50			55
2,3	Fannie Mae-Aces 2018-M14	3.578%	8/25/28		100			108
2,3	Fannie Mae-Aces 2018-M18	2.469%	8/25/29		250			250
2,3	Fannie Mae-Aces 2018-M2	2.902%	1/25/28		425			438
2,3	Fannie Mae-Aces 2018-M4	3.045%	3/25/28		165			171
2,3	Fannie Mae-Aces 2018-M7	3.052%	3/25/28		100			104
2,3	Fannie Mae-Aces 2018-M8	3.610%	2/25/31		300			325
2,3	Fannie Mae-Aces 2019-M1	3.555%	9/25/28		125			135
2,3	Fannie Mae-Aces 2019-M2	3.631%	11/25/28		200			218
2,3	Fannie Mae-Aces 2019-M22	2.522%	8/25/29		375			376
2,3	Fannie Mae-Aces 2019-M5	3.273%	1/25/29		200			212
2,3	Fannie Mae-Aces 2019-M7	3.143%	4/25/29		230			242
2,3	Fannie Mae-Aces 2019-M9	2.937%	4/25/29		325			337
2,3	FHLMC Multifamily Structured Pass Through Certificates K011	4.084%	11/25/20		237			240
2,3	FHLMC Multifamily Structured Pass Through Certificates K014	3.871%	4/25/21		129			131
2,3	FHLMC Multifamily Structured Pass Through Certificates K017	2.873%	12/25/21		326			331
2,3	FHLMC Multifamily Structured Pass Through Certificates K019	2.272%	3/25/22		149			150
2,3	FHLMC Multifamily Structured Pass Through Certificates K020	2.373%	5/25/22		350			353
2,3	FHLMC Multifamily Structured Pass Through Certificates K021	2.396%	6/25/22		225			226
2,3	FHLMC Multifamily Structured Pass Through Certificates K026	2.510%	11/25/22		325			329
2,3	FHLMC Multifamily Structured Pass Through Certificates K027	2.637%	1/25/23		325			330
2,3	FHLMC Multifamily Structured Pass Through Certificates K028	3.111%	2/25/23		475			489
2,3	FHLMC Multifamily Structured Pass Through Certificates K029	3.320%	2/25/23		325			337
2,3	FHLMC Multifamily Structured Pass Through Certificates K030	2.779%	9/25/22		127			128
2,3	FHLMC Multifamily Structured Pass Through Certificates K030	3.250%	4/25/23		325			336
2,3	FHLMC Multifamily Structured Pass Through Certificates K031	3.300%	4/25/23		1,215			1,262
2,3	FHLMC Multifamily Structured Pass Through Certificates K032	3.016%	2/25/23		147			149
2,3	FHLMC Multifamily Structured Pass Through Certificates K032	3.310%	5/25/23		340			353
2,3	FHLMC Multifamily Structured Pass Through Certificates K033	2.871%	2/25/23		170			172
2,3	FHLMC Multifamily Structured Pass Through Certificates K033	3.060%	7/25/23		325			336
2,3	FHLMC Multifamily Structured Pass Through Certificates K034	3.531%	7/25/23		288			302
2,3	FHLMC Multifamily Structured Pass Through Certificates K035	3.458%	8/25/23		400			419
2,3	FHLMC Multifamily Structured Pass Through Certificates K036	3.527%	10/25/23		325			341
2,3	FHLMC Multifamily Structured Pass Through Certificates K038	2.604%	10/25/23		49			50
2,3	FHLMC Multifamily Structured Pass Through Certificates K038	3.389%	3/25/24		400			418
2,3	FHLMC Multifamily Structured Pass Through Certificates K039	2.683%	12/25/23		38			38
2,3	FHLMC Multifamily Structured Pass Through Certificates K039	3.303%	7/25/24		225			236
2,3	FHLMC Multifamily Structured Pass Through Certificates K040	2.768%	4/25/24		71			73
2,3	FHLMC Multifamily Structured Pass Through Certificates K040	3.241%	9/25/24		275			289
2,3	FHLMC Multifamily Structured Pass Through Certificates K041	3.171%	10/25/24		275			287
2,3	FHLMC Multifamily Structured Pass Through Certificates K042	2.267%	6/25/24		35			35
2,3	FHLMC Multifamily Structured Pass Through Certificates K043	2.532%	10/25/23		36			36
2,3	FHLMC Multifamily Structured Pass Through Certificates K043	3.062%	12/25/24		150			156
2,3	FHLMC Multifamily Structured Pass Through Certificates K045	2.493%	11/25/24		97			98
2,3	FHLMC Multifamily Structured Pass Through Certificates K045	3.023%	1/25/25		175			182
2,3	FHLMC Multifamily Structured Pass Through Certificates K046	3.205%	3/25/25		175			184
2,3	FHLMC Multifamily Structured Pass Through Certificates K047	2.827%	12/25/24		76			77
2,3	FHLMC Multifamily Structured Pass Through Certificates K047	3.329%	5/25/25		175			185
2,3	FHLMC Multifamily Structured Pass Through Certificates K048	3.284%	6/25/25		225			238
2,3	FHLMC Multifamily Structured Pass Through Certificates K049	3.010%	7/25/25		125			130
2,3	FHLMC Multifamily Structured Pass Through Certificates K050	3.334%	8/25/25		200			211
2,3	FHLMC Multifamily Structured Pass Through Certificates K052	3.151%	11/25/25		125			131
2,3	FHLMC Multifamily Structured Pass Through Certificates K053	2.995%	12/25/25		75			78
2,3	FHLMC Multifamily Structured Pass Through Certificates K054	2.745%	1/25/26		200			206
2,3	FHLMC Multifamily Structured Pass Through Certificates K056	2.525%	5/25/26		150			152
2,3	FHLMC Multifamily Structured Pass Through Certificates K058	2.653%	8/25/26		100			102
2,3	FHLMC Multifamily Structured Pass Through Certificates K063	3.430%	1/25/27		475			509
2,3	FHLMC Multifamily Structured Pass Through Certificates K064	3.224%	3/25/27		300			317
2,3	FHLMC Multifamily Structured Pass Through Certificates K065	3.243%	4/25/27		433			458
2,3	FHLMC Multifamily Structured Pass Through Certificates K066	3.117%	6/25/27		150			158
2,3	FHLMC Multifamily Structured Pass Through Certificates K068	3.244%	8/25/27		125			133
2,3	FHLMC Multifamily Structured Pass Through Certificates K069	3.187%	9/25/27		200			210
2,3	FHLMC Multifamily Structured Pass Through Certificates K070	3.303%	11/25/27		75			80

127

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2,3	FHLMC Multifamily Structured Pass Through Certificates K071	3.286%	11/25/27		100			106
2,3	FHLMC Multifamily Structured Pass Through Certificates K072	3.444%	12/25/27		100			107
2,3	FHLMC Multifamily Structured Pass Through Certificates K075	3.650%	2/25/28		150			163
2,3	FHLMC Multifamily Structured Pass Through Certificates K076	3.900%	4/25/28		350			387
2,3	FHLMC Multifamily Structured Pass Through Certificates K081	3.900%	8/25/28		100			110
2,3	FHLMC Multifamily Structured Pass Through Certificates K082	3.920%	9/25/28		75			83
2,3	FHLMC Multifamily Structured Pass Through Certificates K084	3.780%	10/25/28		275			300
2,3	FHLMC Multifamily Structured Pass Through Certificates K085	4.060%	10/25/28		150			168
2,3	FHLMC Multifamily Structured Pass Through Certificates K087	3.591%	10/25/27		97			103
2,3	FHLMC Multifamily Structured Pass Through Certificates K088	3.690%	1/25/29		275			301
2,3	FHLMC Multifamily Structured Pass Through Certificates K089	3.563%	1/25/29		25			27
2,3	FHLMC Multifamily Structured Pass Through Certificates K092	3.298%	4/25/29		225			240
2,3	FHLMC Multifamily Structured Pass Through Certificates K094	2.903%	6/25/29		275			285
2,3	FHLMC Multifamily Structured Pass Through Certificates K095	2.785%	6/25/29		275			283
2,3	FHLMC Multifamily Structured Pass Through Certificates K096	2.519%	7/25/29		225			227
2,3	FHLMC Multifamily Structured Pass Through Certificates K098	2.425%	8/25/29		450			450
2,3	FHLMC Multifamily Structured Pass Through Certificates K099	2.595%	9/25/29		210			211
2,3	FHLMC Multifamily Structured Pass Through Certificates K103	2.651%	11/25/29		300			305
2,3	FHLMC Multifamily Structured Pass Through Certificates K1511	3.470%	3/25/31		100			108
2,3	FHLMC Multifamily Structured Pass Through Certificates K1511	3.542%	3/25/34		225			244
2,3	FHLMC Multifamily Structured Pass Through Certificates K1513	2.797%	8/25/34		210			212
2,3	FHLMC Multifamily Structured Pass Through Certificates K152	3.080%	1/25/31		100			103
2,3	FHLMC Multifamily Structured Pass Through Certificates K155	3.750%	11/25/32		100			110
2,3	FHLMC Multifamily Structured Pass Through Certificates K155	3.750%	4/25/33		200			221
2,3	FHLMC Multifamily Structured Pass Through Certificates K157	3.990%	5/25/33		75			84
2,3	FHLMC Multifamily Structured Pass Through Certificates K157	3.990%	8/25/33		75			85
2,3	FHLMC Multifamily Structured Pass Through Certificates K504	2.566%	9/25/20		38			38
2,3	FHLMC Multifamily Structured Pass Through Certificates K713	2.313%	3/25/20		215			214
2,3	FHLMC Multifamily Structured Pass Through Certificates K714	3.034%	10/25/20		389			390
2,3	FHLMC Multifamily Structured Pass Through Certificates K716	2.413%	1/25/21		3			3
2,3	FHLMC Multifamily Structured Pass Through Certificates K716	3.130%	6/25/21		370			374
2,3	FHLMC Multifamily Structured Pass Through Certificates K717	2.991%	9/25/21		225			227
2,3	FHLMC Multifamily Structured Pass Through Certificates K718	2.375%	9/25/21		79			79
2,3	FHLMC Multifamily Structured Pass Through Certificates K718	2.791%	1/25/22		225			228
2,3	FHLMC Multifamily Structured Pass Through Certificates K731	3.600%	2/25/25		225			238
2,3	FHLMC Multifamily Structured Pass Through Certificates K734	3.208%	2/25/26		375			394
2,3	FHLMC Multifamily Structured Pass Through Certificates KW01	2.853%	1/25/26		200			206
2,3	FHLMC Multifamily Structures Pass Through Certificates K073	3.350%	1/25/28		125			133
2,3	FHLMC Multifamily Structures Pass Through Certificates K074	3.600%	1/25/28		225			244
2,3	FHLMC Multifamily Structures Pass Through Certificates K078	3.854%	6/25/28		100			110
2,3	FHLMC Multifamily Structures Pass Through Certificates K079	3.926%	6/25/28		25			28
2,3	FHLMC Multifamily Structures Pass Through Certificates K080	3.736%	4/25/28		97			104
2,3	FHLMC Multifamily Structures Pass Through Certificates K080	3.926%	7/25/28		175			194
2,3	FHLMC Multifamily Structures Pass Through Certificates K087	3.771%	12/25/28		400			438
2,3	FHLMC Multifamily Structures Pass Through Certificates K087	2.537%	10/25/29		350			354
2,3	FHLMC Multifamily Structures Pass Through Certificates K090	3.422%	2/25/29		200			215
2,3	FHLMC Multifamily Structures Pass Through Certificates K101	2.524%	10/25/29		370			373
2,3	FHLMC Multifamily Structures Pass Through Certificates K15-14	2.859%	10/25/34		225			228
2,3	FHLMC Multifamily Structures Pass Through Certificates K1504	3.459%	11/25/32		50			54
2,3	FHLMC Multifamily Structures Pass Through Certificates K1510	3.718%	1/25/31		75			83
2,3	FHLMC Multifamily Structures Pass Through Certificates K1510	3.794%	1/25/34		125			139
2,3	FHLMC Multifamily Structures Pass Through Certificates K715	2.856%	1/25/21		122			123
2,3	FHLMC Multifamily Structures Pass Through Certificates K720	2.716%	6/25/22		150			152
2,3	FHLMC Multifamily Structures Pass Through Certificates K723	2.454%	8/25/23		125			127
2,3	FHLMC Multifamily Structures Pass Through Certificates K724	3.062%	11/25/23		100			103
2,3	FHLMC Multifamily Structures Pass Through Certificates K725	2.946%	7/25/24		200			206
2,3	FHLMC Multifamily Structures Pass Through Certificates K726	2.905%	4/25/24		200			205
2,3	FHLMC Multifamily Structures Pass Through Certificates K728	3.064%	8/25/24		275			285
2,3	FHLMC Multifamily Structures Pass Through Certificates K730	3.452%	9/25/24		24			25
2,3	FHLMC Multifamily Structures Pass Through Certificates K730	3.590%	1/25/25		275			291
2,3	FHLMC Multifamily Structures Pass Through Certificates K735	2.862%	5/25/26		500			516
2,3	FHLMC Multifamily Structures Pass Through Certificates KC02	3.370%	7/25/25		175			182
2,3	FHLMC Multifamily Structures Pass Through Certificates KC02	3.505%	3/25/29		450			486
2,3	FHLMC Multifamily Structures Pass Through Certificates KC02	2.982%	5/25/29		400			417
3	Fifth Third Auto Trust 2019-1	2.640%	12/15/23		125			126
3	Fifth Third Auto Trust 2019-1	2.690%	11/16/26		50			51
3	Ford Credit Auto Lease Trust 2018-A	2.930%	6/15/21		125			125
3	Ford Credit Auto Lease Trust 2019-A	2.900%	5/15/22		50			50
3	Ford Credit Auto Lease Trust 2019-A	2.980%	6/15/22		25			25
3	Ford Credit Auto Owner Trust 2017-A	1.670%	6/15/21		22			22
3	Ford Credit Auto Owner Trust 2017-A	1.920%	4/15/22		75			75
3	Ford Credit Auto Owner Trust 2017-C	2.010%	3/15/22		251			251
3	Ford Credit Auto Owner Trust 2019-A	2.780%	9/15/23		150			152
3	Ford Credit Auto Owner Trust 2019-A	2.850%	8/15/24		50			51
3	Ford Credit Floorplan Master Owner Trust A Series 2017-2	2.160%	9/15/22		160			160

128

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
3	Ford Credit Floorplan Master Owner Trust A Series 2017-3	2.480%	9/15/24	170		172
3	Ford Credit Floorplan Master Owner Trust A Series 2018-1	2.950%	5/15/23	225		228
3	Ford Credit Floorplan Master Owner Trust A Series 2018-2	3.170%	3/15/25	200		206
3	GM Financial Automobile Leasing Trust 2018-1	2.610%	1/20/21	64		64
3	GM Financial Automobile Leasing Trust 2018-1	2.680%	12/20/21	25		25
3	GM Financial Automobile Leasing Trust 2018-2	3.060%	6/21/21	45		45
3	GM Financial Automobile Leasing Trust 2018-2	3.160%	4/20/22	25		25
3	GM Financial Automobile Leasing Trust 2019-2	2.670%	3/21/22	75		76
3	GM Financial Automobile Leasing Trust 2019-2	2.720%	3/20/23	50		50
3	GM Financial Consumer Automobile 2018-2	2.810%	12/16/22	100		101
3	GM Financial Consumer Automobile 2018-2	3.020%	12/18/23	75		76
3	GS Mortgage Securities Corporation II 2013-GC10	2.943%	2/10/46	92		94
3	GS Mortgage Securities Trust 2011-GC5	3.707%	8/10/44	80		81
3	GS Mortgage Securities Trust 2012-GC6	3.482%	1/10/45	299		304
3	GS Mortgage Securities Trust 2012-GCJ7	3.377%	5/10/45	140		142
3	GS Mortgage Securities Trust 2012-GCJ9	2.773%	11/10/45	123		125
3	GS Mortgage Securities Trust 2013-GC10	3.279%	2/10/46	35		36
3	GS Mortgage Securities Trust 2013-GC13	4.050%	7/10/46	20		21
3	GS Mortgage Securities Trust 2013-GCJ12	3.135%	6/10/46	90		92
3	GS Mortgage Securities Trust 2013-GCJ12	3.375%	6/10/46	39		40
3	GS Mortgage Securities Trust 2013-GCJ14	3.817%	8/10/46	22		22
3	GS Mortgage Securities Trust 2013-GCJ14	4.243%	8/10/46	150		160
3	GS Mortgage Securities Trust 2014-GC18	4.074%	1/10/47	50		53
3	GS Mortgage Securities Trust 2014-GC22	3.467%	6/10/47	45		46
3	GS Mortgage Securities Trust 2014-GC22	3.862%	6/10/47	50		53
3	GS Mortgage Securities Trust 2014-GC24	3.931%	9/10/47	125		133
3	GS Mortgage Securities Trust 2014-GC24	4.511%	9/10/47	25		26
3	GS Mortgage Securities Trust 2014-GC26	3.365%	11/10/47	74		76
3	GS Mortgage Securities Trust 2014-GC26	3.629%	11/10/47	225		238
3	GS Mortgage Securities Trust 2014-GC26	3.964%	11/10/47	50		53
3	GS Mortgage Securities Trust 2014-GC26	4.215%	11/10/47	50		52
3	GS Mortgage Securities Trust 2015-GC28	3.396%	2/10/48	150		157
3	GS Mortgage Securities Trust 2015-GC30	2.726%	5/10/50	86		86
3	GS Mortgage Securities Trust 2015-GC30	3.382%	5/10/50	150		157
3	GS Mortgage Securities Trust 2015-GC32	3.513%	7/10/48	125		130
3	GS Mortgage Securities Trust 2015-GC32	3.764%	7/10/48	50		53
3	GS Mortgage Securities Trust 2015-GC34	3.278%	10/10/48	125		129
3	GS Mortgage Securities Trust 2015-GC34	3.506%	10/10/48	100		105
3	GS Mortgage Securities Trust 2016-GS2	3.050%	5/10/49	75		78
3	GS Mortgage Securities Trust 2016-GS3	2.850%	10/10/49	200		204
3	GS Mortgage Securities Trust 2016-GS4	3.442%	11/10/49	75		79
3	GS Mortgage Securities Trust 2016-GS4	3.645%	11/10/49	50		52
3	GS Mortgage Securities Trust 2017-GS5	3.674%	3/10/50	150		161
3	GS Mortgage Securities Trust 2017-GS5	3.826%	3/10/50	50		53
3	GS Mortgage Securities Trust 2017-GS6	3.433%	5/10/50	150		159
3	GS Mortgage Securities Trust 2017-GS7	3.430%	8/10/50	261		274
3	GS Mortgage Securities Trust 2017-GS7	3.663%	8/10/50	70		74
3	GS Mortgage Securities Trust 2019-GC39	3.567%	5/10/52	100		107
3	GS Mortgage Securities Trust 2019-GC4	3.212%	9/1/52	50		51
3	GS Mortgage Securities Trust 2019-GC40	3.160%	7/10/52	150		156
3	GS Mortgage Securities Trust 2019-GS4	3.001%	9/1/52	275		282
3	GS Mortgage Securities Trust 2019-GSA1	3.048%	11/10/52	125		128
3	Honda Auto Receivables 2017-4 Owner Trust	2.050%	11/22/21	56		56
3	Honda Auto Receivables 2018-1 Owner Trust	2.640%	2/15/22	203		204
3	Honda Auto Receivables 2018-1 Owner Trust	2.830%	5/15/24	75		76
3	Honda Auto Receivables 2018-2 Owner Trust	3.010%	5/18/22	75		76
3	Honda Auto Receivables 2018-2 Owner Trust	3.160%	8/19/24	50		51
3	Honda Auto Receivables 2018-4 Owner Trust	2.520%	6/21/23	150		151
3	Honda Auto Receivables 2018-4 Owner Trust	2.540%	3/21/25	30		30
3	Hyundai Auto Receivables Trust 2016-B	1.290%	4/15/21	8		8
3	Hyundai Auto Receivables Trust 2016-B	1.450%	11/15/22	75		75
3	Hyundai Auto Receivables Trust 2018-A	2.790%	7/15/22	50		50
3	Hyundai Auto Receivables Trust 2018-A	2.940%	6/17/24	75		76
3	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6	3.507%	5/15/45	161		166
3	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8	2.829%	10/15/45	116		117
3	JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX	3.483%	6/15/45	170		173
3	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10	3.143%	12/15/47	51		53
3	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10	3.372%	12/15/47	39		40
3	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	4.166%	12/15/46	100		107
3	JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11	2.960%	4/15/46	208		213
3	JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1	3.914%	1/15/49	75		81
3	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3	2.870%	8/15/49	250		255

129

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
3	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4	3.648%	12/15/49	100		106
3	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4	3.870%	12/15/49	75		80
3	JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6	3.050%	7/15/50	36		36
3	JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6	3.744%	7/15/50	100		105
3	JP Morgan Chase Commercial Mortgage Securities Trust 2019-COR4	4.029%	3/10/52	300		332
3	JPMBB Commercial Mortgage Securities Trust 2013-C12	3.664%	7/15/45	39		41
3	JPMBB Commercial Mortgage Securities Trust 2013-C12	4.039%	7/15/45	26		27
3	JPMBB Commercial Mortgage Securities Trust 2013-C14	3.761%	8/15/46	29		30
3	JPMBB Commercial Mortgage Securities Trust 2013-C14	4.133%	8/15/46	100		106
3	JPMBB Commercial Mortgage Securities Trust 2013-C14	4.409%	8/15/46	30		32
3	JPMBB Commercial Mortgage Securities Trust 2013-C15	3.659%	11/15/45	7		8
3	JPMBB Commercial Mortgage Securities Trust 2013-C15	4.131%	11/15/45	65		69
3	JPMBB Commercial Mortgage Securities Trust 2013-C15	4.420%	11/15/45	35		37
3	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.079%	2/15/47	127		136
3	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.439%	2/15/47	25		27
3	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.810%	2/15/47	30		32
3	JPMBB Commercial Mortgage Securities Trust 2014-C19	3.669%	4/15/47	50		51
3	JPMBB Commercial Mortgage Securities Trust 2014-C19	3.997%	4/15/47	95		101
3	JPMBB Commercial Mortgage Securities Trust 2014-C19	4.243%	4/15/47	50		53
3	JPMBB Commercial Mortgage Securities Trust 2014-C21	3.428%	8/15/47	26		27
3	JPMBB Commercial Mortgage Securities Trust 2014-C21	3.775%	8/15/47	25		27
3	JPMBB Commercial Mortgage Securities Trust 2014-C22	3.801%	9/15/47	175		186
3	JPMBB Commercial Mortgage Securities Trust 2014-C22	4.110%	9/15/47	50		53
3	JPMBB Commercial Mortgage Securities Trust 2014-C23	3.934%	9/15/47	85		91
3	JPMBB Commercial Mortgage Securities Trust 2014-C23	4.202%	9/15/47	50		53
3	JPMBB Commercial Mortgage Securities Trust 2014-C24	2.940%	11/15/47	12		12
3	JPMBB Commercial Mortgage Securities Trust 2014-C24	3.639%	11/15/47	50		53
3	JPMBB Commercial Mortgage Securities Trust 2014-C24	3.914%	11/15/47	75		79
3	JPMBB Commercial Mortgage Securities Trust 2014-C25	3.672%	11/15/47	200		211
3	JPMBB Commercial Mortgage Securities Trust 2014-C25	4.065%	11/15/47	50		53
3	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.019%	1/15/48	8		8
3	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.494%	1/15/48	175		183
3	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.800%	1/15/48	50		52
3	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.951%	1/15/48	50		52
3	JPMBB Commercial Mortgage Securities Trust 2015-C27	2.734%	2/15/48	13		13
3	JPMBB Commercial Mortgage Securities Trust 2015-C27	3.017%	2/15/48	110		112
3	JPMBB Commercial Mortgage Securities Trust 2015-C27	3.179%	2/15/48	59		61
3	JPMBB Commercial Mortgage Securities Trust 2015-C28	2.773%	10/15/48	49		49
3	JPMBB Commercial Mortgage Securities Trust 2015-C28	3.227%	10/15/48	125		130
3	JPMBB Commercial Mortgage Securities Trust 2015-C28	3.532%	10/15/48	50		52
3	JPMBB Commercial Mortgage Securities Trust 2015-C29	2.921%	5/15/48	68		68
3	JPMBB Commercial Mortgage Securities Trust 2015-C29	3.304%	5/15/48	57		59
3	JPMBB Commercial Mortgage Securities Trust 2015-C29	3.611%	5/15/48	100		106
3	JPMBB Commercial Mortgage Securities Trust 2015-C30	3.559%	7/15/48	125		129
3	JPMBB Commercial Mortgage Securities Trust 2015-C30	3.822%	7/15/48	100		107
3	JPMBB Commercial Mortgage Securities Trust 2015-C30	4.226%	7/15/48	50		54
3	JPMBB Commercial Mortgage Securities Trust 2015-C31	3.540%	8/15/48	53		55
3	JPMBB Commercial Mortgage Securities Trust 2015-C31	3.801%	8/15/48	57		61
3	JPMBB Commercial Mortgage Securities Trust 2015-C32	3.358%	11/15/48	125		129
3	JPMBB Commercial Mortgage Securities Trust 2015-C32	3.598%	11/15/48	125		132
3	JPMBB Commercial Mortgage Securities Trust 2015-C33	3.770%	12/15/48	82		88
3	JPMBB Commercial Mortgage Securities Trust 2016-C1	3.316%	3/15/49	75		77
3	JPMCC Commercial Mortgage Securities Trust 2017-JP5	3.723%	3/15/50	400		430
3	JPMCC Commercial Mortgage Securities Trust 2019-COR5	3.386%	6/13/52	200		210
3	JPMCC Commercial Mortgage Securities Trust 2019-COR5	3.669%	6/13/52	25		26
3	JPMDB Commercial Mortgage Securities Trust 2016-C2	3.144%	6/15/49	75		78
3	JPMDB Commercial Mortgage Securities Trust 2016-C2	3.484%	6/15/49	50		52
3	JPMDB Commercial Mortgage Securities Trust 2017-C7	3.409%	10/15/50	75		79
3	JPMDB Commercial Mortgage Securities Trust 2017-C7	3.713%	10/15/50	50		53
3	JPMDB Commercial Mortgage Securities Trust 2018-C8	4.211%	6/15/51	225		249
3	JPMDB Commercial Mortgage Securities Trust 2018-C8	4.421%	6/15/51	25		28
3	JPMDB Commerical Mortgage Securities Trust 2019-COR6	3.057%	11/13/52	175		178
3	Mercedes-Benz Auto Lease Trust 2018-A	2.410%	2/16/21	39		39
3	Mercedes-Benz Auto Lease Trust 2018-A	2.510%	10/16/23	25		25
3	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5	3.176%	8/15/45	100		102
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	4.153%	8/15/46	40		42
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	4.353%	8/15/46	20		21
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12	4.259%	10/15/46	100		106
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	2.918%	2/15/46	68		69
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	3.214%	2/15/46	14		14

130

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8	3.134%	12/15/48	100		102
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8	3.376%	12/15/48	50		51
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9	3.102%	5/15/46	50		51
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9	3.456%	5/15/46	50		52
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	3.669%	2/15/47	76		77
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.064%	2/15/47	100		106
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.745%	2/15/47	100		107
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	3.477%	6/15/47	22		23
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	3.892%	6/15/47	100		106
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	4.337%	6/15/47	50		53
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	3.194%	10/15/47	5		5
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	4.478%	10/15/47	50		53
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.326%	12/15/47	50		51
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.526%	12/15/47	75		79
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.069%	2/15/48	50		51
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.249%	2/15/48	200		207
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22	3.040%	4/15/48	100		102
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22	3.306%	4/15/48	75		78
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22	3.883%	4/15/48	50		52
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	2.982%	7/15/50	74		74
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.398%	7/15/50	50		51
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.719%	7/15/50	125		133
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25	3.383%	10/15/48	125		129
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25	3.635%	10/15/48	75		79
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26	3.323%	10/15/48	75		77
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26	3.531%	10/15/48	75		79
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27	3.557%	12/15/47	50		52
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27	3.753%	12/15/47	75		80
3	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28	3.288%	1/15/49	100		103
3	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28	3.544%	1/15/49	225		238
3	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30	2.860%	9/15/49	200		203
3	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31	3.102%	11/15/49	250		258
3	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33	3.599%	5/15/50	150		160
3	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33	3.852%	5/15/50	100		106
3	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34	3.276%	11/15/52	125		130
3	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34	3.536%	11/15/52	150		159
3	Morgan Stanley Capital I Trust 2012-C4	3.244%	3/15/45	350		356
3	Morgan Stanley Capital I Trust 2012-C4	3.773%	3/15/45	75		77
3	Morgan Stanley Capital I Trust 2015-UBS8	3.809%	12/15/48	75		80
3	Morgan Stanley Capital I Trust 2016-BNK2	3.049%	11/15/49	100		104
3	Morgan Stanley Capital I Trust 2016-BNK2	3.282%	11/15/49	83		86
3	Morgan Stanley Capital I Trust 2016-UB11	2.782%	8/15/49	200		202
3	Morgan Stanley Capital I Trust 2016-UBS12	3.596%	12/15/49	200		213
3	Morgan Stanley Capital I Trust 2017-H1	3.530%	6/15/50	150		159
3	Morgan Stanley Capital I Trust 2019-H6	3.417%	6/15/52	250		264
3	Morgan Stanley Capital I Trust 2019-H6	3.700%	6/15/52	25		26
3	Morgan Stanley Capital I Trust 2019-L2	4.071%	3/15/52	150		167
3	Morgan Stanley Capital I Trust 2019-L3	3.127%	11/15/29	200		206
3	Nissan Auto Lease Trust 2017-B	2.050%	9/15/20	8		8
3	Nissan Auto Lease Trust 2017-B	2.170%	12/15/21	25		25
3	Nissan Auto Receivables 2015-B Owner Trust	1.790%	1/17/22	5		5
3	Nissan Auto Receivables 2015-C Owner Trust	1.670%	2/15/22	21		21
3	Nissan Auto Receivables 2016-C Owner Trust	1.180%	1/15/21	6		6
3	Nissan Auto Receivables 2016-C Owner Trust	1.380%	1/17/23	75		75
3	Nissan Auto Receivables 2017-B Owner Trust	1.950%	10/16/23	104		104
3	Nissan Auto Receivables 2018-A Owner Trust	2.650%	5/16/22	123		123
3	Nissan Auto Receivables 2018-A Owner Trust	2.890%	6/17/24	100		102
3	Nissan Auto Receivables 2019-B Owner Trust	2.500%	11/15/23	125		126
3	Nissan Auto Receivables 2019-B Owner Trust	2.540%	12/15/25	30		30
3	Nissan Auto Receivables 2019-C	1.930%	7/15/24	150		150
3	Nissan Auto Receivables 2019-C	1.950%	5/15/26	35		35
	Royal Bank of Canada	2.100%	10/14/20	800		800
	Royal Bank of Canada	2.300%	3/22/21	175		176
3	Santander Drive Auto Receivables Trust 2018-2	3.030%	9/15/22	36		36
3	Santander Drive Auto Receivables Trust 2018-2	3.350%	7/17/23	50		50
3	Santander Drive Auto Receivables Trust 2018-3	3.030%	2/15/22	1		1
3	Santander Drive Auto Receivables Trust 2018-3	3.290%	10/17/22	50		50
3	Santander Drive Auto Receivables Trust 2018-3	3.510%	8/15/23	50		51
3	Synchrony Card Issuance Trust 2018-A1	3.380%	9/15/24	275		281
3	Synchrony Credit Card Master Note Trust 2016-2	2.210%	5/15/24	373		375
3	Synchrony Credit Card Master Note Trust 2017-2	2.620%	10/15/25	150		152
3	Synchrony Credit Card Master Note Trust 2018-1	2.970%	3/15/24	275		278
3	Synchrony Credit Card Master Note Trust 2018-2	3.470%	5/15/26	275		287
6	Toronto-Dominion Bank	2.250%	3/15/21	250		251
3	Toyota Auto Receivables 2016-B Owner Trust	1.520%	8/16/21	28		28
3	Toyota Auto Receivables 2016-C Owner Trust	1.320%	11/15/21	38		38
3	Toyota Auto Receivables 2017-D Owner Trust	1.930%	1/18/22	179		179
3	Toyota Auto Receivables 2018-A Owner Trust	2.350%	5/16/22	118		118

131

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
3	Toyota Auto Receivables 2018-A Owner Trust	2.520%	5/15/23	50		50
3	Toyota Auto Receivables 2018-B Owner Trust	2.960%	9/15/22	125		126
3	Toyota Auto Receivables 2018-B Owner Trust	3.110%	11/15/23	25		26
3	UBS Commercial Mortgage Trust 2017-C1	3.460%	6/15/50	100		106
3	UBS Commercial Mortgage Trust 2017-C1	3.724%	6/15/50	50		52
3	UBS Commercial Mortgage Trust 2017-C2	3.487%	8/15/50	150		158
3	UBS Commercial Mortgage Trust 2017-C2	3.740%	8/15/50	50		52
3	UBS Commercial Mortgage Trust 2017-C3	3.426%	8/15/50	175		184
3	UBS Commercial Mortgage Trust 2017-C3	3.739%	8/15/50	75		79
3	UBS Commercial Mortgage Trust 2017-C4	3.301%	10/15/50	100		105
3	UBS Commercial Mortgage Trust 2017-C4	3.563%	10/15/50	150		160
3	UBS Commercial Mortgage Trust 2017-C4	3.836%	10/15/50	62		65
3	UBS Commercial Mortgage Trust 2017-C5	3.474%	11/15/50	100		106
3	UBS Commercial Mortgage Trust 2017-C7	3.679%	12/15/50	150		161
3	UBS Commercial Mortgage Trust 2017-C7	4.061%	12/15/50	100		107
3	UBS Commercial Mortgage Trust 2018-C11	4.241%	6/15/51	125		139
3	UBS Commercial Mortgage Trust 2018-C12	4.296%	8/15/51	100		113
3	UBS Commercial Mortgage Trust 2018-C13	4.208%	10/15/51	25		26
3	UBS Commercial Mortgage Trust 2018-C13	4.334%	10/15/51	75		85
3	UBS Commercial Mortgage Trust 2018-C14	4.448%	12/15/51	225		256
3	UBS Commercial Mortgage Trust 2018-C15	4.341%	12/15/51	125		140
3	UBS Commercial Mortgage Trust 2018-C8	3.720%	2/15/51	150		162
3	UBS Commercial Mortgage Trust 2018-C8	3.983%	2/15/51	275		302
3	UBS Commercial Mortgage Trust 2018-C8	4.215%	2/15/51	75		81
3	UBS Commercial Mortgage Trust 2019-C16	3.605%	4/15/52	100		106
3	UBS Commercial Mortgage Trust 2019-C17	2.921%	10/15/52	125		127
3	UBS-Barclays Commercial Mortgage Trust 2013-C5	3.185%	3/10/46	104		107
3	UBS-Barclays Commercial Mortgage Trust 2013-C6	3.244%	4/10/46	165		169
3	UBS-Barclays Commercial Mortgage Trust 2013-C6	3.469%	4/10/46	25		26
3	UBS-Barclays Commercial Mortgage Trust 2018-C10	4.313%	5/15/51	175		195
3	UBS-Barclays Commercial Mortgage Trust 2018-C9	4.117%	3/15/51	275		305
3	UBS-Barclays Commercial Mortgage Trust 2019-C16	3.887%	4/15/52	25		27
3	UBS-Barclays Commercial Mortgage Trust 2019-C18	3.035%	12/15/52	75		77
3	Wells Fargo Commercial Mortgage Trust 2012-LC5	2.918%	10/15/45	67		68
3	Wells Fargo Commercial Mortgage Trust 2014-LC16	2.819%	8/15/50	1		1
3	Wells Fargo Commercial Mortgage Trust 2014-LC16	3.817%	8/15/50	75		79
3	Wells Fargo Commercial Mortgage Trust 2014-LC18	2.954%	12/15/47	41		41
3	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.271%	12/15/47	75		76
3	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.405%	12/15/47	125		131
3	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.808%	12/15/47	75		78
3	Wells Fargo Commercial Mortgage Trust 2015-C26	2.991%	2/15/48	125		127
3	Wells Fargo Commercial Mortgage Trust 2015-C26	3.166%	2/15/48	75		78
3	Wells Fargo Commercial Mortgage Trust 2015-C26	3.580%	2/15/48	50		52
3	Wells Fargo Commercial Mortgage Trust 2015-C27	3.190%	2/15/48	244		252
3	Wells Fargo Commercial Mortgage Trust 2015-C28	3.540%	5/15/48	175		185
3	Wells Fargo Commercial Mortgage Trust 2015-C28	3.872%	5/15/48	31		32
3	Wells Fargo Commercial Mortgage Trust 2015-C29	3.400%	6/15/48	125		129
3	Wells Fargo Commercial Mortgage Trust 2015-C29	3.637%	6/15/48	175		186
3	Wells Fargo Commercial Mortgage Trust 2015-LC20	2.978%	4/15/50	29		30
3	Wells Fargo Commercial Mortgage Trust 2015-LC20	3.184%	4/15/50	276		287
3	Wells Fargo Commercial Mortgage Trust 2015-LC20	3.719%	4/15/50	50		51
3	Wells Fargo Commercial Mortgage Trust 2015-LC22	3.571%	9/15/58	50		52
3	Wells Fargo Commercial Mortgage Trust 2015-LC22	3.839%	9/15/58	75		81
3	Wells Fargo Commercial Mortgage Trust 2015-LC22	4.207%	9/15/58	75		80
3	Wells Fargo Commercial Mortgage Trust 2015-NXS1	2.632%	5/15/48	21		21
3	Wells Fargo Commercial Mortgage Trust 2015-NXS1	2.934%	5/15/48	50		51
3	Wells Fargo Commercial Mortgage Trust 2015-NXS1	3.148%	5/15/48	50		52
3	Wells Fargo Commercial Mortgage Trust 2015-P2	3.656%	12/15/48	100		105
3	Wells Fargo Commercial Mortgage Trust 2015-P2	3.809%	12/15/48	50		54
3	Wells Fargo Commercial Mortgage Trust 2015-SG1	3.789%	9/15/48	210		224
3	Wells Fargo Commercial Mortgage Trust 2016-BNK1	2.652%	8/15/49	150		151
3	Wells Fargo Commercial Mortgage Trust 2016-C32	3.324%	1/15/59	58		60
3	Wells Fargo Commercial Mortgage Trust 2016-C32	3.560%	1/15/59	125		132
3	Wells Fargo Commercial Mortgage Trust 2016-C33	3.426%	3/15/59	50		53
3	Wells Fargo Commercial Mortgage Trust 2016-C34	3.096%	6/15/49	75		77
3	Wells Fargo Commercial Mortgage Trust 2016-C37	3.794%	12/15/49	100		108
3	Wells Fargo Commercial Mortgage Trust 2016-LC24	2.825%	10/15/49	100		102
3	Wells Fargo Commercial Mortgage Trust 2016-LC24	2.942%	10/15/49	162		166
3	Wells Fargo Commercial Mortgage Trust 2017-C38	3.453%	7/15/50	192		204
3	Wells Fargo Commercial Mortgage Trust 2017-C38	3.665%	7/15/50	54		57

132

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
3	Wells Fargo Commercial Mortgage Trust 2017-C39	3.418%	9/15/50	175		185
3	Wells Fargo Commercial Mortgage Trust 2017-C39	3.702%	9/15/50	100		105
3	Wells Fargo Commercial Mortgage Trust 2017-C40	3.317%	10/15/50	100		104
3	Wells Fargo Commercial Mortgage Trust 2017-C40	3.581%	10/15/50	150		160
3	Wells Fargo Commercial Mortgage Trust 2017-C40	3.854%	10/15/50	25		26
3	Wells Fargo Commercial Mortgage Trust 2017-C41	3.472%	11/15/50	250		265
3	Wells Fargo Commercial Mortgage Trust 2018-C43	4.012%	3/15/51	275		302
3	Wells Fargo Commercial Mortgage Trust 2018-C43	4.152%	3/15/51	50		54
3	Wells Fargo Commercial Mortgage Trust 2018-C44	4.212%	5/15/51	175		195
3	Wells Fargo Commercial Mortgage Trust 2018-C45	4.184%	6/15/51	200		222
3	Wells Fargo Commercial Mortgage Trust 2018-C46	4.152%	8/15/51	75		83
3	Wells Fargo Commercial Mortgage Trust 2018-C47	4.442%	9/15/61	150		170
3	Wells Fargo Commercial Mortgage Trust 2019-C49	4.023%	3/15/52	225		248
3	Wells Fargo Commercial Mortgage Trust 2019-C50	3.729%	5/15/52	125		135
3	Wells Fargo Commercial Mortgage Trust 2019-C51	3.311%	6/15/52	200		210
3	Wells Fargo Commercial Mortgage Trust 2019-C52	2.892%	8/15/52	270		274
3	Wells Fargo Commercial Mortgage Trust 2019-C52	3.143%	8/15/52	100		100
3	Wells Fargo Commercial Mortgage Trust 2019-C53	3.040%	10/15/52	200		206
3	Wells Fargo Commercial Mortgage Trust 2019-C54	3.146%	12/15/52	100		104
3	WFRBS Commercial Mortgage Trust 2012-C6	3.440%	4/15/45	175		178
3	WFRBS Commercial Mortgage Trust 2012-C7	3.431%	6/15/45	125		128
3	WFRBS Commercial Mortgage Trust 2012-C7	4.090%	6/15/45	100		103
3	WFRBS Commercial Mortgage Trust 2012-C8	3.001%	8/15/45	75		76
3	WFRBS Commercial Mortgage Trust 2012-C9	2.870%	11/15/45	122		124
3	WFRBS Commercial Mortgage Trust 2013-C11	3.071%	3/15/45	94		96
3	WFRBS Commercial Mortgage Trust 2013-C12	3.198%	3/15/48	39		40
3	WFRBS Commercial Mortgage Trust 2013-C12	3.560%	3/15/48	18		19
3	WFRBS Commercial Mortgage Trust 2013-C13	3.001%	5/15/45	76		78
3	WFRBS Commercial Mortgage Trust 2013-C13	3.345%	5/15/45	15		15
3	WFRBS Commercial Mortgage Trust 2013-C14	3.337%	6/15/46	150		155
3	WFRBS Commercial Mortgage Trust 2013-C14	3.488%	6/15/46	75		77
3	WFRBS Commercial Mortgage Trust 2013-C15	3.720%	8/15/46	16		16
3	WFRBS Commercial Mortgage Trust 2013-C15	4.153%	8/15/46	100		106
3	WFRBS Commercial Mortgage Trust 2013-C15	4.358%	8/15/46	20		21
3	WFRBS Commercial Mortgage Trust 2013-C16	3.963%	9/15/46	23		24
3	WFRBS Commercial Mortgage Trust 2013-C16	4.415%	9/15/46	30		32
3	WFRBS Commercial Mortgage Trust 2013-C16	4.668%	9/15/46	50		53
3	WFRBS Commercial Mortgage Trust 2013-C17	3.558%	12/15/46	20		20
3	WFRBS Commercial Mortgage Trust 2013-C17	4.023%	12/15/46	25		27
3	WFRBS Commercial Mortgage Trust 2013-C17	4.255%	12/15/46	25		27
3	WFRBS Commercial Mortgage Trust 2013-C17	4.788%	12/15/46	25		27
3	WFRBS Commercial Mortgage Trust 2014-C19	3.618%	3/15/47	21		22
3	WFRBS Commercial Mortgage Trust 2014-C19	3.660%	3/15/47	21		22
3	WFRBS Commercial Mortgage Trust 2014-C19	4.101%	3/15/47	50		53
3	WFRBS Commercial Mortgage Trust 2014-C19	4.723%	3/15/47	25		27
3	WFRBS Commercial Mortgage Trust 2014-C20	3.638%	5/15/47	22		23
3	WFRBS Commercial Mortgage Trust 2014-C20	3.995%	5/15/47	25		27
3	WFRBS Commercial Mortgage Trust 2014-C20	4.176%	5/15/47	25		26
3	WFRBS Commercial Mortgage Trust 2014-C21	3.678%	8/15/47	75		79
3	WFRBS Commercial Mortgage Trust 2014-C22	3.752%	9/15/57	150		159
3	WFRBS Commercial Mortgage Trust 2014-C22	4.371%	9/15/57	25		26
3	WFRBS Commercial Mortgage Trust 2014-C23	3.636%	10/15/57	74		76
3	WFRBS Commercial Mortgage Trust 2014-C23	3.917%	10/15/57	50		53
3	WFRBS Commercial Mortgage Trust 2014-C24	3.428%	11/15/47	39		40
3	WFRBS Commercial Mortgage Trust 2014-C24	3.607%	11/15/47	65		69
3	WFRBS Commercial Mortgage Trust 2014-LC14	2.862%	3/15/47	1		1
3	WFRBS Commercial Mortgage Trust 2014-LC14	3.522%	3/15/47	50		51
3	WFRBS Commercial Mortgage Trust 2014-LC14	4.045%	3/15/47	140		149
3	WFRBS Commercial Mortgage Trust 2014-LC14	4.351%	3/15/47	60		64
3	World Financial Network Credit Card Master Note Trust Series 2017-C	2.310%	8/15/24	150		150
3	World Financial Network Credit Card Master Note Trust Series 2018-A	3.070%	12/16/24	200		202
3	World Omni Auto Receivables Trust 2019-C	1.960%	12/16/24	125		125
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $107,426)						110,185
Corporate Bonds (26.5%)
Finance (8.3%)
	Banking (5.9%)
	Ally Financial Inc.	4.125%	2/13/22	125		129
	Ally Financial Inc.	3.875%	5/21/24	150		157
	Ally Financial Inc.	5.125%	9/30/24	135		149
	Ally Financial Inc.	8.000%	11/1/31	400		552
	American Express Co.	3.000%	2/22/21	150		152
	American Express Co.	3.700%	11/5/21	200		206
	American Express Co.	2.750%	5/20/22	300		305
	American Express Co.	2.500%	8/1/22	500		506
	American Express Co.	2.650%	12/2/22	225		229
	American Express Co.	3.400%	2/27/23	300		311
	American Express Co.	3.700%	8/3/23	325		342

133

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	American Express Co.	3.400%	2/22/24	225		235
	American Express Co.	2.500%	7/30/24	215		217
	American Express Co.	3.000%	10/30/24	569		587
	American Express Co.	3.625%	12/5/24	241		254
	American Express Co.	4.200%	11/6/25	150		165
	American Express Co.	3.125%	5/20/26	250		259
	American Express Co.	4.050%	12/3/42	67		79
	American Express Credit Corp.	2.250%	5/5/21	275		276
	American Express Credit Corp.	2.700%	3/3/22	300		305
	American Express Credit Corp.	3.300%	5/3/27	350		372
	Associated Bank NA	3.500%	8/13/21	50		51
	Australia & New Zealand Banking Group Ltd.	2.300%	6/1/21	325		326
	Australia & New Zealand Banking Group Ltd.	2.550%	11/23/21	250		253
	Australia & New Zealand Banking Group Ltd.	2.625%	5/19/22	200		203
	Australia & New Zealand Banking Group Ltd.	2.625%	11/9/22	200		204
	Australia & New Zealand Banking Group Ltd.	3.700%	11/16/25	250		269
	Banco Santander SA	3.848%	4/12/23	200		208
	Banco Santander SA	5.179%	11/19/25	450		500
	Banco Santander SA	4.250%	4/11/27	400		430
	Banco Santander SA	3.800%	2/23/28	200		210
	Banco Santander SA	4.379%	4/12/28	200		218
	Bank of America Corp.	2.625%	4/19/21	755		762
3	Bank of America Corp.	2.369%	7/21/21	500		501
3	Bank of America Corp.	2.328%	10/1/21	350		350
3	Bank of America Corp.	2.738%	1/23/22	250		252
3	Bank of America Corp.	3.499%	5/17/22	175		178
	Bank of America Corp.	2.503%	10/21/22	300		303
	Bank of America Corp.	3.300%	1/11/23	650		672
3	Bank of America Corp.	3.124%	1/20/23	145		148
3	Bank of America Corp.	2.881%	4/24/23	1,000		1,014
3	Bank of America Corp.	2.816%	7/21/23	1,250		1,267
	Bank of America Corp.	4.100%	7/24/23	300		319
	Bank of America Corp.	3.004%	12/20/23	1,846		1,886
	Bank of America Corp.	4.125%	1/22/24	325		350
3	Bank of America Corp.	3.550%	3/5/24	690		714
	Bank of America Corp.	4.000%	4/1/24	322		345
3	Bank of America Corp.	3.864%	7/23/24	125		132
	Bank of America Corp.	4.200%	8/26/24	650		697
	Bank of America Corp.	4.000%	1/22/25	755		803
	Bank of America Corp.	3.950%	4/21/25	500		532
3	Bank of America Corp.	3.093%	10/1/25	350		361
3	Bank of America Corp.	2.456%	10/22/25	300		301
3	Bank of America Corp.	3.366%	1/23/26	300		313
	Bank of America Corp.	4.450%	3/3/26	475		520
	Bank of America Corp.	3.500%	4/19/26	320		339
	Bank of America Corp.	4.250%	10/22/26	725		788
3	Bank of America Corp.	3.559%	4/23/27	750		791
	Bank of America Corp.	3.248%	10/21/27	750		778
	Bank of America Corp.	4.183%	11/25/27	560		606
3	Bank of America Corp.	3.824%	1/20/28	425		456
3	Bank of America Corp.	3.705%	4/24/28	350		374
3	Bank of America Corp.	3.593%	7/21/28	800		850
3	Bank of America Corp.	3.419%	12/20/28	1,334		1,397
3	Bank of America Corp.	3.970%	3/5/29	225		245
3	Bank of America Corp.	4.271%	7/23/29	575		637
3	Bank of America Corp.	3.974%	2/7/30	150		163
3	Bank of America Corp.	3.194%	7/23/30	1,125		1,163
3	Bank of America Corp.	2.884%	10/22/30	300		303
	Bank of America Corp.	6.110%	1/29/37	335		451
3	Bank of America Corp.	4.244%	4/24/38	350		402
	Bank of America Corp.	7.750%	5/14/38	340		535
3	Bank of America Corp.	4.078%	4/23/40	500		567
	Bank of America Corp.	5.875%	2/7/42	300		426
	Bank of America Corp.	5.000%	1/21/44	750		979
	Bank of America Corp.	4.875%	4/1/44	300		383
	Bank of America Corp.	4.750%	4/21/45	100		122
3	Bank of America Corp.	4.443%	1/20/48	100		122
3	Bank of America Corp.	4.330%	3/15/50	250		300
	Bank of America NA	6.000%	10/15/36	250		344
	Bank of Montreal	3.100%	4/13/21	325		330
	Bank of Montreal	1.900%	8/27/21	325		325
	Bank of Montreal	2.900%	3/26/22	425		433
	Bank of Montreal	2.350%	9/11/22	46		46
	Bank of Montreal	2.550%	11/6/22	104		106
	Bank of Montreal	3.300%	2/5/24	300		312
	Bank of Montreal	2.500%	6/28/24	200		202
3	Bank of Montreal	4.338%	10/5/28	100		105
3	Bank of Montreal	3.803%	12/15/32	1,000		1,044
	Bank of New York Mellon Corp.	2.050%	5/3/21	250		251
	Bank of New York Mellon Corp.	3.550%	9/23/21	100		103
	Bank of New York Mellon Corp.	2.600%	2/7/22	675		684
	Bank of New York Mellon Corp.	1.950%	8/23/22	250		250
	Bank of New York Mellon Corp.	2.950%	1/29/23	195		200
	Bank of New York Mellon Corp.	3.500%	4/28/23	225		236
3	Bank of New York Mellon Corp.	2.661%	5/16/23	225		228
	Bank of New York Mellon Corp.	3.450%	8/11/23	125		131
	Bank of New York Mellon Corp.	2.200%	8/16/23	225		228
	Bank of New York Mellon Corp.	3.250%	9/11/24	150		157
	Bank of New York Mellon Corp.	2.100%	10/24/24	150		150
	Bank of New York Mellon Corp.	3.000%	2/24/25	250		260
	Bank of New York Mellon Corp.	2.800%	5/4/26	200		205
	Bank of New York Mellon Corp.	2.450%	8/17/26	125		125
	Bank of New York Mellon Corp.	3.250%	5/16/27	150		158
3	Bank of New York Mellon Corp.	3.442%	2/7/28	150		158
	Bank of New York Mellon Corp.	3.000%	10/30/28	200		205
	Bank of New York Mellon Corp.	3.300%	8/23/29	100		104
	Bank of Nova Scotia	2.800%	7/21/21	420		426
	Bank of Nova Scotia	2.700%	3/7/22	250		254
	Bank of Nova Scotia	2.375%	1/18/23	50		51
	Bank of Nova Scotia	3.400%	2/11/24	200		209
	Bank of Nova Scotia	4.500%	12/16/25	300		328
	Bank of Nova Scotia	2.700%	8/3/26	100		102
	Barclays Bank plc	2.650%	1/11/21	200		201
	Barclays plc	3.250%	1/12/21	100		101
	Barclays plc	3.200%	8/10/21	150		152
	Barclays plc	3.684%	1/10/23	100		102
3	Barclays plc	4.610%	2/15/23	200		208
3	Barclays plc	4.338%	5/16/24	1,000		1,049
	Barclays plc	3.650%	3/16/25	350		364
3	Barclays plc	3.932%	5/7/25	200		210
	Barclays plc	4.375%	1/12/26	300		325
	Barclays plc	4.337%	1/10/28	200		214
3	Barclays plc	4.972%	5/16/29	200		225
	Barclays plc	5.250%	8/17/45	250		301
	Barclays plc	4.950%	1/10/47	200		234
	BBVA USA	3.500%	6/11/21	150		152
	BBVA USA	2.875%	6/29/22	250		253
	BNP Paribas SA	5.000%	1/15/21	475		489
	BPCE SA	2.650%	2/3/21	275		277
	BPCE SA	2.750%	12/2/21	250		254
6	BPCE SA	3.000%	5/22/22	250		254
	BPCE SA	4.000%	4/15/24	325		348
	BPCE SA	3.375%	12/2/26	250		262
	Canadian Imperial Bank of Commerce	2.700%	2/2/21	150		151
	Canadian Imperial Bank of Commerce	2.550%	6/16/22	350		354
	Canadian Imperial Bank of Commerce	3.500%	9/13/23	200		210
	Canadian Imperial Bank of Commerce	3.100%	4/2/24	200		206
	Capital One Bank USA NA	3.375%	2/15/23	235		242
	Capital One Financial Corp.	4.750%	7/15/21	50		52
	Capital One Financial Corp.	3.050%	3/9/22	175		179
	Capital One Financial Corp.	3.200%	1/30/23	350		360
	Capital One Financial Corp.	3.500%	6/15/23	27		28
	Capital One Financial Corp.	3.900%	1/29/24	250		265
	Capital One Financial Corp.	3.750%	4/24/24	450		472
	Capital One Financial Corp.	3.300%	10/30/24	513		529
	Capital One Financial Corp.	4.200%	10/29/25	175		188
	Capital One Financial Corp.	3.750%	7/28/26	500		524

134

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Capital One Financial Corp.	3.750%	3/9/27	100		106
	Capital One Financial Corp.	3.800%	1/31/28	300		322
	Capital One NA	2.250%	9/13/21	175		176
	Capital One NA	2.650%	8/8/22	500		507
	Citibank NA	2.850%	2/12/21	200		202
	Citibank NA	3.400%	7/23/21	475		485
3	Citibank NA	2.844%	5/20/22	500		506
	Citigroup Inc.	2.700%	3/30/21	550		554
	Citigroup Inc.	2.350%	8/2/21	150		151
	Citigroup Inc.	2.900%	12/8/21	200		203
	Citigroup Inc.	4.500%	1/14/22	475		498
	Citigroup Inc.	2.750%	4/25/22	425		432
	Citigroup Inc.	2.700%	10/27/22	375		381
3	Citigroup Inc.	2.312%	11/4/22	300		301
	Citigroup Inc.	3.375%	3/1/23	150		155
	Citigroup Inc.	3.500%	5/15/23	675		700
3	Citigroup Inc.	2.876%	7/24/23	450		458
	Citigroup Inc.	3.875%	10/25/23	738		784
	Citigroup Inc.	4.000%	8/5/24	125		133
	Citigroup Inc.	3.875%	3/26/25	350		369
3	Citigroup Inc.	3.352%	4/24/25	1,500		1,560
	Citigroup Inc.	3.300%	4/27/25	125		131
	Citigroup Inc.	4.400%	6/10/25	1,400		1,521
	Citigroup Inc.	5.500%	9/13/25	75		86
	Citigroup Inc.	3.700%	1/12/26	275		293
	Citigroup Inc.	4.600%	3/9/26	275		303
	Citigroup Inc.	3.200%	10/21/26	1,025		1,060
	Citigroup Inc.	4.300%	11/20/26	75		82
	Citigroup Inc.	4.450%	9/29/27	1,150		1,265
3	Citigroup Inc.	3.887%	1/10/28	475		509
3	Citigroup Inc.	3.668%	7/24/28	900		956
	Citigroup Inc.	4.125%	7/25/28	100		109
3	Citigroup Inc.	3.520%	10/27/28	580		609
3	Citigroup Inc.	4.075%	4/23/29	150		164
3	Citigroup Inc.	3.980%	3/20/30	475		519
3	Citigroup Inc.	2.976%	11/5/30	300		305
	Citigroup Inc.	6.625%	6/15/32	100		134
	Citigroup Inc.	6.125%	8/25/36	75		97
3	Citigroup Inc.	3.878%	1/24/39	225		246
	Citigroup Inc.	8.125%	7/15/39	562		938
	Citigroup Inc.	5.875%	1/30/42	100		141
	Citigroup Inc.	5.300%	5/6/44	375		475
	Citigroup Inc.	4.650%	7/30/45	200		246
	Citigroup Inc.	4.750%	5/18/46	375		449
	Citigroup Inc.	4.650%	7/23/48	450		561
	Citizens Bank NA	2.550%	5/13/21	200		201
	Citizens Bank NA	3.250%	2/14/22	250		256
	Citizens Bank NA	2.650%	5/26/22	125		127
	Citizens Financial Group Inc.	4.300%	12/3/25	125		134
	Citizens Financial Group Inc.	2.850%	7/27/26	175		178
	Comerica Bank	4.000%	7/27/25	50		53
	Comerica Inc.	3.700%	7/31/23	200		210
	Commonwealth Bank of Australia	2.550%	3/15/21	175		176
6	Commonwealth Bank of Australia	2.750%	3/10/22	500		508
6	Commonwealth Bank of Australia	3.350%	6/4/24	800		836
	Cooperatieve Rabobank UA	4.500%	1/11/21	150		154
	Cooperatieve Rabobank UA	2.500%	1/19/21	600		603
	Cooperatieve Rabobank UA	2.750%	1/10/22	250		254
	Cooperatieve Rabobank UA	3.875%	2/8/22	525		547
	Cooperatieve Rabobank UA	3.950%	11/9/22	125		130
	Cooperatieve Rabobank UA	4.625%	12/1/23	175		190
	Cooperatieve Rabobank UA	3.375%	5/21/25	275		291
	Cooperatieve Rabobank UA	4.375%	8/4/25	600		649
	Cooperatieve Rabobank UA	3.750%	7/21/26	225		234
	Cooperatieve Rabobank UA	5.250%	5/24/41	100		136
	Cooperatieve Rabobank UA	5.750%	12/1/43	250		329
	Cooperatieve Rabobank UA	5.250%	8/4/45	350		440
	Credit Suisse AG	3.000%	10/29/21	600		611
	Credit Suisse AG	2.100%	11/12/21	250		251
	Credit Suisse AG	3.625%	9/9/24	575		610
6	Credit Suisse Group AG	3.574%	1/9/23	250		257
	Credit Suisse Group Funding Guernsey Ltd.	3.125%	12/10/20	250		252
	Credit Suisse Group Funding Guernsey Ltd.	3.450%	4/16/21	275		279
	Credit Suisse Group Funding Guernsey Ltd.	3.800%	9/15/22	750		780
	Credit Suisse Group Funding Guernsey Ltd.	3.800%	6/9/23	825		863
	Credit Suisse Group Funding Guernsey Ltd.	3.750%	3/26/25	250		264
	Credit Suisse Group Funding Guernsey Ltd.	4.875%	5/15/45	375		471
	Deutsche Bank AG	3.125%	1/13/21	100		100
	Deutsche Bank AG	3.150%	1/22/21	150		151
	Deutsche Bank AG	4.250%	2/4/21	150		152
	Deutsche Bank AG	4.250%	10/14/21	600		617
	Deutsche Bank AG	3.300%	11/16/22	500		505
	Deutsche Bank AG	3.950%	2/27/23	300		307
	Deutsche Bank AG	3.700%	5/30/24	548		559
	Deutsche Bank AG	4.100%	1/13/26	100		102
	Discover Bank	3.200%	8/9/21	100		102
	Discover Bank	3.350%	2/6/23	150		154
	Discover Bank	4.200%	8/8/23	300		319
	Discover Bank	2.450%	9/12/24	150		149
	Discover Bank	3.450%	7/27/26	100		104
	Discover Bank	4.650%	9/13/28	250		280
	Discover Financial Services	3.850%	11/21/22	200		209
	Discover Financial Services	3.950%	11/6/24	450		477
	Discover Financial Services	3.750%	3/4/25	170		179
	Discover Financial Services	4.500%	1/30/26	200		219
	Fifth Third Bancorp	3.500%	3/15/22	125		129
	Fifth Third Bancorp	4.300%	1/16/24	275		295
	Fifth Third Bancorp	3.650%	1/25/24	150		158
	Fifth Third Bancorp	2.375%	1/28/25	150		150
	Fifth Third Bancorp	3.950%	3/14/28	75		82
	Fifth Third Bancorp	8.250%	3/1/38	200		307
	Fifth Third Bank	2.250%	6/14/21	300		301
	Fifth Third Bank	3.350%	7/26/21	200		204
	Fifth Third Bank	3.950%	7/28/25	200		217
	Fifth Third Bank	3.850%	3/15/26	200		212
	First Horizon National Corp.	3.500%	12/15/20	100		101
	First Republic Bank	2.500%	6/6/22	100		101
	First Republic Bank	4.375%	8/1/46	75		81
	FirstMerit Bank NA	4.270%	11/25/26	150		161
	Goldman Sachs Capital I	6.345%	2/15/34	225		292
	Goldman Sachs Group Inc.	2.875%	2/25/21	175		177
	Goldman Sachs Group Inc.	2.625%	4/25/21	150		151
	Goldman Sachs Group Inc.	5.250%	7/27/21	650		681
	Goldman Sachs Group Inc.	2.350%	11/15/21	500		502
	Goldman Sachs Group Inc.	5.750%	1/24/22	675		722
	Goldman Sachs Group Inc.	3.000%	4/26/22	545		552
3	Goldman Sachs Group Inc.	2.876%	10/31/22	1,055		1,068
	Goldman Sachs Group Inc.	3.625%	1/22/23	425		441
	Goldman Sachs Group Inc.	3.200%	2/23/23	425		437
3	Goldman Sachs Group Inc.	2.908%	6/5/23	350		355
3	Goldman Sachs Group Inc.	2.905%	7/24/23	500		508
	Goldman Sachs Group Inc.	3.625%	2/20/24	300		315
	Goldman Sachs Group Inc.	4.000%	3/3/24	475		504
	Goldman Sachs Group Inc.	3.850%	7/8/24	586		618
	Goldman Sachs Group Inc.	3.500%	1/23/25	1,332		1,398
	Goldman Sachs Group Inc.	3.750%	5/22/25	825		873
3	Goldman Sachs Group Inc.	3.272%	9/29/25	550		568
	Goldman Sachs Group Inc.	4.250%	10/21/25	200		217
	Goldman Sachs Group Inc.	3.750%	2/25/26	200		212
	Goldman Sachs Group Inc.	3.500%	11/16/26	1,250		1,304
	Goldman Sachs Group Inc.	5.950%	1/15/27	400		477
	Goldman Sachs Group Inc.	3.850%	1/26/27	350		372
3	Goldman Sachs Group Inc.	3.691%	6/5/28	625		663
3	Goldman Sachs Group Inc.	3.814%	4/23/29	450		481
3	Goldman Sachs Group Inc.	4.223%	5/1/29	475		522
	Goldman Sachs Group Inc.	6.450%	5/1/36	50		66

135

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Goldman Sachs Group Inc.	6.750%	10/1/37	975		1,351
3	Goldman Sachs Group Inc.	4.017%	10/31/38	350		379
3	Goldman Sachs Group Inc.	4.411%	4/23/39	500		567
	Goldman Sachs Group Inc.	6.250%	2/1/41	675		942
	Goldman Sachs Group Inc.	4.800%	7/8/44	400		484
	Goldman Sachs Group Inc.	5.150%	5/22/45	475		581
	Goldman Sachs Group Inc.	4.750%	10/21/45	150		183
	HSBC Bank USA NA	7.000%	1/15/39	250		364
	HSBC Holdings plc	3.400%	3/8/21	625		634
	HSBC Holdings plc	2.950%	5/25/21	800		810
	HSBC Holdings plc	2.650%	1/5/22	500		505
	HSBC Holdings plc	4.875%	1/14/22	160		169
	HSBC Holdings plc	4.000%	3/30/22	290		302
3	HSBC Holdings plc	3.262%	3/13/23	560		572
	HSBC Holdings plc	3.600%	5/25/23	200		208
3	HSBC Holdings plc	3.033%	11/22/23	200		204
	HSBC Holdings plc	4.250%	3/14/24	250		265
3	HSBC Holdings plc	3.950%	5/18/24	500		524
3	HSBC Holdings plc	3.803%	3/11/25	1,075		1,128
	HSBC Holdings plc	4.250%	8/18/25	150		160
3	HSBC Holdings plc	2.633%	11/7/25	200		200
	HSBC Holdings plc	4.300%	3/8/26	1,100		1,195
	HSBC Holdings plc	3.900%	5/25/26	450		479
3	HSBC Holdings plc	4.292%	9/12/26	500		537
	HSBC Holdings plc	4.375%	11/23/26	350		378
3	HSBC Holdings plc	4.041%	3/13/28	400		427
3	HSBC Holdings plc	4.583%	6/19/29	400		446
3	HSBC Holdings plc	3.973%	5/22/30	570		612
	HSBC Holdings plc	7.625%	5/17/32	100		138
	HSBC Holdings plc	7.350%	11/27/32	100		139
	HSBC Holdings plc	6.500%	5/2/36	350		476
	HSBC Holdings plc	6.500%	9/15/37	50		68
	HSBC Holdings plc	6.800%	6/1/38	200		284
	HSBC Holdings plc	5.250%	3/14/44	750		949
	HSBC USA Inc.	3.500%	6/23/24	150		159
	Huntington Bancshares Inc.	7.000%	12/15/20	25		26
	Huntington Bancshares Inc.	3.150%	3/14/21	100		101
	Huntington Bancshares Inc.	2.300%	1/14/22	200		201
	Huntington National Bank	3.250%	5/14/21	250		254
	Huntington National Bank	2.500%	8/7/22	200		202
	Huntington National Bank	3.550%	10/6/23	250		262
	ING Groep NV	3.150%	3/29/22	200		204
	ING Groep NV	4.100%	10/2/23	300		318
	ING Groep NV	3.550%	4/9/24	200		209
	ING Groep NV	3.950%	3/29/27	300		323
	ING Groep NV	4.550%	10/2/28	200		227
	ING Groep NV	4.050%	4/9/29	200		219
	JPMorgan Chase & Co.	2.550%	3/1/21	850		855
	JPMorgan Chase & Co.	4.625%	5/10/21	250		259
	JPMorgan Chase & Co.	2.400%	6/7/21	275		277
	JPMorgan Chase & Co.	2.295%	8/15/21	450		451
	JPMorgan Chase & Co.	4.350%	8/15/21	205		213
	JPMorgan Chase & Co.	4.500%	1/24/22	325		341
3	JPMorgan Chase & Co.	3.514%	6/18/22	200		204
	JPMorgan Chase & Co.	3.250%	9/23/22	750		775
	JPMorgan Chase & Co.	2.972%	1/15/23	370		377
	JPMorgan Chase & Co.	3.200%	1/25/23	750		774
3	JPMorgan Chase & Co.	3.207%	4/1/23	1,000		1,022
3	JPMorgan Chase & Co.	2.776%	4/25/23	350		354
	JPMorgan Chase & Co.	3.375%	5/1/23	300		311
	JPMorgan Chase & Co.	2.700%	5/18/23	250		255
	JPMorgan Chase & Co.	3.875%	2/1/24	445		476
3	JPMorgan Chase & Co.	3.559%	4/23/24	485		505
	JPMorgan Chase & Co.	3.625%	5/13/24	776		820
3	JPMorgan Chase & Co.	3.797%	7/23/24	175		184
	JPMorgan Chase & Co.	3.875%	9/10/24	575		615
3	JPMorgan Chase & Co.	4.023%	12/5/24	300		320
	JPMorgan Chase & Co.	3.125%	1/23/25	400		417
3	JPMorgan Chase & Co.	3.220%	3/1/25	600		620
	JPMorgan Chase & Co.	3.900%	7/15/25	362		391
3	JPMorgan Chase & Co.	2.301%	10/15/25	700		699
	JPMorgan Chase & Co.	3.300%	4/1/26	685		718
	JPMorgan Chase & Co.	3.200%	6/15/26	300		312
	JPMorgan Chase & Co.	2.950%	10/1/26	875		899
	JPMorgan Chase & Co.	4.125%	12/15/26	450		492
3	JPMorgan Chase & Co.	3.960%	1/29/27	500		541
	JPMorgan Chase & Co.	3.625%	12/1/27	1,000		1,050
3	JPMorgan Chase & Co.	3.782%	2/1/28	625		671
3	JPMorgan Chase & Co.	3.540%	5/1/28	350		371
3	JPMorgan Chase & Co.	3.509%	1/23/29	575		609
3	JPMorgan Chase & Co.	4.005%	4/23/29	300		328
3	JPMorgan Chase & Co.	4.203%	7/23/29	250		278
3	JPMorgan Chase & Co.	4.452%	12/5/29	300		341
3	JPMorgan Chase & Co.	3.702%	5/6/30	300		323
3	JPMorgan Chase & Co.	2.739%	10/15/30	1,500		1,500
	JPMorgan Chase & Co.	6.400%	5/15/38	450		649
	JPMorgan Chase & Co.	5.500%	10/15/40	650		869
	JPMorgan Chase & Co.	5.600%	7/15/41	275		376
	JPMorgan Chase & Co.	5.400%	1/6/42	150		203
	JPMorgan Chase & Co.	5.625%	8/16/43	300		402
	JPMorgan Chase & Co.	4.950%	6/1/45	100		126
3	JPMorgan Chase & Co.	4.260%	2/22/48	375		439
3	JPMorgan Chase & Co.	4.032%	7/24/48	500		566
3	JPMorgan Chase & Co.	3.964%	11/15/48	1,000		1,121
3	JPMorgan Chase & Co.	3.897%	1/23/49	400		447
	KeyBank NA	2.300%	9/14/22	200		202
	KeyBank NA	3.375%	3/7/23	250		260
	KeyBank NA	3.300%	6/1/25	125		132
	KeyCorp	5.100%	3/24/21	25		26
	KeyCorp	4.150%	10/29/25	150		164
	KeyCorp	4.100%	4/30/28	600		655
	KeyCorp	2.550%	10/1/29	150		147
	Lloyds Bank plc	6.375%	1/21/21	175		182
	Lloyds Bank plc	3.300%	5/7/21	200		203
	Lloyds Banking Group plc	3.000%	1/11/22	300		305
3	Lloyds Banking Group plc	2.858%	3/17/23	250		252
	Lloyds Banking Group plc	4.050%	8/16/23	900		950
3	Lloyds Banking Group plc	2.907%	11/7/23	400		406
	Lloyds Banking Group plc	3.900%	3/12/24	200		211
	Lloyds Banking Group plc	4.450%	5/8/25	200		218
	Lloyds Banking Group plc	4.582%	12/10/25	700		755
	Lloyds Banking Group plc	4.650%	3/24/26	575		622
	Lloyds Banking Group plc	3.750%	1/11/27	200		210
	Lloyds Banking Group plc	4.375%	3/22/28	250		275
	Lloyds Banking Group plc	4.550%	8/16/28	200		223
3	Lloyds Banking Group plc	3.574%	11/7/28	200		208
	Lloyds Banking Group plc	5.300%	12/1/45	200		243
	Lloyds Banking Group plc	4.344%	1/9/48	275		297
	M&T Bank Corp.	3.550%	7/26/23	200		210
	Manufacturers & Traders Trust Co.	2.625%	1/25/21	225		226
	Mitsubishi UFJ Financial Group Inc.	2.950%	3/1/21	403		407
	Mitsubishi UFJ Financial Group Inc.	3.535%	7/26/21	200		204
	Mitsubishi UFJ Financial Group Inc.	2.190%	9/13/21	400		401
	Mitsubishi UFJ Financial Group Inc.	2.998%	2/22/22	1,275		1,298
	Mitsubishi UFJ Financial Group Inc.	3.218%	3/7/22	200		205
	Mitsubishi UFJ Financial Group Inc.	2.623%	7/18/22	675		684
	Mitsubishi UFJ Financial Group Inc.	2.665%	7/25/22	300		304
	Mitsubishi UFJ Financial Group Inc.	3.455%	3/2/23	300		311
	Mitsubishi UFJ Financial Group Inc.	3.761%	7/26/23	740		777
	Mitsubishi UFJ Financial Group Inc.	2.527%	9/13/23	100		101
	Mitsubishi UFJ Financial Group Inc.	3.407%	3/7/24	200		209
	Mitsubishi UFJ Financial Group Inc.	2.801%	7/18/24	200		204
	Mitsubishi UFJ Financial Group Inc.	3.777%	3/2/25	250		266
	Mitsubishi UFJ Financial Group Inc.	3.850%	3/1/26	525		563
	Mitsubishi UFJ Financial Group Inc.	2.757%	9/13/26	250		252
	Mitsubishi UFJ Financial Group Inc.	3.677%	2/22/27	500		531
	Mitsubishi UFJ Financial Group Inc.	3.287%	7/25/27	250		259
	Mitsubishi UFJ Financial Group Inc.	3.961%	3/2/28	200		217
	Mitsubishi UFJ Financial Group Inc.	4.050%	9/11/28	200		220
	Mitsubishi UFJ Financial Group Inc.	3.741%	3/7/29	200		215
	Mitsubishi UFJ Financial Group Inc.	3.195%	7/18/29	175		181
	Mitsubishi UFJ Financial Group Inc.	4.286%	7/26/38	50		58

136

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Mitsubishi UFJ Financial Group Inc.	3.751%	7/18/39	200		219
	Mizuho Financial Group Inc.	3.549%	3/5/23	200		208
3	Mizuho Financial Group Inc.	2.721%	7/16/23	300		303
3	Mizuho Financial Group Inc.	3.922%	9/11/24	200		210
3	Mizuho Financial Group Inc.	2.839%	7/16/25	375		378
3	Mizuho Financial Group Inc.	2.555%	9/13/25	100		100
	Mizuho Financial Group Inc.	3.663%	2/28/27	250		264
	Mizuho Financial Group Inc.	4.018%	3/5/28	325		354
3	Mizuho Financial Group Inc.	4.254%	9/11/29	400		443
3	Mizuho Financial Group Inc.	3.153%	7/16/30	500		511
3	Mizuho Financial Group Inc.	2.869%	9/13/30	100		101
	Morgan Stanley	5.750%	1/25/21	250		259
	Morgan Stanley	2.500%	4/21/21	200		201
	Morgan Stanley	5.500%	7/28/21	650		684
	Morgan Stanley	2.625%	11/17/21	500		506
	Morgan Stanley	2.750%	5/19/22	600		610
	Morgan Stanley	4.875%	11/1/22	425		455
	Morgan Stanley	3.125%	1/23/23	750		770
	Morgan Stanley	3.750%	2/25/23	675		705
3	Morgan Stanley	3.737%	4/24/24	750		781
	Morgan Stanley	3.875%	4/29/24	545		578
	Morgan Stanley	3.700%	10/23/24	650		689
	Morgan Stanley	4.000%	7/23/25	330		357
	Morgan Stanley	5.000%	11/24/25	650		730
	Morgan Stanley	3.875%	1/27/26	225		241
	Morgan Stanley	3.125%	7/27/26	700		721
	Morgan Stanley	6.250%	8/9/26	425		516
	Morgan Stanley	4.350%	9/8/26	400		437
	Morgan Stanley	3.625%	1/20/27	250		265
	Morgan Stanley	3.950%	4/23/27	325		347
3	Morgan Stanley	3.591%	7/22/28	935		991
3	Morgan Stanley	3.772%	1/24/29	575		618
3	Morgan Stanley	4.431%	1/23/30	550		621
	Morgan Stanley	7.250%	4/1/32	150		215
3	Morgan Stanley	3.971%	7/22/38	375		416
3	Morgan Stanley	4.457%	4/22/39	250		294
	Morgan Stanley	6.375%	7/24/42	600		883
	Morgan Stanley	4.300%	1/27/45	650		763
	Morgan Stanley	4.375%	1/22/47	175		209
	MUFG Americas Holdings Corp.	3.500%	6/18/22	475		492
	MUFG Americas Holdings Corp.	3.000%	2/10/25	80		81
	MUFG Union Bank NA	3.150%	4/1/22	1,200		1,227
	National Australia Bank Ltd.	1.875%	7/12/21	175		175
	National Australia Bank Ltd.	3.375%	9/20/21	250		256
	National Australia Bank Ltd.	3.700%	11/4/21	250		258
	National Australia Bank Ltd.	2.500%	5/22/22	550		557
	National Australia Bank Ltd.	3.000%	1/20/23	250		256
	National Australia Bank Ltd.	3.625%	6/20/23	250		262
	National Australia Bank Ltd.	3.375%	1/14/26	100		105
	National Australia Bank Ltd.	2.500%	7/12/26	200		201
	Northern Trust Corp.	3.375%	8/23/21	100		102
	Northern Trust Corp.	3.950%	10/30/25	150		161
	Northern Trust Corp.	3.650%	8/3/28	100		108
3	Northern Trust Corp.	3.375%	5/8/32	50		51
	People’s United Bank NA	4.000%	7/15/24	100		104
	People’s United Financial Inc.	3.650%	12/6/22	100		104
	PNC Bank NA	2.150%	4/29/21	250		251
	PNC Bank NA	2.550%	12/9/21	100		101
	PNC Bank NA	2.625%	2/17/22	175		177
	PNC Bank NA	2.450%	7/28/22	100		101
	PNC Bank NA	2.700%	11/1/22	450		454
3	PNC Bank NA	2.028%	12/9/22	145		145
	PNC Bank NA	3.300%	10/30/24	705		733
	PNC Bank NA	2.950%	2/23/25	150		153
	PNC Bank NA	3.250%	6/1/25	100		105
	PNC Bank NA	3.100%	10/25/27	250		261
	PNC Bank NA	3.250%	1/22/28	150		157
	PNC Bank NA	4.050%	7/26/28	250		274
	PNC Bank NA	2.700%	10/22/29	150		149
	PNC Financial Services Group Inc.	3.500%	1/23/24	100		105
	PNC Financial Services Group Inc.	3.900%	4/29/24	125		131
	PNC Financial Services Group Inc.	3.150%	5/19/27	450		465
	PNC Financial Services Group Inc.	3.450%	4/23/29	500		531
	PNC Funding Corp.	3.300%	3/8/22	340		349
3	Regions Bank	3.374%	8/13/21	150		151
	Regions Bank	6.450%	6/26/37	250		321
	Regions Financial Corp.	3.800%	8/14/23	200		211
	Royal Bank of Canada	2.500%	1/19/21	200		201
	Royal Bank of Canada	3.200%	4/30/21	700		712
	Royal Bank of Canada	2.750%	2/1/22	300		305
	Royal Bank of Canada	2.800%	4/29/22	300		306
	Royal Bank of Canada	3.700%	10/5/23	100		105
	Royal Bank of Canada	2.550%	7/16/24	200		203
	Royal Bank of Canada	2.250%	11/1/24	650		653
	Royal Bank of Canada	4.650%	1/27/26	250		277
	Royal Bank of Scotland Group plc	6.125%	12/15/22	100		109
3	Royal Bank of Scotland Group plc	3.498%	5/15/23	500		511
	Royal Bank of Scotland Group plc	6.100%	6/10/23	195		214
	Royal Bank of Scotland Group plc	3.875%	9/12/23	600		627
	Royal Bank of Scotland Group plc	6.000%	12/19/23	100		111
	Royal Bank of Scotland Group plc	5.125%	5/28/24	500		541
3	Royal Bank of Scotland Group plc	4.519%	6/25/24	300		318
3	Royal Bank of Scotland Group plc	4.892%	5/18/29	1,000		1,127
3	Royal Bank of Scotland Group plc	3.754%	11/1/29	200		204
3	Royal Bank of Scotland Group plc	5.076%	1/27/30	200		229
3	Royal Bank of Scotland Group plc	4.445%	5/8/30	650		715
	Santander Holdings USA Inc.	3.400%	1/18/23	115		118
	Santander Holdings USA Inc.	4.500%	7/17/25	125		134
6	Santander Holdings USA Inc.	3.244%	10/5/26	900		904
	Santander Holdings USA Inc.	4.400%	7/13/27	250		269
	Santander UK Group Holdings plc	3.125%	1/8/21	550		555
	Santander UK Group Holdings plc	2.875%	8/5/21	225		227
	Santander UK Group Holdings plc	3.571%	1/10/23	200		205
3	Santander UK Group Holdings plc	3.823%	11/3/28	200		210
	Santander UK plc	3.400%	6/1/21	200		204
	Santander UK plc	3.750%	11/15/21	200		206
	Santander UK plc	4.000%	3/13/24	200		213
	Santander UK plc	2.875%	6/18/24	200		204
	Skandinaviska Enskilda Banken AB	2.625%	3/15/21	300		302
	Skandinaviska Enskilda Banken AB	1.875%	9/13/21	750		747
	Skandinaviska Enskilda Banken AB	2.800%	3/11/22	250		254
	State Street Corp.	1.950%	5/19/21	125		125
3	State Street Corp.	2.653%	5/15/23	300		305
	State Street Corp.	3.100%	5/15/23	400		411
	State Street Corp.	3.700%	11/20/23	83		88
3	State Street Corp.	3.776%	12/3/24	200		211
	State Street Corp.	3.300%	12/16/24	227		239
	State Street Corp.	3.550%	8/18/25	225		242
3	State Street Corp.	2.354%	11/1/25	125		125
	State Street Corp.	2.650%	5/19/26	125		127
3	State Street Corp.	4.141%	12/3/29	200		223
3	State Street Corp.	3.031%	11/1/34	125		125
	Sumitomo Mitsui Banking Corp.	3.200%	7/18/22	250		257
	Sumitomo Mitsui Banking Corp.	3.950%	7/19/23	100		106
	Sumitomo Mitsui Banking Corp.	3.950%	1/10/24	250		265
	Sumitomo Mitsui Banking Corp.	3.400%	7/11/24	250		261
	Sumitomo Mitsui Financial Group Inc.	2.934%	3/9/21	340		344
	Sumitomo Mitsui Financial Group Inc.	2.058%	7/14/21	250		250
	Sumitomo Mitsui Financial Group Inc.	2.442%	10/19/21	475		478
	Sumitomo Mitsui Financial Group Inc.	2.846%	1/11/22	250		254
	Sumitomo Mitsui Financial Group Inc.	2.784%	7/12/22	200		203
	Sumitomo Mitsui Financial Group Inc.	2.778%	10/18/22	200		203
	Sumitomo Mitsui Financial Group Inc.	3.102%	1/17/23	250		256
	Sumitomo Mitsui Financial Group Inc.	3.748%	7/19/23	200		210
	Sumitomo Mitsui Financial Group Inc.	3.936%	10/16/23	200		212
	Sumitomo Mitsui Financial Group Inc.	2.696%	7/16/24	375		380
	Sumitomo Mitsui Financial Group Inc.	3.784%	3/9/26	150		160
	Sumitomo Mitsui Financial Group Inc.	2.632%	7/14/26	125		125
	Sumitomo Mitsui Financial Group Inc.	3.010%	10/19/26	175		178
	Sumitomo Mitsui Financial Group Inc.	3.446%	1/11/27	200		209
	Sumitomo Mitsui Financial Group Inc.	3.364%	7/12/27	700		729
	Sumitomo Mitsui Financial Group Inc.	3.544%	1/17/28	300		317

137

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Sumitomo Mitsui Financial Group Inc.	3.944%	7/19/28	100		109
	Sumitomo Mitsui Financial Group Inc.	3.040%	7/16/29	475		484
	Sumitomo Mitsui Financial Group Inc.	3.202%	9/17/29	150		151
	SVB Financial Group	3.500%	1/29/25	100		104
	Svenska Handelsbanken AB	2.450%	3/30/21	300		302
	Svenska Handelsbanken AB	3.350%	5/24/21	200		204
	Svenska Handelsbanken AB	1.875%	9/7/21	350		349
	Synchrony Bank	3.650%	5/24/21	250		255
	Synchrony Bank	3.000%	6/15/22	100		102
	Synchrony Financial	2.850%	7/25/22	75		76
	Synchrony Financial	4.250%	8/15/24	250		267
	Synchrony Financial	4.500%	7/23/25	150		162
	Synchrony Financial	3.700%	8/4/26	125		129
	Synchrony Financial	3.950%	12/1/27	300		315
	Synovus Financial Corp.	3.125%	11/1/22	50		51
	Toronto-Dominion Bank	2.500%	12/14/20	100		101
	Toronto-Dominion Bank	2.550%	1/25/21	450		453
	Toronto-Dominion Bank	2.125%	4/7/21	175		176
	Toronto-Dominion Bank	3.250%	6/11/21	600		612
	Toronto-Dominion Bank	1.800%	7/13/21	150		150
	Toronto-Dominion Bank	1.900%	12/1/22	225		225
	Toronto-Dominion Bank	3.250%	3/11/24	400		417
	Truist Bank	2.625%	1/15/22	250		253
	Truist Bank	2.800%	5/17/22	400		407
3	Truist Bank	3.502%	8/2/22	250		255
	Truist Bank	3.000%	2/2/23	75		77
	Truist Bank	3.200%	4/1/24	500		519
3	Truist Bank	3.689%	8/2/24	250		262
	Truist Bank	2.150%	12/6/24	250		250
	Truist Bank	3.625%	9/16/25	500		532
	Truist Bank	3.300%	5/15/26	200		208
	Truist Financial Corp.	2.150%	2/1/21	125		125
	Truist Financial Corp	2.900%	3/3/21	75		76
	Truist Financial Corp.	2.050%	5/10/21	175		175
	Truist Financial Corp.	3.200%	9/3/21	150		153
	Truist Financial Corp.	2.700%	1/27/22	125		127
	Truist Financial Corp.	2.750%	4/1/22	175		178
	Truist Financial Corp.	3.050%	6/20/22	500		510
	Truist Financial Corp.	3.750%	12/6/23	250		264
	Truist Financial Corp.	2.500%	8/1/24	75		76
	Truist Financial Corp.	2.850%	10/26/24	192		198
	Truist Financial Corp.	3.700%	6/5/25	175		188
	Truist Financial Corp.	3.875%	3/19/29	200		215
6	UBS AG	2.450%	12/1/20	200		201
	US Bancorp	2.350%	1/29/21	100		100
	US Bancorp	4.125%	5/24/21	250		257
	US Bancorp	2.625%	1/24/22	200		203
	US Bancorp	3.000%	3/15/22	125		128
	US Bancorp	2.950%	7/15/22	400		410
	US Bancorp	3.700%	1/30/24	150		159
	US Bancorp	3.375%	2/5/24	500		523
	US Bancorp	2.400%	7/30/24	200		202
	US Bancorp	3.600%	9/11/24	50		53
	US Bancorp	3.950%	11/17/25	25		27
	US Bancorp	3.100%	4/27/26	300		312
	US Bancorp	3.150%	4/27/27	275		288
	US Bancorp	3.900%	4/26/28	100		112
	US Bancorp	3.000%	7/30/29	190		194
	US Bank NA	2.650%	5/23/22	250		254
	US Bank NA	1.950%	1/9/23	300		300
	US Bank NA	2.850%	1/23/23	250		257
	US Bank NA	3.400%	7/24/23	250		261
	US Bank NA	2.800%	1/27/25	625		644
	Wachovia Corp.	6.605%	10/1/25	265		313
	Wells Fargo & Co.	2.550%	12/7/20	300		301
	Wells Fargo & Co.	2.500%	3/4/21	1,350		1,359
	Wells Fargo & Co.	4.600%	4/1/21	825		850
	Wells Fargo & Co.	2.100%	7/26/21	350		351
	Wells Fargo & Co.	3.500%	3/8/22	450		464
	Wells Fargo & Co.	2.625%	7/22/22	775		785
	Wells Fargo & Co.	3.069%	1/24/23	1,500		1,526
	Wells Fargo & Co.	3.450%	2/13/23	350		362
	Wells Fargo & Co.	3.750%	1/24/24	200		211
	Wells Fargo & Co.	3.300%	9/9/24	400		419
	Wells Fargo & Co.	3.000%	2/19/25	425		438
3	Wells Fargo & Co.	2.406%	10/30/25	600		598
	Wells Fargo & Co.	3.000%	4/22/26	1,275		1,311
	Wells Fargo & Co.	4.100%	6/3/26	725		779
	Wells Fargo & Co.	3.000%	10/23/26	675		690
	Wells Fargo & Co.	4.300%	7/22/27	475		518
3	Wells Fargo & Co.	3.584%	5/22/28	500		530
	Wells Fargo & Co.	4.150%	1/24/29	200		222
3	Wells Fargo & Co.	2.879%	10/30/30	1,800		1,811
	Wells Fargo & Co.	5.375%	2/7/35	200		258
	Wells Fargo & Co.	5.375%	11/2/43	500		630
	Wells Fargo & Co.	5.606%	1/15/44	600		793
	Wells Fargo & Co.	4.650%	11/4/44	325		381
	Wells Fargo & Co.	3.900%	5/1/45	250		284
	Wells Fargo & Co.	4.900%	11/17/45	250		305
	Wells Fargo & Co.	4.400%	6/14/46	300		344
	Wells Fargo & Co.	4.750%	12/7/46	350		417
	Wells Fargo Bank NA	2.600%	1/15/21	250		251
3	Wells Fargo Bank NA	3.325%	7/23/21	250		252
	Wells Fargo Bank NA	3.625%	10/22/21	450		463
3	Wells Fargo Bank NA	2.897%	5/27/22	600		606
3	Wells Fargo Bank NA	2.082%	9/9/22	850		850
	Wells Fargo Bank NA	3.550%	8/14/23	750		783
	Wells Fargo Bank NA	5.950%	8/26/36	200		265
	Wells Fargo Bank NA	5.850%	2/1/37	300		398
	Wells Fargo Bank NA	6.600%	1/15/38	225		324
	Westpac Banking Corp.	2.100%	5/13/21	600		601
	Westpac Banking Corp.	2.000%	8/19/21	275		275
	Westpac Banking Corp.	2.500%	6/28/22	1,000		1,011
	Westpac Banking Corp.	2.750%	1/11/23	200		203
	Westpac Banking Corp.	3.650%	5/15/23	75		79
	Westpac Banking Corp.	3.300%	2/26/24	250		260
	Westpac Banking Corp.	2.350%	2/19/25	200		200
	Westpac Banking Corp.	2.850%	5/13/26	200		204
	Westpac Banking Corp.	2.700%	8/19/26	175		177
	Westpac Banking Corp.	3.350%	3/8/27	250		264
3	Westpac Banking Corp.	4.322%	11/23/31	500		527
	Westpac Banking Corp.	4.110%	7/24/34	25		26
	Westpac Banking Corp.	4.421%	7/24/39	100		110
	Zions Bancorp NA	3.500%	8/27/21	250		255
	Zions Bancorp NA	3.250%	10/29/29	250		245
	Brokerage (0.2%)
	Affiliated Managers Group Inc.	4.250%	2/15/24	100		106
	Affiliated Managers Group Inc.	3.500%	8/1/25	125		130
	Ameriprise Financial Inc.	3.000%	3/22/22	50		51
	Ameriprise Financial Inc.	4.000%	10/15/23	250		267
	Ameriprise Financial Inc.	3.700%	10/15/24	187		200
	BGC Partners Inc.	5.125%	5/27/21	50		52
	BGC Partners Inc.	3.750%	10/1/24	105		105
	BlackRock Inc.	4.250%	5/24/21	125		129
	BlackRock Inc.	3.375%	6/1/22	175		181
	BlackRock Inc.	3.500%	3/18/24	175		186
	BlackRock Inc.	3.200%	3/15/27	100		106
	BlackRock Inc.	3.250%	4/30/29	90		96
	Brookfield Asset Management Inc.	4.000%	1/15/25	105		113
	Brookfield Finance Inc.	4.250%	6/2/26	50		54
	Brookfield Finance Inc.	3.900%	1/25/28	125		134
	Brookfield Finance Inc.	4.850%	3/29/29	150		172
	Brookfield Finance Inc.	4.700%	9/20/47	150		172
	Brookfield Finance LLC	4.000%	4/1/24	175		188
	Cboe Global Markets Inc.	3.650%	1/12/27	110		118
	Charles Schwab Corp.	3.250%	5/21/21	125		127
	Charles Schwab Corp.	3.225%	9/1/22	300		309
	Charles Schwab Corp.	2.650%	1/25/23	100		102
	Charles Schwab Corp.	3.550%	2/1/24	400		422
	Charles Schwab Corp.	3.850%	5/21/25	25		27
	Charles Schwab Corp.	3.200%	3/2/27	250		262

138

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Charles Schwab Corp.	3.200%	1/25/28		100			104
	Charles Schwab Corp.	4.000%	2/1/29		125			138
	Charles Schwab Corp.	3.250%	5/22/29		100			105
	CME Group Inc.	3.000%	9/15/22		125			129
	CME Group Inc.	3.000%	3/15/25		125			129
	CME Group Inc.	5.300%	9/15/43		150			201
	CME Group Inc.	4.150%	6/15/48		125			149
	E*TRADE Financial Corp.	3.800%	8/24/27		75			78
	E*TRADE Financial Corp.	4.500%	6/20/28		65			71
	Eaton Vance Corp.	3.625%	6/15/23		50			52
	Eaton Vance Corp.	3.500%	4/6/27		100			106
	Franklin Resources Inc.	2.800%	9/15/22		225			231
	Intercontinental Exchange Inc.	2.350%	9/15/22		100			101
	Intercontinental Exchange Inc.	3.450%	9/21/23		100			105
	Intercontinental Exchange Inc.	4.000%	10/15/23		150			160
	Intercontinental Exchange Inc.	3.750%	12/1/25		300			323
	Intercontinental Exchange Inc.	3.100%	9/15/27		150			157
	Intercontinental Exchange Inc.	3.750%	9/21/28		75			82
	Intercontinental Exchange Inc.	4.250%	9/21/48		175			207
	Invesco Finance plc	3.125%	11/30/22		175			180
	Invesco Finance plc	4.000%	1/30/24		450			477
	Invesco Finance plc	3.750%	1/15/26		170			181
	Invesco Finance plc	5.375%	11/30/43		75			90
	Janus Capital Group Inc.	4.875%	8/1/25		75			81
	Jefferies Financial Group Inc.	5.500%	10/18/23		150			163
	Jefferies Group LLC	6.875%	4/15/21		105			111
	Jefferies Group LLC	5.125%	1/20/23		100			108
	Jefferies Group LLC	4.850%	1/15/27		200			221
	Jefferies Group LLC	6.450%	6/8/27		50			58
	Jefferies Group LLC	6.250%	1/15/36		75			89
	Jefferies Group LLC	6.500%	1/20/43		75			89
	Jefferies Group LLC / Jefferies Group Capital Finance Inc.	4.150%	1/23/30		300			316
	Lazard Group LLC	3.750%	2/13/25		50			53
	Lazard Group LLC	3.625%	3/1/27		100			102
	Lazard Group LLC	4.500%	9/19/28		100			111
	Legg Mason Inc.	4.750%	3/15/26		100			109
	Legg Mason Inc.	5.625%	1/15/44		100			113
	Nasdaq Inc.	4.250%	6/1/24		125			135
	Nasdaq Inc.	3.850%	6/30/26		100			107
	Raymond James Financial Inc.	3.625%	9/15/26		75			79
	Raymond James Financial Inc.	4.950%	7/15/46		210			249
	Stifel Financial Corp.	3.500%	12/1/20		50			51
	Stifel Financial Corp.	4.250%	7/18/24		150			158
	TD Ameritrade Holding Corp.	2.950%	4/1/22		125			128
	TD Ameritrade Holding Corp.	3.625%	4/1/25		100			106
	TD Ameritrade Holding Corp.	3.300%	4/1/27		125			131
	TD Ameritrade Holding Corp.	2.750%	10/1/29		50			50
	Finance Companies (0.2%)
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.500%	5/15/21		150			155
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	5.000%	10/1/21		200			210
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.450%	12/16/21		70			73
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.950%	2/1/22		125			129
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.500%	5/26/22		100			103
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.625%	7/1/22		175			185
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.300%	1/23/23		125			128
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.450%	10/1/25		125			134
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.650%	7/21/27		150			154
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.875%	1/23/28		300			311
	Air Lease Corp.	2.500%	3/1/21		250			251
	Air Lease Corp.	3.875%	4/1/21		75			77
	Air Lease Corp.	3.375%	6/1/21		75			76
	Air Lease Corp.	3.750%	2/1/22		300			309
	Air Lease Corp.	2.625%	7/1/22		100			101
	Air Lease Corp.	2.250%	1/15/23		100			100
	Air Lease Corp.	2.750%	1/15/23		100			101
	Air Lease Corp.	3.875%	7/3/23		100			105
	Air Lease Corp.	4.250%	2/1/24		200			214
	Air Lease Corp.	4.250%	9/15/24		75			80
	Air Lease Corp.	3.250%	3/1/25		150			154
	Air Lease Corp.	3.625%	4/1/27		75			78
	Air Lease Corp.	3.625%	12/1/27		100			103
	Air Lease Corp.	4.625%	10/1/28		100			110
	Air Lease Corp.	3.250%	10/1/29		100			99
	Aircastle Ltd.	4.400%	9/25/23		125			132
	Aircastle Ltd.	4.125%	5/1/24		400			419
	Aircastle Ltd.	4.250%	6/15/26		100			106
	Ares Capital Corp.	3.500%	2/10/23		250			254
	Ares Capital Corp.	4.200%	6/10/24		200			210
	Ares Capital Corp.	4.250%	3/1/25		100			104
	FS KKR Capital Corp.	4.750%	5/15/22		25			26
	FS KKR Capital Corp.	4.625%	7/15/24		25			26
	FS KKR Capital Corp.	4.125%	2/1/25		100			101
	GATX Corp.	3.250%	3/30/25		125			128
	GATX Corp.	3.250%	9/15/26		50			51
	GATX Corp.	3.850%	3/30/27		175			183
	GATX Corp.	3.500%	3/15/28		100			102
	GATX Corp.	4.550%	11/7/28		150			164
	GATX Corp.	4.700%	4/1/29		75			84
	GATX Corp.	4.500%	3/30/45		50			52
	GE Capital International Funding Co. Unlimited Co.	3.373%	11/15/25		358			371
	GE Capital International Funding Co. Unlimited Co.	4.418%	11/15/35		2,168			2,303
	International Lease Finance Corp.	8.250%	12/15/20		200			211
	International Lease Finance Corp.	4.625%	4/15/21		89			92
	International Lease Finance Corp.	8.625%	1/15/22		315			354
	International Lease Finance Corp.	5.875%	8/15/22		160			174
	Owl Rock Capital Corp.	5.250%	4/15/24		25			26
	Owl Rock Capital Corp.	4.000%	3/30/25		40			40
	Prospect Capital Corp.	5.875%	3/15/23		40			42
	TPG Specialty Lending Inc.	3.875%	11/1/24		50			50
	Insurance (1.2%)
	ACE Capital Trust II	9.700%	4/1/30		50			75
	AEGON Funding Co. LLC	5.750%	12/15/20		81			84
	Aetna Inc.	2.750%	11/15/22		200			203
	Aetna Inc.	2.800%	6/15/23		125			127
	Aetna Inc.	3.500%	11/15/24		125			131
	Aetna Inc.	6.625%	6/15/36		130			174
	Aetna Inc.	6.750%	12/15/37		100			134
	Aetna Inc.	4.500%	5/15/42		75			80
	Aetna Inc.	4.125%	11/15/42		75			77
	Aetna Inc.	3.875%	8/15/47		300			303
	Aflac Inc.	4.000%	2/15/22		50			52
	Aflac Inc.	3.625%	6/15/23		125			131
	Aflac Inc.	3.625%	11/15/24		125			134
	Aflac Inc.	3.250%	3/17/25		125			131
	Aflac Inc.	2.875%	10/15/26		75			77
	Aflac Inc.	4.000%	10/15/46		50			54
	Aflac Inc.	4.750%	1/15/49		115			137
	Alleghany Corp.	4.900%	9/15/44		100			117
	Allied World Assurance Co. Holdings Ltd.	4.350%	10/29/25		75			78
	Allstate Corp.	3.150%	6/15/23		100			104
	Allstate Corp.	5.550%	5/9/35		75			95
	Allstate Corp.	4.500%	6/15/43		125			149
	Allstate Corp.	4.200%	12/15/46		200			230
	Allstate Corp.	3.850%	8/10/49		100			111
3	Allstate Corp.	5.750%	8/15/53		75			80
3	Allstate Corp.	6.500%	5/15/67		100			124

139

Total Bond Market Index Portfolio

					Face			Market
				Maturity	Amount			Value•
			Coupon	Date		($000	)		($000	)
		American Financial Group Inc.	3.500%	8/15/26		50			51
		American Financial Group Inc.	4.500%	6/15/47		110			119
		American International Group Inc.	6.400%	12/15/20		385			401
		American International Group Inc.	3.300%	3/1/21		275			279
		American International Group Inc.	4.875%	6/1/22		250			267
		American International Group Inc.	4.125%	2/15/24		70			75
		American International Group Inc.	3.750%	7/10/25		85			91
		American International Group Inc.	4.200%	4/1/28		200			219
		American International Group Inc.	4.250%	3/15/29		50			56
		American International Group Inc.	3.875%	1/15/35		200			212
		American International Group Inc.	4.700%	7/10/35		75			87
		American International Group Inc.	6.250%	5/1/36		475			634
		American International Group Inc.	4.500%	7/16/44		500			573
		American International Group Inc.	4.750%	4/1/48		100			120
3		American International Group Inc.	5.750%	4/1/48		125			135
		American International Group Inc.	4.375%	1/15/55		125			137
3		American International Group Inc.	8.175%	5/15/68		95			129
		Anthem Inc.	3.700%	8/15/21		125			128
		Anthem Inc.	3.125%	5/15/22		150			154
		Anthem Inc.	2.950%	12/1/22		150			154
		Anthem Inc.	3.300%	1/15/23		200			207
		Anthem Inc.	3.500%	8/15/24		475			497
		Anthem Inc.	3.350%	12/1/24		160			167
		Anthem Inc.	2.375%	1/15/25		100			100
		Anthem Inc.	3.650%	12/1/27		300			316
		Anthem Inc.	4.101%	3/1/28		400			433
		Anthem Inc.	2.875%	9/15/29		75			75
		Anthem Inc.	5.950%	12/15/34		1			1
		Anthem Inc.	5.850%	1/15/36		75			91
		Anthem Inc.	6.375%	6/15/37		50			65
		Anthem Inc.	4.625%	5/15/42		175			196
		Anthem Inc.	4.650%	1/15/43		775			873
		Anthem Inc.	5.100%	1/15/44		100			118
		Anthem Inc.	4.375%	12/1/47		300			329
		Anthem Inc.	4.550%	3/1/48		155			174
		Anthem Inc.	4.850%	8/15/54		50			54
		Aon Corp.	8.205%	1/1/27		25			32
		Aon Corp.	4.500%	12/15/28		100			112
		Aon Corp.	3.750%	5/2/29		90			96
		Aon Corp.	6.250%	9/30/40		100			137
		Aon plc	3.500%	6/14/24		150			157
		Aon plc	3.875%	12/15/25		200			215
		Aon plc	4.600%	6/14/44		175			199
		Aon plc	4.750%	5/15/45		100			117
		Arch Capital Finance LLC	4.011%	12/15/26		100			110
		Arch Capital Finance LLC	5.031%	12/15/46		100			125
		Arch Capital Group Ltd.	7.350%	5/1/34		50			71
		Arch Capital Group US Inc.	5.144%	11/1/43		50			61
		Aspen Insurance Holdings Ltd.	4.650%	11/15/23		175			187
		Assurant Inc.	4.000%	3/15/23		50			52
		Assurant Inc.	4.200%	9/27/23		100			105
		Assurant Inc.	4.900%	3/27/28		100			110
		Assurant Inc.	6.750%	2/15/34		9			11
		Assured Guaranty US Holdings Inc.	5.000%	7/1/24		75			83
		Athene Holding Ltd.	4.125%	1/12/28		200			207
		AXA Equitable Holdings Inc.	3.900%	4/20/23		100			105
		AXA Equitable Holdings Inc.	7.000%	4/1/28		75			91
		AXA Equitable Holdings Inc.	4.350%	4/20/28		680			738
		AXA Equitable Holdings Inc.	5.000%	4/20/48		350			374
		AXA SA	8.600%	12/15/30		225			329
	��	AXIS Specialty Finance LLC	3.900%	7/15/29		50			52
3		AXIS Specialty Finance LLC	4.900%	1/15/40		50			51
		AXIS Specialty Finance plc	4.000%	12/6/27		550			580
		Berkshire Hathaway Finance Corp.	4.250%	1/15/21		195			200
		Berkshire Hathaway Finance Corp.	3.000%	5/15/22		150			154
		Berkshire Hathaway Finance Corp.	5.750%	1/15/40		140			192
		Berkshire Hathaway Finance Corp.	4.400%	5/15/42		195			230
		Berkshire Hathaway Finance Corp.	4.300%	5/15/43		300			343
		Berkshire Hathaway Finance Corp.	4.200%	8/15/48		700			819
		Berkshire Hathaway Finance Corp.	4.250%	1/15/49		710			839
		Berkshire Hathaway Inc.	2.200%	3/15/21		200			201
		Berkshire Hathaway Inc.	3.000%	2/11/23		75			78
		Berkshire Hathaway Inc.	2.750%	3/15/23		300			308
		Berkshire Hathaway Inc.	3.125%	3/15/26		725			765
		Berkshire Hathaway Inc.	4.500%	2/11/43		175			213
		Brighthouse Financial Inc.	3.700%	6/22/27		250			249
		Brighthouse Financial Inc.	4.700%	6/22/47		130			120
		Brown & Brown Inc.	4.200%	9/15/24		75			79
		Brown & Brown Inc.	4.500%	3/15/29		75			82
		Chubb Corp.	6.000%	5/11/37		125			171
		Chubb Corp.	6.500%	5/15/38		95			139
		Chubb INA Holdings Inc.	2.875%	11/3/22		475			487
		Chubb INA Holdings Inc.	2.700%	3/13/23		125			128
		Chubb INA Holdings Inc.	3.350%	5/15/24		100			105
		Chubb INA Holdings Inc.	3.150%	3/15/25		250			262
		Chubb INA Holdings Inc.	6.700%	5/15/36		200			287
		Chubb INA Holdings Inc.	4.150%	3/13/43		100			116
		Chubb INA Holdings Inc.	4.350%	11/3/45		350			420
		Cigna Holding Co.	4.375%	12/15/20		45			46
		Cincinnati Financial Corp.	6.920%	5/15/28		100			129
		Cincinnati Financial Corp.	6.125%	11/1/34		75			99
		CNA Financial Corp.	5.750%	8/15/21		75			79
		CNA Financial Corp.	3.950%	5/15/24		150			160
		CNA Financial Corp.	4.500%	3/1/26		125			137
		CNA Financial Corp.	3.450%	8/15/27		100			104
		CNA Financial Corp.	3.900%	5/1/29		100			107
		Enstar Group Ltd.	4.500%	3/10/22		50			52
		Enstar Group Ltd.	4.950%	6/1/29		395			423
		Everest Reinsurance Holdings Inc.	4.868%	6/1/44		100			111
		Fairfax Financial Holdings Ltd.	4.850%	4/17/28		50			54
		First American Financial Corp.	4.600%	11/15/24		100			106
		Globe Life Inc.	3.800%	9/15/22		50			51
		Globe Life Inc.	4.550%	9/15/28		80			89
		Hanover Insurance Group Inc.	4.500%	4/15/26		100			108
		Hartford Financial Services Group Inc.	2.800%	8/19/29		100			101
		Hartford Financial Services Group Inc.	5.950%	10/15/36		50			65
		Hartford Financial Services Group Inc.	6.100%	10/1/41		100			137
		Hartford Financial Services Group Inc.	4.300%	4/15/43		175			195
		Hartford Financial Services Group Inc.	3.600%	8/19/49		125			128
		Humana Inc.	2.900%	12/15/22		150			153
		Humana Inc.	3.850%	10/1/24		326			346
		Humana Inc.	3.950%	3/15/27		150			161
		Humana Inc.	4.625%	12/1/42		110			120
		Humana Inc.	4.950%	10/1/44		200			236
		Kemper Corp.	4.350%	2/15/25		40			42
		Lincoln National Corp.	4.850%	6/24/21		47			49
		Lincoln National Corp.	4.200%	3/15/22		50			52
		Lincoln National Corp.	4.000%	9/1/23		50			53
		Lincoln National Corp.	3.625%	12/12/26		75			79
		Lincoln National Corp.	3.800%	3/1/28		100			106
		Lincoln National Corp.	3.050%	1/15/30		350			348
		Lincoln National Corp.	6.300%	10/9/37		75			97
		Lincoln National Corp.	7.000%	6/15/40		160			227
		Loews Corp.	2.625%	5/15/23		75			76
		Loews Corp.	6.000%	2/1/35		50			64
		Loews Corp.	4.125%	5/15/43		350			384
		Manulife Financial Corp.	4.150%	3/4/26		175			191
3		Manulife Financial Corp.	4.061%	2/24/32		190			195
		Manulife Financial Corp.	5.375%	3/4/46		200			263
		Markel Corp.	4.900%	7/1/22		125			133
		Markel Corp.	3.500%	11/1/27		50			51
		Markel Corp.	3.350%	9/17/29		75			77
		Markel Corp.	4.300%	11/1/47		50			52
		Markel Corp.	5.000%	5/20/49		50			58
		Markel Corp.	4.150%	9/17/50		200			206
		Marsh & McLennan Cos. Inc.	4.800%	7/15/21		295			306
		Marsh & McLennan Cos. Inc.	3.300%	3/14/23		75			77
		Marsh & McLennan Cos. Inc.	3.500%	6/3/24		100			105
		Marsh & McLennan Cos. Inc.	3.500%	3/10/25		100			105
		Marsh & McLennan Cos. Inc.	3.750%	3/14/26		100			107
		Marsh & McLennan Cos. Inc.	4.375%	3/15/29		325			370
		Marsh & McLennan Cos. Inc.	4.350%	1/30/47		100			113

140

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Marsh & McLennan Cos. Inc.	4.200%	3/1/48		200			225
	Marsh & McLennan Cos. Inc.	4.900%	3/15/49		200			253
	Mercury General Corp.	4.400%	3/15/27		75			79
	MetLife Inc.	3.048%	12/15/22		225			233
	MetLife Inc.	3.600%	4/10/24		175			186
	MetLife Inc.	3.000%	3/1/25		250			260
	MetLife Inc.	3.600%	11/13/25		400			429
	MetLife Inc.	6.500%	12/15/32		175			242
	MetLife Inc.	6.375%	6/15/34		100			143
	MetLife Inc.	5.875%	2/6/41		590			799
	MetLife Inc.	4.125%	8/13/42		175			198
	MetLife Inc.	4.875%	11/13/43		175			217
	MetLife Inc.	4.721%	12/15/44		63			76
	MetLife Inc.	4.600%	5/13/46		70			86
3	MetLife Inc.	6.400%	12/15/66		210			256
	Old Republic International Corp.	4.875%	10/1/24		121			132
	Old Republic International Corp.	3.875%	8/26/26		100			106
	PartnerRe Finance B LLC	3.700%	7/2/29		95			99
	Primerica Inc.	4.750%	7/15/22		125			132
	Principal Financial Group Inc.	3.300%	9/15/22		50			52
	Principal Financial Group Inc.	3.125%	5/15/23		100			103
	Principal Financial Group Inc.	3.400%	5/15/25		75			79
	Principal Financial Group Inc.	3.100%	11/15/26		100			103
	Principal Financial Group Inc.	4.625%	9/15/42		50			57
	Principal Financial Group Inc.	4.350%	5/15/43		50			56
	Principal Financial Group Inc.	4.300%	11/15/46		75			85
	Progressive Corp.	3.750%	8/23/21		75			77
	Progressive Corp.	2.450%	1/15/27		150			151
	Progressive Corp.	6.625%	3/1/29		125			162
	Progressive Corp.	4.350%	4/25/44		50			59
	Progressive Corp.	4.125%	4/15/47		290			338
	Progressive Corp.	4.200%	3/15/48		115			132
	Prudential Financial Inc.	4.500%	11/16/21		75			79
	Prudential Financial Inc.	3.500%	5/15/24		125			133
	Prudential Financial Inc.	5.750%	7/15/33		100			127
	Prudential Financial Inc.	5.700%	12/14/36		125			170
	Prudential Financial Inc.	6.625%	12/1/37		65			90
	Prudential Financial Inc.	6.625%	6/21/40		65			91
3	Prudential Financial Inc.	5.875%	9/15/42		125			135
3	Prudential Financial Inc.	5.625%	6/15/43		375			403
	Prudential Financial Inc.	5.100%	8/15/43		50			59
3	Prudential Financial Inc.	5.200%	3/15/44		85			90
	Prudential Financial Inc.	4.600%	5/15/44		525			619
3	Prudential Financial Inc.	5.375%	5/15/45		250			266
	Prudential Financial Inc.	3.905%	12/7/47		182			194
3	Prudential Financial Inc.	5.700%	9/15/48		250			284
	Prudential Financial Inc.	3.935%	12/7/49		263			287
	Prudential Financial Inc.	4.350%	2/25/50		200			230
	Reinsurance Group of America Inc.	5.000%	6/1/21		75			78
	Reinsurance Group of America Inc.	4.700%	9/15/23		75			81
	Reinsurance Group of America Inc.	3.900%	5/15/29		50			53
	RenaissanceRe Finance Inc.	3.450%	7/1/27		75			78
	RenaissanceRe Holdings Ltd.	3.600%	4/15/29		75			79
	Selective Insurance Group Inc.	5.375%	3/1/49		50			59
	Sompo International Holdings Ltd.	4.700%	10/15/22		100			106
	Swiss Re Solutions Holding Corp.	7.000%	2/15/26		75			93
	Travelers Cos. Inc.	6.250%	6/15/37		150			207
	Travelers Cos. Inc.	4.300%	8/25/45		150			176
	Travelers Cos. Inc.	4.000%	5/30/47		125			140
	Travelers Cos. Inc.	4.100%	3/4/49		200			232
	Trinity Acquisition plc	4.400%	3/15/26		100			108
	UnitedHealth Group Inc.	4.700%	2/15/21		75			77
	UnitedHealth Group Inc.	2.125%	3/15/21		225			225
	UnitedHealth Group Inc.	3.375%	11/15/21		100			102
	UnitedHealth Group Inc.	2.875%	12/15/21		125			127
	UnitedHealth Group Inc.	3.350%	7/15/22		180			186
	UnitedHealth Group Inc.	2.375%	10/15/22		150			152
	UnitedHealth Group Inc.	2.750%	2/15/23		175			178
	UnitedHealth Group Inc.	2.875%	3/15/23		25			26
	UnitedHealth Group Inc.	3.500%	6/15/23		100			105
	UnitedHealth Group Inc.	3.500%	2/15/24		100			105
	UnitedHealth Group Inc.	2.375%	8/15/24		300			304
	UnitedHealth Group Inc.	3.750%	7/15/25		950			1,026
	UnitedHealth Group Inc.	3.700%	12/15/25		75			81
	UnitedHealth Group Inc.	3.100%	3/15/26		225			235
	UnitedHealth Group Inc.	3.450%	1/15/27		75			80
	UnitedHealth Group Inc.	3.375%	4/15/27		350			372
	UnitedHealth Group Inc.	2.950%	10/15/27		150			155
	UnitedHealth Group Inc.	3.850%	6/15/28		400			438
	UnitedHealth Group Inc.	3.875%	12/15/28		150			165
	UnitedHealth Group Inc.	2.875%	8/15/29		100			102
	UnitedHealth Group Inc.	4.625%	7/15/35		175			212
	UnitedHealth Group Inc.	6.500%	6/15/37		50			71
	UnitedHealth Group Inc.	6.625%	11/15/37		125			178
	UnitedHealth Group Inc.	6.875%	2/15/38		245			363
	UnitedHealth Group Inc.	3.500%	8/15/39		240			251
	UnitedHealth Group Inc.	5.950%	2/15/41		60			81
	UnitedHealth Group Inc.	4.625%	11/15/41		110			130
	UnitedHealth Group Inc.	4.375%	3/15/42		50			57
	UnitedHealth Group Inc.	3.950%	10/15/42		175			191
	UnitedHealth Group Inc.	4.250%	3/15/43		125			142
	UnitedHealth Group Inc.	4.750%	7/15/45		305			372
	UnitedHealth Group Inc.	4.200%	1/15/47		210			241
	UnitedHealth Group Inc.	4.250%	4/15/47		100			115
	UnitedHealth Group Inc.	3.750%	10/15/47		350			373
	UnitedHealth Group Inc.	4.250%	6/15/48		300			348
	UnitedHealth Group Inc.	4.450%	12/15/48		150			178
	UnitedHealth Group Inc.	3.700%	8/15/49		190			202
	UnitedHealth Group Inc.	3.875%	8/15/59		240			258
	Unum Group	4.000%	3/15/24		125			132
	Unum Group	4.000%	6/15/29		80			84
	Unum Group	5.750%	8/15/42		25			28
	Unum Group	4.500%	12/15/49		100			97
	Voya Financial Inc.	3.125%	7/15/24		100			103
	Voya Financial Inc.	3.650%	6/15/26		250			263
	Voya Financial Inc.	5.700%	7/15/43		75			95
	Voya Financial Inc.	4.800%	6/15/46		40			46
	Willis North America Inc.	3.600%	5/15/24		125			130
	Willis North America Inc.	4.500%	9/15/28		100			110
	Willis North America Inc.	2.950%	9/15/29		940			933
	Willis North America Inc.	5.050%	9/15/48		50			58
	Willis North America Inc.	3.875%	9/15/49		540			538
	XLIT Ltd.	4.450%	3/31/25		50			54
	XLIT Ltd.	5.500%	3/31/45		100			126
	Other Finance (0.0%)
	ORIX Corp.	2.900%	7/18/22		50			51
	ORIX Corp.	3.250%	12/4/24		75			78
	ORIX Corp.	3.700%	7/18/27		200			211
	Real Estate Investment Trusts (0.8%)
	Alexandria Real Estate Equities Inc.	4.000%	1/15/24		175			186
	Alexandria Real Estate Equities Inc.	3.450%	4/30/25		125			131
	Alexandria Real Estate Equities Inc.	3.800%	4/15/26		50			53
	Alexandria Real Estate Equities Inc.	3.950%	1/15/27		50			53
	Alexandria Real Estate Equities Inc.	3.950%	1/15/28		50			54
	Alexandria Real Estate Equities Inc.	4.500%	7/30/29		100			113
	Alexandria Real Estate Equities Inc.	2.750%	12/15/29		200			197
	Alexandria Real Estate Equities Inc.	4.700%	7/1/30		125			143
	Alexandria Real Estate Equities Inc.	3.375%	8/15/31		150			156
	Alexandria Real Estate Equities Inc.	4.850%	4/15/49		50			61
	Alexandria Real Estate Equities Inc.	4.000%	2/1/50		125			137
	American Campus Communities Operating Partnership LP	3.750%	4/15/23		75			78
	American Campus Communities Operating Partnership LP	4.125%	7/1/24		100			107
	American Campus Communities Operating Partnership LP	3.300%	7/15/26		50			52
	American Campus Communities Operating Partnership LP	3.625%	11/15/27		75			78
	American Homes 4 Rent LP	4.900%	2/15/29		100			112
	AvalonBay Communities Inc.	2.850%	3/15/23		25			26

141

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
AvalonBay Communities Inc.	4.200%	12/15/23		400			429
AvalonBay Communities Inc.	3.450%	6/1/25		100			105
AvalonBay Communities Inc.	2.950%	5/11/26		150			154
AvalonBay Communities Inc.	2.900%	10/15/26		50			51
AvalonBay Communities Inc.	3.350%	5/15/27		75			79
AvalonBay Communities Inc.	3.200%	1/15/28		75			78
AvalonBay Communities Inc.	3.300%	6/1/29		70			74
AvalonBay Communities Inc.	4.350%	4/15/48		60			71
Boston Properties LP	4.125%	5/15/21		75			77
Boston Properties LP	3.850%	2/1/23		225			236
Boston Properties LP	3.125%	9/1/23		275			283
Boston Properties LP	3.200%	1/15/25		100			104
Boston Properties LP	3.650%	2/1/26		100			106
Boston Properties LP	2.750%	10/1/26		50			50
Boston Properties LP	2.900%	3/15/30		100			100
Brandywine Operating Partnership LP	3.950%	2/15/23		700			727
Brandywine Operating Partnership LP	3.950%	11/15/27		100			105
Brixmor Operating Partnership LP	3.875%	8/15/22		150			156
Brixmor Operating Partnership LP	3.650%	6/15/24		50			52
Brixmor Operating Partnership LP	3.850%	2/1/25		125			131
Brixmor Operating Partnership LP	4.125%	6/15/26		200			212
Brixmor Operating Partnership LP	3.900%	3/15/27		75			78
Brixmor Operating Partnership LP	4.125%	5/15/29		533			571
Camden Property Trust	4.100%	10/15/28		60			67
Camden Property Trust	3.150%	7/1/29		50			52
Camden Property Trust	3.350%	11/1/49		120			120
Columbia Property Trust Operating Partnership LP	4.150%	4/1/25		100			105
Columbia Property Trust Operating Partnership LP	3.650%	8/15/26		25			25
Corporate Office Properties LP	3.700%	6/15/21		50			51
Corporate Office Properties LP	3.600%	5/15/23		150			154
CubeSmart LP	4.375%	12/15/23		100			106
CubeSmart LP	4.000%	11/15/25		50			53
CubeSmart LP	3.125%	9/1/26		100			101
CubeSmart LP	4.375%	2/15/29		50			55
CubeSmart LP	3.000%	2/15/30		75			74
CyrusOne LP / CyrusOne Finance Corp.	2.900%	11/15/24		120			120
CyrusOne LP / CyrusOne Finance Corp.	3.450%	11/15/29		350			350
Digital Realty Trust LP	3.950%	7/1/22		75			78
Digital Realty Trust LP	3.625%	10/1/22		975			1,008
Digital Realty Trust LP	3.700%	8/15/27		200			210
Digital Realty Trust LP	4.450%	7/15/28		200			221
Digital Realty Trust LP	3.600%	7/1/29		175			183
Duke Realty LP	3.250%	6/30/26		175			180
Duke Realty LP	3.375%	12/15/27		160			167
Duke Realty LP	4.000%	9/15/28		50			54
Duke Realty LP	2.875%	11/15/29		70			70
EPR Properties	5.250%	7/15/23		125			134
EPR Properties	4.500%	4/1/25		50			53
EPR Properties	4.750%	12/15/26		100			108
EPR Properties	4.950%	4/15/28		150			163
EPR Properties	3.750%	8/15/29		100			101
ERP Operating LP	4.625%	12/15/21		129			135
ERP Operating LP	3.000%	4/15/23		125			129
ERP Operating LP	3.375%	6/1/25		125			131
ERP Operating LP	2.850%	11/1/26		50			51
ERP Operating LP	3.500%	3/1/28		100			106
ERP Operating LP	4.150%	12/1/28		70			78
ERP Operating LP	3.000%	7/1/29		75			77
ERP Operating LP	2.500%	2/15/30		150			148
ERP Operating LP	4.500%	7/1/44		150			177
ERP Operating LP	4.500%	6/1/45		25			30
ERP Operating LP	4.000%	8/1/47		100			110
Essex Portfolio LP	5.200%	3/15/21		50			51
Essex Portfolio LP	3.250%	5/1/23		25			26
Essex Portfolio LP	3.875%	5/1/24		50			53
Essex Portfolio LP	3.500%	4/1/25		100			105
Essex Portfolio LP	3.375%	4/15/26		100			104
Essex Portfolio LP	3.625%	5/1/27		100			106
Essex Portfolio LP	4.000%	3/1/29		100			109
Essex Portfolio LP	3.000%	1/15/30		110			111
Essex Portfolio LP	4.500%	3/15/48		120			137
Federal Realty Investment Trust	2.750%	6/1/23		25			25
Federal Realty Investment Trust	3.250%	7/15/27		50			52
Federal Realty Investment Trust	3.200%	6/15/29		25			26
Federal Realty Investment Trust	4.500%	12/1/44		150			172
Healthcare Realty Trust Inc.	3.625%	1/15/28		100			103
Healthcare Trust of America Holdings LP	3.700%	4/15/23		25			26
Healthcare Trust of America Holdings LP	3.500%	8/1/26		130			136
Healthcare Trust of America Holdings LP	3.750%	7/1/27		100			105
Healthcare Trust of America Holdings LP	3.100%	2/15/30		100			99
Healthpeak Properties Inc.	3.150%	8/1/22		75			76
Healthpeak Properties Inc.	4.250%	11/15/23		184			196
Healthpeak Properties Inc.	4.200%	3/1/24		125			133
Healthpeak Properties Inc.	3.400%	2/1/25		75			78
Healthpeak Properties Inc.	3.250%	7/15/26		25			26
Healthpeak Properties Inc.	3.500%	7/15/29		125			130
Healthpeak Properties Inc.	3.000%	1/15/30		150			150
Healthpeak Properties Inc.	6.750%	2/1/41		100			139
Highwoods Realty LP	3.200%	6/15/21		100			101
Highwoods Realty LP	4.125%	3/15/28		75			79
Highwoods Realty LP	4.200%	4/15/29		50			54
Host Hotels & Resorts LP	4.750%	3/1/23		50			53
Host Hotels & Resorts LP	3.750%	10/15/23		261			272
Host Hotels & Resorts LP	3.875%	4/1/24		75			79
Host Hotels & Resorts LP	4.000%	6/15/25		50			53
Host Hotels & Resorts LP	3.375%	12/15/29		100			101
Hudson Pacific Properties LP	3.950%	11/1/27		100			105
Hudson Pacific Properties LP	4.650%	4/1/29		25			27
Hudson Pacific Properties LP	3.250%	1/15/30		60			59
Kilroy Realty LP	3.800%	1/15/23		250			260
Kilroy Realty LP	3.450%	12/15/24		50			52
Kilroy Realty LP	4.750%	12/15/28		50			56
Kilroy Realty LP	4.250%	8/15/29		104			113
Kilroy Realty LP	3.050%	2/15/30		200			197
Kimco Realty Corp.	3.400%	11/1/22		150			155
Kimco Realty Corp.	3.125%	6/1/23		25			26
Kimco Realty Corp.	2.800%	10/1/26		125			125
Kimco Realty Corp.	3.800%	4/1/27		75			79
Kimco Realty Corp.	4.125%	12/1/46		50			52
Kimco Realty Corp.	4.450%	9/1/47		50			55
Kite Realty Group LP	4.000%	10/1/26		200			198
Liberty Property LP	3.375%	6/15/23		50			52
Liberty Property LP	4.400%	2/15/24		100			108
Liberty Property LP	3.750%	4/1/25		75			80
Liberty Property LP	4.375%	2/1/29		200			225
Life Storage LP	3.500%	7/1/26		125			128
Life Storage LP	3.875%	12/15/27		150			157
Life Storage LP	4.000%	6/15/29		25			27
Mid-America Apartments LP	4.300%	10/15/23		150			160
Mid-America Apartments LP	3.750%	6/15/24		50			53
Mid-America Apartments LP	3.600%	6/1/27		250			265
Mid-America Apartments LP	2.750%	3/15/30		150			149
National Retail Properties Inc.	3.800%	10/15/22		200			208
National Retail Properties Inc.	3.500%	10/15/27		350			365
National Retail Properties Inc.	4.300%	10/15/28		25			28
National Retail Properties Inc.	4.800%	10/15/48		50			60
Office Properties Income Trust	4.000%	7/15/22		100			102
Omega Healthcare Investors Inc.	4.375%	8/1/23		300			319
Omega Healthcare Investors Inc.	4.950%	4/1/24		100			109
Omega Healthcare Investors Inc.	4.500%	1/15/25		100			107
Omega Healthcare Investors Inc.	5.250%	1/15/26		100			111
Omega Healthcare Investors Inc.	4.500%	4/1/27		300			324
Omega Healthcare Investors Inc.	4.750%	1/15/28		70			76
Omega Healthcare Investors Inc.	3.625%	10/1/29		250			251
Physicians Realty LP	4.300%	3/15/27		100			106
Physicians Realty LP	3.950%	1/15/28		100			103

142

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Piedmont Operating Partnership LP	3.400%	6/1/23		75			77
	Prologis LP	3.875%	9/15/28		100			110
	Prologis LP	4.375%	9/15/48		75			90
	Public Storage	2.370%	9/15/22		55			56
	Public Storage	3.094%	9/15/27		100			104
	Public Storage	3.385%	5/1/29		35			37
	Realty Income Corp.	3.250%	10/15/22		175			180
	Realty Income Corp.	3.875%	7/15/24		50			53
	Realty Income Corp.	3.875%	4/15/25		100			108
	Realty Income Corp.	4.125%	10/15/26		125			137
	Realty Income Corp.	3.000%	1/15/27		100			103
	Realty Income Corp.	3.650%	1/15/28		190			204
	Realty Income Corp.	3.250%	6/15/29		200			212
	Realty Income Corp.	4.650%	3/15/47		175			211
	Regency Centers LP	3.600%	2/1/27		25			26
	Regency Centers LP	4.125%	3/15/28		75			81
	Regency Centers LP	2.950%	9/15/29		100			100
	Regency Centers LP	4.400%	2/1/47		200			225
	Regency Centers LP	4.650%	3/15/49		75			89
	Sabra Health Care LP	5.125%	8/15/26		25			27
	Sabra Health Care LP	3.900%	10/15/29		150			150
	Sabra Health Care LP / Sabra Capital Corp.	4.800%	6/1/24		55			58
	Select Income REIT	4.150%	2/1/22		100			102
	Select Income REIT	4.250%	5/15/24		100			104
	Select Income REIT	4.500%	2/1/25		50			52
	Service Properties Trust	4.650%	3/15/24		140			145
	Service Properties Trust	4.350%	10/1/24		112			115
	Service Properties Trust	5.250%	2/15/26		100			105
	Service Properties Trust	4.750%	10/1/26		80			82
	Service Properties Trust	4.950%	2/15/27		100			103
	Service Properties Trust	3.950%	1/15/28		75			73
	Service Properties Trust	4.950%	10/1/29		360			362
	Service Properties Trust	4.375%	2/15/30		75			74
	Simon Property Group LP	2.500%	7/15/21		120			121
	Simon Property Group LP	2.350%	1/30/22		150			151
	Simon Property Group LP	2.625%	6/15/22		100			101
	Simon Property Group LP	2.750%	2/1/23		25			25
	Simon Property Group LP	2.750%	6/1/23		100			102
	Simon Property Group LP	3.750%	2/1/24		150			159
	Simon Property Group LP	2.000%	9/13/24		145			143
	Simon Property Group LP	3.500%	9/1/25		100			106
	Simon Property Group LP	3.300%	1/15/26		195			204
	Simon Property Group LP	3.250%	11/30/26		75			79
	Simon Property Group LP	3.375%	6/15/27		160			169
	Simon Property Group LP	3.375%	12/1/27		100			106
	Simon Property Group LP	2.450%	9/13/29		145			142
	Simon Property Group LP	6.750%	2/1/40		125			183
	Simon Property Group LP	4.750%	3/15/42		100			120
	Simon Property Group LP	4.250%	11/30/46		100			114
	Simon Property Group LP	3.250%	9/13/49		250			241
	SITE Centers Corp.	4.625%	7/15/22		63			66
	SITE Centers Corp.	3.900%	8/15/24		100			103
	SITE Centers Corp.	3.625%	2/1/25		200			206
	SITE Centers Corp.	4.250%	2/1/26		70			74
	SITE Centers Corp.	4.700%	6/1/27		75			81
	SL Green Operating Partnership LP	3.250%	10/15/22		100			102
	Spirit Realty LP	3.200%	1/15/27		80			80
	Spirit Realty LP	4.000%	7/15/29		60			63
	Spirit Realty LP	3.400%	1/15/30		80			80
	STORE Capital Corp.	4.500%	3/15/28		75			82
	STORE Capital Corp.	4.625%	3/15/29		100			110
	Tanger Properties LP	3.125%	9/1/26		175			174
	Tanger Properties LP	3.875%	7/15/27		50			51
	UDR Inc.	2.950%	9/1/26		150			152
	UDR Inc.	3.500%	7/1/27		150			157
	UDR Inc.	3.500%	1/15/28		250			262
	UDR Inc.	3.200%	1/15/30		60			61
	UDR Inc.	3.000%	8/15/31		65			65
	UDR Inc.	3.100%	11/1/34		65			65
	Ventas Realty LP	3.125%	6/15/23		175			179
	Ventas Realty LP	3.500%	4/15/24		75			78
	Ventas Realty LP	3.750%	5/1/24		200			210
	Ventas Realty LP	2.650%	1/15/25		75			76
	Ventas Realty LP	4.125%	1/15/26		75			80
	Ventas Realty LP	3.250%	10/15/26		75			77
	Ventas Realty LP	3.850%	4/1/27		50			53
	Ventas Realty LP	4.000%	3/1/28		125			134
	Ventas Realty LP	3.000%	1/15/30		100			99
	Ventas Realty LP	5.700%	9/30/43		75			94
	Ventas Realty LP	4.375%	2/1/45		60			64
	Ventas Realty LP	4.875%	4/15/49		50			59
	Ventas Realty LP / Ventas Capital Corp.	3.250%	8/15/22		200			205
	VEREIT Operating Partnership LP	4.600%	2/6/24		75			81
	VEREIT Operating Partnership LP	4.625%	11/1/25		75			82
	VEREIT Operating Partnership LP	3.950%	8/15/27		450			472
	VEREIT Operating Partnership LP	3.100%	12/15/29		150			147
	Vornado Realty LP	3.500%	1/15/25		100			104
	Washington REIT	3.950%	10/15/22		75			77
	Weingarten Realty Investors	3.375%	10/15/22		50			51
	Weingarten Realty Investors	3.500%	4/15/23		100			103
	Welltower Inc.	3.750%	3/15/23		75			78
	Welltower Inc.	3.950%	9/1/23		100			105
	Welltower Inc.	3.625%	3/15/24		75			78
	Welltower Inc.	4.000%	6/1/25		200			215
	Welltower Inc.	4.250%	4/1/26		150			163
	Welltower Inc.	2.700%	2/15/27		300			301
	Welltower Inc.	4.250%	4/15/28		125			137
	Welltower Inc.	4.125%	3/15/29		250			272
	Welltower Inc.	3.100%	1/15/30		75			76
	Welltower Inc.	6.500%	3/15/41		25			33
	Welltower Inc.	4.950%	9/1/48		75			90
	WP Carey Inc.	4.600%	4/1/24		125			134
	WP Carey Inc.	4.000%	2/1/25		50			52
	WP Carey Inc.	4.250%	10/1/26		75			80
	WP Carey Inc.	3.850%	7/15/29		50			53
								357,492
Industrial (16.2%)
	Basic Industry (0.8%)
	Air Products & Chemicals Inc.	3.000%	11/3/21		75			77
	Air Products & Chemicals Inc.	2.750%	2/3/23		50			51
	Air Products & Chemicals Inc.	3.350%	7/31/24		675			710
	Airgas Inc.	3.650%	7/15/24		825			875
	Albemarle Corp.	4.150%	12/1/24		132			141
	Albemarle Corp.	5.450%	12/1/44		75			85
6	Albemarle Wodgina Pty Ltd.	3.450%	11/15/29		40			40
	ArcelorMittal	3.600%	7/16/24		150			154
	ArcelorMittal	6.125%	6/1/25		200			230
	ArcelorMittal	4.550%	3/11/26		500			530
	ArcelorMittal	4.250%	7/16/29		50			52
	Barrick Gold Corp.	6.450%	10/15/35		75			96
	Barrick North America Finance LLC	5.700%	5/30/41		450			541
	Barrick North America Finance LLC	5.750%	5/1/43		150			192
	Barrick PD Australia Finance Pty Ltd.	5.950%	10/15/39		50			63
	BHP Billiton Finance USA Ltd.	2.875%	2/24/22		176			179
	BHP Billiton Finance USA Ltd.	3.850%	9/30/23		50			53
	BHP Billiton Finance USA Ltd.	4.125%	2/24/42		150			170
	BHP Billiton Finance USA Ltd.	5.000%	9/30/43		575			733
	Cabot Corp.	4.000%	7/1/29		55			58
	Celanese US Holdings LLC	3.500%	5/8/24		100			103
	Celulosa Arauco y Constitucion SA	3.875%	11/2/27		300			303
	Celulosa Arauco y Constitucion SA	5.500%	11/2/47		200			207
	Dow Chemical Co.	3.000%	11/15/22		225			230
	Dow Chemical Co.	3.150%	5/15/24		100			103
	Dow Chemical Co.	3.500%	10/1/24		275			288
	Dow Chemical Co.	4.550%	11/30/25		150			165
	Dow Chemical Co.	3.625%	5/15/26		100			105
	Dow Chemical Co.	4.800%	11/30/28		225			255
	Dow Chemical Co.	7.375%	11/1/29		25			33
	Dow Chemical Co.	4.250%	10/1/34		50			55
	Dow Chemical Co.	9.400%	5/15/39		350			574
	Dow Chemical Co.	5.250%	11/15/41		100			116

143

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
Dow Chemical Co.	5.550%	11/30/48		300			374
Dow Chemical Co.	4.800%	5/15/49		100			115
DuPont de Nemours Inc.	4.205%	11/15/23		475			508
DuPont de Nemours Inc.	4.493%	11/15/25		350			385
DuPont de Nemours Inc.	4.725%	11/15/28		425			482
DuPont de Nemours Inc.	5.319%	11/15/38		300			356
DuPont de Nemours Inc.	5.419%	11/15/48		475			585
Eastman Chemical Co.	3.600%	8/15/22		49			51
Eastman Chemical Co.	4.800%	9/1/42		225			245
Eastman Chemical Co.	4.650%	10/15/44		150			163
Ecolab Inc.	4.350%	12/8/21		163			171
Ecolab Inc.	2.375%	8/10/22		470			474
Ecolab Inc.	2.700%	11/1/26		200			205
Ecolab Inc.	3.250%	12/1/27		100			105
Fibria Overseas Finance Ltd.	5.250%	5/12/24		300			325
Fibria Overseas Finance Ltd.	4.000%	1/14/25		150			155
FMC Corp.	3.950%	2/1/22		50			52
FMC Corp.	4.100%	2/1/24		250			263
FMC Corp.	3.200%	10/1/26		50			51
FMC Corp.	3.450%	10/1/29		50			52
FMC Corp.	4.500%	10/1/49		100			110
Georgia-Pacific LLC	8.000%	1/15/24		250			303
Georgia-Pacific LLC	7.375%	12/1/25		100			126
Georgia-Pacific LLC	8.875%	5/15/31		250			388
Huntsman International LLC	4.500%	5/1/29		75			80
International Flavors & Fragrances Inc.	3.200%	5/1/23		25			25
International Flavors & Fragrances Inc.	4.450%	9/26/28		50			55
International Flavors & Fragrances Inc.	4.375%	6/1/47		90			92
International Flavors & Fragrances Inc.	5.000%	9/26/48		100			112
International Paper Co.	7.500%	8/15/21		306			332
International Paper Co.	3.650%	6/15/24		100			105
International Paper Co.	3.800%	1/15/26		75			80
International Paper Co.	3.000%	2/15/27		200			205
International Paper Co.	5.000%	9/15/35		100			117
International Paper Co.	7.300%	11/15/39		100			138
International Paper Co.	4.800%	6/15/44		200			219
International Paper Co.	5.150%	5/15/46		200			230
International Paper Co.	4.400%	8/15/47		200			212
International Paper Co.	4.350%	8/15/48		200			212
Kinross Gold Corp.	5.125%	9/1/21		50			52
Kinross Gold Corp.	5.950%	3/15/24		75			83
Kinross Gold Corp.	4.500%	7/15/27		25			26
LYB International Finance BV	5.250%	7/15/43		200			235
LYB International Finance II BV	3.500%	3/2/27		100			105
LYB International Finance III LLC	4.200%	10/15/49		135			140
LyondellBasell Industries NV	6.000%	11/15/21		175			186
LyondellBasell Industries NV	5.750%	4/15/24		175			197
LyondellBasell Industries NV	4.625%	2/26/55		425			448
Meadwestvaco Corp.	7.950%	2/15/31		350			472
Methanex Corp.	4.250%	12/1/24		154			158
Mosaic Co.	3.750%	11/15/21		115			118
Mosaic Co.	3.250%	11/15/22		225			231
Mosaic Co.	4.250%	11/15/23		175			187
Mosaic Co.	4.050%	11/15/27		200			207
Mosaic Co.	5.450%	11/15/33		100			114
Mosaic Co.	4.875%	11/15/41		50			52
Mosaic Co.	5.625%	11/15/43		50			59
Newmont Corp.	3.700%	3/15/23		275			288
Newmont Corp.	2.800%	10/1/29		150			148
Newmont Corp.	5.875%	4/1/35		100			128
Newmont Corp.	6.250%	10/1/39		225			297
Newmont Corp.	4.875%	3/15/42		250			291
Newmont Corp.	5.450%	6/9/44		100			124
Nucor Corp.	4.125%	9/15/22		100			105
Nucor Corp.	3.950%	5/1/28		100			108
Nucor Corp.	6.400%	12/1/37		100			135
Nucor Corp.	5.200%	8/1/43		200			248
Nucor Corp.	4.400%	5/1/48		150			170
Nutrien Ltd.	3.500%	6/1/23		299			308
Nutrien Ltd.	3.375%	3/15/25		250			259
Nutrien Ltd.	3.000%	4/1/25		250			254
Nutrien Ltd.	4.000%	12/15/26		50			53
Nutrien Ltd.	4.200%	4/1/29		75			82
Nutrien Ltd.	4.125%	3/15/35		250			261
Nutrien Ltd.	5.625%	12/1/40		275			322
Nutrien Ltd.	6.125%	1/15/41		25			31
Nutrien Ltd.	4.900%	6/1/43		50			56
Nutrien Ltd.	5.250%	1/15/45		200			236
Nutrien Ltd.	5.000%	4/1/49		100			118
Packaging Corp. of America	4.500%	11/1/23		350			377
Packaging Corp. of America	3.400%	12/15/27		100			104
Packaging Corp. of America	3.000%	12/15/29		40			40
Packaging Corp. of America	4.050%	12/15/49		90			93
PPG Industries Inc.	2.400%	8/15/24		200			201
Praxair Inc.	3.000%	9/1/21		75			76
Praxair Inc.	2.450%	2/15/22		450			455
Praxair Inc.	2.200%	8/15/22		200			201
Praxair Inc.	3.550%	11/7/42		50			52
Rayonier Inc.	3.750%	4/1/22		50			51
Reliance Steel & Aluminum Co.	4.500%	4/15/23		100			105
Rio Tinto Alcan Inc.	6.125%	12/15/33		225			305
Rio Tinto Finance USA Ltd.	3.750%	6/15/25		220			236
Rio Tinto Finance USA Ltd.	7.125%	7/15/28		75			100
Rio Tinto Finance USA Ltd.	5.200%	11/2/40		125			163
Rio Tinto Finance USA plc	4.750%	3/22/42		150			183
Rio Tinto Finance USA plc	4.125%	8/21/42		250			286
Rohm & Haas Co.	7.850%	7/15/29		250			332
RPM International Inc.	3.450%	11/15/22		100			103
RPM International Inc.	3.750%	3/15/27		50			51
RPM International Inc.	4.550%	3/1/29		75			81
RPM International Inc.	4.250%	1/15/48		250			242
Sasol Financing International Ltd.	4.500%	11/14/22		200			207
SASOL Financing USA LLC	5.875%	3/27/24		200			217
SASOL Financing USA LLC	6.500%	9/27/28		200			223
Sherwin-Williams Co.	2.750%	6/1/22		109			111
Sherwin-Williams Co.	3.125%	6/1/24		325			336
Sherwin-Williams Co.	3.450%	8/1/25		225			236
Sherwin-Williams Co.	3.950%	1/15/26		200			214
Sherwin-Williams Co.	3.450%	6/1/27		100			105
Sherwin-Williams Co.	2.950%	8/15/29		200			202
Sherwin-Williams Co.	4.000%	12/15/42		100			103
Sherwin-Williams Co.	4.550%	8/1/45		90			99
Sherwin-Williams Co.	4.500%	6/1/47		250			284
Sherwin-Williams Co.	3.800%	8/15/49		100			102
Southern Copper Corp.	3.500%	11/8/22		400			413
Southern Copper Corp.	3.875%	4/23/25		50			52
Southern Copper Corp.	7.500%	7/27/35		100			138
Southern Copper Corp.	6.750%	4/16/40		325			432
Southern Copper Corp.	5.875%	4/23/45		500			621
Steel Dynamics Inc.	2.800%	12/15/24		50			50
Steel Dynamics Inc.	4.125%	9/15/25		70			72
Steel Dynamics Inc.	3.450%	4/15/30		125			126
Suzano Austria GmbH	6.000%	1/15/29		400			452
Suzano Austria GmbH	5.000%	1/15/30		200			210
Teck Resources Ltd.	6.125%	10/1/35		100			116
Teck Resources Ltd.	6.000%	8/15/40		50			56
Teck Resources Ltd.	6.250%	7/15/41		325			371
Vale Overseas Ltd.	6.250%	8/10/26		300			352
Vale Overseas Ltd.	8.250%	1/17/34		50			70
Vale Overseas Ltd.	6.875%	11/21/36		410			532
Vale Overseas Ltd.	6.875%	11/10/39		450			584
Vale SA	5.625%	9/11/42		75			88
Westlake Chemical Corp.	3.600%	8/15/26		300			310
Westlake Chemical Corp.	5.000%	8/15/46		200			212
WestRock RKT Co.	4.900%	3/1/22		100			105
Weyerhaeuser Co.	4.700%	3/15/21		75			77
Weyerhaeuser Co.	8.500%	1/15/25		50			63
Weyerhaeuser Co.	4.000%	11/15/29		150			163
Weyerhaeuser Co.	7.375%	3/15/32		100			139
Weyerhaeuser Co.	6.875%	12/15/33		50			66
WRKCo Inc.	3.000%	9/15/24		250			255
WRKCo Inc.	4.650%	3/15/26		100			111

144

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	WRKCo Inc.	3.375%	9/15/27		250			256
	WRKCo Inc.	4.900%	3/15/29		150			171
	Capital Goods (1.4%)
	3M Co.	1.625%	9/19/21		150			150
	3M Co.	2.750%	3/1/22		100			102
	3M Co.	1.750%	2/14/23		200			199
	3M Co.	2.250%	3/15/23		175			176
	3M Co.	3.250%	2/14/24		100			105
	3M Co.	2.000%	2/14/25		150			149
	3M Co.	3.000%	8/7/25		100			104
	3M Co.	2.250%	9/19/26		150			150
	3M Co.	2.875%	10/15/27		125			130
	3M Co.	3.375%	3/1/29		150			159
	3M Co.	2.375%	8/26/29		250			245
	3M Co.	3.125%	9/19/46		75			72
	3M Co.	3.625%	10/15/47		100			103
	3M Co.	4.000%	9/14/48		250			274
	3M Co.	3.250%	8/26/49		375			365
	ABB Finance USA Inc.	3.375%	4/3/23		100			104
	ABB Finance USA Inc.	3.800%	4/3/28		150			164
	ABB Finance USA Inc.	4.375%	5/8/42		150			180
	Allegion plc	3.500%	10/1/29		75			76
	Allegion US Holding Co. Inc.	3.550%	10/1/27		175			180
6	Bemis Co. Inc.	3.100%	9/15/26		50			49
	Boeing Co.	2.300%	8/1/21		50			50
	Boeing Co.	2.125%	3/1/22		50			50
	Boeing Co.	2.700%	5/1/22		75			76
	Boeing Co.	2.800%	3/1/23		600			611
	Boeing Co.	1.875%	6/15/23		100			99
	Boeing Co.	2.800%	3/1/24		75			77
	Boeing Co.	2.850%	10/30/24		100			102
	Boeing Co.	2.500%	3/1/25		145			145
	Boeing Co.	3.100%	5/1/26		100			103
	Boeing Co.	2.250%	6/15/26		50			49
	Boeing Co.	2.700%	2/1/27		195			197
	Boeing Co.	2.800%	3/1/27		50			51
	Boeing Co.	3.250%	3/1/28		100			104
	Boeing Co.	3.450%	11/1/28		60			63
	Boeing Co.	3.200%	3/1/29		200			208
	Boeing Co.	2.950%	2/1/30		190			194
	Boeing Co.	6.125%	2/15/33		75			98
	Boeing Co.	3.600%	5/1/34		150			160
	Boeing Co.	3.250%	2/1/35		190			194
	Boeing Co.	6.625%	2/15/38		50			70
	Boeing Co.	3.550%	3/1/38		50			52
	Boeing Co.	3.500%	3/1/39		75			77
	Boeing Co.	6.875%	3/15/39		125			183
	Boeing Co.	5.875%	2/15/40		75			99
	Boeing Co.	3.375%	6/15/46		75			73
	Boeing Co.	3.650%	3/1/47		175			177
	Boeing Co.	3.625%	3/1/48		75			77
	Boeing Co.	3.850%	11/1/48		60			63
	Boeing Co.	3.900%	5/1/49		150			161
	Boeing Co.	3.750%	2/1/50		50			53
	Boeing Co.	3.825%	3/1/59		200			208
	Boeing Co.	3.950%	8/1/59		75			80
	Carlisle Cos. Inc.	3.750%	11/15/22		75			77
	Carlisle Cos. Inc.	3.500%	12/1/24		50			52
	Carlisle Cos. Inc.	3.750%	12/1/27		125			131
	Caterpillar Financial Services Corp.	2.900%	3/15/21		100			101
	Caterpillar Financial Services Corp.	2.650%	5/17/21		100			101
	Caterpillar Financial Services Corp.	1.700%	8/9/21		100			100
	Caterpillar Financial Services Corp.	2.750%	8/20/21		100			101
	Caterpillar Financial Services Corp.	3.150%	9/7/21		200			204
	Caterpillar Financial Services Corp.	1.931%	10/1/21		75			75
	Caterpillar Financial Services Corp.	2.950%	2/26/22		200			204
	Caterpillar Financial Services Corp.	2.400%	6/6/22		150			152
	Caterpillar Financial Services Corp.	2.550%	11/29/22		200			204
	Caterpillar Financial Services Corp.	3.450%	5/15/23		200			209
	Caterpillar Financial Services Corp.	3.650%	12/7/23		70			74
	Caterpillar Financial Services Corp.	2.850%	5/17/24		125			129
	Caterpillar Financial Services Corp.	3.300%	6/9/24		250			263
	Caterpillar Financial Services Corp.	2.150%	11/8/24		100			100
	Caterpillar Financial Services Corp.	3.250%	12/1/24		477			503
	Caterpillar Financial Services Corp.	2.400%	8/9/26		100			101
	Caterpillar Inc.	3.900%	5/27/21		125			128
	Caterpillar Inc.	2.600%	6/26/22		50			51
	Caterpillar Inc.	3.400%	5/15/24		250			264
	Caterpillar Inc.	2.600%	9/19/29		200			201
	Caterpillar Inc.	6.050%	8/15/36		100			136
	Caterpillar Inc.	5.200%	5/27/41		150			194
	Caterpillar Inc.	3.803%	8/15/42		243			272
	Caterpillar Inc.	3.250%	9/19/49		200			200
	Caterpillar Inc.	4.750%	5/15/64		100			125
	CNH Industrial Capital LLC	4.200%	1/15/24		1,050			1,111
	CNH Industrial NV	3.850%	11/15/27		150			156
	Crane Co.	4.450%	12/15/23		50			53
	Crane Co.	4.200%	3/15/48		150			150
	CRH America Inc.	5.750%	1/15/21		75			78
	Deere & Co.	2.600%	6/8/22		125			127
	Deere & Co.	5.375%	10/16/29		125			155
	Deere & Co.	7.125%	3/3/31		100			141
	Deere & Co.	3.900%	6/9/42		75			84
	Dover Corp.	3.150%	11/15/25		200			207
	Dover Corp.	2.950%	11/4/29		75			75
	Dover Corp.	6.600%	3/15/38		75			100
	Eaton Corp.	2.750%	11/2/22		300			306
	Eaton Corp.	3.103%	9/15/27		125			130
	Eaton Corp.	4.000%	11/2/32		150			170
	Eaton Corp.	4.150%	11/2/42		150			166
	Eaton Corp.	3.915%	9/15/47		50			53
	Embraer Netherlands Finance BV	5.050%	6/15/25		200			220
	Embraer Netherlands Finance BV	5.400%	2/1/27		100			112
6	Embraer Overseas Ltd.	5.696%	9/16/23		100			110
	Embraer SA	5.150%	6/15/22		275			290
	Emerson Electric Co.	2.625%	12/1/21		150			152
	Emerson Electric Co.	3.150%	6/1/25		200			209
	Flowserve Corp.	3.500%	9/15/22		250			253
	Flowserve Corp.	4.000%	11/15/23		50			51
	Fortive Corp.	2.350%	6/15/21		100			100
	Fortive Corp.	3.150%	6/15/26		150			153
	Fortive Corp.	4.300%	6/15/46		100			103
	Fortune Brands Home & Security Inc.	4.000%	9/21/23		100			106
	Fortune Brands Home & Security Inc.	4.000%	6/15/25		100			107
	General Dynamics Corp.	3.000%	5/11/21		300			305
	General Dynamics Corp.	3.375%	5/15/23		200			209
	General Dynamics Corp.	1.875%	8/15/23		300			300
	General Dynamics Corp.	2.375%	11/15/24		320			325
	General Dynamics Corp.	3.500%	5/15/25		200			214
	General Dynamics Corp.	2.625%	11/15/27		200			205
	General Dynamics Corp.	3.750%	5/15/28		200			220
	General Dynamics Corp.	3.600%	11/15/42		100			113
	General Electric Co.	4.625%	1/7/21		201			206
	General Electric Co.	5.300%	2/11/21		172			177
	General Electric Co.	4.650%	10/17/21		347			361
	General Electric Co.	3.150%	9/7/22		91			93
	General Electric Co.	2.700%	10/9/22		850			861
	General Electric Co.	3.100%	1/9/23		574			586
	General Electric Co.	3.450%	5/15/24		100			104
	General Electric Co.	6.750%	3/15/32		705			903
	General Electric Co.	6.150%	8/7/37		161			199
	General Electric Co.	5.875%	1/14/38		560			675
	General Electric Co.	6.875%	1/10/39		338			450
	General Electric Co.	4.125%	10/9/42		203			210
	General Electric Co.	4.500%	3/11/44		188			205
	Hexcel Corp.	4.700%	8/15/25		100			108
	Honeywell International Inc.	4.250%	3/1/21		200			206
	Honeywell International Inc.	1.850%	11/1/21		300			301
	Honeywell International Inc.	2.150%	8/8/22		100			101
	Honeywell International Inc.	2.300%	8/15/24		425			431
	Honeywell International Inc.	2.500%	11/1/26		50			51

145

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Honeywell International Inc.	2.700%	8/15/29		100			103
	Honeywell International Inc.	5.700%	3/15/37		200			271
	Honeywell International Inc.	5.375%	3/1/41		150			202
	Hubbell Inc.	3.350%	3/1/26		75			77
	Hubbell Inc.	3.150%	8/15/27		50			50
	Hubbell Inc.	3.500%	2/15/28		175			181
	Huntington Ingalls Industries Inc.	3.483%	12/1/27		150			156
	Illinois Tool Works Inc.	3.375%	9/15/21		100			102
	Illinois Tool Works Inc.	3.500%	3/1/24		200			212
	Illinois Tool Works Inc.	2.650%	11/15/26		300			308
	Illinois Tool Works Inc.	4.875%	9/15/41		75			94
	Illinois Tool Works Inc.	3.900%	9/1/42		250			288
	Ingersoll-Rand Global Holding Co. Ltd.	4.250%	6/15/23		125			134
	Ingersoll-Rand Global Holding Co. Ltd.	5.750%	6/15/43		125			157
	Ingersoll-Rand Luxembourg Finance SA	3.550%	11/1/24		375			393
	Ingersoll-Rand Luxembourg Finance SA	3.500%	3/21/26		75			78
	Ingersoll-Rand Luxembourg Finance SA	3.800%	3/21/29		225			241
	Ingersoll-Rand Luxembourg Finance SA	4.500%	3/21/49		75			84
	John Deere Capital Corp.	2.550%	1/8/21		150			151
	John Deere Capital Corp.	2.800%	3/4/21		100			101
	John Deere Capital Corp.	2.875%	3/12/21		100			101
	John Deere Capital Corp.	3.900%	7/12/21		100			103
	John Deere Capital Corp.	3.125%	9/10/21		100			102
	John Deere Capital Corp.	3.150%	10/15/21		25			26
	John Deere Capital Corp.	2.650%	1/6/22		300			305
	John Deere Capital Corp.	1.950%	6/13/22		375			375
	John Deere Capital Corp.	2.150%	9/8/22		400			403
	John Deere Capital Corp.	2.700%	1/6/23		100			102
	John Deere Capital Corp.	2.800%	1/27/23		50			51
	John Deere Capital Corp.	2.800%	3/6/23		100			103
	John Deere Capital Corp.	3.450%	6/7/23		200			209
	John Deere Capital Corp.	3.650%	10/12/23		50			53
	John Deere Capital Corp.	2.600%	3/7/24		75			77
	John Deere Capital Corp.	2.650%	6/24/24		75			77
	John Deere Capital Corp.	3.450%	3/13/25		300			318
	John Deere Capital Corp.	3.400%	9/11/25		75			79
	John Deere Capital Corp.	2.650%	6/10/26		100			102
	John Deere Capital Corp.	2.250%	9/14/26		125			125
	John Deere Capital Corp.	2.800%	9/8/27		150			154
	John Deere Capital Corp.	3.050%	1/6/28		100			104
	John Deere Capital Corp.	3.450%	3/7/29		50			54
	John Deere Capital Corp.	2.800%	7/18/29		150			154
	Johnson Controls International plc	3.625%	7/2/24		126			131
	Johnson Controls International plc	3.900%	2/14/26		37			39
	Johnson Controls International plc	6.000%	1/15/36		39			48
	Johnson Controls International plc	4.625%	7/2/44		175			191
	Johnson Controls International plc	5.125%	9/14/45		14			16
	Johnson Controls International plc	4.500%	2/15/47		100			108
	Johnson Controls International plc	4.950%	7/2/64		72			75
	Kennametal Inc.	3.875%	2/15/22		50			51
	Kennametal Inc.	4.625%	6/15/28		120			128
6	L3Harris Technologies Inc.	4.950%	2/15/21		75			77
6	L3Harris Technologies Inc.	3.850%	6/15/23		600			631
6	L3Harris Technologies Inc.	3.950%	5/28/24		103			109
	L3Harris Technologies Inc.	3.832%	4/27/25		200			213
6	L3Harris Technologies Inc.	3.850%	12/15/26		50			54
6	L3Harris Technologies Inc.	4.400%	6/15/28		175			195
	L3Harris Technologies Inc.	4.854%	4/27/35		100			118
	L3Harris Technologies Inc.	6.150%	12/15/40		100			136
	L3Harris Technologies Inc.	5.054%	4/27/45		100			124
	Leggett & Platt Inc.	3.800%	11/15/24		100			105
	Leggett & Platt Inc.	3.500%	11/15/27		300			308
	Leggett & Platt Inc.	4.400%	3/15/29		75			82
	Legrand France SA	8.500%	2/15/25		50			64
	Lennox International Inc.	3.000%	11/15/23		100			102
	Lockheed Martin Corp.	3.350%	9/15/21		725			743
	Lockheed Martin Corp.	3.100%	1/15/23		100			103
	Lockheed Martin Corp.	3.550%	1/15/26		380			407
	Lockheed Martin Corp.	3.600%	3/1/35		150			164
	Lockheed Martin Corp.	4.500%	5/15/36		100			118
	Lockheed Martin Corp.	6.150%	9/1/36		375			509
	Lockheed Martin Corp.	4.070%	12/15/42		270			309
	Lockheed Martin Corp.	3.800%	3/1/45		100			110
	Lockheed Martin Corp.	4.700%	5/15/46		275			347
	Lockheed Martin Corp.	4.090%	9/15/52		156			182
	Martin Marietta Materials Inc.	4.250%	7/2/24		100			107
	Martin Marietta Materials Inc.	3.450%	6/1/27		50			52
	Martin Marietta Materials Inc.	3.500%	12/15/27		100			104
	Martin Marietta Materials Inc.	4.250%	12/15/47		175			183
	Masco Corp.	3.500%	4/1/21		70			71
	Masco Corp.	4.450%	4/1/25		50			54
	Masco Corp.	4.375%	4/1/26		100			108
	Masco Corp.	3.500%	11/15/27		100			103
	Masco Corp.	7.750%	8/1/29		24			31
	Masco Corp.	4.500%	5/15/47		100			102
	Mohawk Industries Inc.	3.850%	2/1/23		100			104
	Northrop Grumman Corp.	3.500%	3/15/21		200			204
	Northrop Grumman Corp.	2.550%	10/15/22		200			203
	Northrop Grumman Corp.	3.250%	8/1/23		150			156
	Northrop Grumman Corp.	2.930%	1/15/25		275			283
	Northrop Grumman Corp.	3.200%	2/1/27		150			156
	Northrop Grumman Corp.	3.250%	1/15/28		100			104
	Northrop Grumman Corp.	5.050%	11/15/40		50			61
	Northrop Grumman Corp.	4.750%	6/1/43		275			328
	Northrop Grumman Corp.	4.030%	10/15/47		145			161
	Nvent Finance Sarl	3.950%	4/15/23		200			203
	Nvent Finance Sarl	4.550%	4/15/28		100			104
	Oshkosh Corp.	4.600%	5/15/28		185			198
	Owens Corning	3.400%	8/15/26		200			203
	Owens Corning	3.950%	8/15/29		100			104
	Owens Corning	4.300%	7/15/47		200			190
	Owens Corning	4.400%	1/30/48		75			72
	Parker-Hannifin Corp.	3.500%	9/15/22		175			181
	Parker-Hannifin Corp.	2.700%	6/14/24		110			111
	Parker-Hannifin Corp.	3.300%	11/21/24		290			303
	Parker-Hannifin Corp.	3.250%	3/1/27		125			130
	Parker-Hannifin Corp.	3.250%	6/14/29		75			78
	Parker-Hannifin Corp.	6.250%	5/15/38		150			199
	Parker-Hannifin Corp.	4.450%	11/21/44		200			222
	Parker-Hannifin Corp.	4.100%	3/1/47		75			81
	Parker-Hannifin Corp.	4.000%	6/14/49		110			119
	Precision Castparts Corp.	2.500%	1/15/23		200			203
	Precision Castparts Corp.	3.250%	6/15/25		175			184
	Precision Castparts Corp.	3.900%	1/15/43		75			81
	Precision Castparts Corp.	4.375%	6/15/45		300			347
	Raytheon Co.	2.500%	12/15/22		275			280
	Raytheon Co.	7.200%	8/15/27		25			33
	Raytheon Co.	4.700%	12/15/41		50			62
	Republic Services Inc.	5.250%	11/15/21		175			186
	Republic Services Inc.	3.550%	6/1/22		50			52
	Republic Services Inc.	2.500%	8/15/24		200			203
	Republic Services Inc.	3.200%	3/15/25		250			260
	Republic Services Inc.	6.200%	3/1/40		50			68
	Republic Services Inc.	5.700%	5/15/41		100			130
	Rockwell Automation Inc.	3.500%	3/1/29		100			107
	Rockwell Automation Inc.	4.200%	3/1/49		100			116
	Rockwell Collins Inc.	3.100%	11/15/21		50			51
	Rockwell Collins Inc.	2.800%	3/15/22		170			173
	Rockwell Collins Inc.	3.200%	3/15/24		175			182
	Rockwell Collins Inc.	3.500%	3/15/27		300			319
	Rockwell Collins Inc.	4.800%	12/15/43		65			79
	Rockwell Collins Inc.	4.350%	4/15/47		250			292
	Roper Technologies Inc.	3.000%	12/15/20		125			126
	Roper Technologies Inc.	2.800%	12/15/21		200			203
	Roper Technologies Inc.	2.350%	9/15/24		125			126
	Roper Technologies Inc.	3.850%	12/15/25		100			107
	Roper Technologies Inc.	3.800%	12/15/26		145			156
	Roper Technologies Inc.	4.200%	9/15/28		175			191
	Roper Technologies Inc.	2.950%	9/15/29		125			126
	Snap-on Inc.	6.125%	9/1/21		75			80
	Snap-on Inc.	3.250%	3/1/27		50			52
	Snap-on Inc.	4.100%	3/1/48		75			84

146

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
Sonoco Products Co.	5.750%	11/1/40		120			147
Spirit AeroSystems Inc.	3.950%	6/15/23		75			77
Spirit AeroSystems Inc.	3.850%	6/15/26		65			67
Spirit AeroSystems Inc.	4.600%	6/15/28		150			158
Stanley Black & Decker Inc.	3.400%	12/1/21		150			153
Stanley Black & Decker Inc.	3.400%	3/1/26		100			105
Stanley Black & Decker Inc.	5.200%	9/1/40		75			93
Stanley Black & Decker Inc.	4.850%	11/15/48		100			124
Textron Inc.	3.875%	3/1/25		65			69
Textron Inc.	4.000%	3/15/26		200			214
Textron Inc.	3.650%	3/15/27		250			261
Textron Inc.	3.375%	3/1/28		50			51
Textron Inc.	3.900%	9/17/29		225			240
Timken Co.	3.875%	9/1/24		100			104
Timken Co.	4.500%	12/15/28		25			27
United Technologies Corp.	3.350%	8/16/21		200			205
United Technologies Corp.	1.950%	11/1/21		100			100
United Technologies Corp.	3.100%	6/1/22		460			472
United Technologies Corp.	3.650%	8/16/23		425			448
United Technologies Corp.	2.800%	5/4/24		250			257
United Technologies Corp.	3.950%	8/16/25		250			272
United Technologies Corp.	2.650%	11/1/26		100			102
United Technologies Corp.	6.700%	8/1/28		75			97
United Technologies Corp.	4.125%	11/16/28		750			843
United Technologies Corp.	7.500%	9/15/29		125			176
United Technologies Corp.	5.400%	5/1/35		150			192
United Technologies Corp.	6.050%	6/1/36		100			135
United Technologies Corp.	6.125%	7/15/38		100			138
United Technologies Corp.	4.450%	11/16/38		175			205
United Technologies Corp.	5.700%	4/15/40		100			134
United Technologies Corp.	4.500%	6/1/42		675			808
United Technologies Corp.	4.150%	5/15/45		200			229
United Technologies Corp.	3.750%	11/1/46		200			218
United Technologies Corp.	4.050%	5/4/47		250			284
United Technologies Corp.	4.625%	11/16/48		400			498
Valmont Industries Inc.	5.000%	10/1/44		150			153
Valmont Industries Inc.	5.250%	10/1/54		75			76
Vulcan Materials Co.	4.500%	4/1/25		200			216
Vulcan Materials Co.	4.500%	6/15/47		125			137
Wabtec Corp.	4.400%	3/15/24		275			291
Wabtec Corp.	3.450%	11/15/26		150			151
Wabtec Corp.	4.950%	9/15/28		175			192
Waste Connections Inc.	3.500%	5/1/29		200			211
Waste Management Inc.	4.600%	3/1/21		50			51
Waste Management Inc.	2.900%	9/15/22		100			102
Waste Management Inc.	2.400%	5/15/23		225			227
Waste Management Inc.	3.500%	5/15/24		200			210
Waste Management Inc.	2.950%	6/15/24		150			155
Waste Management Inc.	3.125%	3/1/25		150			157
Waste Management Inc.	3.200%	6/15/26		145			152
Waste Management Inc.	3.150%	11/15/27		125			131
Waste Management Inc.	3.450%	6/15/29		200			214
Waste Management Inc.	3.900%	3/1/35		250			277
Waste Management Inc.	4.000%	7/15/39		100			112
Waste Management Inc.	4.100%	3/1/45		150			168
Waste Management Inc.	4.150%	7/15/49		100			114
WW Grainger Inc.	4.600%	6/15/45		200			237
WW Grainger Inc.	3.750%	5/15/46		75			77
WW Grainger Inc.	4.200%	5/15/47		50			56
Xylem Inc.	3.250%	11/1/26		100			104
Xylem Inc.	4.375%	11/1/46		100			109
Communication (2.4%)
Activision Blizzard Inc.	2.300%	9/15/21		125			126
Activision Blizzard Inc.	2.600%	6/15/22		75			76
Activision Blizzard Inc.	3.400%	9/15/26		160			168
Activision Blizzard Inc.	4.500%	6/15/47		75			85
America Movil SAB de CV	3.125%	7/16/22		300			306
America Movil SAB de CV	3.625%	4/22/29		200			212
America Movil SAB de CV	6.375%	3/1/35		300			403
America Movil SAB de CV	6.125%	11/15/37		150			196
America Movil SAB de CV	6.125%	3/30/40		200			268
America Movil SAB de CV	4.375%	7/16/42		250			278
America Movil SAB de CV	4.375%	4/22/49		200			229
American Tower Corp.	3.300%	2/15/21		125			127
American Tower Corp.	3.450%	9/15/21		475			486
American Tower Corp.	5.900%	11/1/21		475			507
American Tower Corp.	2.250%	1/15/22		125			125
American Tower Corp.	3.500%	1/31/23		200			207
American Tower Corp.	5.000%	2/15/24		100			110
American Tower Corp.	3.375%	5/15/24		200			207
American Tower Corp.	2.950%	1/15/25		100			102
American Tower Corp.	3.375%	10/15/26		400			415
American Tower Corp.	2.750%	1/15/27		500			500
American Tower Corp.	3.125%	1/15/27		125			127
American Tower Corp.	3.950%	3/15/29		140			151
American Tower Corp.	3.800%	8/15/29		475			507
American Tower Corp.	3.700%	10/15/49		100			99
AT&T Inc.	4.600%	2/15/21		175			179
AT&T Inc.	3.200%	3/1/22		250			256
AT&T Inc.	3.400%	6/15/22		100			103
AT&T Inc.	3.000%	6/30/22		767			784
AT&T Inc.	3.600%	2/17/23		755			788
AT&T Inc.	4.050%	12/15/23		100			107
AT&T Inc.	3.800%	3/1/24		125			132
AT&T Inc.	4.450%	4/1/24		250			271
AT&T Inc.	3.950%	1/15/25		225			241
AT&T Inc.	3.400%	5/15/25		940			985
AT&T Inc.	3.600%	7/15/25		275			290
AT&T Inc.	3.875%	1/15/26		505			541
AT&T Inc.	4.125%	2/17/26		515			558
AT&T Inc.	3.800%	2/15/27		700			746
AT&T Inc.	4.100%	2/15/28		804			873
AT&T Inc.	4.350%	3/1/29		650			721
AT&T Inc.	4.300%	2/15/30		860			956
AT&T Inc.	4.500%	5/15/35		200			222
AT&T Inc.	5.250%	3/1/37		500			597
AT&T Inc.	4.900%	8/15/37		300			344
AT&T Inc.	4.850%	3/1/39		480			551
AT&T Inc.	6.350%	3/15/40		100			130
AT&T Inc.	6.100%	7/15/40		100			127
AT&T Inc.	6.000%	8/15/40		300			381
AT&T Inc.	5.350%	9/1/40		600			718
AT&T Inc.	5.550%	8/15/41		225			276
AT&T Inc.	5.375%	10/15/41		100			118
AT&T Inc.	5.150%	3/15/42		375			437
AT&T Inc.	4.900%	6/15/42		525			590
AT&T Inc.	4.300%	12/15/42		271			290
AT&T Inc.	5.350%	12/15/43		175			210
AT&T Inc.	4.650%	6/1/44		100			110
AT&T Inc.	4.800%	6/15/44		575			653
AT&T Inc.	4.350%	6/15/45		624			667
AT&T Inc.	4.750%	5/15/46		650			730
AT&T Inc.	5.150%	11/15/46		1,473			1,753
AT&T Inc.	4.500%	3/9/48		500			549
AT&T Inc.	4.550%	3/9/49		362			401
AT&T Inc.	5.150%	2/15/50		332			400
AT&T Inc.	5.300%	8/15/58		307			378
Bell Canada Inc.	4.300%	7/29/49		100			112
British Telecommunications plc	4.500%	12/4/23		200			215
British Telecommunications plc	5.125%	12/4/28		100			115
British Telecommunications plc	9.625%	12/15/30		516			794
CC Holdings GS V LLC / Crown Castle GS III Corp.	3.849%	4/15/23		250			262
Charter Communications Operating LLC / Charter Communications Operating Capital	4.464%	7/23/22		676			711
Charter Communications Operating LLC / Charter Communications Operating Capital	4.500%	2/1/24		175			188

147

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.908%	7/23/25		850			935
	Charter Communications Operating LLC / Charter Communications Operating Capital	3.750%	2/15/28		730			755
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.050%	3/30/29		225			254
	Charter Communications Operating LLC / Charter Communications Operating Capital	6.384%	10/23/35		575			723
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.375%	4/1/38		150			170
	Charter Communications Operating LLC / Charter Communications Operating Capital	6.484%	10/23/45		650			810
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.375%	5/1/47		450			504
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.750%	4/1/48		700			817
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.125%	7/1/49		75			81
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.800%	3/1/50		300			314
	Charter Communications Operating LLC / Charter Communications Operating Capital	6.834%	10/23/55		75			94
	Comcast Cable Communications Holdings Inc.	9.455%	11/15/22		139			168
	Comcast Corp.	3.450%	10/1/21		650			668
	Comcast Corp.	2.750%	3/1/23		200			204
	Comcast Corp.	3.000%	2/1/24		710			736
	Comcast Corp.	3.375%	2/15/25		202			213
	Comcast Corp.	3.375%	8/15/25		250			265
	Comcast Corp.	3.950%	10/15/25		625			681
	Comcast Corp.	3.150%	3/1/26		400			418
	Comcast Corp.	2.350%	1/15/27		495			494
	Comcast Corp.	3.150%	2/15/28		325			340
	Comcast Corp.	4.150%	10/15/28		950			1,069
	Comcast Corp.	2.650%	2/1/30		300			300
	Comcast Corp.	4.250%	10/15/30		250			284
	Comcast Corp.	4.250%	1/15/33		275			315
	Comcast Corp.	4.200%	8/15/34		175			200
	Comcast Corp.	5.650%	6/15/35		1,065			1,398
	Comcast Corp.	4.400%	8/15/35		150			176
	Comcast Corp.	3.200%	7/15/36		225			229
	Comcast Corp.	6.450%	3/15/37		175			244
	Comcast Corp.	6.950%	8/15/37		250			366
	Comcast Corp.	3.900%	3/1/38		175			193
	Comcast Corp.	6.400%	5/15/38		100			139
	Comcast Corp.	4.600%	10/15/38		550			653
	Comcast Corp.	3.250%	11/1/39		250			251
	Comcast Corp.	6.400%	3/1/40		150			210
	Comcast Corp.	4.650%	7/15/42		370			440
	Comcast Corp.	4.500%	1/15/43		100			117
	Comcast Corp.	4.600%	8/15/45		250			298
	Comcast Corp.	3.400%	7/15/46		500			502
	Comcast Corp.	3.969%	11/1/47		1,086			1,185
	Comcast Corp.	4.000%	3/1/48		175			192
	Comcast Corp.	4.700%	10/15/48		475			585
	Comcast Corp.	3.999%	11/1/49		268			296
	Comcast Corp.	3.450%	2/1/50		400			408
	Comcast Corp.	4.950%	10/15/58		475			618
	Crown Castle International Corp.	3.400%	2/15/21		300			304
	Crown Castle International Corp.	2.250%	9/1/21		125			125
	Crown Castle International Corp.	4.875%	4/15/22		125			132
	Crown Castle International Corp.	5.250%	1/15/23		125			136
	Crown Castle International Corp.	3.150%	7/15/23		150			154
	Crown Castle International Corp.	3.200%	9/1/24		250			257
	Crown Castle International Corp.	4.450%	2/15/26		250			273
	Crown Castle International Corp.	3.700%	6/15/26		175			185
	Crown Castle International Corp.	3.650%	9/1/27		325			342
	Crown Castle International Corp.	3.800%	2/15/28		425			452
	Crown Castle International Corp.	4.750%	5/15/47		95			109
	Crown Castle International Corp.	5.200%	2/15/49		75			92
	Deutsche Telekom International Finance BV	8.750%	6/15/30		775			1,137
	Discovery Communications LLC	4.375%	6/15/21		25			26
	Discovery Communications LLC	3.500%	6/15/22		200			205
	Discovery Communications LLC	2.950%	3/20/23		100			102
	Discovery Communications LLC	3.250%	4/1/23		100			103
	Discovery Communications LLC	3.800%	3/13/24		100			105
	Discovery Communications LLC	3.900%	11/15/24		150			159
	Discovery Communications LLC	3.450%	3/15/25		225			233
	Discovery Communications LLC	3.950%	6/15/25		100			106
	Discovery Communications LLC	4.900%	3/11/26		150			168
	Discovery Communications LLC	3.950%	3/20/28		400			427
	Discovery Communications LLC	4.125%	5/15/29		100			107
	Discovery Communications LLC	5.000%	9/20/37		325			367
	Discovery Communications LLC	6.350%	6/1/40		150			189
	Discovery Communications LLC	4.950%	5/15/42		277			303
	Discovery Communications LLC	5.200%	9/20/47		225			261
	Discovery Communications LLC	5.300%	5/15/49		75			89
	Electronic Arts Inc.	3.700%	3/1/21		150			153
	Electronic Arts Inc.	4.800%	3/1/26		100			113
6	Fox Corp.	3.666%	1/25/22		50			52
6	Fox Corp.	4.030%	1/25/24		250			266
6	Fox Corp.	4.709%	1/25/29		375			426
6	Fox Corp.	5.476%	1/25/39		250			304
6	Fox Corp.	5.576%	1/25/49		425			535
	Grupo Televisa SAB	6.625%	3/18/25		100			117
	Grupo Televisa SAB	4.625%	1/30/26		100			108
	Grupo Televisa SAB	6.625%	1/15/40		125			157
	Grupo Televisa SAB	5.000%	5/13/45		425			448
	Grupo Televisa SAB	5.250%	5/24/49		200			216
	Interpublic Group of Cos. Inc.	3.750%	10/1/21		50			51
	Interpublic Group of Cos. Inc.	3.750%	2/15/23		150			157
	Interpublic Group of Cos. Inc.	4.200%	4/15/24		422			453
	Interpublic Group of Cos. Inc.	4.650%	10/1/28		100			112
	Interpublic Group of Cos. Inc.	5.400%	10/1/48		175			214
	Koninklijke KPN NV	8.375%	10/1/30		125			173
	Moody’s Corp.	2.750%	12/15/21		100			101
	Moody’s Corp.	4.500%	9/1/22		100			106
	Moody’s Corp.	4.875%	2/15/24		250			275
	Moody’s Corp.	4.875%	12/17/48		125			153
	NBCUniversal Media LLC	4.375%	4/1/21		325			335
	NBCUniversal Media LLC	2.875%	1/15/23		225			231
	NBCUniversal Media LLC	6.400%	4/30/40		150			210
	NBCUniversal Media LLC	5.950%	4/1/41		225			309
	NBCUniversal Media LLC	4.450%	1/15/43		225			261
	Omnicom Group Inc. / Omnicom Capital Inc.	3.625%	5/1/22		250			259
	Omnicom Group Inc. / Omnicom Capital Inc.	3.650%	11/1/24		150			158
	Omnicom Group Inc. / Omnicom Capital Inc.	3.600%	4/15/26		250			263
	Orange SA	4.125%	9/14/21		325			337
	Orange SA	9.000%	3/1/31		450			696
	Orange SA	5.375%	1/13/42		325			416
	RELX Capital Inc.	3.125%	10/15/22		182			188
	RELX Capital Inc.	3.500%	3/16/23		125			130
	RELX Capital Inc.	4.000%	3/18/29		100			108
	Rogers Communications Inc.	3.000%	3/15/23		205			210
	Rogers Communications Inc.	4.100%	10/1/23		175			186
	Rogers Communications Inc.	3.625%	12/15/25		125			132
	Rogers Communications Inc.	2.900%	11/15/26		100			102

148

Total Bond Market Index Portfolio

					Face			Market
			Maturity		Amount			Value•
		Coupon	Date			($000	)		($000	)
	Rogers Communications Inc.	4.500%	3/15/43			265			290
	Rogers Communications Inc.	5.000%	3/15/44			190			230
	Rogers Communications Inc.	4.350%	5/1/49			450			500
	Rogers Communications Inc.	3.700%	11/15/49			150			151
	S&P Global Inc.	4.000%	6/15/25			125			135
	S&P Global Inc.	4.400%	2/15/26			175			194
	S&P Global Inc.	2.500%	12/1/29			125			125
	S&P Global Inc.	4.500%	5/15/48			100			121
	S&P Global Inc.	3.250%	12/1/49			350			357
	Telefonica Emisiones SAU	5.462%	2/16/21			555			576
	Telefonica Emisiones SAU	4.103%	3/8/27			250			270
	Telefonica Emisiones SAU	7.045%	6/20/36			375			528
	Telefonica Emisiones SAU	4.665%	3/6/38			200			226
	Telefonica Emisiones SAU	5.213%	3/8/47			550			653
	Telefonica Emisiones SAU	4.895%	3/6/48			200			229
	Telefonica Emisiones SAU	5.520%	3/1/49			335			419
	TELUS Corp.	2.800%	2/16/27			100			100
	TELUS Corp.	4.300%	6/15/49			200			221
	Thomson Reuters Corp.	5.500%	8/15/35			75			84
	Thomson Reuters Corp.	5.850%	4/15/40			100			119
	Thomson Reuters Corp.	5.650%	11/23/43			100			118
��	Time Warner Cable LLC	4.125%	2/15/21			150			152
	Time Warner Cable LLC	6.550%	5/1/37			200			245
	Time Warner Cable LLC	7.300%	7/1/38			50			65
	Time Warner Cable LLC	6.750%	6/15/39			400			505
	Time Warner Cable LLC	5.875%	11/15/40			425			487
	Time Warner Cable LLC	5.500%	9/1/41			250			279
	Time Warner Cable LLC	4.500%	9/15/42			450			456
	Time Warner Entertainment Co. LP	8.375%	3/15/23			200			236
	Time Warner Entertainment Co. LP	8.375%	7/15/33			200			281
	Verizon Communications Inc.	3.450%	3/15/21			300			306
	Verizon Communications Inc.	4.600%	4/1/21			475			491
	Verizon Communications Inc.	2.946%	3/15/22			400			408
	Verizon Communications Inc.	3.125%	3/16/22			350			359
	Verizon Communications Inc.	5.150%	9/15/23			830			920
	Verizon Communications Inc.	4.150%	3/15/24			100			108
	Verizon Communications Inc.	3.500%	11/1/24			400			423
	Verizon Communications Inc.	3.376%	2/15/25			534			565
	Verizon Communications Inc.	2.625%	8/15/26			475			482
	Verizon Communications Inc.	4.125%	3/16/27			400			442
	Verizon Communications Inc.	4.329%	9/21/28			1,229			1,393
	Verizon Communications Inc.	4.016%	12/3/29			927			1,032
	Verizon Communications Inc.	4.500%	8/10/33			575			667
	Verizon Communications Inc.	4.400%	11/1/34			725			839
	Verizon Communications Inc.	4.272%	1/15/36			563			634
	Verizon Communications Inc.	5.250%	3/16/37			875			1,098
	Verizon Communications Inc.	4.812%	3/15/39			350			423
	Verizon Communications Inc.	4.750%	11/1/41			175			212
	Verizon Communications Inc.	3.850%	11/1/42			175			187
	Verizon Communications Inc.	4.125%	8/15/46			250			282
	Verizon Communications Inc.	4.862%	8/21/46			1,279			1,583
	Verizon Communications Inc.	4.522%	9/15/48			747			892
	Verizon Communications Inc.	5.012%	4/15/49			385			492
	Verizon Communications Inc.	4.672%	3/15/55			600			736
	ViacomCBS Inc.	4.300%	2/15/21			275			280
	ViacomCBS Inc.	3.875%	12/15/21			125			129
	ViacomCBS Inc.	2.500%	2/15/23			200			202
	ViacomCBS Inc.	2.900%	6/1/23			75			76
	ViacomCBS Inc.	4.250%	9/1/23			225			240
	ViacomCBS Inc.	3.875%	4/1/24			124			131
	ViacomCBS Inc.	3.700%	8/15/24			175			185
	ViacomCBS Inc.	3.500%	1/15/25			150			157
	ViacomCBS Inc.	2.900%	1/15/27			279			279
	ViacomCBS Inc.	3.375%	2/15/28			100			103
	ViacomCBS Inc.	3.700%	6/1/28			100			104
	ViacomCBS Inc.	5.500%	5/15/33			75			90
	ViacomCBS Inc	6.875%	4/30/36			240			321
	ViacomCBS Inc.	5.900%	10/15/40			225			272
	ViacomCBS Inc.	4.850%	7/1/42			225			248
	ViacomCBS Inc	4.375%	3/15/43			556			589
	ViacomCBS Inc	5.850%	9/1/43			75			94
	ViacomCBS Inc.	4.900%	8/15/44			100			113
	Vodafone Group plc	3.750%	1/16/24			650			686
	Vodafone Group plc	4.125%	5/30/25			500			540
	Vodafone Group plc	4.375%	5/30/28			650			719
	Vodafone Group plc	7.875%	2/15/30			150			208
	Vodafone Group plc	6.250%	11/30/32			100			127
	Vodafone Group plc	5.000%	5/30/38			325			379
	Vodafone Group plc	4.375%	2/19/43			275			296
	Vodafone Group plc	5.250%	5/30/48			700			846
	Vodafone Group plc	4.875%	6/19/49			350			403
	Vodafone Group plc	4.250%	9/17/50			450			467
	Walt Disney Co.	4.500%	2/15/21			920			947
	Walt Disney Co.	2.550%	2/15/22			75			76
	Walt Disney Co.	2.450%	3/4/22			75			76
	Walt Disney Co.	1.650%	9/1/22			100			100
	Walt Disney Co.	3.000%	9/15/22			275			283
	Walt Disney Co.	1.750%	8/30/24			100			99
	Walt Disney Co.	3.700%	9/15/24			200			214
	Walt Disney Co.	3.150%	9/17/25			150			159
	Walt Disney Co.	3.700%	10/15/25			125			135
	Walt Disney Co.	1.850%	7/30/26			1,070			1,050
	Walt Disney Co.	2.000%	9/1/29			400			388
	Walt Disney Co.	6.550%	3/15/33			100			141
	Walt Disney Co.	6.200%	12/15/34			400			558
	Walt Disney Co.	6.400%	12/15/35			365			522
	Walt Disney Co.	6.150%	3/1/37			200			278
	Walt Disney Co.	4.375%	8/16/41			75			89
	Walt Disney Co.	4.125%	12/1/41			205			236
	Walt Disney Co.	3.700%	12/1/42			125			136
	Walt Disney Co.	5.400%	10/1/43	��		100			136
	Walt Disney Co.	4.750%	9/15/44			175			220
	Walt Disney Co.	2.750%	9/1/49			600			564
	Weibo Corp.	3.500%	7/5/24			200			204
	WPP Finance 2010	3.625%	9/7/22			200			207
	WPP Finance 2010	3.750%	9/19/24			100			105
	Consumer Cyclical (1.9%)
	Alibaba Group Holding Ltd.	3.125%	11/28/21			300			306
	Alibaba Group Holding Ltd.	2.800%	6/6/23			200			203
	Alibaba Group Holding Ltd.	3.600%	11/28/24			400			420
	Alibaba Group Holding Ltd.	3.400%	12/6/27			600			625
	Alibaba Group Holding Ltd.	4.500%	11/28/34			280			317
	Alibaba Group Holding Ltd.	4.000%	12/6/37			200			215
	Alibaba Group Holding Ltd.	4.200%	12/6/47			425			471
	Alibaba Group Holding Ltd.	4.400%	12/6/57			100			114
	Amazon.com Inc.	3.300%	12/5/21			200			206
	Amazon.com Inc.	2.500%	11/29/22			150			153
	Amazon.com Inc.	2.400%	2/22/23			450			457
	Amazon.com Inc.	2.800%	8/22/24			250			259
	Amazon.com Inc.	3.800%	12/5/24			120			130
	Amazon.com Inc.	5.200%	12/3/25			225			261
	Amazon.com Inc.	3.150%	8/22/27			550			581
	Amazon.com Inc.	4.800%	12/5/34			225			283
	Amazon.com Inc.	3.875%	8/22/37			500			568
	Amazon.com Inc.	4.950%	12/5/44			350			458
	Amazon.com Inc.	4.050%	8/22/47			600			703
	Amazon.com Inc.	4.250%	8/22/57			500			608
	American Honda Finance Corp.	3.150%	1/8/21			250			253
	American Honda Finance Corp.	2.650%	2/12/21			150			151
	American Honda Finance Corp.	1.650%	7/12/21			150			150
	American Honda Finance Corp.	1.700%	9/9/21			400			399
	American Honda Finance Corp.	3.375%	12/10/21			150			155
	American Honda Finance Corp.	2.200%	6/27/22			150			151
	American Honda Finance Corp.	2.600%	11/16/22			40			41
	American Honda Finance Corp.	2.050%	1/10/23			125			125
	American Honda Finance Corp.	3.450%	7/14/23			125			131
	American Honda Finance Corp.	3.625%	10/10/23			100			105
	American Honda Finance Corp.	2.900%	2/16/24			150			154
	American Honda Finance Corp.	2.400%	6/27/24			100			101
	American Honda Finance Corp.	2.150%	9/10/24			125			125
	American Honda Finance Corp.	2.300%	9/9/26			50			50

149

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	American Honda Finance Corp.	3.500%	2/15/28		100			108
	Aptiv Corp.	4.150%	3/15/24		125			132
	Aptiv plc	4.250%	1/15/26		150			162
	Aptiv plc	4.350%	3/15/29		50			54
	Aptiv plc	4.400%	10/1/46		50			48
	Aptiv plc	5.400%	3/15/49		50			56
	Automatic Data Processing Inc.	3.375%	9/15/25		200			212
	AutoNation Inc.	3.350%	1/15/21		60			61
	AutoNation Inc.	3.500%	11/15/24		205			211
	AutoNation Inc.	4.500%	10/1/25		150			161
	AutoNation Inc.	3.800%	11/15/27		75			76
	AutoZone Inc.	3.700%	4/15/22		350			361
	AutoZone Inc.	2.875%	1/15/23		75			76
	AutoZone Inc.	3.125%	7/15/23		125			128
	AutoZone Inc.	3.125%	4/18/24		130			135
	AutoZone Inc.	3.125%	4/21/26		100			103
	AutoZone Inc.	3.750%	6/1/27		100			107
	AutoZone Inc.	3.750%	4/18/29		100			107
	Best Buy Co. Inc.	5.500%	3/15/21		25			26
	Best Buy Co. Inc.	4.450%	10/1/28		200			219
	Block Financial LLC	5.500%	11/1/22		100			107
	Block Financial LLC	5.250%	10/1/25		100			109
	Booking Holdings Inc.	2.750%	3/15/23		100			102
	Booking Holdings Inc.	3.650%	3/15/25		100			107
	Booking Holdings Inc.	3.600%	6/1/26		225			240
	Booking Holdings Inc.	3.550%	3/15/28		100			106
	BorgWarner Inc.	3.375%	3/15/25		75			78
	BorgWarner Inc.	4.375%	3/15/45		100			102
	Costco Wholesale Corp.	2.150%	5/18/21		200			201
	Costco Wholesale Corp.	2.250%	2/15/22		100			101
	Costco Wholesale Corp.	2.300%	5/18/22		150			152
	Costco Wholesale Corp.	2.750%	5/18/24		275			284
	Costco Wholesale Corp.	3.000%	5/18/27		100			106
	Cummins Inc.	7.125%	3/1/28		100			133
	Cummins Inc.	4.875%	10/1/43		125			152
	Daimler Finance North America LLC	8.500%	1/18/31		250			372
	Darden Restaurants Inc.	3.850%	5/1/27		200			209
	Darden Restaurants Inc.	4.550%	2/15/48		50			51
	Dollar General Corp.	3.250%	4/15/23		150			155
	Dollar General Corp.	4.150%	11/1/25		105			114
	Dollar General Corp.	3.875%	4/15/27		50			54
	Dollar General Corp.	4.125%	5/1/28		150			164
	Dollar Tree Inc.	3.700%	5/15/23		100			104
	Dollar Tree Inc.	4.000%	5/15/25		200			214
	Dollar Tree Inc.	4.200%	5/15/28		300			321
	DR Horton Inc.	4.375%	9/15/22		100			105
	DR Horton Inc.	4.750%	2/15/23		225			239
	DR Horton Inc.	5.750%	8/15/23		75			83
	DR Horton Inc.	2.500%	10/15/24		100			100
	eBay Inc.	2.875%	8/1/21		125			126
	eBay Inc.	3.800%	3/9/22		100			103
	eBay Inc.	2.600%	7/15/22		450			454
	eBay Inc.	2.750%	1/30/23		175			177
	eBay Inc.	3.450%	8/1/24		125			130
	eBay Inc.	3.600%	6/5/27		300			313
	eBay Inc.	4.000%	7/15/42		25			25
	Expedia Group Inc.	4.500%	8/15/24		100			107
	Expedia Group Inc.	5.000%	2/15/26		150			165
	Expedia Group Inc.	3.800%	2/15/28		200			204
6	Expedia Group Inc.	3.250%	2/15/30		250			240
	Ford Motor Co.	4.346%	12/8/26		275			283
	Ford Motor Co.	6.625%	10/1/28		175			193
	Ford Motor Co.	6.375%	2/1/29		100			107
	Ford Motor Co.	7.450%	7/16/31		375			443
	Ford Motor Co.	4.750%	1/15/43		100			89
	Ford Motor Co.	7.400%	11/1/46		100			112
	Ford Motor Co.	5.291%	12/8/46		250			236
	Ford Motor Credit Co. LLC	2.343%	11/2/20		150			150
	Ford Motor Credit Co. LLC	3.200%	1/15/21		250			251
	Ford Motor Credit Co. LLC	5.750%	2/1/21		250			258
	Ford Motor Credit Co. LLC	3.336%	3/18/21		200			201
	Ford Motor Credit Co. LLC	5.875%	8/2/21		325			340
	Ford Motor Credit Co. LLC	3.813%	10/12/21		200			203
	Ford Motor Credit Co. LLC	5.596%	1/7/22		200			210
	Ford Motor Credit Co. LLC	3.339%	3/28/22		150			151
	Ford Motor Credit Co. LLC	2.979%	8/3/22		300			300
	Ford Motor Credit Co. LLC	4.250%	9/20/22		200			207
	Ford Motor Credit Co. LLC	3.350%	11/1/22		500			505
	Ford Motor Credit Co. LLC	4.375%	8/6/23		225			233
	Ford Motor Credit Co. LLC	3.810%	1/9/24		150			152
	Ford Motor Credit Co. LLC	5.584%	3/18/24		200			216
	Ford Motor Credit Co. LLC	3.664%	9/8/24		200			200
	Ford Motor Credit Co. LLC	4.063%	11/1/24		700			714
	Ford Motor Credit Co. LLC	4.134%	8/4/25		500			506
	Ford Motor Credit Co. LLC	4.389%	1/8/26		200			203
	Ford Motor Credit Co. LLC	4.542%	8/1/26		200			204
	Ford Motor Credit Co. LLC	3.815%	11/2/27		150			145
	Ford Motor Credit Co. LLC	5.113%	5/3/29		325			334
	General Motors Co.	4.875%	10/2/23		625			671
	General Motors Co.	4.000%	4/1/25		100			104
	General Motors Co.	5.000%	10/1/28		150			163
	General Motors Co.	5.000%	4/1/35		165			170
	General Motors Co.	6.600%	4/1/36		250			294
	General Motors Co.	5.150%	4/1/38		225			230
	General Motors Co.	6.250%	10/2/43		210			235
	General Motors Co.	5.200%	4/1/45		230			231
	General Motors Co.	6.750%	4/1/46		130			152
	General Motors Co.	5.400%	4/1/48		200			206
	General Motors Co.	5.950%	4/1/49		275			304
	General Motors Financial Co. Inc.	4.200%	3/1/21		175			179
	General Motors Financial Co. Inc.	3.550%	4/9/21		150			152
	General Motors Financial Co. Inc.	3.200%	7/6/21		225			228
	General Motors Financial Co. Inc.	4.375%	9/25/21		100			104
	General Motors Financial Co. Inc.	4.200%	11/6/21		50			52
	General Motors Financial Co. Inc.	3.450%	1/14/22		125			128
	General Motors Financial Co. Inc.	3.450%	4/10/22		355			363
	General Motors Financial Co. Inc.	3.150%	6/30/22		100			102
	General Motors Financial Co. Inc.	3.550%	7/8/22		200			206
	General Motors Financial Co. Inc.	3.250%	1/5/23		275			280
	General Motors Financial Co. Inc.	3.700%	5/9/23		200			206
	General Motors Financial Co. Inc.	4.250%	5/15/23		150			158
	General Motors Financial Co. Inc.	4.150%	6/19/23		200			210
	General Motors Financial Co. Inc.	5.100%	1/17/24		100			109
	General Motors Financial Co. Inc.	3.950%	4/13/24		400			418
	General Motors Financial Co. Inc.	3.500%	11/7/24		200			206
	General Motors Financial Co. Inc.	4.000%	1/15/25		175			184
	General Motors Financial Co. Inc.	4.350%	4/9/25		325			348
	General Motors Financial Co. Inc.	5.250%	3/1/26		150			166
	General Motors Financial Co. Inc.	4.000%	10/6/26		100			105
	General Motors Financial Co. Inc.	4.350%	1/17/27		325			342
	General Motors Financial Co. Inc.	3.850%	1/5/28		100			102
	General Motors Financial Co. Inc.	5.650%	1/17/29		150			170
	GLP Capital LP / GLP Financing II Inc.	4.375%	4/15/21		50			51
	GLP Capital LP / GLP Financing II Inc.	5.375%	11/1/23		100			109
	GLP Capital LP / GLP Financing II Inc.	3.350%	9/1/24		75			77
	GLP Capital LP / GLP Financing II Inc.	5.250%	6/1/25		200			218
	GLP Capital LP / GLP Financing II Inc.	5.375%	4/15/26		175			191
	GLP Capital LP / GLP Financing II Inc.	5.750%	6/1/28		25			28
	GLP Capital LP / GLP Financing II Inc.	5.300%	1/15/29		275			306
	GLP Capital LP / GLP Financing II Inc.	4.000%	1/15/30		175			178
	Harley-Davidson Inc.	3.500%	7/28/25		100			104
	Harley-Davidson Inc.	4.625%	7/28/45		125			128
	Harman International Industries Inc.	4.150%	5/15/25		76			81
	Home Depot Inc.	2.000%	4/1/21		250			251
	Home Depot Inc.	4.400%	4/1/21		190			195
	Home Depot Inc.	3.250%	3/1/22		150			155
	Home Depot Inc.	2.625%	6/1/22		265			270
	Home Depot Inc.	2.700%	4/1/23		25			26
	Home Depot Inc.	3.750%	2/15/24		200			214
	Home Depot Inc.	3.350%	9/15/25		250			267
	Home Depot Inc.	3.000%	4/1/26		275			287
	Home Depot Inc.	2.125%	9/15/26		100			100

150

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
Home Depot Inc.	2.800%	9/14/27		200			207
Home Depot Inc.	3.900%	12/6/28		100			112
Home Depot Inc.	2.950%	6/15/29		500			519
Home Depot Inc.	5.875%	12/16/36		825			1,136
Home Depot Inc.	5.400%	9/15/40		175			229
Home Depot Inc.	5.950%	4/1/41		175			246
Home Depot Inc.	4.200%	4/1/43		200			232
Home Depot Inc.	4.875%	2/15/44		300			380
Home Depot Inc.	4.400%	3/15/45		100			119
Home Depot Inc.	4.250%	4/1/46		330			389
Home Depot Inc.	3.900%	6/15/47		175			197
Home Depot Inc.	4.500%	12/6/48		125			154
Home Depot Inc.	3.500%	9/15/56		150			157
Hyatt Hotels Corp.	5.375%	8/15/21		50			52
Hyatt Hotels Corp.	3.375%	7/15/23		100			103
Hyatt Hotels Corp.	4.850%	3/15/26		50			55
Hyatt Hotels Corp.	4.375%	9/15/28		75			81
IHS Markit Ltd.	3.625%	5/1/24		100			104
IHS Markit Ltd.	4.750%	8/1/28		140			156
IHS Markit Ltd.	4.250%	5/1/29		100			108
JD.com Inc.	3.125%	4/29/21		200			201
Kohl’s Corp.	4.250%	7/17/25		100			106
Kohl’s Corp.	5.550%	7/17/45		100			102
Las Vegas Sands Corp.	3.200%	8/8/24		115			119
Las Vegas Sands Corp.	2.900%	6/25/25		200			202
Las Vegas Sands Corp.	3.500%	8/18/26		145			149
Las Vegas Sands Corp.	3.900%	8/8/29		65			68
Lear Corp.	5.250%	1/15/25		200			206
Lear Corp.	3.800%	9/15/27		100			101
Lear Corp.	4.250%	5/15/29		150			155
Lear Corp.	5.250%	5/15/49		150			156
Lowe’s Cos. Inc.	3.750%	4/15/21		200			203
Lowe’s Cos. Inc.	3.120%	4/15/22		150			154
Lowe’s Cos. Inc.	3.875%	9/15/23		275			291
Lowe’s Cos. Inc.	3.125%	9/15/24		100			104
Lowe’s Cos. Inc.	3.375%	9/15/25		200			210
Lowe’s Cos. Inc.	2.500%	4/15/26		250			252
Lowe’s Cos. Inc.	3.100%	5/3/27		350			361
Lowe’s Cos. Inc.	6.500%	3/15/29		67			85
Lowe’s Cos. Inc.	3.650%	4/5/29		450			480
Lowe’s Cos. Inc.	4.650%	4/15/42		100			114
Lowe’s Cos. Inc.	4.250%	9/15/44		100			108
Lowe’s Cos. Inc.	4.375%	9/15/45		150			164
Lowe’s Cos. Inc.	3.700%	4/15/46		250			254
Lowe’s Cos. Inc.	4.050%	5/3/47		300			323
Lowe’s Cos. Inc.	4.550%	4/5/49		275			321
Macy’s Retail Holdings Inc.	3.450%	1/15/21		100			101
Macy’s Retail Holdings Inc.	2.875%	2/15/23		170			169
Macy’s Retail Holdings Inc.	3.625%	6/1/24		100			101
Macy’s Retail Holdings Inc.	4.500%	12/15/34		121			115
Magna International Inc.	3.625%	6/15/24		170			179
Magna International Inc.	4.150%	10/1/25		100			108
Marriott International Inc.	2.875%	3/1/21		50			50
Marriott International Inc.	3.125%	10/15/21		50			51
Marriott International Inc.	2.300%	1/15/22		100			100
Marriott International Inc.	2.125%	10/3/22		200			200
Marriott International Inc.	3.600%	4/15/24		125			131
Marriott International Inc.	3.750%	3/15/25		175			185
Marriott International Inc.	3.750%	10/1/25		65			69
Marriott International Inc.	3.125%	6/15/26		183			189
Marriott International Inc.	4.000%	4/15/28		50			54
Mastercard Inc.	2.000%	11/21/21		100			100
Mastercard Inc.	3.375%	4/1/24		300			318
Mastercard Inc.	2.000%	3/3/25		400			398
Mastercard Inc.	2.950%	11/21/26		100			104
Mastercard Inc.	3.500%	2/26/28		50			54
Mastercard Inc.	2.950%	6/1/29		200			208
Mastercard Inc.	3.800%	11/21/46		100			112
Mastercard Inc.	3.950%	2/26/48		100			115
Mastercard Inc.	3.650%	6/1/49		250			276
McDonald’s Corp.	2.750%	12/9/20		275			277
McDonald’s Corp.	3.625%	5/20/21		175			179
McDonald’s Corp.	2.625%	1/15/22		275			279
McDonald’s Corp.	3.350%	4/1/23		200			208
McDonald’s Corp.	3.375%	5/26/25		175			185
McDonald’s Corp.	3.700%	1/30/26		300			322
McDonald’s Corp.	3.500%	3/1/27		200			213
McDonald’s Corp.	3.800%	4/1/28		350			380
McDonald’s Corp.	2.625%	9/1/29		200			200
McDonald’s Corp.	4.700%	12/9/35		200			238
McDonald’s Corp.	6.300%	10/15/37		150			204
McDonald’s Corp.	6.300%	3/1/38		100			136
McDonald’s Corp.	5.700%	2/1/39		100			127
McDonald’s Corp.	3.700%	2/15/42		25			25
McDonald’s Corp.	3.625%	5/1/43		100			100
McDonald’s Corp.	4.600%	5/26/45		210			241
McDonald’s Corp.	4.875%	12/9/45		300			362
McDonald’s Corp.	4.450%	3/1/47		150			172
McDonald’s Corp.	4.450%	9/1/48		150			171
McDonald’s Corp.	3.625%	9/1/49		200			203
NIKE Inc.	2.375%	11/1/26		200			203
NIKE Inc.	3.625%	5/1/43		125			136
NIKE Inc.	3.875%	11/1/45		225			256
NIKE Inc.	3.375%	11/1/46		100			105
Nordstrom Inc.	4.000%	10/15/21		125			128
Nordstrom Inc.	4.000%	3/15/27		100			104
Nordstrom Inc.	4.375%	4/1/30		75			76
Nordstrom Inc.	5.000%	1/15/44		165			160
NVR Inc.	3.950%	9/15/22		100			104
O’Reilly Automotive Inc.	4.875%	1/14/21		25			26
O’Reilly Automotive Inc.	3.800%	9/1/22		100			104
O’Reilly Automotive Inc.	3.850%	6/15/23		75			78
O’Reilly Automotive Inc.	3.550%	3/15/26		100			105
O’Reilly Automotive Inc.	3.600%	9/1/27		325			347
PACCAR Financial Corp.	2.050%	11/13/20		50			50
PACCAR Financial Corp.	2.250%	2/25/21		75			75
PACCAR Financial Corp.	2.800%	3/1/21		90			91
PACCAR Financial Corp.	3.150%	8/9/21		25			25
PACCAR Financial Corp.	2.850%	3/1/22		100			102
PACCAR Financial Corp.	2.650%	5/10/22		100			102
PACCAR Financial Corp.	2.300%	8/10/22		50			51
PACCAR Financial Corp.	2.000%	9/26/22		50			50
PACCAR Financial Corp.	3.400%	8/9/23		100			104
PACCAR Financial Corp.	2.150%	8/15/24		75			75
QVC Inc.	5.125%	7/2/22		25			26
QVC Inc.	4.850%	4/1/24		95			100
QVC Inc.	4.450%	2/15/25		100			103
QVC Inc.	5.950%	3/15/43		125			119
Ralph Lauren Corp.	3.750%	9/15/25		50			54
Royal Caribbean Cruises Ltd.	5.250%	11/15/22		100			108
Royal Caribbean Cruises Ltd.	3.700%	3/15/28		200			207
Sands China Ltd.	4.600%	8/8/23		400			420
Sands China Ltd.	5.125%	8/8/25		400			440
Sands China Ltd.	5.400%	8/8/28		300			338
Starbucks Corp.	2.100%	2/4/21		150			150
Starbucks Corp.	2.700%	6/15/22		75			76
Starbucks Corp.	3.100%	3/1/23		175			181
Starbucks Corp.	3.850%	10/1/23		300			318
Starbucks Corp.	3.800%	8/15/25		200			215
Starbucks Corp.	2.450%	6/15/26		200			202
Starbucks Corp.	3.500%	3/1/28		100			107
Starbucks Corp.	4.000%	11/15/28		200			221
Starbucks Corp.	3.550%	8/15/29		200			217
Starbucks Corp.	4.300%	6/15/45		50			55
Starbucks Corp.	3.750%	12/1/47		125			128
Starbucks Corp.	4.500%	11/15/48		200			230
Tapestry Inc.	3.000%	7/15/22		125			127
Tapestry Inc.	4.250%	4/1/25		70			74
Tapestry Inc.	4.125%	7/15/27		100			102
Target Corp.	2.900%	1/15/22		200			205
Target Corp.	3.500%	7/1/24		325			348
Target Corp.	2.500%	4/15/26		175			179

151

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Target Corp.	3.375%	4/15/29		200			217
	Target Corp.	6.350%	11/1/32		140			196
	Target Corp.	6.500%	10/15/37		103			152
	Target Corp.	7.000%	1/15/38		125			194
	Target Corp.	4.000%	7/1/42		285			326
	Target Corp.	3.625%	4/15/46		200			219
	Target Corp.	3.900%	11/15/47		125			143
	TJX Cos. Inc.	2.750%	6/15/21		150			152
	TJX Cos. Inc.	2.500%	5/15/23		100			102
	TJX Cos. Inc.	2.250%	9/15/26		350			350
	Toyota Motor Corp.	3.183%	7/20/21		140			143
	Toyota Motor Corp.	2.157%	7/2/22		100			101
	Toyota Motor Corp.	3.419%	7/20/23		150			157
	Toyota Motor Corp.	2.358%	7/2/24		100			102
	Toyota Motor Corp.	3.669%	7/20/28		100			110
	Toyota Motor Corp.	2.760%	7/2/29		100			103
	Toyota Motor Credit Corp.	4.250%	1/11/21		125			128
	Toyota Motor Credit Corp.	1.900%	4/8/21		250			250
	Toyota Motor Credit Corp.	2.950%	4/13/21		100			101
	Toyota Motor Credit Corp.	2.750%	5/17/21		200			202
	Toyota Motor Credit Corp.	3.400%	9/15/21		175			179
	Toyota Motor Credit Corp.	1.800%	10/7/21		80			80
	Toyota Motor Credit Corp.	2.600%	1/11/22		200			203
	Toyota Motor Credit Corp.	3.300%	1/12/22		175			180
	Toyota Motor Credit Corp.	2.650%	4/12/22		500			508
	Toyota Motor Credit Corp.	2.800%	7/13/22		100			102
	Toyota Motor Credit Corp.	2.150%	9/8/22		200			202
	Toyota Motor Credit Corp.	2.625%	1/10/23		100			102
	Toyota Motor Credit Corp.	2.250%	10/18/23		300			302
	Toyota Motor Credit Corp.	2.900%	4/17/24		125			129
	Toyota Motor Credit Corp.	3.400%	4/14/25		125			133
	Toyota Motor Credit Corp.	3.200%	1/11/27		200			211
	Toyota Motor Credit Corp.	3.050%	1/11/28		100			105
	Toyota Motor Credit Corp.	3.650%	1/8/29		100			110
	VF Corp.	3.500%	9/1/21		200			204
	VF Corp.	6.450%	11/1/37		50			69
	Visa Inc.	2.200%	12/14/20		500			502
	Visa Inc.	2.150%	9/15/22		100			101
	Visa Inc.	2.800%	12/14/22		550			565
	Visa Inc.	3.150%	12/14/25		925			977
	Visa Inc.	2.750%	9/15/27		150			156
	Visa Inc.	4.150%	12/14/35		325			383
	Visa Inc.	4.300%	12/14/45		825			1,016
	Visa Inc.	3.650%	9/15/47		100			112
	Walgreen Co.	3.100%	9/15/22		250			255
	Walgreen Co.	4.400%	9/15/42		195			194
	Walgreens Boots Alliance Inc.	3.300%	11/18/21		225			229
	Walgreens Boots Alliance Inc.	3.800%	11/18/24		375			390
	Walgreens Boots Alliance Inc.	3.450%	6/1/26		325			330
	Walgreens Boots Alliance Inc.	4.500%	11/18/34		125			129
	Walgreens Boots Alliance Inc.	4.800%	11/18/44		275			280
	Walgreens Boots Alliance Inc.	4.650%	6/1/46		115			115
	Walmart Inc.	1.900%	12/15/20		165			165
	Walmart Inc.	3.125%	6/23/21		300			306
	Walmart Inc.	2.350%	12/15/22		800			814
	Walmart Inc.	2.550%	4/11/23		150			153
	Walmart Inc.	3.400%	6/26/23		250			263
	Walmart Inc.	3.300%	4/22/24		250			262
	Walmart Inc.	2.850%	7/8/24		275			285
	Walmart Inc.	2.650%	12/15/24		200			206
	Walmart Inc.	3.550%	6/26/25		275			294
	Walmart Inc.	3.050%	7/8/26		250			263
	Walmart Inc.	5.875%	4/5/27		405			499
	Walmart Inc.	3.700%	6/26/28		450			495
	Walmart Inc.	3.250%	7/8/29		300			322
	Walmart Inc.	2.375%	9/24/29		125			125
	Walmart Inc.	7.550%	2/15/30		105			152
	Walmart Inc.	5.250%	9/1/35		385			505
	Walmart Inc.	6.200%	4/15/38		315			459
	Walmart Inc.	3.950%	6/28/38		275			319
	Walmart Inc.	5.000%	10/25/40		100			130
	Walmart Inc.	5.625%	4/15/41		175			249
	Walmart Inc.	4.000%	4/11/43		274			315
	Walmart Inc.	4.300%	4/22/44		361			431
	Walmart Inc.	3.625%	12/15/47		115			127
	Walmart Inc.	4.050%	6/29/48		425			500
	Walmart Inc.	2.950%	9/24/49		120			117
	Western Union Co.	3.600%	3/15/22		100			103
	Western Union Co.	2.850%	1/10/25		100			100
	Western Union Co.	6.200%	11/17/36		100			113
	Western Union Co.	6.200%	6/21/40		35			39
	Consumer Noncyclical (4.4%)
	Abbott Laboratories	2.550%	3/15/22		175			178
	Abbott Laboratories	3.400%	11/30/23		316			332
	Abbott Laboratories	2.950%	3/15/25		175			181
	Abbott Laboratories	3.875%	9/15/25		75			82
	Abbott Laboratories	3.750%	11/30/26		367			400
	Abbott Laboratories	4.750%	11/30/36		375			467
	Abbott Laboratories	5.300%	5/27/40		125			163
	Abbott Laboratories	4.750%	4/15/43		125			157
	Abbott Laboratories	4.900%	11/30/46		775			1,012
	AbbVie Inc.	2.300%	5/14/21		350			351
	AbbVie Inc.	3.375%	11/14/21		250			256
6	AbbVie Inc.	2.150%	11/19/21		250			251
	AbbVie Inc.	2.900%	11/6/22		800			816
	AbbVie Inc.	3.200%	11/6/22		275			283
6	AbbVie Inc.	2.300%	11/21/22		575			577
	AbbVie Inc.	2.850%	5/14/23		200			204
	AbbVie Inc.	3.750%	11/14/23		250			263
6	AbbVie Inc.	2.600%	11/21/24		750			755
	AbbVie Inc.	3.600%	5/14/25		725			765
	AbbVie Inc.	3.200%	5/14/26		350			362
6	AbbVie Inc.	2.950%	11/21/26		740			750
	AbbVie Inc.	4.250%	11/14/28		350			387
6	AbbVie Inc.	3.200%	11/21/29		1,080			1,099
	AbbVie Inc.	4.500%	5/14/35		495			556
	AbbVie Inc.	4.300%	5/14/36		190			209
6	AbbVie Inc.	4.050%	11/21/39		775			810
	AbbVie Inc.	4.400%	11/6/42		501			540
	AbbVie Inc.	4.700%	5/14/45		527			588
	AbbVie Inc.	4.450%	5/14/46		455			490
	AbbVie Inc.	4.875%	11/14/48		775			890
6	AbbVie Inc.	4.250%	11/21/49		650			684
	Actavis Inc.	3.250%	10/1/22		300			307
	Adventist Health System/West	2.952%	3/1/29		100			99
	Adventist Health System/West	3.630%	3/1/49		100			97
	Advocate Health & Hospitals Corp.	3.829%	8/15/28		50			54
	Advocate Health & Hospitals Corp.	4.272%	8/15/48		100			114
	Advocate Health & Hospitals Corp.	3.387%	10/15/49		75			75
	Agilent Technologies Inc.	3.200%	10/1/22		75			77
	Agilent Technologies Inc.	3.875%	7/15/23		100			105
	Agilent Technologies Inc.	3.050%	9/22/26		75			76
	AHS Hospital Corp.	5.024%	7/1/45		75			93
	Allergan Finance LLC	4.625%	10/1/42		190			198
	Allergan Funding SCS	3.450%	3/15/22		507			519
	Allergan Funding SCS	3.850%	6/15/24		200			210
	Allergan Funding SCS	3.800%	3/15/25		590			618
	Allergan Funding SCS	4.550%	3/15/35		350			372
	Allergan Funding SCS	4.850%	6/15/44		230			255
	Allergan Funding SCS	4.750%	3/15/45		75			82
	Allergan Inc.	2.800%	3/15/23		100			101
	Allina Health System	3.887%	4/15/49		75			80
	Altria Group Inc.	4.750%	5/5/21		225			233
	Altria Group Inc.	3.490%	2/14/22		200			206
	Altria Group Inc.	2.850%	8/9/22		375			382
	Altria Group Inc.	2.950%	5/2/23		400			404
	Altria Group Inc.	4.000%	1/31/24		250			265
	Altria Group Inc.	4.400%	2/14/26		275			299
	Altria Group Inc.	2.625%	9/16/26		75			74
	Altria Group Inc.	4.800%	2/14/29		575			638
	Altria Group Inc.	5.800%	2/14/39		400			468

152

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Altria Group Inc.	4.250%	8/9/42		275			273
	Altria Group Inc.	4.500%	5/2/43		125			127
	Altria Group Inc.	5.375%	1/31/44		350			394
	Altria Group Inc.	3.875%	9/16/46		175			163
	Altria Group Inc.	5.950%	2/14/49		500			605
	Altria Group Inc.	6.200%	2/14/59		100			118
	AmerisourceBergen Corp.	3.500%	11/15/21		200			205
	AmerisourceBergen Corp.	3.400%	5/15/24		75			78
	AmerisourceBergen Corp.	3.250%	3/1/25		50			52
	AmerisourceBergen Corp.	3.450%	12/15/27		275			285
	AmerisourceBergen Corp.	4.250%	3/1/45		25			25
	AmerisourceBergen Corp.	4.300%	12/15/47		175			179
	Amgen Inc.	4.100%	6/15/21		50			51
	Amgen Inc.	1.850%	8/19/21		125			125
	Amgen Inc.	3.875%	11/15/21		250			258
	Amgen Inc.	2.700%	5/1/22		75			76
	Amgen Inc.	2.650%	5/11/22		275			279
	Amgen Inc.	3.625%	5/15/22		225			233
	Amgen Inc.	2.250%	8/19/23		150			151
	Amgen Inc.	3.625%	5/22/24		500			528
	Amgen Inc.	3.125%	5/1/25		175			183
	Amgen Inc.	2.600%	8/19/26		455			460
	Amgen Inc.	4.950%	10/1/41		300			356
	Amgen Inc.	5.150%	11/15/41		250			302
	Amgen Inc.	4.400%	5/1/45		450			504
	Amgen Inc.	4.563%	6/15/48		356			411
	Amgen Inc.	4.663%	6/15/51		659			775
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	3.650%	2/1/26		770			820
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	4.700%	2/1/36		1,245			1,436
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	4.900%	2/1/46		2,485			2,943
	Anheuser-Busch InBev Finance Inc.	2.625%	1/17/23		254			258
	Anheuser-Busch InBev Finance Inc.	3.300%	2/1/23		568			588
	Anheuser-Busch InBev Finance Inc.	3.700%	2/1/24		100			106
	Anheuser-Busch InBev Finance Inc.	4.000%	1/17/43		300			316
	Anheuser-Busch InBev Finance Inc.	4.625%	2/1/44		200			225
	Anheuser-Busch InBev Finance Inc.	4.900%	2/1/46		275			324
	Anheuser-Busch InBev Worldwide Inc.	4.375%	2/15/21		50			51
	Anheuser-Busch InBev Worldwide Inc.	2.500%	7/15/22		70			71
	Anheuser-Busch InBev Worldwide Inc.	3.500%	1/12/24		150			158
	Anheuser-Busch InBev Worldwide Inc.	4.150%	1/23/25		475			517
	Anheuser-Busch InBev Worldwide Inc.	4.000%	4/13/28		500			549
	Anheuser-Busch InBev Worldwide Inc.	4.750%	1/23/29		875			1,013
	Anheuser-Busch InBev Worldwide Inc.	4.900%	1/23/31		340			405
	Anheuser-Busch InBev Worldwide Inc.	4.375%	4/15/38		275			308
	Anheuser-Busch InBev Worldwide Inc.	8.200%	1/15/39		150			235
	Anheuser-Busch InBev Worldwide Inc.	5.450%	1/23/39		125			157
	Anheuser-Busch InBev Worldwide Inc.	4.950%	1/15/42		325			383
	Anheuser-Busch InBev Worldwide Inc.	3.750%	7/15/42		325			329
	Anheuser-Busch InBev Worldwide Inc.	4.600%	4/15/48		475			540
	Anheuser-Busch InBev Worldwide Inc.	4.439%	10/6/48		626			699
	Anheuser-Busch InBev Worldwide Inc.	5.550%	1/23/49		725			940
	Anheuser-Busch InBev Worldwide Inc.	4.750%	4/15/58		250			292
	Anheuser-Busch InBev Worldwide Inc.	5.800%	1/23/59		125			170
	Archer-Daniels-Midland Co.	4.479%	3/1/21		163			168
	Archer-Daniels-Midland Co.	3.375%	3/15/22		100			103
	Archer-Daniels-Midland Co.	2.500%	8/11/26		200			203
	Archer-Daniels-Midland Co.	5.935%	10/1/32		80			105
	Archer-Daniels-Midland Co.	5.375%	9/15/35		95			120
	Archer-Daniels-Midland Co.	4.535%	3/26/42		50			59
	Archer-Daniels-Midland Co.	4.016%	4/16/43		200			221
	Archer-Daniels-Midland Co.	3.750%	9/15/47		100			109
	Archer-Daniels-Midland Co.	4.500%	3/15/49		125			152
	Ascension Health	2.532%	11/15/29		100			99
	Ascension Health	3.106%	11/15/39		100			98
	Ascension Health	3.945%	11/15/46		175			193
3	Ascension Health	4.847%	11/15/53		75			94
	AstraZeneca plc	2.375%	6/12/22		225			227
	AstraZeneca plc	3.500%	8/17/23		225			235
	AstraZeneca plc	3.375%	11/16/25		250			265
	AstraZeneca plc	3.125%	6/12/27		175			182
	AstraZeneca plc	4.000%	1/17/29		200			222
	AstraZeneca plc	6.450%	9/15/37		450			630
	AstraZeneca plc	4.000%	9/18/42		290			320
	AstraZeneca plc	4.375%	11/16/45		200			234
	AstraZeneca plc	4.375%	8/17/48		135			161
	BAT Capital Corp.	2.764%	8/15/22		325			329
	BAT Capital Corp.	3.222%	8/15/24		650			664
	BAT Capital Corp.	2.789%	9/6/24		200			201
	BAT Capital Corp.	3.215%	9/6/26		200			201
	BAT Capital Corp.	3.557%	8/15/27		675			687
	BAT Capital Corp.	3.462%	9/6/29		125			127
	BAT Capital Corp.	4.390%	8/15/37		525			532
	BAT Capital Corp.	4.540%	8/15/47		475			475
	BAT Capital Corp.	4.758%	9/6/49		250			258
	Baxalta Inc.	3.600%	6/23/22		15			15
	Baxalta Inc.	4.000%	6/23/25		97			104
	Baxalta Inc.	5.250%	6/23/45		73			93
	Baxter International Inc.	1.700%	8/15/21		150			150
	Baxter International Inc.	3.500%	8/15/46		100			97
	Baylor Scott & White Holdings	4.185%	11/15/45		100			112
	Beam Suntory Inc.	3.250%	5/15/22		50			51
	Becton Dickinson & Co.	3.125%	11/8/21		65			66
	Becton Dickinson & Co.	2.894%	6/6/22		350			356
	Becton Dickinson & Co.	3.300%	3/1/23		50			51
	Becton Dickinson & Co.	3.363%	6/6/24		1,100			1,143
	Becton Dickinson & Co.	3.734%	12/15/24		272			288
	Becton Dickinson & Co.	3.700%	6/6/27		375			399
	Becton Dickinson & Co.	4.875%	5/15/44		26			30
	Becton Dickinson & Co.	4.685%	12/15/44		196			227
	Becton Dickinson & Co.	4.669%	6/6/47		300			355
	Bio-Rad Laboratories Inc.	4.875%	12/15/20		75			77
	Biogen Inc.	3.625%	9/15/22		275			286
	Biogen Inc.	4.050%	9/15/25		300			326
	Biogen Inc.	5.200%	9/15/45		350			421
	Boston Scientific Corp.	3.375%	5/15/22		50			52
	Boston Scientific Corp.	3.450%	3/1/24		50			52
	Boston Scientific Corp.	3.850%	5/15/25		77			83
	Boston Scientific Corp.	3.750%	3/1/26		125			134
	Boston Scientific Corp.	4.000%	3/1/29		150			166
	Boston Scientific Corp.	7.000%	11/15/35		100			140
	Boston Scientific Corp.	4.550%	3/1/39		175			205
	Boston Scientific Corp.	7.375%	1/15/40		50			76
	Boston Scientific Corp.	4.700%	3/1/49		200			242
6	Bristol-Myers Squibb Co.	2.875%	2/19/21		125			126
6	Bristol-Myers Squibb Co.	2.550%	5/14/21		225			227
6	Bristol-Myers Squibb Co.	2.250%	8/15/21		75			75
6	Bristol-Myers Squibb Co.	2.600%	5/16/22		300			305
	Bristol-Myers Squibb Co.	2.000%	8/1/22		275			277
6	Bristol-Myers Squibb Co.	3.250%	8/15/22		175			180
6	Bristol-Myers Squibb Co.	3.550%	8/15/22		50			52
6	Bristol-Myers Squibb Co.	2.750%	2/15/23		150			152
6	Bristol-Myers Squibb Co.	3.250%	2/20/23		200			205
	Bristol-Myers Squibb Co.	7.150%	6/15/23		200			233
6	Bristol-Myers Squibb Co.	4.000%	8/15/23		125			133
6	Bristol-Myers Squibb Co.	3.625%	5/15/24		175			184
6	Bristol-Myers Squibb Co.	2.900%	7/26/24		625			644
6	Bristol-Myers Squibb Co.	3.875%	8/15/25		475			513
6	Bristol-Myers Squibb Co.	3.200%	6/15/26		460			482
6	Bristol-Myers Squibb Co.	3.450%	11/15/27		110			117
6	Bristol-Myers Squibb Co.	3.900%	2/20/28		275			300
6	Bristol-Myers Squibb Co.	3.400%	7/26/29		885			945
6	Bristol-Myers Squibb Co.	4.125%	6/15/39		380			438
6	Bristol-Myers Squibb Co.	5.700%	10/15/40		50			66
	Bristol-Myers Squibb Co.	3.250%	8/1/42		100			101
6	Bristol-Myers Squibb Co.	5.250%	8/15/43		150			191
	Bristol-Myers Squibb Co.	4.500%	3/1/44		100			117
6	Bristol-Myers Squibb Co.	4.625%	5/15/44		175			211
6	Bristol-Myers Squibb Co.	5.000%	8/15/45		400			505
6	Bristol-Myers Squibb Co.	4.350%	11/15/47		250			297

153

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
6	Bristol-Myers Squibb Co.	4.550%	2/20/48		275			338
6	Bristol-Myers Squibb Co.	4.250%	10/26/49		725			854
	Brown-Forman Corp.	3.500%	4/15/25		75			80
	Brown-Forman Corp.	4.500%	7/15/45		100			123
	Bunge Ltd. Finance Corp.	3.000%	9/25/22		250			254
	Bunge Ltd. Finance Corp.	4.350%	3/15/24		125			131
	Bunge Ltd. Finance Corp.	3.750%	9/25/27		200			206
	Campbell Soup Co.	3.300%	3/15/21		275			279
	Campbell Soup Co.	3.650%	3/15/23		225			234
	Campbell Soup Co.	3.950%	3/15/25		200			212
	Campbell Soup Co.	3.300%	3/19/25		125			128
	Campbell Soup Co.	4.150%	3/15/28		175			189
	Campbell Soup Co.	3.800%	8/2/42		75			73
	Campbell Soup Co.	4.800%	3/15/48		135			156
	Cardinal Health Inc.	4.625%	12/15/20		100			103
	Cardinal Health Inc.	2.616%	6/15/22		115			116
	Cardinal Health Inc.	3.200%	3/15/23		150			154
	Cardinal Health Inc.	3.079%	6/15/24		290			298
	Cardinal Health Inc.	3.750%	9/15/25		100			106
	Cardinal Health Inc.	3.410%	6/15/27		265			271
	Cardinal Health Inc.	4.600%	3/15/43		75			75
	Cardinal Health Inc.	4.500%	11/15/44		50			49
	Cardinal Health Inc.	4.900%	9/15/45		100			104
	Cardinal Health Inc.	4.368%	6/15/47		125			124
	Children’s Hospital Corp.	4.115%	1/1/47		75			85
	Children’s Hospital Medical Center	4.268%	5/15/44		50			56
	CHRISTUS Health	4.341%	7/1/28		125			138
	Church & Dwight Co. Inc.	2.450%	8/1/22		25			25
	Church & Dwight Co. Inc.	3.150%	8/1/27		100			104
	Church & Dwight Co. Inc.	3.950%	8/1/47		75			82
6	Cigna Corp.	3.300%	2/25/21		150			152
	Cigna Corp.	3.400%	9/17/21		280			286
6	Cigna Corp.	4.750%	11/15/21		425			446
6	Cigna Corp.	3.900%	2/15/22		200			206
6	Cigna Corp.	4.000%	2/15/22		125			129
6	Cigna Corp.	3.050%	11/30/22		100			102
6	Cigna Corp.	3.000%	7/15/23		700			710
	Cigna Corp.	3.750%	7/15/23		200			209
6	Cigna Corp.	3.500%	6/15/24		175			182
6	Cigna Corp.	3.250%	4/15/25		250			257
	Cigna Corp.	4.125%	11/15/25		265			287
6	Cigna Corp.	4.500%	2/25/26		390			422
6	Cigna Corp.	3.400%	3/1/27		275			285
6	Cigna Corp.	7.875%	5/15/27		41			53
6	Cigna Corp.	3.050%	10/15/27		225			226
	Cigna Corp.	4.375%	10/15/28		610			675
	Cigna Corp.	4.800%	8/15/38		340			391
6	Cigna Corp.	6.125%	11/15/41		92			116
6	Cigna Corp.	4.800%	7/15/46		400			460
6	Cigna Corp.	3.875%	10/15/47		120			121
	Cigna Corp.	4.900%	12/15/48		570			676
	City of Hope	5.623%	11/15/43		75			99
	City of Hope	4.378%	8/15/48		100			115
	Cleveland Clinic Foundation	4.858%	1/1/14		75			93
	Clorox Co.	3.800%	11/15/21		250			258
	Clorox Co.	3.050%	9/15/22		100			102
	Clorox Co.	3.500%	12/15/24		175			185
	Clorox Co.	3.100%	10/1/27		50			52
	Clorox Co.	3.900%	5/15/28		50			55
	Coca-Cola Co.	1.875%	10/27/20		400			400
	Coca-Cola Co.	1.550%	9/1/21		175			175
	Coca-Cola Co.	3.300%	9/1/21		250			256
	Coca-Cola Co.	2.200%	5/25/22		100			101
	Coca-Cola Co.	3.200%	11/1/23		225			236
	Coca-Cola Co.	1.750%	9/6/24		100			100
	Coca-Cola Co.	2.875%	10/27/25		300			313
	Coca-Cola Co.	2.550%	6/1/26		100			102
	Coca-Cola Co.	2.250%	9/1/26		410			413
	Coca-Cola Co.	2.900%	5/25/27		50			52
	Coca-Cola Co.	2.125%	9/6/29		125			122
	Coca-Cola Consolidated Inc.	3.800%	11/25/25		125			131
	Coca-Cola Femsa SAB de CV	3.875%	11/26/23		250			264
	Coca-Cola Femsa SAB de CV	5.250%	11/26/43		150			185
	Colgate-Palmolive Co.	2.450%	11/15/21		75			76
	Colgate-Palmolive Co.	2.250%	11/15/22		75			76
	Colgate-Palmolive Co.	2.100%	5/1/23		280			282
	Colgate-Palmolive Co.	3.250%	3/15/24		100			106
	Colgate-Palmolive Co.	4.000%	8/15/45		125			149
	Colgate-Palmolive Co.	3.700%	8/1/47		50			58
	CommonSpirit Health	2.950%	11/1/22		75			76
	CommonSpirit Health	2.760%	10/1/24		100			101
	CommonSpirit Health	3.347%	10/1/29		175			176
3	CommonSpirit Health	4.350%	11/1/42		225			231
	CommonSpirit Health	3.817%	10/1/49		50			49
	CommonSpirit Health	4.187%	10/1/49		200			199
	Conagra Brands Inc.	3.800%	10/22/21		225			232
	Conagra Brands Inc.	3.250%	9/15/22		75			77
	Conagra Brands Inc.	3.200%	1/25/23		151			156
	Conagra Brands Inc.	4.300%	5/1/24		200			215
	Conagra Brands Inc.	4.600%	11/1/25		150			165
	Conagra Brands Inc.	7.000%	10/1/28		75			93
	Conagra Brands Inc.	4.850%	11/1/28		250			285
	Conagra Brands Inc.	8.250%	9/15/30		50			69
	Conagra Brands Inc.	5.300%	11/1/38		200			237
	Conagra Brands Inc.	5.400%	11/1/48		225			274
	Constellation Brands Inc.	3.750%	5/1/21		100			102
	Constellation Brands Inc.	2.700%	5/9/22		50			51
	Constellation Brands Inc.	2.650%	11/7/22		250			253
	Constellation Brands Inc.	3.200%	2/15/23		250			257
	Constellation Brands Inc.	4.250%	5/1/23		200			212
	Constellation Brands Inc.	4.750%	11/15/24		175			193
	Constellation Brands Inc.	4.400%	11/15/25		100			109
	Constellation Brands Inc.	3.700%	12/6/26		100			106
	Constellation Brands Inc.	3.500%	5/9/27		150			156
	Constellation Brands Inc.	3.600%	2/15/28		175			184
	Constellation Brands Inc.	4.650%	11/15/28		75			84
	Constellation Brands Inc.	3.150%	8/1/29		225			227
	Constellation Brands Inc.	4.500%	5/9/47		75			81
	Constellation Brands Inc.	4.100%	2/15/48		100			104
	Constellation Brands Inc.	5.250%	11/15/48		100			121
	Covidien International Finance SA	3.200%	6/15/22		200			205
	CVS Health Corp.	3.350%	3/9/21		383			389
	CVS Health Corp.	2.125%	6/1/21		250			250
	CVS Health Corp.	3.500%	7/20/22		350			361
	CVS Health Corp.	2.750%	12/1/22		150			152
	CVS Health Corp.	4.750%	12/1/22		150			160
	CVS Health Corp.	3.700%	3/9/23		1,155			1,202
	CVS Health Corp.	4.000%	12/5/23		195			206
	CVS Health Corp.	3.375%	8/12/24		475			494
	CVS Health Corp.	4.100%	3/25/25		905			970
	CVS Health Corp.	3.875%	7/20/25		765			815
	CVS Health Corp.	2.875%	6/1/26		425			431
	CVS Health Corp.	4.300%	3/25/28		1,635			1,782
	CVS Health Corp.	3.250%	8/15/29		360			365
	CVS Health Corp.	4.875%	7/20/35		125			142
	CVS Health Corp.	4.780%	3/25/38		1,000			1,131
	CVS Health Corp.	6.125%	9/15/39		75			96
	CVS Health Corp.	5.300%	12/5/43		150			178
	CVS Health Corp.	5.125%	7/20/45		875			1,030
	CVS Health Corp.	5.050%	3/25/48		1,550			1,833
	Danaher Corp.	3.350%	9/15/25		100			106
	Danaher Corp.	4.375%	9/15/45		75			88
	Dartmouth-Hitchcock Health	4.178%	8/1/48		100			111
	Delhaize America LLC	9.000%	4/15/31		100			147
	DH Europe Finance II Sarl	2.050%	11/15/22		250			250
	DH Europe Finance II Sarl	2.200%	11/15/24		250			249
	DH Europe Finance II Sarl	2.600%	11/15/29		150			149
	DH Europe Finance II Sarl	3.250%	11/15/39		175			176
	DH Europe Finance II Sarl	3.400%	11/15/49		175			179
	Diageo Capital plc	2.625%	4/29/23		500			508
	Diageo Capital plc	2.125%	10/24/24		200			200
	Diageo Capital plc	2.375%	10/24/29		200			197

154

Total Bond Market Index Portfolio 

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
Diageo Capital plc	5.875%	9/30/36		50			68
Diageo Capital plc	3.875%	4/29/43		100			110
Diageo Investment Corp.	2.875%	5/11/22		300			306
Diageo Investment Corp.	4.250%	5/11/42		150			173
Dignity Health	3.125%	11/1/22		50			51
Dignity Health	3.812%	11/1/24		100			105
Dignity Health	4.500%	11/1/42		100			104
Dignity Health	5.267%	11/1/64		50			57
Duke University Health System Inc.	3.920%	6/1/47		100			111
Edwards Lifesciences Corp.	4.300%	6/15/28		100			111
Eli Lilly & Co.	2.350%	5/15/22		50			51
Eli Lilly & Co.	2.750%	6/1/25		71			73
Eli Lilly & Co.	3.375%	3/15/29		225			242
Eli Lilly & Co.	3.950%	3/15/49		400			461
Eli Lilly & Co.	4.150%	3/15/59		350			411
Estee Lauder Cos. Inc.	1.700%	5/10/21		225			224
Estee Lauder Cos. Inc.	3.150%	3/15/27		150			159
Estee Lauder Cos. Inc.	2.375%	12/1/29		25			25
Estee Lauder Cos. Inc.	6.000%	5/15/37		75			103
Estee Lauder Cos. Inc.	4.375%	6/15/45		100			119
Estee Lauder Cos. Inc.	4.150%	3/15/47		100			116
Estee Lauder Cos. Inc.	3.125%	12/1/49		125			125
Flowers Foods Inc.	4.375%	4/1/22		50			52
Flowers Foods Inc.	3.500%	10/1/26		75			77
Fomento Economico Mexicano SAB de CV	4.375%	5/10/43		100			111
General Mills Inc.	3.150%	12/15/21		25			26
General Mills Inc.	2.600%	10/12/22		250			254
General Mills Inc.	3.700%	10/17/23		575			606
General Mills Inc.	3.650%	2/15/24		100			105
General Mills Inc.	3.200%	2/10/27		150			157
General Mills Inc.	4.200%	4/17/28		225			250
General Mills Inc.	4.550%	4/17/38		75			87
General Mills Inc.	5.400%	6/15/40		100			123
General Mills Inc.	4.150%	2/15/43		100			107
General Mills Inc.	4.700%	4/17/48		75			89
Gilead Sciences Inc.	4.500%	4/1/21		150			154
Gilead Sciences Inc.	4.400%	12/1/21		725			756
Gilead Sciences Inc.	3.250%	9/1/22		375			387
Gilead Sciences Inc.	2.500%	9/1/23		300			304
Gilead Sciences Inc.	3.700%	4/1/24		470			499
Gilead Sciences Inc.	3.500%	2/1/25		335			355
Gilead Sciences Inc.	3.650%	3/1/26		575			618
Gilead Sciences Inc.	2.950%	3/1/27		225			233
Gilead Sciences Inc.	4.600%	9/1/35		100			120
Gilead Sciences Inc.	4.000%	9/1/36		150			166
Gilead Sciences Inc.	5.650%	12/1/41		175			230
Gilead Sciences Inc.	4.800%	4/1/44		300			359
Gilead Sciences Inc.	4.500%	2/1/45		325			375
Gilead Sciences Inc.	4.750%	3/1/46		505			603
Gilead Sciences Inc.	4.150%	3/1/47		475			525
GlaxoSmithKline Capital Inc.	2.800%	3/18/23		50			51
GlaxoSmithKline Capital Inc.	3.375%	5/15/23		225			234
GlaxoSmithKline Capital Inc.	3.625%	5/15/25		325			348
GlaxoSmithKline Capital Inc.	3.875%	5/15/28		375			413
GlaxoSmithKline Capital Inc.	5.375%	4/15/34		85			108
GlaxoSmithKline Capital Inc.	6.375%	5/15/38		550			786
GlaxoSmithKline Capital Inc.	4.200%	3/18/43		100			116
GlaxoSmithKline Capital plc	3.125%	5/14/21		375			381
GlaxoSmithKline Capital plc	2.850%	5/8/22		100			102
GlaxoSmithKline Capital plc	2.875%	6/1/22		350			357
GlaxoSmithKline Capital plc	3.000%	6/1/24		200			207
GlaxoSmithKline Capital plc	3.375%	6/1/29		200			214
Hackensack Meridian Health Inc.	4.211%	7/1/48		125			140
Hackensack Meridian Health Inc.	4.500%	7/1/57		50			59
Hasbro Inc.	3.900%	11/19/29		175			176
Hasbro Inc.	6.350%	3/15/40		125			146
Hasbro Inc.	5.100%	5/15/44		50			50
HCA Inc.	4.750%	5/1/23		250			267
HCA Inc.	5.000%	3/15/24		375			409
HCA Inc.	5.250%	4/15/25		320			358
HCA Inc.	5.250%	6/15/26		275			308
HCA Inc.	4.500%	2/15/27		25			27
HCA Inc.	4.125%	6/15/29		405			429
HCA Inc.	5.125%	6/15/39		100			111
HCA Inc.	5.500%	6/15/47		375			433
HCA Inc.	5.250%	6/15/49		400			450
Hershey Co.	4.125%	12/1/20		75			76
Hershey Co.	3.100%	5/15/21		75			76
Hershey Co.	2.625%	5/1/23		100			102
Hershey Co.	3.375%	5/15/23		150			157
Hershey Co.	2.050%	11/15/24		55			55
Hershey Co.	3.200%	8/21/25		65			68
Hershey Co.	2.300%	8/15/26		100			101
Hershey Co.	2.450%	11/15/29		130			130
Hershey Co.	3.125%	11/15/49		150			148
Indiana University Health Inc. Obligated Group	3.970%	11/1/48		125			140
Ingredion Inc.	3.200%	10/1/26		100			101
JM Smucker Co.	3.500%	10/15/21		175			179
JM Smucker Co.	3.000%	3/15/22		100			102
JM Smucker Co.	3.500%	3/15/25		175			184
JM Smucker Co.	3.375%	12/15/27		150			156
JM Smucker Co.	4.250%	3/15/35		100			108
JM Smucker Co.	4.375%	3/15/45		125			136
Johns Hopkins Health System Corp.	3.837%	5/15/46		100			109
Johnson & Johnson	1.950%	11/10/20		200			200
Johnson & Johnson	1.650%	3/1/21		275			274
Johnson & Johnson	2.250%	3/3/22		325			328
Johnson & Johnson	2.050%	3/1/23		125			126
Johnson & Johnson	3.375%	12/5/23		200			212
Johnson & Johnson	2.625%	1/15/25		250			258
Johnson & Johnson	2.450%	3/1/26		350			355
Johnson & Johnson	2.950%	3/3/27		200			210
Johnson & Johnson	2.900%	1/15/28		100			104
Johnson & Johnson	6.950%	9/1/29		75			105
Johnson & Johnson	4.950%	5/15/33		150			187
Johnson & Johnson	4.375%	12/5/33		175			208
Johnson & Johnson	3.550%	3/1/36		175			192
Johnson & Johnson	3.625%	3/3/37		300			331
Johnson & Johnson	5.950%	8/15/37		300			427
Johnson & Johnson	3.400%	1/15/38		200			214
Johnson & Johnson	4.500%	9/1/40		150			182
Johnson & Johnson	4.850%	5/15/41		75			95
Johnson & Johnson	4.500%	12/5/43		200			246
Johnson & Johnson	3.700%	3/1/46		350			395
Johnson & Johnson	3.750%	3/3/47		200			228
Johnson & Johnson	3.500%	1/15/48		200			216
Kaiser Foundation Hospitals	3.500%	4/1/22		50			52
Kaiser Foundation Hospitals	3.150%	5/1/27		100			104
Kaiser Foundation Hospitals	4.875%	4/1/42		235			288
Kaiser Foundation Hospitals	4.150%	5/1/47		150			171
Kaiser Foundation Hospitals	3.266%	11/1/49		200			201
Kellogg Co.	4.000%	12/15/20		28			28
Kellogg Co.	2.650%	12/1/23		126			128
Kellogg Co.	3.250%	4/1/26		125			130
Kellogg Co.	3.400%	11/15/27		125			131
Kellogg Co.	7.450%	4/1/31		25			35
Kellogg Co.	4.500%	4/1/46		250			278
Keurig Dr Pepper Inc.	3.551%	5/25/21		300			306
Keurig Dr Pepper Inc.	2.700%	11/15/22		50			50
Keurig Dr Pepper Inc.	4.057%	5/25/23		375			395
Keurig Dr Pepper Inc.	3.130%	12/15/23		350			359
Keurig Dr Pepper Inc.	4.417%	5/25/25		175			191
Keurig Dr Pepper Inc.	3.400%	11/15/25		100			104
Keurig Dr Pepper Inc.	2.550%	9/15/26		75			75
Keurig Dr Pepper Inc.	3.430%	6/15/27		100			104
Keurig Dr Pepper Inc.	4.597%	5/25/28		395			444
Keurig Dr Pepper Inc.	7.450%	5/1/38		16			22
Keurig Dr Pepper Inc.	4.985%	5/25/38		100			118
Keurig Dr Pepper Inc.	4.500%	11/15/45		200			218
Keurig Dr Pepper Inc.	4.420%	12/15/46		125			135

155

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Kimberly-Clark Corp.	3.050%	8/15/25		50			52
	Kimberly-Clark Corp.	2.750%	2/15/26		100			103
	Kimberly-Clark Corp.	3.950%	11/1/28		50			56
	Kimberly-Clark Corp.	3.200%	4/25/29		150			160
	Kimberly-Clark Corp.	6.625%	8/1/37		250			368
	Kimberly-Clark Corp.	5.300%	3/1/41		25			33
	Kimberly-Clark Corp.	3.200%	7/30/46		175			176
	Koninklijke Ahold Delhaize NV	5.700%	10/1/40		37			45
	Koninklijke Philips NV	6.875%	3/11/38		100			140
	Koninklijke Philips NV	5.000%	3/15/42		150			179
	Kraft Foods Group Inc.	6.875%	1/26/39		200			250
	Kraft Foods Group Inc.	6.500%	2/9/40		50			61
	Kraft Foods Group Inc.	5.000%	6/4/42		235			251
	Kraft Heinz Foods Co.	3.500%	7/15/22		256			264
	Kraft Heinz Foods Co.	4.000%	6/15/23		240			252
	Kraft Heinz Foods Co.	3.950%	7/15/25		360			381
	Kraft Heinz Foods Co.	3.000%	6/1/26		400			400
	Kraft Heinz Foods Co.	4.625%	1/30/29		200			219
6	Kraft Heinz Foods Co.	3.750%	4/1/30		200			205
	Kraft Heinz Foods Co.	5.000%	7/15/35		195			217
6	Kraft Heinz Foods Co.	4.625%	10/1/39		100			104
	Kraft Heinz Foods Co.	5.200%	7/15/45		495			534
	Kraft Heinz Foods Co.	4.375%	6/1/46		700			689
6	Kraft Heinz Foods Co.	4.875%	10/1/49		300			312
	Kroger Co.	3.300%	1/15/21		250			253
	Kroger Co.	2.600%	2/1/21		50			50
	Kroger Co.	2.950%	11/1/21		150			152
	Kroger Co.	3.400%	4/15/22		75			77
	Kroger Co.	2.800%	8/1/22		100			102
	Kroger Co.	4.000%	2/1/24		100			106
	Kroger Co.	3.500%	2/1/26		160			167
	Kroger Co.	2.650%	10/15/26		140			140
	Kroger Co.	3.700%	8/1/27		100			107
	Kroger Co.	7.700%	6/1/29		50			67
	Kroger Co.	8.000%	9/15/29		125			171
	Kroger Co.	7.500%	4/1/31		100			137
	Kroger Co.	5.400%	7/15/40		50			58
	Kroger Co.	5.000%	4/15/42		125			139
	Kroger Co.	5.150%	8/1/43		100			112
	Kroger Co.	3.875%	10/15/46		50			49
	Kroger Co.	4.450%	2/1/47		225			238
	Kroger Co.	4.650%	1/15/48		150			163
	Laboratory Corp. of America Holdings	3.200%	2/1/22		500			510
	Laboratory Corp. of America Holdings	3.750%	8/23/22		25			26
	Laboratory Corp. of America Holdings	3.250%	9/1/24		150			156
	Laboratory Corp. of America Holdings	2.300%	12/1/24		100			100
	Laboratory Corp. of America Holdings	3.600%	2/1/25		200			210
	Laboratory Corp. of America Holdings	3.600%	9/1/27		100			105
	Laboratory Corp. of America Holdings	2.950%	12/1/29		125			125
	Laboratory Corp. of America Holdings	4.700%	2/1/45		195			219
3	Mayo Clinic	3.774%	11/15/43		75			81
3	Mayo Clinic	4.128%	11/15/52		50			56
	McCormick & Co. Inc.	3.900%	7/15/21		50			51
	McCormick & Co. Inc.	3.150%	8/15/24		150			155
	McCormick & Co. Inc.	3.400%	8/15/27		150			156
	McKesson Corp.	3.796%	3/15/24		200			210
	McKesson Corp.	3.950%	2/16/28		200			212
	Mead Johnson Nutrition Co.	3.000%	11/15/20		150			151
	Mead Johnson Nutrition Co.	4.125%	11/15/25		125			137
	Mead Johnson Nutrition Co.	5.900%	11/1/39		100			134
	Mead Johnson Nutrition Co.	4.600%	6/1/44		150			180
	Medtronic Inc.	3.150%	3/15/22		325			334
	Medtronic Inc.	3.500%	3/15/25		397			425
	Medtronic Inc.	4.375%	3/15/35		611			721
	Medtronic Inc.	4.625%	3/15/45		344			431
	Memorial Health Services	3.447%	11/1/49		150			147
	Memorial Sloan-Kettering Cancer Center	4.125%	7/1/52		150			173
	Memorial Sloan-Kettering Cancer Center	4.200%	7/1/55		25			29
	Merck & Co. Inc.	3.875%	1/15/21		225			229
	Merck & Co. Inc.	2.350%	2/10/22		250			253
	Merck & Co. Inc.	2.400%	9/15/22		250			253
	Merck & Co. Inc.	2.800%	5/18/23		325			335
	Merck & Co. Inc.	2.900%	3/7/24		25			26
	Merck & Co. Inc.	2.750%	2/10/25		525			542
	Merck & Co. Inc.	3.400%	3/7/29		275			297
	Merck & Co. Inc.	6.500%	12/1/33		125			176
	Merck & Co. Inc.	3.900%	3/7/39		200			228
	Merck & Co. Inc.	3.600%	9/15/42		100			108
	Merck & Co. Inc.	4.150%	5/18/43		200			236
	Merck & Co. Inc.	3.700%	2/10/45		525			580
	Merck & Co. Inc.	4.000%	3/7/49		375			436
	Mercy Health	4.302%	7/1/28		25			28
	Molson Coors Beverage Co.	2.100%	7/15/21		100			100
	Molson Coors Beverage Co.	3.500%	5/1/22		25			26
	Molson Coors Beverage Co.	3.000%	7/15/26		375			379
	Molson Coors Beverage Co.	5.000%	5/1/42		100			109
	Molson Coors Beverage Co.	4.200%	7/15/46		475			473
6	Mondelez International Holdings Netherlands BV	2.125%	9/19/22		200			200
	Mondelez International Inc.	3.625%	2/13/26		100			107
3	Montefiore Obligated Group	5.246%	11/1/48		150			168
3	Mount Sinai Hospitals Group Inc.	3.981%	7/1/48		50			52
3	Mount Sinai Hospitals Group Inc.	3.737%	7/1/49		100			99
	Mylan Inc.	4.200%	11/29/23		100			106
	Mylan Inc.	4.550%	4/15/28		150			161
	Mylan Inc.	5.400%	11/29/43		125			136
	Mylan Inc.	5.200%	4/15/48		125			138
	Mylan NV	3.150%	6/15/21		400			404
	Mylan NV	3.950%	6/15/26		375			389
	Mylan NV	5.250%	6/15/46		200			223
	New York & Presbyterian Hospital	4.024%	8/1/45		130			145
	New York & Presbyterian Hospital	4.063%	8/1/56		75			81
	New York & Presbyterian Hospital	3.954%	8/1/19		125			125
	Northwell Healthcare Inc.	3.979%	11/1/46		100			102
	Northwell Healthcare Inc.	4.260%	11/1/47		200			214
	Northwell Healthcare Inc.	3.809%	11/1/49		100			100
	Novartis Capital Corp.	2.400%	5/17/22		400			405
	Novartis Capital Corp.	2.400%	9/21/22		175			178
	Novartis Capital Corp.	3.400%	5/6/24		400			423
	Novartis Capital Corp.	3.000%	11/20/25		350			367
	Novartis Capital Corp.	3.100%	5/17/27		175			184
	Novartis Capital Corp.	3.700%	9/21/42		100			110
	Novartis Capital Corp.	4.400%	5/6/44		375			455
	Novartis Capital Corp.	4.000%	11/20/45		225			261
	NYU Hospitals Center	4.784%	7/1/44		100			120
3	NYU Hospitals Center	4.368%	7/1/47		110			123
	Orlando Health Obligated Group	4.089%	10/1/48		50			55
	Partners Healthcare System Inc.	4.117%	7/1/55		50			55
	PeaceHealth Obligated Group	4.787%	11/15/48		75			92
	PepsiCo Inc.	2.000%	4/15/21		300			301
	PepsiCo Inc.	3.000%	8/25/21		150			153
	PepsiCo Inc.	1.700%	10/6/21		175			175
	PepsiCo Inc.	2.750%	3/5/22		375			383
	PepsiCo Inc.	2.250%	5/2/22		150			151
	PepsiCo Inc.	3.600%	3/1/24		700			744
	PepsiCo Inc.	2.750%	4/30/25		200			207
	PepsiCo Inc.	3.500%	7/17/25		125			134
	PepsiCo Inc.	2.375%	10/6/26		225			228
	PepsiCo Inc.	3.000%	10/15/27		325			343
	PepsiCo Inc.	2.625%	7/29/29		200			204
	PepsiCo Inc.	4.000%	3/5/42		175			199
	PepsiCo Inc.	3.600%	8/13/42		100			107
	PepsiCo Inc.	4.250%	10/22/44		225			265
	PepsiCo Inc.	4.600%	7/17/45		75			93
	PepsiCo Inc.	4.450%	4/14/46		275			338
	PepsiCo Inc.	3.450%	10/6/46		300			317
	PepsiCo Inc.	4.000%	5/2/47		100			115
	PepsiCo Inc.	3.375%	7/29/49		200			209
	PepsiCo Inc.	2.875%	10/15/49		325			311
	PerkinElmer Inc.	3.300%	9/15/29		175			178
	Perrigo Finance Unlimited Co.	3.900%	12/15/24		200			206
	Perrigo Finance Unlimited Co.	4.375%	3/15/26		225			232

156

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Perrigo Finance Unlimited Co.	4.900%	12/15/44		80			74
	Pfizer Inc.	1.950%	6/3/21		225			226
	Pfizer Inc.	3.000%	9/15/21		125			127
	Pfizer Inc.	2.200%	12/15/21		100			101
	Pfizer Inc.	2.800%	3/11/22		200			204
	Pfizer Inc.	3.200%	9/15/23		125			130
	Pfizer Inc.	2.950%	3/15/24		150			156
	Pfizer Inc.	3.400%	5/15/24		100			106
	Pfizer Inc.	2.750%	6/3/26		290			299
	Pfizer Inc.	3.000%	12/15/26		300			315
	Pfizer Inc.	3.600%	9/15/28		200			218
	Pfizer Inc.	3.450%	3/15/29		375			403
	Pfizer Inc.	4.000%	12/15/36		200			228
	Pfizer Inc.	4.100%	9/15/38		150			171
	Pfizer Inc.	3.900%	3/15/39		125			141
	Pfizer Inc.	7.200%	3/15/39		425			666
	Pfizer Inc.	4.300%	6/15/43		125			147
	Pfizer Inc.	4.400%	5/15/44		200			239
	Pfizer Inc.	4.125%	12/15/46		250			288
	Pfizer Inc.	4.200%	9/15/48		450			527
	Pfizer Inc.	4.000%	3/15/49		250			289
	Pharmacia LLC	6.600%	12/1/28		175			230
	Philip Morris International Inc.	1.875%	2/25/21		125			125
	Philip Morris International Inc.	2.500%	11/2/22		300			305
	Philip Morris International Inc.	2.625%	3/6/23		100			102
	Philip Morris International Inc.	2.125%	5/10/23		95			95
	Philip Morris International Inc.	3.600%	11/15/23		500			526
	Philip Morris International Inc.	2.875%	5/1/24		220			226
	Philip Morris International Inc.	3.250%	11/10/24		250			262
	Philip Morris International Inc.	3.375%	8/11/25		150			158
	Philip Morris International Inc.	2.750%	2/25/26		180			182
	Philip Morris International Inc.	3.125%	3/2/28		100			103
	Philip Morris International Inc.	3.375%	8/15/29		200			209
	Philip Morris International Inc.	6.375%	5/16/38		200			278
	Philip Morris International Inc.	4.375%	11/15/41		350			388
	Philip Morris International Inc.	4.500%	3/20/42		125			140
	Philip Morris International Inc.	3.875%	8/21/42		25			26
	Philip Morris International Inc.	4.125%	3/4/43		175			189
	Philip Morris International Inc.	4.875%	11/15/43		155			182
	Philip Morris International Inc.	4.250%	11/10/44		200			220
3	Procter & Gamble - Esop	9.360%	1/1/21		83			87
	Procter & Gamble Co.	1.900%	10/23/20		100			100
	Procter & Gamble Co.	1.850%	2/2/21		100			100
	Procter & Gamble Co.	1.700%	11/3/21		125			125
	Procter & Gamble Co.	2.300%	2/6/22		425			431
	Procter & Gamble Co.	3.100%	8/15/23		150			157
	Procter & Gamble Co.	2.700%	2/2/26		100			104
	Procter & Gamble Co.	2.450%	11/3/26		100			103
	Procter & Gamble Co.	3.500%	10/25/47		225			253
	Providence St. Joseph Health Obligated Group	2.746%	10/1/26		50			50
	Providence St. Joseph Health Obligated Group	2.532%	10/1/29		150			147
3	Providence St. Joseph Health Obligated Group	3.744%	10/1/47		75			78
3	Providence St. Joseph Health Obligated Group	3.930%	10/1/48		75			80
	Quest Diagnostics Inc.	4.250%	4/1/24		100			107
	Quest Diagnostics Inc.	3.500%	3/30/25		100			105
	Quest Diagnostics Inc.	3.450%	6/1/26		125			131
	Quest Diagnostics Inc.	4.200%	6/30/29		140			154
	Quest Diagnostics Inc.	2.950%	6/30/30		160			160
	Quest Diagnostics Inc.	5.750%	1/30/40		13			14
	Quest Diagnostics Inc.	4.700%	3/30/45		25			28
	Reynolds American Inc.	4.000%	6/12/22		175			182
	Reynolds American Inc.	4.850%	9/15/23		125			135
	Reynolds American Inc.	4.450%	6/12/25		475			511
	Reynolds American Inc.	5.700%	8/15/35		175			202
	Reynolds American Inc.	7.250%	6/15/37		100			128
	Reynolds American Inc.	6.150%	9/15/43		75			87
	Reynolds American Inc.	5.850%	8/15/45		375			429
	RWJ Barnabas Health Inc.	3.949%	7/1/46		100			106
	RWJ Barnabas Health Inc.	3.477%	7/1/49		25			25
	Sanofi	4.000%	3/29/21		350			359
	Sanofi	3.375%	6/19/23		225			236
	Sanofi	3.625%	6/19/28		225			250
	Shire Acquisitions Investments Ireland DAC	2.400%	9/23/21		700			703
	Shire Acquisitions Investments Ireland DAC	2.875%	9/23/23		625			636
	Shire Acquisitions Investments Ireland DAC	3.200%	9/23/26		575			592
	Spectrum Health System Obligated Group	3.487%	7/15/49		75			75
	SSM Health Care Corp.	3.688%	6/1/23		150			156
	SSM Health Care Corp.	3.823%	6/1/27		100			106
	Stanford Health Care	3.795%	11/15/48		125			135
	Stryker Corp.	2.625%	3/15/21		150			151
	Stryker Corp.	3.375%	5/15/24		213			223
	Stryker Corp.	3.375%	11/1/25		140			147
	Stryker Corp.	3.500%	3/15/26		183			194
	Stryker Corp.	3.650%	3/7/28		50			54
	Stryker Corp.	4.100%	4/1/43		75			81
	Stryker Corp.	4.375%	5/15/44		50			57
	Stryker Corp.	4.625%	3/15/46		175			210
	Sutter Health	3.695%	8/15/28		75			80
	Sutter Health	4.091%	8/15/48		75			83
	Sysco Corp.	2.500%	7/15/21		75			76
	Sysco Corp.	2.600%	6/12/22		125			127
	Sysco Corp.	3.750%	10/1/25		75			80
	Sysco Corp.	3.300%	7/15/26		250			263
	Sysco Corp.	3.250%	7/15/27		175			183
	Sysco Corp.	4.850%	10/1/45		50			60
	Sysco Corp.	4.500%	4/1/46		200			229
	Sysco Corp.	4.450%	3/15/48		100			114
	Takeda Pharmaceutical Co. Ltd.	4.000%	11/26/21		200			207
	Takeda Pharmaceutical Co. Ltd.	4.400%	11/26/23		200			214
	Takeda Pharmaceutical Co. Ltd.	5.000%	11/26/28		405			471
3	Texas Health Resources	4.330%	11/15/55		25			29
	Thermo Fisher Scientific Inc.	3.000%	4/15/23		125			128
	Thermo Fisher Scientific Inc.	3.650%	12/15/25		400			427
	Thermo Fisher Scientific Inc.	2.950%	9/19/26		200			206
	Thermo Fisher Scientific Inc.	3.200%	8/15/27		50			52
	Thermo Fisher Scientific Inc.	2.600%	10/1/29		225			222
	Thermo Fisher Scientific Inc.	5.300%	2/1/44		185			234
	Toledo Hospital	5.325%	11/15/28		50			54
	Trinity Health Corp.	4.125%	12/1/45		85			93
	Tyson Foods Inc.	2.250%	8/23/21		50			50
	Tyson Foods Inc.	4.500%	6/15/22		275			289
	Tyson Foods Inc.	3.900%	9/28/23		100			106
	Tyson Foods Inc.	3.950%	8/15/24		925			989
	Tyson Foods Inc.	3.550%	6/2/27		275			292
	Tyson Foods Inc.	4.350%	3/1/29		280			317
	Tyson Foods Inc.	4.875%	8/15/34		100			117
	Tyson Foods Inc.	5.150%	8/15/44		200			242
	Tyson Foods Inc.	4.550%	6/2/47		150			170
	Tyson Foods Inc.	5.100%	9/28/48		275			346
	Unilever Capital Corp.	4.250%	2/10/21		200			205
	Unilever Capital Corp.	2.750%	3/22/21		100			101
	Unilever Capital Corp.	1.375%	7/28/21		100			99
	Unilever Capital Corp.	3.000%	3/7/22		100			102
	Unilever Capital Corp.	3.250%	3/7/24		250			262
	Unilever Capital Corp.	2.600%	5/5/24		450			460
	Unilever Capital Corp.	3.100%	7/30/25		225			235
	Unilever Capital Corp.	2.000%	7/28/26		125			124
	Unilever Capital Corp.	3.500%	3/22/28		200			216
	Unilever Capital Corp.	2.125%	9/6/29		175			170
	Unilever Capital Corp.	5.900%	11/15/32		200			271
	Whirlpool Corp.	4.700%	6/1/22		100			106
	Whirlpool Corp.	4.000%	3/1/24		50			53
	Whirlpool Corp.	3.700%	5/1/25		75			79
	Whirlpool Corp.	4.750%	2/26/29		150			167

157

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Whirlpool Corp.	4.500%	6/1/46		100			103
3	Willis-Knighton Medical Center	4.813%	9/1/48		50			60
	Wyeth LLC	7.250%	3/1/23		250			289
	Wyeth LLC	6.450%	2/1/24		300			350
	Wyeth LLC	6.500%	2/1/34		150			209
	Wyeth LLC	6.000%	2/15/36		85			113
	Wyeth LLC	5.950%	4/1/37		385			524
	Zeneca Wilmington Inc.	7.000%	11/15/23		25			29
	Zimmer Biomet Holdings Inc.	3.375%	11/30/21		100			102
	Zimmer Biomet Holdings Inc.	3.150%	4/1/22		175			179
	Zimmer Biomet Holdings Inc.	3.700%	3/19/23		50			52
	Zimmer Biomet Holdings Inc.	3.550%	4/1/25		350			368
	Zimmer Biomet Holdings Inc.	5.750%	11/30/39		50			59
	Zimmer Biomet Holdings Inc.	4.450%	8/15/45		150			157
	Zoetis Inc.	3.450%	11/13/20		75			76
	Zoetis Inc.	3.250%	8/20/21		50			51
	Zoetis Inc.	3.250%	2/1/23		350			361
	Zoetis Inc.	4.500%	11/13/25		100			111
	Zoetis Inc.	3.000%	9/12/27		150			153
	Zoetis Inc.	3.900%	8/20/28		100			108
	Zoetis Inc.	4.700%	2/1/43		175			208
	Zoetis Inc.	3.950%	9/12/47		150			163
	Zoetis Inc.	4.450%	8/20/48		75			88
	Energy (2.4%)
	Apache Corp.	3.625%	2/1/21		17			17
	Apache Corp.	3.250%	4/15/22		21			21
	Apache Corp.	4.375%	10/15/28		400			417
	Apache Corp.	5.100%	9/1/40		350			355
	Apache Corp.	5.250%	2/1/42		100			104
	Apache Corp.	4.750%	4/15/43		200			191
	Apache Corp.	4.250%	1/15/44		150			138
	Baker Hughes a GE Co. LLC	5.125%	9/15/40		175			206
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	2.773%	12/15/22		425			433
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	3.337%	12/15/27		200			208
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	3.138%	11/7/29		250			256
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	4.080%	12/15/47		275			282
	Boardwalk Pipelines LP	3.375%	2/1/23		100			102
	Boardwalk Pipelines LP	4.950%	12/15/24		150			162
	Boardwalk Pipelines LP	5.950%	6/1/26		200			224
	Boardwalk Pipelines LP	4.450%	7/15/27		100			103
	Boardwalk Pipelines LP	4.800%	5/3/29		100			106
	BP Capital Markets America Inc.	4.742%	3/11/21		350			362
	BP Capital Markets America Inc.	3.245%	5/6/22		250			258
	BP Capital Markets America Inc.	2.520%	9/19/22		50			51
	BP Capital Markets America Inc.	2.750%	5/10/23		300			307
	BP Capital Markets America Inc.	3.216%	11/28/23		1,082			1,124
	BP Capital Markets America Inc.	3.796%	9/21/25		125			135
	BP Capital Markets America Inc.	3.410%	2/11/26		100			106
	BP Capital Markets America Inc.	3.119%	5/4/26		550			573
	BP Capital Markets America Inc.	3.017%	1/16/27		400			414
	BP Capital Markets America Inc.	3.937%	9/21/28		175			193
	BP Capital Markets America Inc.	4.234%	11/6/28		100			113
	BP Capital Markets plc	3.062%	3/17/22		25			26
	BP Capital Markets plc	2.500%	11/6/22		450			458
	BP Capital Markets plc	3.994%	9/26/23		200			213
	BP Capital Markets plc	3.814%	2/10/24		400			427
	BP Capital Markets plc	3.535%	11/4/24		68			72
	BP Capital Markets plc	3.506%	3/17/25		200			213
	BP Capital Markets plc	3.279%	9/19/27		150			158
	BP Capital Markets plc	3.723%	11/28/28		100			109
	Burlington Resources Finance Co.	7.400%	12/1/31		175			249
	Canadian Natural Resources Ltd.	3.450%	11/15/21		100			102
	Canadian Natural Resources Ltd.	2.950%	1/15/23		200			204
	Canadian Natural Resources Ltd.	3.850%	6/1/27		750			798
	Canadian Natural Resources Ltd.	7.200%	1/15/32		150			203
	Canadian Natural Resources Ltd.	6.450%	6/30/33		125			160
	Canadian Natural Resources Ltd.	5.850%	2/1/35		100			123
	Canadian Natural Resources Ltd.	6.500%	2/15/37		50			65
	Canadian Natural Resources Ltd.	6.250%	3/15/38		100			129
	Canadian Natural Resources Ltd.	4.950%	6/1/47		140			170
	Cenovus Energy Inc.	3.800%	9/15/23		351			364
	Cenovus Energy Inc.	4.250%	4/15/27		225			237
	Cenovus Energy Inc.	5.250%	6/15/37		150			165
	Cenovus Energy Inc.	6.750%	11/15/39		300			382
	Cenovus Energy Inc.	5.400%	6/15/47		300			350
	Cheniere Corpus Christi Holdings LLC	7.000%	6/30/24		200			230
	Cheniere Corpus Christi Holdings LLC	5.875%	3/31/25		225			253
	Cheniere Corpus Christi Holdings LLC	5.125%	6/30/27		475			526
6	Cheniere Corpus Christi Holdings LLC	3.700%	11/15/29		300			307
	Chevron Corp.	2.100%	5/16/21		300			301
	Chevron Corp.	2.498%	3/3/22		100			102
	Chevron Corp.	2.355%	12/5/22		1,130			1,145
	Chevron Corp.	3.191%	6/24/23		225			234
	Chevron Corp.	2.895%	3/3/24		100			103
	Chevron Corp.	2.954%	5/16/26		400			418
	Cimarex Energy Co.	4.375%	6/1/24		200			211
	Cimarex Energy Co.	3.900%	5/15/27		250			258
	Cimarex Energy Co.	4.375%	3/15/29		100			106
	Columbia Pipeline Group Inc.	4.500%	6/1/25		300			328
	Columbia Pipeline Group Inc.	5.800%	6/1/45		100			127
	Concho Resources Inc.	3.750%	10/1/27		400			419
	Concho Resources Inc.	4.875%	10/1/47		200			233
	Concho Resources Inc.	4.850%	8/15/48		125			145
	ConocoPhillips	5.900%	10/15/32		450			588
	ConocoPhillips	5.900%	5/15/38		450			611
	ConocoPhillips	6.500%	2/1/39		200			290
	ConocoPhillips Canada Funding Co. I	5.950%	10/15/36		200			268
	ConocoPhillips Co.	4.300%	11/15/44		125			146
	ConocoPhillips Holding Co.	6.950%	4/15/29		350			475
	Continental Resources Inc.	5.000%	9/15/22		175			176
	Continental Resources Inc.	4.500%	4/15/23		200			209
	Continental Resources Inc.	4.375%	1/15/28		200			212
	Continental Resources Inc.	4.900%	6/1/44		100			107
	Devon Energy Corp.	5.850%	12/15/25		100			118
	Devon Energy Corp.	7.950%	4/15/32		163			231
	Devon Energy Corp.	5.600%	7/15/41		325			395
	Devon Energy Corp.	4.750%	5/15/42		200			224
	Devon Financing Co. LLC	7.875%	9/30/31		160			220
	Diamondback Energy Inc.	2.875%	12/1/24		200			202
	Diamondback Energy Inc.	3.250%	12/1/26		200			202
	Diamondback Energy Inc.	3.500%	12/1/29		250			254
	Dominion Energy Gas Holdings LLC	2.500%	11/15/24		100			100
	Dominion Energy Gas Holdings LLC	3.600%	12/15/24		200			210
	Dominion Energy Gas Holdings LLC	3.000%	11/15/29		100			99
	Dominion Energy Gas Holdings LLC	4.600%	12/15/44		200			217
	Enable Midstream Partners LP	3.900%	5/15/24		150			153
	Enable Midstream Partners LP	4.400%	3/15/27		150			147
	Enable Midstream Partners LP	4.950%	5/15/28		100			101
	Enable Midstream Partners LP	4.150%	9/15/29		200			189
	Enable Midstream Partners LP	5.000%	5/15/44		100			90
	Enbridge Energy Partners LP	5.875%	10/15/25		150			175
	Enbridge Energy Partners LP	7.500%	4/15/38		150			214
	Enbridge Energy Partners LP	5.500%	9/15/40		75			89
	Enbridge Energy Partners LP	7.375%	10/15/45		125			186
	Enbridge Inc.	2.900%	7/15/22		75			76
	Enbridge Inc.	2.500%	1/15/25		100			101
	Enbridge Inc.	3.700%	7/15/27		150			158
	Enbridge Inc.	3.125%	11/15/29		200			202
	Enbridge Inc.	4.500%	6/10/44		100			110
	Enbridge Inc.	4.000%	11/15/49		100			104
	Encana Corp.	6.500%	8/15/34		300			352
	Encana Corp.	6.625%	8/15/37		200			237
	Encana Corp.	6.500%	2/1/38		100			117
	Energy Transfer Operating LP	4.650%	6/1/21		105			108
	Energy Transfer Operating LP	3.600%	2/1/23		450			461
	Energy Transfer Operating LP	4.250%	3/15/23		400			418
	Energy Transfer Operating LP	4.200%	9/15/23		80			84

158

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Energy Transfer Operating LP	4.050%	3/15/25		1,000			1,048
	Energy Transfer Operating LP	4.750%	1/15/26		100			108
	Energy Transfer Operating LP	4.200%	4/15/27		100			105
	Energy Transfer Operating LP	5.500%	6/1/27		380			427
	Energy Transfer Operating LP	5.250%	4/15/29		325			364
	Energy Transfer Operating LP	6.250%	4/15/49		320			385
	Energy Transfer Partners LP	4.950%	6/15/28		350			383
	Energy Transfer Partners LP	6.625%	10/15/36		150			178
	Energy Transfer Partners LP	5.800%	6/15/38		150			169
	Energy Transfer Partners LP	6.050%	6/1/41		100			112
	Energy Transfer Partners LP	6.500%	2/1/42		275			327
	Energy Transfer Partners LP	5.150%	3/15/45		150			158
	Energy Transfer Partners LP	6.125%	12/15/45		200			231
	Energy Transfer Partners LP	5.300%	4/15/47		200			214
	Energy Transfer Partners LP	6.000%	6/15/48		100			116
	Enterprise Products Operating LLC	2.800%	2/15/21		125			126
	Enterprise Products Operating LLC	3.500%	2/1/22		100			103
	Enterprise Products Operating LLC	3.350%	3/15/23		425			439
	Enterprise Products Operating LLC	3.900%	2/15/24		175			186
	Enterprise Products Operating LLC	3.750%	2/15/25		150			160
	Enterprise Products Operating LLC	3.700%	2/15/26		200			213
	Enterprise Products Operating LLC	3.950%	2/15/27		100			108
	Enterprise Products Operating LLC	3.125%	7/31/29		550			565
	Enterprise Products Operating LLC	6.875%	3/1/33		175			238
	Enterprise Products Operating LLC	7.550%	4/15/38		150			216
	Enterprise Products Operating LLC	6.125%	10/15/39		300			390
	Enterprise Products Operating LLC	5.950%	2/1/41		175			225
	Enterprise Products Operating LLC	4.450%	2/15/43		300			328
	Enterprise Products Operating LLC	4.850%	3/15/44		370			428
	Enterprise Products Operating LLC	5.100%	2/15/45		33			39
	Enterprise Products Operating LLC	4.900%	5/15/46		425			498
	Enterprise Products Operating LLC	4.250%	2/15/48		300			324
	Enterprise Products Operating LLC	4.800%	2/1/49		120			141
	Enterprise Products Operating LLC	4.200%	1/31/50		250			268
	Enterprise Products Operating LLC	4.950%	10/15/54		100			116
3	Enterprise Products Operating LLC	5.250%	8/16/77		100			100
3	Enterprise Products Operating LLC	5.375%	2/15/78		200			198
	EOG Resources Inc.	4.100%	2/1/21		350			358
	EOG Resources Inc.	2.625%	3/15/23		450			458
	EOG Resources Inc.	4.150%	1/15/26		150			165
	EOG Resources Inc.	3.900%	4/1/35		75			83
	EQM Midstream Partners LP	4.750%	7/15/23		275			276
	EQM Midstream Partners LP	4.000%	8/1/24		100			97
	EQM Midstream Partners LP	4.125%	12/1/26		100			94
	EQM Midstream Partners LP	5.500%	7/15/28		150			147
	EQT Corp.	4.875%	11/15/21		125			128
	EQT Corp.	3.000%	10/1/22		150			147
	EQT Corp.	3.900%	10/1/27		200			186
	EQT Midstream Partners LP	6.500%	7/15/48		110			103
	Exxon Mobil Corp.	2.222%	3/1/21		400			402
	Exxon Mobil Corp.	2.397%	3/6/22		350			354
	Exxon Mobil Corp.	1.902%	8/16/22		300			302
	Exxon Mobil Corp.	2.726%	3/1/23		350			358
	Exxon Mobil Corp.	2.019%	8/16/24		100			100
	Exxon Mobil Corp.	2.709%	3/6/25		300			310
	Exxon Mobil Corp.	3.043%	3/1/26		300			315
	Exxon Mobil Corp.	2.275%	8/16/26		200			200
	Exxon Mobil Corp.	2.440%	8/16/29		250			251
	Exxon Mobil Corp.	2.995%	8/16/39		200			200
	Exxon Mobil Corp.	3.567%	3/6/45		235			251
	Exxon Mobil Corp.	4.114%	3/1/46		400			468
	Exxon Mobil Corp.	3.095%	8/16/49		300			297
	Halliburton Co.	3.500%	8/1/23		225			234
	Halliburton Co.	3.800%	11/15/25		350			373
	Halliburton Co.	4.850%	11/15/35		200			226
	Halliburton Co.	6.700%	9/15/38		345			455
	Halliburton Co.	4.500%	11/15/41		100			107
	Halliburton Co.	4.750%	8/1/43		150			165
	Halliburton Co.	5.000%	11/15/45		400			455
	Helmerich & Payne Inc.	4.650%	3/15/25		50			54
	Hess Corp.	3.500%	7/15/24		100			103
	Hess Corp.	4.300%	4/1/27		250			266
	Hess Corp.	7.125%	3/15/33		100			127
	Hess Corp.	6.000%	1/15/40		150			177
	Hess Corp.	5.600%	2/15/41		300			350
	Hess Corp.	5.800%	4/1/47		125			152
	HollyFrontier Corp.	5.875%	4/1/26		200			225
	Husky Energy Inc.	4.000%	4/15/24		150			158
	Husky Energy Inc.	4.400%	4/15/29		250			269
	Husky Energy Inc.	6.800%	9/15/37		50			65
	Kinder Morgan Energy Partners LP	5.000%	10/1/21		150			156
	Kinder Morgan Energy Partners LP	3.450%	2/15/23		25			26
	Kinder Morgan Energy Partners LP	3.500%	9/1/23		250			259
	Kinder Morgan Energy Partners LP	4.300%	5/1/24		625			668
	Kinder Morgan Energy Partners LP	7.300%	8/15/33		275			363
	Kinder Morgan Energy Partners LP	5.800%	3/15/35		50			59
	Kinder Morgan Energy Partners LP	6.500%	2/1/37		250			312
	Kinder Morgan Energy Partners LP	6.950%	1/15/38		50			66
	Kinder Morgan Energy Partners LP	6.500%	9/1/39		200			253
	Kinder Morgan Energy Partners LP	6.550%	9/15/40		250			317
	Kinder Morgan Energy Partners LP	5.625%	9/1/41		50			58
	Kinder Morgan Energy Partners LP	5.000%	8/15/42		25			27
	Kinder Morgan Energy Partners LP	4.700%	11/1/42		475			502
	Kinder Morgan Energy Partners LP	5.000%	3/1/43		75			82
6	Kinder Morgan Inc.	5.000%	2/15/21		75			77
	Kinder Morgan Inc.	3.150%	1/15/23		200			204
	Kinder Morgan Inc.	4.300%	6/1/25		300			325
	Kinder Morgan Inc.	4.300%	3/1/28		500			544
	Kinder Morgan Inc.	7.800%	8/1/31		290			397
	Kinder Morgan Inc.	7.750%	1/15/32		265			363
	Kinder Morgan Inc.	5.300%	12/1/34		175			206
	Kinder Morgan Inc.	5.550%	6/1/45		200			239
	Kinder Morgan Inc.	5.050%	2/15/46		350			391
	Magellan Midstream Partners LP	4.250%	2/1/21		100			102
	Magellan Midstream Partners LP	5.150%	10/15/43		125			146
	Magellan Midstream Partners LP	4.250%	9/15/46		200			212
	Magellan Midstream Partners LP	4.200%	10/3/47		100			105
	Magellan Midstream Partners LP	4.850%	2/1/49		100			115
	Magellan Midstream Partners LP	3.950%	3/1/50		100			103
	Marathon Oil Corp.	2.800%	11/1/22		175			178
	Marathon Oil Corp.	3.850%	6/1/25		200			211
	Marathon Oil Corp.	6.800%	3/15/32		400			507
	Marathon Oil Corp.	5.200%	6/1/45		100			116
	Marathon Petroleum Corp.	5.125%	3/1/21		375			388
	Marathon Petroleum Corp.	5.375%	10/1/22		200			202
	Marathon Petroleum Corp.	4.750%	12/15/23		500			543
	Marathon Petroleum Corp.	5.125%	12/15/26		200			226
	Marathon Petroleum Corp.	3.800%	4/1/28		25			26
	Marathon Petroleum Corp.	4.750%	9/15/44		250			272
	Marathon Petroleum Corp.	5.850%	12/15/45		200			228
	Marathon Petroleum Corp.	4.500%	4/1/48		100			105
6	MPLX LP	3.500%	12/1/22		25			26
	MPLX LP	3.375%	3/15/23		100			103
	MPLX LP	4.500%	7/15/23		200			212
	MPLX LP	4.875%	12/1/24		513			556
	MPLX LP	4.875%	6/1/25		100			109
	MPLX LP	4.125%	3/1/27		300			314
6	MPLX LP	4.250%	12/1/27		400			420
	MPLX LP	4.000%	3/15/28		400			414
	MPLX LP	4.500%	4/15/38		300			305
	MPLX LP	5.200%	3/1/47		250			268
6	MPLX LP	5.200%	12/1/47		100			105
	MPLX LP	4.700%	4/15/48		275			277
	MPLX LP	5.500%	2/15/49		300			340
	MPLX LP	4.900%	4/15/58		150			153
	National Fuel Gas Co.	3.750%	3/1/23		275			282
	National Fuel Gas Co.	4.750%	9/1/28		50			53
	National Oilwell Varco Inc.	2.600%	12/1/22		35			35
	National Oilwell Varco Inc.	3.600%	12/1/29		200			200
	National Oilwell Varco Inc.	3.950%	12/1/42		125			117
	Newfield Exploration Co.	5.750%	1/30/22		200			212
	Newfield Exploration Co.	5.625%	7/1/24		100			110

159

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
Newfield Exploration Co.	5.375%	1/1/26		300			325
Noble Energy Inc.	3.850%	1/15/28		100			105
Noble Energy Inc.	3.250%	10/15/29		200			202
Noble Energy Inc.	6.000%	3/1/41		100			120
Noble Energy Inc.	5.250%	11/15/43		375			423
Noble Energy Inc.	5.050%	11/15/44		150			165
Noble Energy Inc.	4.950%	8/15/47		100			111
Noble Energy Inc.	4.200%	10/15/49		100			101
Occidental Petroleum Corp.	4.100%	2/1/21		350			355
Occidental Petroleum Corp.	2.600%	8/13/21		150			151
Occidental Petroleum Corp.	3.125%	2/15/22		100			102
Occidental Petroleum Corp.	2.600%	4/15/22		288			290
Occidental Petroleum Corp.	2.700%	8/15/22		400			404
Occidental Petroleum Corp.	6.950%	7/1/24		250			293
Occidental Petroleum Corp.	2.900%	8/15/24		600			609
Occidental Petroleum Corp.	3.500%	6/15/25		150			155
Occidental Petroleum Corp.	5.550%	3/15/26		200			227
Occidental Petroleum Corp.	3.400%	4/15/26		225			230
Occidental Petroleum Corp.	3.200%	8/15/26		400			404
Occidental Petroleum Corp.	3.500%	8/15/29		400			408
Occidental Petroleum Corp.	7.875%	9/15/31		50			66
Occidental Petroleum Corp.	6.450%	9/15/36		200			244
Occidental Petroleum Corp.	7.950%	6/15/39		25			34
Occidental Petroleum Corp.	4.300%	8/15/39		150			152
Occidental Petroleum Corp.	6.200%	3/15/40		515			613
Occidental Petroleum Corp.	4.500%	7/15/44		400			400
Occidental Petroleum Corp.	4.625%	6/15/45		200			205
Occidental Petroleum Corp.	4.400%	4/15/46		500			505
Occidental Petroleum Corp.	4.100%	2/15/47		50			48
Occidental Petroleum Corp.	4.200%	3/15/48		25			25
Occidental Petroleum Corp.	4.400%	8/15/49		150			154
ONEOK Inc.	7.500%	9/1/23		100			116
ONEOK Inc.	2.750%	9/1/24		100			101
ONEOK Inc.	4.000%	7/13/27		50			53
ONEOK Inc.	4.350%	3/15/29		100			108
ONEOK Inc.	3.400%	9/1/29		245			248
ONEOK Inc.	4.950%	7/13/47		200			219
ONEOK Inc.	4.450%	9/1/49		150			154
ONEOK Partners LP	3.375%	10/1/22		400			412
ONEOK Partners LP	6.650%	10/1/36		300			379
ONEOK Partners LP	6.850%	10/15/37		300			385
ONEOK Partners LP	6.125%	2/1/41		150			180
Patterson-UTI Energy Inc.	3.950%	2/1/28		95			92
Patterson-UTI Energy Inc.	5.150%	11/15/29		100			102
Petro-Canada	6.800%	5/15/38		225			321
Phillips 66	4.300%	4/1/22		275			288
Phillips 66	3.900%	3/15/28		300			326
Phillips 66	4.650%	11/15/34		200			233
Phillips 66	4.875%	11/15/44		474			571
Phillips 66 Partners LP	2.450%	12/15/24		50			50
Phillips 66 Partners LP	3.605%	2/15/25		125			130
Phillips 66 Partners LP	3.750%	3/1/28		50			52
Phillips 66 Partners LP	3.150%	12/15/29		100			99
Phillips 66 Partners LP	4.680%	2/15/45		245			264
Pioneer Natural Resources Co.	3.950%	7/15/22		200			208
Pioneer Natural Resources Co.	4.450%	1/15/26		225			247
Plains All American Pipeline LP / PAA Finance Corp.	5.000%	2/1/21		100			102
Plains All American Pipeline LP / PAA Finance Corp.	3.650%	6/1/22		100			103
Plains All American Pipeline LP / PAA Finance Corp.	2.850%	1/31/23		289			292
Plains All American Pipeline LP / PAA Finance Corp.	3.600%	11/1/24		790			810
Plains All American Pipeline LP / PAA Finance Corp.	4.500%	12/15/26		100			106
Plains All American Pipeline LP / PAA Finance Corp.	3.550%	12/15/29		200			197
Plains All American Pipeline LP / PAA Finance Corp.	4.300%	1/31/43		225			205
Plains All American Pipeline LP / PAA Finance Corp.	4.700%	6/15/44		200			194
Regency Energy Partners LP / Regency Energy Finance Corp.	5.875%	3/1/22		175			186
Regency Energy Partners LP / Regency Energy Finance Corp.	5.000%	10/1/22		200			212
Regency Energy Partners LP / Regency Energy Finance Corp.	4.500%	11/1/23		100			106
Sabine Pass Liquefaction LLC	5.625%	2/1/21		500			514
Sabine Pass Liquefaction LLC	6.250%	3/15/22		325			349
Sabine Pass Liquefaction LLC	5.625%	4/15/23		350			381
Sabine Pass Liquefaction LLC	5.750%	5/15/24		400			446
Sabine Pass Liquefaction LLC	5.625%	3/1/25		400			449
Sabine Pass Liquefaction LLC	5.875%	6/30/26		500			574
Sabine Pass Liquefaction LLC	5.000%	3/15/27		200			220
Sabine Pass Liquefaction LLC	4.200%	3/15/28		100			106
Schlumberger Investment SA	3.650%	12/1/23		325			342
Shell International Finance BV	1.875%	5/10/21		200			200
Shell International Finance BV	1.750%	9/12/21		200			200
Shell International Finance BV	2.250%	1/6/23		100			101
Shell International Finance BV	3.400%	8/12/23		75			79
Shell International Finance BV	2.000%	11/7/24		200			200
Shell International Finance BV	3.250%	5/11/25		200			211
Shell International Finance BV	2.875%	5/10/26		500			518
Shell International Finance BV	2.500%	9/12/26		900			913
Shell International Finance BV	3.875%	11/13/28		100			111
Shell International Finance BV	2.375%	11/7/29		700			693
Shell International Finance BV	4.125%	5/11/35		300			350
Shell International Finance BV	6.375%	12/15/38		475			693
Shell International Finance BV	5.500%	3/25/40		125			169
Shell International Finance BV	4.550%	8/12/43		300			362
Shell International Finance BV	4.375%	5/11/45		400			476
Shell International Finance BV	4.000%	5/10/46		700			797
Shell International Finance BV	3.125%	11/7/49		400			394
Spectra Energy Partners LP	4.750%	3/15/24		600			652
Spectra Energy Partners LP	3.500%	3/15/25		50			52
Spectra Energy Partners LP	3.375%	10/15/26		205			212
Spectra Energy Partners LP	5.950%	9/25/43		40			50
Spectra Energy Partners LP	4.500%	3/15/45		325			357
Suncor Energy Inc.	3.600%	12/1/24		100			106
Suncor Energy Inc.	5.950%	12/1/34		75			98
Suncor Energy Inc.	6.500%	6/15/38		525			729
Suncor Energy Inc.	4.000%	11/15/47		150			163
Sunoco Logistics Partners Operations LP	4.400%	4/1/21		425			435
Sunoco Logistics Partners Operations LP	3.450%	1/15/23		50			51
Sunoco Logistics Partners Operations LP	4.250%	4/1/24		225			236
Sunoco Logistics Partners Operations LP	4.000%	10/1/27		150			155
Sunoco Logistics Partners Operations LP	4.950%	1/15/43		175			174
Sunoco Logistics Partners Operations LP	5.300%	4/1/44		325			343
Sunoco Logistics Partners Operations LP	5.350%	5/15/45		50			53
Sunoco Logistics Partners Operations LP	5.400%	10/1/47		275			297
TC PipeLines LP	3.900%	5/25/27		50			52
TechnipFMC plc	3.450%	10/1/22		75			76
Total Capital Canada Ltd.	2.750%	7/15/23		125			128
Total Capital International SA	2.750%	6/19/21		300			304
Total Capital International SA	2.218%	7/12/21		250			251
Total Capital International SA	2.875%	2/17/22		300			306
Total Capital International SA	2.700%	1/25/23		50			51
Total Capital International SA	3.700%	1/15/24		525			557
Total Capital International SA	2.434%	1/10/25		175			177
Total Capital International SA	3.455%	2/19/29		225			243
Total Capital International SA	2.829%	1/10/30		200			205
Total Capital International SA	3.461%	7/12/49		200			210
Total Capital SA	4.125%	1/28/21		75			77
Total Capital SA	3.883%	10/11/28		100			112
TransCanada PipeLines Ltd.	2.500%	8/1/22		500			502

160

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	TransCanada PipeLines Ltd.	4.875%	1/15/26		100			112
	TransCanada PipeLines Ltd.	4.250%	5/15/28		250			277
	TransCanada PipeLines Ltd.	4.625%	3/1/34		250			286
	TransCanada PipeLines Ltd.	5.600%	3/31/34		150			182
	TransCanada PipeLines Ltd.	5.850%	3/15/36		300			363
	TransCanada PipeLines Ltd.	6.200%	10/15/37		425			551
	TransCanada PipeLines Ltd.	4.750%	5/15/38		250			285
	TransCanada PipeLines Ltd.	5.000%	10/16/43		150			174
	TransCanada PipeLines Ltd.	4.875%	5/15/48		300			352
	TransCanada PipeLines Ltd.	5.100%	3/15/49		200			242
	Transcontinental Gas Pipe Line Co. LLC	4.000%	3/15/28		100			106
	Transcontinental Gas Pipe Line Co. LLC	4.600%	3/15/48		100			107
	Valero Energy Corp.	4.350%	6/1/28		350			384
	Valero Energy Corp.	7.500%	4/15/32		650			902
	Valero Energy Corp.	4.900%	3/15/45		75			87
	Valero Energy Partners LP	4.375%	12/15/26		100			109
	Valero Energy Partners LP	4.500%	3/15/28		75			82
	Western Midstream Operating LP	5.375%	6/1/21		300			308
	Western Midstream Operating LP	3.950%	6/1/25		100			100
	Western Midstream Operating LP	4.650%	7/1/26		100			103
	Western Midstream Operating LP	4.500%	3/1/28		50			48
	Western Midstream Operating LP	4.750%	8/15/28		50			50
	Western Midstream Operating LP	5.450%	4/1/44		325			283
	Western Midstream Operating LP	5.300%	3/1/48		100			86
	Williams Cos. Inc.	4.000%	11/15/21		100			103
	Williams Cos. Inc.	3.600%	3/15/22		475			488
	Williams Cos. Inc.	3.350%	8/15/22		125			128
	Williams Cos. Inc.	3.700%	1/15/23		200			206
	Williams Cos. Inc.	4.550%	6/24/24		400			431
	Williams Cos. Inc.	3.900%	1/15/25		325			340
	Williams Cos. Inc.	3.750%	6/15/27		500			519
	Williams Cos. Inc.	6.300%	4/15/40		100			124
	Williams Cos. Inc.	5.800%	11/15/43		100			119
	Williams Cos. Inc.	5.400%	3/4/44		400			449
	Williams Cos. Inc.	5.750%	6/24/44		100			118
	Williams Cos. Inc.	5.100%	9/15/45		350			389
	Williams Cos. Inc.	4.850%	3/1/48		150			165
	Other Industrial (0.1%)
3	American University	3.672%	4/1/49		75			80
3	Boston University	4.061%	10/1/48		50			57
	California Institute of Technology	4.321%	8/1/45		70			84
	California Institute of Technology	4.700%	11/1/11		50			61
	California Institute of Technology	3.650%	9/1/19		50			48
	CBRE Services Inc.	5.250%	3/15/25		100			112
	CBRE Services Inc.	4.875%	3/1/26		125			140
	Cintas Corp. No. 2	2.900%	4/1/22		100			102
	Cintas Corp. No. 2	3.250%	6/1/22		75			77
	Cintas Corp. No. 2	3.700%	4/1/27		175			190
	Fluor Corp.	3.500%	12/15/24		250			255
	Fluor Corp.	4.250%	9/15/28		125			126
	Georgetown University	4.315%	4/1/49		68			82
	Georgetown University	5.215%	10/1/18		59			76
	Hillenbrand Inc.	4.500%	9/15/26		75			78
3	Johns Hopkins University	4.083%	7/1/53		75			87
3	Massachusetts Institute of Technology	3.959%	7/1/38		125			140
	Massachusetts Institute of Technology	2.989%	7/1/50		85			84
	Massachusetts Institute of Technology	5.600%	7/1/11		130			198
	Massachusetts Institute of Technology	4.678%	7/1/14		175			226
3	Northwestern University	4.643%	12/1/44		75			93
3	Northwestern University	3.662%	12/1/57		75			83
	President & Fellows of Harvard College	4.875%	10/15/40		225			286
	President & Fellows of Harvard College	3.150%	7/15/46		100			101
	Steelcase Inc.	5.125%	1/18/29		125			141
3	Trustees of Boston College	3.129%	7/1/52		100			97
3	University of Chicago	4.003%	10/1/53		100			114
3	University of Notre Dame du Lac	3.438%	2/15/45		100			106
	University of Notre Dame du Lac	3.394%	2/15/48		125			133
	University of Pennsylvania	4.674%	9/1/12		50			65
	University of Pennsylvania	3.610%	2/15/19		150			153
3	University of Southern California	3.028%	10/1/39		100			100
3	University of Southern California	3.841%	10/1/47		200			222
3	William Marsh Rice University	3.574%	5/15/45		150			160
	Technology (2.2%)
	Adobe Inc.	3.250%	2/1/25		175			185
	Alphabet Inc.	3.625%	5/19/21		150			154
	Altera Corp.	4.100%	11/15/23		75			81
	Amphenol Corp.	3.200%	4/1/24		50			52
	Amphenol Corp.	2.800%	2/15/30		275			271
	Analog Devices Inc.	2.875%	6/1/23		450			459
	Analog Devices Inc.	3.125%	12/5/23		75			77
	Analog Devices Inc.	3.500%	12/5/26		200			210
	Apple Inc.	2.000%	11/13/20		225			226
	Apple Inc.	2.250%	2/23/21		750			754
	Apple Inc.	2.850%	5/6/21		555			563
	Apple Inc.	1.550%	8/4/21		375			374
	Apple Inc.	2.150%	2/9/22		225			227
	Apple Inc.	2.500%	2/9/22		1,000			1,015
	Apple Inc.	2.300%	5/11/22		200			202
	Apple Inc.	2.700%	5/13/22		250			255
	Apple Inc.	2.100%	9/12/22		200			202
	Apple Inc.	2.400%	1/13/23		282			286
	Apple Inc.	2.850%	2/23/23		342			351
	Apple Inc.	2.400%	5/3/23		865			879
	Apple Inc.	3.000%	2/9/24		325			336
	Apple Inc.	3.450%	5/6/24		75			80
	Apple Inc.	2.850%	5/11/24		1,243			1,285
	Apple Inc.	1.800%	9/11/24		150			149
	Apple Inc.	2.750%	1/13/25		575			593
	Apple Inc.	3.250%	2/23/26		705			746
	Apple Inc.	2.450%	8/4/26		450			456
	Apple Inc.	3.200%	5/11/27		775			816
	Apple Inc.	2.900%	9/12/27		655			681
	Apple Inc.	2.200%	9/11/29		300			294
	Apple Inc.	4.500%	2/23/36		225			273
	Apple Inc.	3.850%	5/4/43		450			503
	Apple Inc.	4.450%	5/6/44		200			244
	Apple Inc.	3.450%	2/9/45		225			236
	Apple Inc.	4.375%	5/13/45		225			271
	Apple Inc.	4.650%	2/23/46		910			1,136
	Apple Inc.	3.850%	8/4/46		375			421
	Apple Inc.	4.250%	2/9/47		200			237
	Apple Inc.	3.750%	9/12/47		525			579
	Apple Inc.	2.950%	9/11/49		675			656
	Applied Materials Inc.	3.900%	10/1/25		145			158
	Applied Materials Inc.	3.300%	4/1/27		225			239
	Applied Materials Inc.	5.100%	10/1/35		100			126
	Applied Materials Inc.	5.850%	6/15/41		125			170
	Applied Materials Inc.	4.350%	4/1/47		175			211
	Arrow Electronics Inc.	3.500%	4/1/22		75			77
	Arrow Electronics Inc.	4.500%	3/1/23		50			52
	Arrow Electronics Inc.	3.250%	9/8/24		171			175
	Arrow Electronics Inc.	4.000%	4/1/25		50			52
	Arrow Electronics Inc.	3.875%	1/12/28		100			103
	Autodesk Inc.	3.600%	12/15/22		25			26
	Autodesk Inc.	4.375%	6/15/25		100			109
	Autodesk Inc.	3.500%	6/15/27		75			78
	Avnet Inc.	4.875%	12/1/22		170			180
	Avnet Inc.	4.625%	4/15/26		100			106
	Baidu Inc.	3.500%	11/28/22		275			283
	Baidu Inc.	3.875%	9/29/23		200			209
	Baidu Inc.	4.375%	5/14/24		200			213
	Baidu Inc.	3.625%	7/6/27		200			206
	Baidu Inc.	4.375%	3/29/28		100			108
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	2.200%	1/15/21		150			150
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.000%	1/15/22		642			652
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	2.650%	1/15/23		250			251

161

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.625%	1/15/24		450			466
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.125%	1/15/25		480			486
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.875%	1/15/27		925			959
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.500%	1/15/28		200			202
6	Broadcom Inc.	3.125%	4/15/21		400			405
6	Broadcom Inc.	3.125%	10/15/22		250			254
6	Broadcom Inc.	3.625%	10/15/24		607			629
6	Broadcom Inc.	4.250%	4/15/26		500			531
6	Broadcom Inc.	4.750%	4/15/29		945			1,032
	Broadridge Financial Solutions Inc.	3.400%	6/27/26		100			104
	Broadridge Financial Solutions Inc.	2.900%	12/1/29		75			75
	Cadence Design Systems Inc.	4.375%	10/15/24		100			107
	Cisco Systems Inc.	2.200%	2/28/21		675			678
	Cisco Systems Inc.	3.000%	6/15/22		125			129
	Cisco Systems Inc.	2.200%	9/20/23		150			151
	Cisco Systems Inc.	3.625%	3/4/24		875			935
	Cisco Systems Inc.	2.950%	2/28/26		100			105
	Cisco Systems Inc.	2.500%	9/20/26		225			229
	Cisco Systems Inc.	5.500%	1/15/40		800			1,089
	Citrix Systems Inc.	4.500%	12/1/27		100			108
	Corning Inc.	2.900%	5/15/22		175			179
	Corning Inc.	4.700%	3/15/37		275			303
	Corning Inc.	5.750%	8/15/40		195			243
	Corning Inc.	4.750%	3/15/42		100			113
	Corning Inc.	4.375%	11/15/57		150			151
6	Dell International LLC / EMC Corp.	4.420%	6/15/21		850			874
6	Dell International LLC / EMC Corp.	5.450%	6/15/23		700			758
6	Dell International LLC / EMC Corp.	4.000%	7/15/24		100			105
6	Dell International LLC / EMC Corp.	6.020%	6/15/26		1,075			1,237
6	Dell International LLC / EMC Corp.	4.900%	10/1/26		250			275
6	Dell International LLC / EMC Corp.	5.300%	10/1/29		325			365
6	Dell International LLC / EMC Corp.	8.100%	7/15/36		320			420
6	Dell International LLC / EMC Corp.	8.350%	7/15/46		425			582
	DXC Technology Co.	4.250%	4/15/24		250			265
	Equifax Inc.	2.300%	6/1/21		200			201
	Equifax Inc.	3.600%	8/15/21		25			26
	Equifax Inc.	3.950%	6/15/23		50			53
	Equifax Inc.	2.600%	12/1/24		75			75
	Equinix Inc.	2.625%	11/18/24		200			201
	Equinix Inc.	5.875%	1/15/26		500			531
	Equinix Inc.	2.900%	11/18/26		100			100
	Equinix Inc.	3.200%	11/18/29		250			251
	Fidelity National Information Services Inc.	3.500%	4/15/23		143			149
	Fidelity National Information Services Inc.	3.875%	6/5/24		150			159
	Fidelity National Information Services Inc.	3.000%	8/15/26		414			427
	Fidelity National Information Services Inc.	3.750%	5/21/29		200			218
	Fiserv Inc.	3.800%	10/1/23		200			211
	Fiserv Inc.	2.750%	7/1/24		400			407
	Fiserv Inc.	3.850%	6/1/25		200			213
	Fiserv Inc.	3.200%	7/1/26		200			207
	Fiserv Inc.	3.500%	7/1/29		944			992
	Fiserv Inc.	4.400%	7/1/49		415			471
	Flex Ltd.	4.875%	6/15/29		50			54
	FLIR Systems Inc.	3.125%	6/15/21		50			50
	Global Payments Inc.	2.650%	2/15/25		200			201
	Global Payments Inc.	3.200%	8/15/29		250			254
	Global Payments Inc.	4.150%	8/15/49		150			160
	Hewlett Packard Enterprise Co.	3.600%	10/15/20		575			581
	Hewlett Packard Enterprise Co.	3.500%	10/5/21		100			102
	Hewlett Packard Enterprise Co.	4.400%	10/15/22		350			369
	Hewlett Packard Enterprise Co.	2.250%	4/1/23		200			200
	Hewlett Packard Enterprise Co.	4.900%	10/15/25		500			554
	Hewlett Packard Enterprise Co.	6.200%	10/15/35		150			180
	Hewlett Packard Enterprise Co.	6.350%	10/15/45		275			331
	HP Inc.	3.750%	12/1/20		53			54
	HP Inc.	4.050%	9/15/22		100			104
	HP Inc.	6.000%	9/15/41		100			110
	IBM Credit LLC	3.450%	11/30/20		100			102
	IBM Credit LLC	2.650%	2/5/21		150			151
	IBM Credit LLC	3.600%	11/30/21		100			103
	IBM Credit LLC	2.200%	9/8/22		100			101
	IBM Credit LLC	3.000%	2/6/23		150			154
	Intel Corp.	1.700%	5/19/21		100			100
	Intel Corp.	3.300%	10/1/21		100			103
	Intel Corp.	3.100%	7/29/22		175			181
	Intel Corp.	2.700%	12/15/22		404			414
	Intel Corp.	2.875%	5/11/24		1,050			1,089
	Intel Corp.	3.700%	7/29/25		450			486
	Intel Corp.	2.600%	5/19/26		160			164
	Intel Corp.	2.450%	11/15/29		200			199
	Intel Corp.	4.000%	12/15/32		150			174
	Intel Corp.	4.800%	10/1/41		162			200
	Intel Corp.	4.100%	5/19/46		250			287
	Intel Corp.	4.100%	5/11/47		200			229
	Intel Corp.	3.734%	12/8/47		674			737
	Intel Corp.	3.250%	11/15/49		300			300
	International Business Machines Corp.	2.800%	5/13/21		300			304
	International Business Machines Corp.	2.900%	11/1/21		25			25
	International Business Machines Corp.	2.850%	5/13/22		500			511
	International Business Machines Corp.	1.875%	8/1/22		675			675
	International Business Machines Corp.	2.875%	11/9/22		240			246
	International Business Machines Corp.	3.375%	8/1/23		450			471
	International Business Machines Corp.	3.625%	2/12/24		450			476
	International Business Machines Corp.	3.000%	5/15/24		600			621
	International Business Machines Corp.	7.000%	10/30/25		300			374
	International Business Machines Corp.	3.450%	2/19/26		485			516
	International Business Machines Corp.	3.300%	5/15/26		700			737
	International Business Machines Corp.	6.220%	8/1/27		75			93
	International Business Machines Corp.	6.500%	1/15/28		75			95
	International Business Machines Corp.	3.500%	5/15/29		700			751
	International Business Machines Corp.	4.150%	5/15/39		400			449
	International Business Machines Corp.	5.600%	11/30/39		148			193
	International Business Machines Corp.	4.000%	6/20/42		358			395
	International Business Machines Corp.	4.250%	5/15/49		700			796
	Jabil Inc.	5.625%	12/15/20		100			103
	Jabil Inc.	3.950%	1/12/28		75			77
	Juniper Networks Inc.	4.350%	6/15/25		50			53
	Juniper Networks Inc.	3.750%	8/15/29		500			520
	Juniper Networks Inc.	5.950%	3/15/41		25			28
	Keysight Technologies Inc.	4.550%	10/30/24		195			212
	Keysight Technologies Inc.	4.600%	4/6/27		125			139
	Keysight Technologies Inc.	3.000%	10/30/29		100			100
	KLA Corp.	4.125%	11/1/21		100			103
	KLA Corp.	4.650%	11/1/24		250			274
	KLA Corp.	4.100%	3/15/29		350			383
	KLA Corp.	5.000%	3/15/49		75			92
	Lam Research Corp.	2.800%	6/15/21		125			126
	Lam Research Corp.	3.800%	3/15/25		100			106
	Lam Research Corp.	3.750%	3/15/26		150			161
	Lam Research Corp.	4.000%	3/15/29		200			220
	Lam Research Corp.	4.875%	3/15/49		175			218
	Marvell Technology Group Ltd.	4.200%	6/22/23		100			105
	Marvell Technology Group Ltd.	4.875%	6/22/28		100			110
	Maxim Integrated Products Inc.	3.375%	3/15/23		75			77
	Maxim Integrated Products Inc.	3.450%	6/15/27		100			103
	Microchip Technology Inc.	3.922%	6/1/21		100			102
	Microchip Technology Inc.	4.333%	6/1/23		100			106
	Micron Technology Inc.	4.640%	2/6/24		50			54
	Micron Technology Inc.	4.975%	2/6/26		100			111
	Micron Technology Inc.	4.185%	2/15/27		200			213
	Micron Technology Inc.	5.327%	2/6/29		150			171
	Micron Technology Inc.	4.663%	2/15/30		100			110
	Microsoft Corp.	2.000%	11/3/20		1,200			1,202
	Microsoft Corp.	2.400%	2/6/22		620			629

162

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Microsoft Corp.	2.375%	2/12/22		450			456
	Microsoft Corp.	2.650%	11/3/22		200			205
	Microsoft Corp.	2.375%	5/1/23		75			76
	Microsoft Corp.	2.000%	8/8/23		300			302
	Microsoft Corp.	2.875%	2/6/24		500			518
	Microsoft Corp.	3.125%	11/3/25		575			608
	Microsoft Corp.	2.400%	8/8/26		1,305			1,318
	Microsoft Corp.	3.300%	2/6/27		675			721
	Microsoft Corp.	3.500%	2/12/35		325			357
	Microsoft Corp.	4.200%	11/3/35		375			442
	Microsoft Corp.	3.450%	8/8/36		625			683
	Microsoft Corp.	4.100%	2/6/37		500			589
	Microsoft Corp.	4.500%	10/1/40		390			483
	Microsoft Corp.	3.500%	11/15/42		330			358
	Microsoft Corp.	3.750%	5/1/43		145			160
	Microsoft Corp.	4.875%	12/15/43		150			196
	Microsoft Corp.	3.750%	2/12/45		550			624
	Microsoft Corp.	4.450%	11/3/45		575			716
	Microsoft Corp.	3.700%	8/8/46		1,175			1,326
	Microsoft Corp.	4.250%	2/6/47		600			732
	Microsoft Corp.	4.000%	2/12/55		1,050			1,241
	Motorola Solutions Inc.	3.750%	5/15/22		113			117
	Motorola Solutions Inc.	3.500%	3/1/23		125			129
	Motorola Solutions Inc.	4.000%	9/1/24		240			254
	Motorola Solutions Inc.	4.600%	2/23/28		125			135
	Motorola Solutions Inc.	5.500%	9/1/44		75			82
	NetApp Inc.	3.375%	6/15/21		150			152
	NetApp Inc.	3.300%	9/29/24		75			78
	NVIDIA Corp.	2.200%	9/16/21		200			201
	NVIDIA Corp.	3.200%	9/16/26		200			209
6	NXP BV / NXP Funding LLC	4.875%	3/1/24		200			217
6	NXP BV / NXP Funding LLC	5.350%	3/1/26		204			229
6	NXP BV / NXP Funding LLC	5.550%	12/1/28		175			205
6	NXP BV / NXP Funding LLC / NXP USA Inc.	4.300%	6/18/29		450			486
	Oracle Corp.	1.900%	9/15/21		1,275			1,277
	Oracle Corp.	2.500%	5/15/22		250			254
	Oracle Corp.	2.400%	9/15/23		750			762
	Oracle Corp.	3.400%	7/8/24		450			475
	Oracle Corp.	2.950%	11/15/24		425			441
	Oracle Corp.	2.650%	7/15/26		2,361			2,410
	Oracle Corp.	3.250%	5/15/30		100			106
	Oracle Corp.	4.300%	7/8/34		325			379
	Oracle Corp.	3.900%	5/15/35		150			167
	Oracle Corp.	3.850%	7/15/36		250			274
	Oracle Corp.	3.800%	11/15/37		325			354
	Oracle Corp.	6.125%	7/8/39		150			210
	Oracle Corp.	5.375%	7/15/40		700			907
	Oracle Corp.	4.500%	7/8/44		250			295
	Oracle Corp.	4.125%	5/15/45		725			815
	Oracle Corp.	4.000%	7/15/46		575			638
	Oracle Corp.	4.000%	11/15/47		225			251
	Oracle Corp.	4.375%	5/15/55		150			177
	PayPal Holdings Inc.	2.200%	9/26/22		200			201
	PayPal Holdings Inc.	2.400%	10/1/24		100			101
	PayPal Holdings Inc.	2.650%	10/1/26		300			304
	PayPal Holdings Inc.	2.850%	10/1/29		400			401
	QUALCOMM Inc.	3.000%	5/20/22		250			256
	QUALCOMM Inc.	2.600%	1/30/23		300			305
	QUALCOMM Inc.	2.900%	5/20/24		345			355
	QUALCOMM Inc.	3.450%	5/20/25		400			422
	QUALCOMM Inc.	3.250%	5/20/27		400			419
	QUALCOMM Inc.	4.650%	5/20/35		200			237
	QUALCOMM Inc.	4.800%	5/20/45		275			336
	QUALCOMM Inc.	4.300%	5/20/47		350			402
	salesforce.com Inc.	3.250%	4/11/23		200			208
	salesforce.com Inc.	3.700%	4/11/28		275			302
	Seagate HDD Cayman	4.250%	3/1/22		44			45
	Seagate HDD Cayman	4.750%	6/1/23		51			54
	Seagate HDD Cayman	4.875%	3/1/24		75			80
	Seagate HDD Cayman	4.750%	1/1/25		172			183
	Seagate HDD Cayman	5.750%	12/1/34		100			105
	Tech Data Corp.	3.700%	2/15/22		50			51
	Tech Data Corp.	4.950%	2/15/27		100			103
	Texas Instruments Inc.	1.850%	5/15/22		100			100
	Texas Instruments Inc.	2.625%	5/15/24		25			26
	Texas Instruments Inc.	2.900%	11/3/27		94			98
	Texas Instruments Inc.	2.250%	9/4/29		100			98
	Texas Instruments Inc.	3.875%	3/15/39		142			160
	Texas Instruments Inc.	4.150%	5/15/48		274			324
	Total System Services Inc.	3.800%	4/1/21		130			132
	Total System Services Inc.	3.750%	6/1/23		250			261
	Total System Services Inc.	4.000%	6/1/23		100			105
	Total System Services Inc.	4.800%	4/1/26		150			167
	Trimble Inc.	4.150%	6/15/23		50			53
	Trimble Inc.	4.750%	12/1/24		93			101
	Trimble Inc.	4.900%	6/15/28		50			55
	Tyco Electronics Group SA	3.500%	2/3/22		100			103
	Tyco Electronics Group SA	3.450%	8/1/24		125			130
	Tyco Electronics Group SA	3.125%	8/15/27		200			205
	Tyco Electronics Group SA	7.125%	10/1/37		125			184
	Verisk Analytics Inc.	5.800%	5/1/21		75			79
	Verisk Analytics Inc.	4.125%	9/12/22		275			287
	Verisk Analytics Inc.	4.000%	6/15/25		150			161
	Verisk Analytics Inc.	4.125%	3/15/29		400			436
	Verisk Analytics Inc.	5.500%	6/15/45		50			62
	VMware Inc.	2.950%	8/21/22		300			306
	VMware Inc.	3.900%	8/21/27		250			261
	Xilinx Inc.	3.000%	3/15/21		75			76
	Xilinx Inc.	2.950%	6/1/24		150			154
	Transportation (0.6%)
3	American Airlines 2011-1 Class A Pass Through Trust	5.250%	7/31/22		45			46
3	American Airlines 2013-1 Class A Pass Through Trust	4.000%	1/15/27		17			18
3	American Airlines 2013-2 Class A Pass Through Trust	4.950%	7/15/24		25			26
3	American Airlines 2014-1 Class A Pass Through Trust	3.700%	4/1/28		91			95
3	American Airlines 2015-1 Class A Pass Through Trust	3.375%	11/1/28		136			139
3	American Airlines 2015-2 Class AA Pass Through Trust	3.600%	9/22/27		46			48
3	American Airlines 2016-1 Class A Pass Through Trust	4.100%	1/15/28		64			68
3	American Airlines 2016-1 Class AA Pass Through Trust	3.575%	1/15/28		129			135
3	American Airlines 2016-2 Class AA Pass Through Trust	3.200%	12/15/29		235			242
3	American Airlines 2016-3 Class A Pass Through Trust	3.250%	4/15/30		44			45
3	American Airlines 2016-3 Class AA Pass Through Trust	3.000%	10/15/28		131			133
3	American Airlines 2017-1 Class AA Pass Through Trust	3.650%	8/15/30		44			46
3	American Airlines 2017-2 Class AA Pass Through Trust	3.350%	10/15/29		92			94
3	American Airlines 2019-1 Class AA Pass Through Trust	3.150%	8/15/33		50			51
3	BNSF Funding Trust I	6.613%	12/15/55		65			71
	Burlington Northern Santa Fe LLC	3.050%	3/15/22		150			153
	Burlington Northern Santa Fe LLC	3.050%	9/1/22		150			154
	Burlington Northern Santa Fe LLC	3.000%	3/15/23		175			180
	Burlington Northern Santa Fe LLC	3.850%	9/1/23		75			80
	Burlington Northern Santa Fe LLC	3.750%	4/1/24		200			213
	Burlington Northern Santa Fe LLC	3.400%	9/1/24		150			159
	Burlington Northern Santa Fe LLC	3.000%	4/1/25		100			104
	Burlington Northern Santa Fe LLC	3.650%	9/1/25		75			81
	Burlington Northern Santa Fe LLC	3.250%	6/15/27		225			240
	Burlington Northern Santa Fe LLC	6.200%	8/15/36		125			173
	Burlington Northern Santa Fe LLC	5.050%	3/1/41		125			155

163

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Burlington Northern Santa Fe LLC	5.400%	6/1/41		250			322
	Burlington Northern Santa Fe LLC	4.400%	3/15/42		250			289
	Burlington Northern Santa Fe LLC	4.375%	9/1/42		200			232
	Burlington Northern Santa Fe LLC	4.450%	3/15/43		125			145
	Burlington Northern Santa Fe LLC	5.150%	9/1/43		125			159
	Burlington Northern Santa Fe LLC	4.900%	4/1/44		100			124
	Burlington Northern Santa Fe LLC	4.550%	9/1/44		150			179
	Burlington Northern Santa Fe LLC	4.150%	4/1/45		125			144
	Burlington Northern Santa Fe LLC	4.700%	9/1/45		75			91
	Burlington Northern Santa Fe LLC	3.900%	8/1/46		150			164
	Burlington Northern Santa Fe LLC	4.125%	6/15/47		125			141
	Burlington Northern Santa Fe LLC	4.050%	6/15/48		225			253
	Burlington Northern Santa Fe LLC	4.150%	12/15/48		200			228
	Burlington Northern Santa Fe LLC	3.550%	2/15/50		400			415
	Canadian National Railway Co.	2.850%	12/15/21		75			76
	Canadian National Railway Co.	2.950%	11/21/24		233	��		239
	Canadian National Railway Co.	6.250%	8/1/34		75			103
	Canadian National Railway Co.	6.200%	6/1/36		75			104
	Canadian National Railway Co.	6.375%	11/15/37		100			143
	Canadian National Railway Co.	3.200%	8/2/46		50			51
	Canadian National Railway Co.	3.650%	2/3/48		125			136
	Canadian Pacific Railway Co.	9.450%	8/1/21		50			55
	Canadian Pacific Railway Co.	4.450%	3/15/23		225			239
	Canadian Pacific Railway Co.	7.125%	10/15/31		100			139
	Canadian Pacific Railway Co.	5.950%	5/15/37		450			596
	Canadian Pacific Railway Co.	6.125%	9/15/15		70			102
3	Continental Airlines 2007-1 Class A Pass Through Trust	5.983%	10/19/23		49			51
3	Continental Airlines 2012-2 Class A Pass Through Trust	4.000%	4/29/26		35			37
	CSX Corp.	4.250%	6/1/21		25			26
	CSX Corp.	3.350%	11/1/25		150			159
	CSX Corp.	3.250%	6/1/27		150			157
	CSX Corp.	3.800%	3/1/28		350			381
	CSX Corp.	4.250%	3/15/29		200			225
	CSX Corp.	2.400%	2/15/30		100			98
	CSX Corp.	6.220%	4/30/40		152			206
	CSX Corp.	5.500%	4/15/41		225			282
	CSX Corp.	4.750%	5/30/42		210			246
	CSX Corp.	4.100%	3/15/44		150			163
	CSX Corp.	4.300%	3/1/48		250			281
	CSX Corp.	4.750%	11/15/48		200			242
	CSX Corp.	4.500%	3/15/49		225			261
	CSX Corp.	3.350%	9/15/49		125			123
	CSX Corp.	3.950%	5/1/50		125			135
	CSX Corp.	4.500%	8/1/54		25			29
	CSX Corp.	4.250%	11/1/66		150			160
	CSX Corp.	4.650%	3/1/68		100			114
3	Delta Air Lines 2007-1 Class A Pass Through Trust	6.821%	2/10/24		103			112
3	Delta Air Lines 2015-1 Class AA Pass Through Trust	3.625%	7/30/27		41			44
3	Delta Air Lines 2019-1 Class AA Pass Through Trust	3.204%	4/25/24		75			78
	Delta Air Lines Inc.	2.600%	12/4/20		125			125
	Delta Air Lines Inc.	3.400%	4/19/21		125			126
	Delta Air Lines Inc.	3.625%	3/15/22		175			179
	Delta Air Lines Inc.	3.800%	4/19/23		125			130
	Delta Air Lines Inc.	2.900%	10/28/24		175			175
	Delta Air Lines Inc.	4.375%	4/19/28		100			105
	Delta Air Lines Inc.	3.750%	10/28/29		75			75
	FedEx Corp.	2.625%	8/1/22		100			101
	FedEx Corp.	4.000%	1/15/24		125			134
	FedEx Corp.	3.200%	2/1/25		150			155
	FedEx Corp.	3.250%	4/1/26		100			104
	FedEx Corp.	3.300%	3/15/27		100			103
	FedEx Corp.	3.900%	2/1/35		200			202
	FedEx Corp.	3.875%	8/1/42		125			120
	FedEx Corp.	4.100%	4/15/43		75			73
	FedEx Corp.	5.100%	1/15/44		150			164
	FedEx Corp.	4.750%	11/15/45		250			263
	FedEx Corp.	4.550%	4/1/46		225			230
	FedEx Corp.	4.400%	1/15/47		125			126
	FedEx Corp.	4.050%	2/15/48		200			192
	FedEx Corp.	4.950%	10/17/48		175			190
	FedEx Corp.	4.500%	2/1/65		60			54
	JB Hunt Transport Services Inc.	3.300%	8/15/22		100			103
	JB Hunt Transport Services Inc.	3.875%	3/1/26		25			27
3	JetBlue 2019-1 Class AA Pass Through Trust	2.750%	5/15/32		150			151
	Kansas City Southern	3.000%	5/15/23		250			255
	Kansas City Southern	2.875%	11/15/29		100			100
	Kansas City Southern	4.300%	5/15/43		75			82
	Kansas City Southern	4.950%	8/15/45		125			147
	Kansas City Southern	4.700%	5/1/48		225			260
	Kirby Corp.	4.200%	3/1/28		300			316
3	Latam Airlines 2015-1 Pass Through Trust A	4.200%	8/15/29		98			101
	Norfolk Southern Corp.	3.000%	4/1/22		225			230
	Norfolk Southern Corp.	2.903%	2/15/23		48			49
	Norfolk Southern Corp.	3.850%	1/15/24		250			265
	Norfolk Southern Corp.	5.590%	5/17/25		50			58
	Norfolk Southern Corp.	3.650%	8/1/25		50			53
	Norfolk Southern Corp.	7.800%	5/15/27		60			79
	Norfolk Southern Corp.	3.150%	6/1/27		125			130
	Norfolk Southern Corp.	3.800%	8/1/28		113			124
	Norfolk Southern Corp.	2.550%	11/1/29		200			199
	Norfolk Southern Corp.	4.837%	10/1/41		113			134
	Norfolk Southern Corp.	4.450%	6/15/45		75			86
	Norfolk Southern Corp.	4.650%	1/15/46		75			88
	Norfolk Southern Corp.	4.150%	2/28/48		25			28
	Norfolk Southern Corp.	4.100%	5/15/49		73			80
	Norfolk Southern Corp.	3.400%	11/1/49		75			74
	Norfolk Southern Corp.	4.050%	8/15/52		239			262
	Norfolk Southern Corp.	6.000%	3/15/05		59			78
	Norfolk Southern Corp.	5.100%	8/1/18		250			294
	Ryder System Inc.	3.500%	6/1/21		200			204
	Ryder System Inc.	2.250%	9/1/21		50			50
	Ryder System Inc.	2.875%	6/1/22		75			76
	Ryder System Inc.	3.400%	3/1/23		75			77
	Ryder System Inc.	3.750%	6/9/23		225			235
	Ryder System Inc.	3.650%	3/18/24		150			157
	Ryder System Inc.	2.500%	9/1/24		50			50
	Ryder System Inc.	2.900%	12/1/26		100			101
	Southwest Airlines Co.	3.000%	11/15/26		100			102
	Southwest Airlines Co.	3.450%	11/16/27		50			52
3	Southwest Airlines Co. 2007-1 Pass Through Trust	6.150%	2/1/24		20			21
3	Spirit Airlines Class A Pass Through Certificates Series 2015-1	4.100%	10/1/29		19			20
	Union Pacific Corp.	3.200%	6/8/21		100			102
	Union Pacific Corp.	2.950%	3/1/22		100			102
	Union Pacific Corp.	4.163%	7/15/22		534			561
	Union Pacific Corp.	2.950%	1/15/23		25			26
	Union Pacific Corp.	3.500%	6/8/23		150			157
	Union Pacific Corp.	3.646%	2/15/24		50			53
	Union Pacific Corp.	3.150%	3/1/24		100			104
	Union Pacific Corp.	3.250%	1/15/25		200			208
	Union Pacific Corp.	3.750%	7/15/25		125			134
	Union Pacific Corp.	3.250%	8/15/25		50			53
	Union Pacific Corp.	2.750%	3/1/26		75			77
	Union Pacific Corp.	3.950%	9/10/28		200			220
	Union Pacific Corp.	3.700%	3/1/29		200			218
	Union Pacific Corp.	3.375%	2/1/35		100			103
	Union Pacific Corp.	3.600%	9/15/37		290			302
	Union Pacific Corp.	4.375%	9/10/38		125			143
	Union Pacific Corp.	4.050%	11/15/45		150			162
	Union Pacific Corp.	4.300%	3/1/49		200			229
	Union Pacific Corp.	3.799%	10/1/51		560			594
	Union Pacific Corp.	3.875%	2/1/55		100			105
	Union Pacific Corp.	3.950%	8/15/59		100			105
6	Union Pacific Corp.	3.839%	3/20/60		386			386

164

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Union Pacific Corp.	4.375%	11/15/65		135			148
	Union Pacific Corp.	4.100%	9/15/67		100			103
3	United Airlines 2013-1 Class A Pass Through Trust	4.300%	2/15/27		56			60
3	United Airlines 2014-1 Class A Pass Through Trust	4.000%	10/11/27		75			79
3	United Airlines 2015-1 Class A Pass Through Trust	3.700%	6/1/24		60			61
3	United Airlines 2015-1 Class AA Pass Through Trust	3.450%	12/1/27		145			150
3	United Airlines 2016-1 Class A Pass Through Trust	3.450%	1/7/30		45			46
3	United Airlines 2016-1 Class AA Pass Through Trust	3.100%	7/7/28		358			365
3	United Airlines 2016-2 Class A Pass Through Trust	3.100%	10/7/28		45			45
3	United Airlines 2016-2 Class AA Pass Through Trust	2.875%	10/7/28		67			68
3	United Airlines 2019-1 Class AA Pass Through Trust	4.150%	8/25/31		200			216
3	United Airlines 2019-2 Class AA Pass Through Trust	2.700%	11/1/33		100			100
	United Parcel Service Inc.	3.125%	1/15/21		250			253
	United Parcel Service Inc.	2.050%	4/1/21		150			150
	United Parcel Service Inc.	2.450%	10/1/22		175			178
	United Parcel Service Inc.	2.500%	4/1/23		200			203
	United Parcel Service Inc.	2.800%	11/15/24		186			192
	United Parcel Service Inc.	2.400%	11/15/26		150			151
	United Parcel Service Inc.	3.050%	11/15/27		200			210
	United Parcel Service Inc.	3.400%	3/15/29		100			107
	United Parcel Service Inc.	2.500%	9/1/29		100			100
	United Parcel Service Inc.	6.200%	1/15/38		278			390
	United Parcel Service Inc.	4.875%	11/15/40		75			91
	United Parcel Service Inc.	3.625%	10/1/42		75			77
	United Parcel Service Inc.	3.400%	11/15/46		110			110
	United Parcel Service Inc.	3.750%	11/15/47		200			214
	United Parcel Service Inc.	4.250%	3/15/49		125			145
	United Parcel Service Inc.	3.400%	9/1/49		150			152
3	US Airways 2012-2 Class A Pass Through Trust	4.625%	12/3/26		30			32
3	US Airways 2013-1 Class A Pass Through Trust	3.950%	5/15/27		65			68
								697,714
Utilities (2.0%)
	Electric (1.8%)
	AEP Texas Inc.	2.400%	10/1/22		75			76
	AEP Texas Inc.	3.950%	6/1/28		100			109
	AEP Texas Inc.	3.800%	10/1/47		50			52
	AEP Texas Inc.	3.450%	1/15/50		50			50
	AEP Transmission Co. LLC	4.000%	12/1/46		75			83
	AEP Transmission Co. LLC	3.750%	12/1/47		100			107
	AEP Transmission Co. LLC	3.800%	6/15/49		70			75
	AEP Transmission Co. LLC	3.150%	9/15/49		70			68
	Alabama Power Co.	6.125%	5/15/38		50			67
	Alabama Power Co.	3.850%	12/1/42		25			27
	Alabama Power Co.	4.150%	8/15/44		75			83
	Alabama Power Co.	3.750%	3/1/45		150			157
	Alabama Power Co.	4.300%	1/2/46		250			284
	Alabama Power Co.	3.700%	12/1/47		100			105
	Alabama Power Co.	4.300%	7/15/48		100			115
	Alabama Power Co.	3.450%	10/1/49		50			51
	Ameren Corp.	2.500%	9/15/24		100			101
	Ameren Corp.	3.650%	2/15/26		80			84
	Ameren Illinois Co.	2.700%	9/1/22		250			254
	Ameren Illinois Co.	3.800%	5/15/28		75			82
	Ameren Illinois Co.	3.700%	12/1/47		150			159
	Ameren Illinois Co.	3.250%	3/15/50		60			61
	American Electric Power Co. Inc.	3.650%	12/1/21		100			103
	American Electric Power Co. Inc.	2.950%	12/15/22		25			26
	American Electric Power Co. Inc.	3.200%	11/13/27		75			77
	American Electric Power Co. Inc.	4.300%	12/1/28		150			166
	Appalachian Power Co.	4.600%	3/30/21		50			51
	Appalachian Power Co.	3.300%	6/1/27		500			518
	Appalachian Power Co.	4.500%	3/1/49		425			493
	Arizona Public Service Co.	3.150%	5/15/25		100			104
	Arizona Public Service Co.	2.950%	9/15/27		50			51
	Arizona Public Service Co.	4.500%	4/1/42		25			29
	Arizona Public Service Co.	4.350%	11/15/45		125			142
	Arizona Public Service Co.	3.750%	5/15/46		125			130
	Arizona Public Service Co.	4.250%	3/1/49		100			113
	Arizona Public Service Co.	3.500%	12/1/49		60			60
	Avangrid Inc.	3.150%	12/1/24		230			237
	Avangrid Inc.	3.800%	6/1/29		95			100
	Avista Corp.	4.350%	6/1/48		75			85
	Baltimore Gas & Electric Co.	3.500%	11/15/21		350			359
	Baltimore Gas & Electric Co.	2.400%	8/15/26		50			50
	Baltimore Gas & Electric Co.	3.500%	8/15/46		100			102
	Baltimore Gas & Electric Co.	3.750%	8/15/47		125			133
	Baltimore Gas & Electric Co.	4.250%	9/15/48		50			58
	Baltimore Gas & Electric Co.	3.200%	9/15/49		80			78
	Berkshire Hathaway Energy Co.	2.375%	1/15/21		100			100
	Berkshire Hathaway Energy Co.	2.800%	1/15/23		125			127
	Berkshire Hathaway Energy Co.	3.750%	11/15/23		100			106
	Berkshire Hathaway Energy Co.	3.500%	2/1/25		100			105
	Berkshire Hathaway Energy Co.	3.250%	4/15/28		125			130
	Berkshire Hathaway Energy Co.	6.125%	4/1/36		100			138
	Berkshire Hathaway Energy Co.	5.950%	5/15/37		225			304
	Berkshire Hathaway Energy Co.	6.500%	9/15/37		200			277
	Berkshire Hathaway Energy Co.	5.150%	11/15/43		150			188
	Berkshire Hathaway Energy Co.	4.500%	2/1/45		150			177
	Berkshire Hathaway Energy Co.	3.800%	7/15/48		50			53
	Berkshire Hathaway Energy Co.	4.450%	1/15/49		200			234
	Black Hills Corp.	4.250%	11/30/23		100			106
	Black Hills Corp.	3.950%	1/15/26		75			79
	Black Hills Corp.	3.150%	1/15/27		75			76
	Black Hills Corp.	3.050%	10/15/29		70			70
	Black Hills Corp.	4.350%	5/1/33		75			82
	Black Hills Corp.	4.200%	9/15/46		50			52
	Black Hills Corp.	3.875%	10/15/49		70			70
	CenterPoint Energy Houston Electric LLC	1.850%	6/1/21		250			250
	CenterPoint Energy Houston Electric LLC	2.400%	9/1/26		300			296
	CenterPoint Energy Houston Electric LLC	6.950%	3/15/33		50			70
	CenterPoint Energy Houston Electric LLC	3.950%	3/1/48		75			83
	CenterPoint Energy Houston Electric LLC	4.250%	2/1/49		150			176
	CenterPoint Energy Inc.	3.600%	11/1/21		75			77
	CenterPoint Energy Inc.	2.500%	9/1/22		100			101
	CenterPoint Energy Inc.	3.850%	2/1/24		325			341
	CenterPoint Energy Inc.	2.500%	9/1/24		100			100
	CenterPoint Energy Inc.	4.250%	11/1/28		75			81
	CenterPoint Energy Inc.	2.950%	3/1/30		80			79
	CenterPoint Energy Inc.	3.700%	9/1/49		50			49
	Cleco Corporate Holdings LLC	3.743%	5/1/26		100			103
	Cleco Corporate Holdings LLC	4.973%	5/1/46		125			138
	Cleveland Electric Illuminating Co.	5.500%	8/15/24		225			257
	Cleveland Electric Illuminating Co.	5.950%	12/15/36		75			94
	CMS Energy Corp.	5.050%	3/15/22		25			26
	CMS Energy Corp.	3.000%	5/15/26		75			76
	CMS Energy Corp.	3.450%	8/15/27		50			52
	CMS Energy Corp.	4.875%	3/1/44		75			89
	Commonwealth Edison Co.	2.950%	8/15/27		75			77
	Commonwealth Edison Co.	5.900%	3/15/36		150			199
	Commonwealth Edison Co.	6.450%	1/15/38		175			249
	Commonwealth Edison Co.	4.600%	8/15/43		75			89
	Commonwealth Edison Co.	4.700%	1/15/44		175			211
	Commonwealth Edison Co.	3.700%	3/1/45		75			80
	Commonwealth Edison Co.	3.650%	6/15/46		175			184
	Commonwealth Edison Co.	3.750%	8/15/47		100			108

165

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Commonwealth Edison Co.	4.000%	3/1/48		150			167
	Commonwealth Edison Co.	4.000%	3/1/49		125			141
	Connecticut Light & Power Co.	2.500%	1/15/23		125			127
	Connecticut Light & Power Co.	3.200%	3/15/27		50			52
	Connecticut Light & Power Co.	4.300%	4/15/44		150			176
	Connecticut Light & Power Co.	4.000%	4/1/48		160			183
	Consolidated Edison Co. of New York Inc.	5.300%	3/1/35		200			245
	Consolidated Edison Co. of New York Inc.	5.850%	3/15/36		275			358
	Consolidated Edison Co. of New York Inc.	6.200%	6/15/36		75			101
	Consolidated Edison Co. of New York Inc.	3.950%	3/1/43		125			135
	Consolidated Edison Co. of New York Inc.	4.450%	3/15/44		200			230
	Consolidated Edison Co. of New York Inc.	4.500%	12/1/45		375			437
	Consolidated Edison Co. of New York Inc.	3.850%	6/15/46		145			156
	Consolidated Edison Co. of New York Inc.	3.875%	6/15/47		75			81
	Consolidated Edison Co. of New York Inc.	4.125%	5/15/49		400			452
	Consolidated Edison Co. of New York Inc.	4.000%	11/15/57		75			79
	Consolidated Edison Co. of New York Inc.	4.500%	5/15/58		120			139
	Consolidated Edison Inc.	2.000%	5/15/21		75			75
	Consumers Energy Co.	3.375%	8/15/23		275			287
	Consumers Energy Co.	3.800%	11/15/28		75			83
	Consumers Energy Co.	3.950%	5/15/43		75			83
	Consumers Energy Co.	3.250%	8/15/46		50			50
	Consumers Energy Co.	3.950%	7/15/47		50			56
	Consumers Energy Co.	4.050%	5/15/48		125			143
	Consumers Energy Co.	4.350%	4/15/49		80			97
	Consumers Energy Co.	3.100%	8/15/50		80			80
	Delmarva Power & Light Co.	3.500%	11/15/23		25			26
	Delmarva Power & Light Co.	4.150%	5/15/45		100			112
	Dominion Energy Inc.	2.715%	8/15/21		50			50
	Dominion Energy Inc.	3.071%	8/15/24		75			76
	Dominion Energy Inc.	3.900%	10/1/25		125			133
	Dominion Energy Inc.	2.850%	8/15/26		125			126
	Dominion Energy Inc.	4.250%	6/1/28		125			138
	Dominion Energy Inc.	6.300%	3/15/33		75			97
	Dominion Energy Inc.	5.950%	6/15/35		225			284
	Dominion Energy Inc.	4.900%	8/1/41		80			93
	Dominion Energy Inc.	4.050%	9/15/42		300			314
	Dominion Energy Inc.	4.600%	3/15/49		300			348
3	Dominion Energy Inc.	5.750%	10/1/54		100			108
	Dominion Energy South Carolina Inc.	6.625%	2/1/32		50			67
	Dominion Energy South Carolina Inc.	6.050%	1/15/38		125			168
	Dominion Energy South Carolina Inc.	5.450%	2/1/41		75			97
	Dominion Energy South Carolina Inc.	4.600%	6/15/43		75			88
	DTE Electric Co.	3.650%	3/15/24		250			264
	DTE Electric Co.	3.375%	3/1/25		150			158
	DTE Electric Co.	4.000%	4/1/43		225			250
	DTE Electric Co.	3.700%	6/1/46		50			54
	DTE Electric Co.	3.750%	8/15/47		100			109
	DTE Electric Co.	3.950%	3/1/49		128			146
	DTE Energy Co.	2.600%	6/15/22		50			50
	DTE Energy Co.	2.250%	11/1/22		400			400
	DTE Energy Co.	3.700%	8/1/23		125			130
	DTE Energy Co.	2.529%	10/1/24		100			100
	DTE Energy Co.	2.850%	10/1/26		300			300
	DTE Energy Co.	3.800%	3/15/27		175			184
	DTE Energy Co.	3.400%	6/15/29		100			102
	DTE Energy Co.	2.950%	3/1/30		60			59
	DTE Energy Co.	6.375%	4/15/33		75			98
	Duke Energy Carolinas LLC	3.900%	6/15/21		500			512
	Duke Energy Carolinas LLC	2.500%	3/15/23		100			101
	Duke Energy Carolinas LLC	3.050%	3/15/23		100			103
	Duke Energy Carolinas LLC	2.950%	12/1/26		100			103
	Duke Energy Carolinas LLC	3.950%	11/15/28		125			139
	Duke Energy Carolinas LLC	6.000%	12/1/28		125			156
	Duke Energy Carolinas LLC	2.450%	8/15/29		200			198
	Duke Energy Carolinas LLC	6.100%	6/1/37		100			135
	Duke Energy Carolinas LLC	6.000%	1/15/38		25			34
	Duke Energy Carolinas LLC	6.050%	4/15/38		25			34
	Duke Energy Carolinas LLC	5.300%	2/15/40		150			193
	Duke Energy Carolinas LLC	4.000%	9/30/42		75			83
	Duke Energy Carolinas LLC	3.875%	3/15/46		100			111
	Duke Energy Carolinas LLC	3.700%	12/1/47		100			107
	Duke Energy Carolinas LLC	3.950%	3/15/48		300			331
	Duke Energy Carolinas LLC	3.200%	8/15/49		500			493
	Duke Energy Corp.	2.400%	8/15/22		200			201
	Duke Energy Corp.	3.050%	8/15/22		275			281
	Duke Energy Corp.	3.750%	4/15/24		325			344
	Duke Energy Corp.	2.650%	9/1/26		80			80
	Duke Energy Corp.	3.150%	8/15/27		300			308
	Duke Energy Corp.	4.800%	12/15/45		125			148
	Duke Energy Corp.	3.750%	9/1/46		405			414
	Duke Energy Florida LLC	3.800%	7/15/28		100			109
	Duke Energy Florida LLC	2.500%	12/1/29		425			424
	Duke Energy Florida LLC	6.350%	9/15/37		225			312
	Duke Energy Florida LLC	6.400%	6/15/38		200			284
	Duke Energy Florida LLC	3.850%	11/15/42		200			215
	Duke Energy Florida LLC	3.400%	10/1/46		100			101
	Duke Energy Florida LLC	4.200%	7/15/48		200			230
3	Duke Energy Florida Project Finance LLC	1.731%	9/1/22		50			50
3	Duke Energy Florida Project Finance LLC	2.538%	9/1/29		100			99
	Duke Energy Indiana LLC	6.350%	8/15/38		225			316
	Duke Energy Indiana LLC	3.750%	5/15/46		225			240
	Duke Energy Indiana LLC	3.250%	10/1/49		325			326
	Duke Energy Ohio Inc.	3.700%	6/15/46		25			26
	Duke Energy Progress LLC	2.800%	5/15/22		100			102
	Duke Energy Progress LLC	3.375%	9/1/23		25			26
	Duke Energy Progress LLC	3.700%	9/1/28		175			191
	Duke Energy Progress LLC	3.450%	3/15/29		125			134
	Duke Energy Progress LLC	4.375%	3/30/44		300			348
	Duke Energy Progress LLC	4.150%	12/1/44		100			112
	Duke Energy Progress LLC	3.700%	10/15/46		50			53
	Duke Energy Progress LLC	3.600%	9/15/47		100			104
	Edison International	2.400%	9/15/22		125			124
	Edison International	3.125%	11/15/22		80			81
	Edison International	2.950%	3/15/23		200			200
	Edison International	5.750%	6/15/27		25			28
	El Paso Electric Co.	6.000%	5/15/35		50			61
	El Paso Electric Co.	5.000%	12/1/44		75			88
	Emera US Finance LP	2.700%	6/15/21		125			126
	Emera US Finance LP	3.550%	6/15/26		150			156
	Emera US Finance LP	4.750%	6/15/46		245			283
	Enel Chile SA	4.875%	6/12/28		125			139
	Entergy Arkansas Inc.	3.750%	2/15/21		50			51
	Entergy Arkansas Inc.	3.500%	4/1/26		50			53
	Entergy Corp.	4.000%	7/15/22		150			156
	Entergy Corp.	2.950%	9/1/26		200			203
	Entergy Gulf States Louisiana LLC	5.590%	10/1/24		223			256
	Entergy Louisiana LLC	5.400%	11/1/24		382			436
	Entergy Louisiana LLC	2.400%	10/1/26		75			74
	Entergy Louisiana LLC	3.120%	9/1/27		100			103
	Entergy Louisiana LLC	3.050%	6/1/31		100			102
	Entergy Louisiana LLC	4.000%	3/15/33		150			168
	Entergy Louisiana LLC	4.950%	1/15/45		150			162
	Entergy Louisiana LLC	4.200%	9/1/48		200			231
	Entergy Louisiana LLC	4.200%	4/1/50		100			116
	Entergy Mississippi LLC	2.850%	6/1/28		125			127
	Entergy Texas Inc.	3.550%	9/30/49		60			61
	Evergy Inc.	2.450%	9/15/24		50			50
	Evergy Inc.	2.900%	9/15/29		100			99

166

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Eversource Energy	2.500%	3/15/21		100			101
	Eversource Energy	2.750%	3/15/22		75			76
	Eversource Energy	3.800%	12/1/23		75			78
	Eversource Energy	2.900%	10/1/24		50			51
	Eversource Energy	3.150%	1/15/25		125			129
	Eversource Energy	3.300%	1/15/28		100			103
	Eversource Energy	4.250%	4/1/29		200			221
	Exelon Corp.	5.150%	12/1/20		200			204
	Exelon Corp.	3.497%	6/1/22		200			205
	Exelon Corp.	3.950%	6/15/25		200			215
	Exelon Corp.	3.400%	4/15/26		200			209
	Exelon Corp.	4.950%	6/15/35		225			259
	Exelon Corp.	5.625%	6/15/35		20			25
	Exelon Corp.	5.100%	6/15/45		145			174
	Exelon Corp.	4.450%	4/15/46		175			197
	Exelon Generation Co. LLC	6.250%	10/1/39		360			435
	Exelon Generation Co. LLC	5.750%	10/1/41		75			86
	Exelon Generation Co. LLC	5.600%	6/15/42		155			173
	FirstEnergy Corp.	2.850%	7/15/22		100			101
	FirstEnergy Corp.	3.900%	7/15/27		300			320
	FirstEnergy Corp.	7.375%	11/15/31		475			668
	FirstEnergy Corp.	4.850%	7/15/47		200			237
	Florida Power & Light Co.	3.250%	6/1/24		25			26
	Florida Power & Light Co.	5.625%	4/1/34		25			33
	Florida Power & Light Co.	5.960%	4/1/39		375			528
	Florida Power & Light Co.	4.125%	2/1/42		170			193
	Florida Power & Light Co.	4.050%	6/1/42		125			141
	Florida Power & Light Co.	3.800%	12/15/42		75			82
	Florida Power & Light Co.	3.700%	12/1/47		150			165
	Florida Power & Light Co.	3.950%	3/1/48		325			367
	Florida Power & Light Co.	4.125%	6/1/48		100			116
	Florida Power & Light Co.	3.990%	3/1/49		100			114
	Florida Power & Light Co.	3.150%	10/1/49		155			154
	Fortis Inc.	3.055%	10/4/26		295			301
	Georgia Power Co.	2.400%	4/1/21		75			75
	Georgia Power Co.	2.200%	9/15/24		225			221
	Georgia Power Co.	3.250%	4/1/26		100			103
	Georgia Power Co.	4.750%	9/1/40		175			198
	Georgia Power Co.	4.300%	3/15/43		100			108
	Great Plains Energy Inc.	4.850%	6/1/21		100			103
	Gulf Power Co.	3.300%	5/30/27		50			52
	Iberdrola International BV	6.750%	7/15/36		75			104
	Indiana Michigan Power Co.	3.850%	5/15/28		250			271
	Indiana Michigan Power Co.	3.750%	7/1/47		150			157
	Indiana Michigan Power Co.	4.250%	8/15/48		100			114
	Interstate Power & Light Co.	3.250%	12/1/24		202			211
	Interstate Power & Light Co.	4.100%	9/26/28		125			136
	Interstate Power & Light Co.	3.600%	4/1/29		60			64
	Interstate Power & Light Co.	6.250%	7/15/39		50			66
	Interstate Power & Light Co.	3.700%	9/15/46		75			76
	ITC Holdings Corp.	2.700%	11/15/22		100			101
	ITC Holdings Corp.	3.650%	6/15/24		75			78
	ITC Holdings Corp.	3.350%	11/15/27		100			104
	ITC Holdings Corp.	5.300%	7/1/43		300			366
3	John Sevier Combined Cycle Generation LLC	4.626%	1/15/42		67			78
	Kansas City Power & Light Co.	3.150%	3/15/23		75			77
	Kansas City Power & Light Co.	5.300%	10/1/41		100			126
	Kansas City Power & Light Co.	4.200%	6/15/47		100			115
	Kentucky Utilities Co.	3.250%	11/1/20		50			50
	Kentucky Utilities Co.	5.125%	11/1/40		125			155
	Kentucky Utilities Co.	4.375%	10/1/45		100			116
	Louisville Gas & Electric Co.	3.300%	10/1/25		75			78
	Louisville Gas & Electric Co.	4.250%	4/1/49		170			194
	MidAmerican Energy Co.	3.500%	10/15/24		179			190
	MidAmerican Energy Co.	3.100%	5/1/27		150			156
	MidAmerican Energy Co.	3.650%	4/15/29		200			218
	MidAmerican Energy Co.	6.750%	12/30/31		125			174
	MidAmerican Energy Co.	5.750%	11/1/35		125			164
	MidAmerican Energy Co.	4.800%	9/15/43		75			92
	MidAmerican Energy Co.	3.950%	8/1/47		100			111
	MidAmerican Energy Co.	4.250%	7/15/49		200			240
	Mississippi Power Co.	4.250%	3/15/42		100			107
	National Rural Utilities Cooperative Finance Corp.	2.300%	11/1/20		200			201
	National Rural Utilities Cooperative Finance Corp.	2.900%	3/15/21		50			51
	National Rural Utilities Cooperative Finance Corp.	2.700%	2/15/23		300			306
	National Rural Utilities Cooperative Finance Corp.	2.950%	2/7/24		775			799
	National Rural Utilities Cooperative Finance Corp.	3.900%	11/1/28		100			109
	National Rural Utilities Cooperative Finance Corp.	3.700%	3/15/29		100			109
	National Rural Utilities Cooperative Finance Corp.	4.023%	11/1/32		204			230
3	National Rural Utilities Cooperative Finance Corp.	4.750%	4/30/43		25			26
3	National Rural Utilities Cooperative Finance Corp.	5.250%	4/20/46		75			79
	National Rural Utilities Cooperative Finance Corp.	4.400%	11/1/48		400			476
	National Rural Utilities Cooperative Finance Corp.	4.300%	3/15/49		100			119
	Nevada Power Co.	3.700%	5/1/29		200			216
	Nevada Power Co.	6.750%	7/1/37		75			106
	NextEra Energy Capital Holdings Inc.	2.403%	9/1/21		150			151
	NextEra Energy Capital Holdings Inc.	2.900%	4/1/22		350			356
	NextEra Energy Capital Holdings Inc.	2.800%	1/15/23		105			107
	NextEra Energy Capital Holdings Inc.	3.150%	4/1/24		100			103
	NextEra Energy Capital Holdings Inc.	3.250%	4/1/26		50			52
	NextEra Energy Capital Holdings Inc.	3.550%	5/1/27		250			265
	NextEra Energy Capital Holdings Inc.	3.500%	4/1/29		100			106
	NextEra Energy Capital Holdings Inc.	2.750%	11/1/29		100			100
3	NextEra Energy Capital Holdings Inc.	4.800%	12/1/77		125			128
3	NextEra Energy Capital Holdings Inc.	5.650%	5/1/79		100			111
	Northern States Power Co.	6.250%	6/1/36		75			103
	Northern States Power Co.	6.200%	7/1/37		50			69
	Northern States Power Co.	5.350%	11/1/39		175			228
	Northern States Power Co.	3.400%	8/15/42		105			109
	Northern States Power Co.	4.000%	8/15/45		50			55
	Northern States Power Co.	2.900%	3/1/50		250			238
	NSTAR Electric Co.	2.375%	10/15/22		125			126
	NSTAR Electric Co.	3.200%	5/15/27		125			131
	NSTAR Electric Co.	3.250%	5/15/29		50			52
	NSTAR Electric Co.	5.500%	3/15/40		75			96
	Oglethorpe Power Corp.	5.950%	11/1/39		50			62
	Oglethorpe Power Corp.	5.375%	11/1/40		175			211
	Ohio Edison Co.	6.875%	7/15/36		100			140
	Ohio Power Co.	5.375%	10/1/21		175			185
	Ohio Power Co.	4.150%	4/1/48		100			114
	Ohio Power Co.	4.000%	6/1/49		240			270
	Oklahoma Gas & Electric Co.	3.800%	8/15/28		75			81
	Oklahoma Gas & Electric Co.	4.150%	4/1/47		50			54
	Oklahoma Gas & Electric Co.	3.850%	8/15/47		75			78
	Oncor Electric Delivery Co. LLC	4.100%	6/1/22		175			183
	Oncor Electric Delivery Co. LLC	2.750%	6/1/24		100			102
	Oncor Electric Delivery Co. LLC	2.950%	4/1/25		75			77
	Oncor Electric Delivery Co. LLC	3.700%	11/15/28		50			55
	Oncor Electric Delivery Co. LLC	7.250%	1/15/33		50			73
	Oncor Electric Delivery Co. LLC	7.500%	9/1/38		125			196
	Oncor Electric Delivery Co. LLC	5.250%	9/30/40		125			159
	Oncor Electric Delivery Co. LLC	4.550%	12/1/41		75			88
	Oncor Electric Delivery Co. LLC	5.300%	6/1/42		100			130
	Oncor Electric Delivery Co. LLC	3.750%	4/1/45		100			109
	Oncor Electric Delivery Co. LLC	3.800%	9/30/47		50			55
	Oncor Electric Delivery Co. LLC	3.800%	6/1/49		100			109
	Oncor Electric Delivery Co. LLC	3.100%	9/15/49		400			396
	PacifiCorp	2.950%	2/1/22		100			102
	PacifiCorp	3.600%	4/1/24		125			132
	PacifiCorp	3.500%	6/15/29		100			108

167

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	PacifiCorp	7.700%	11/15/31		450			662
	PacifiCorp	5.250%	6/15/35		100			123
	PacifiCorp	6.100%	8/1/36		75			101
	PacifiCorp	6.350%	7/15/38		75			105
	PacifiCorp	4.100%	2/1/42		200			222
	PacifiCorp	4.125%	1/15/49		100			114
	PacifiCorp	4.150%	2/15/50		200			229
	PECO Energy Co.	2.375%	9/15/22		300			303
	PECO Energy Co.	3.900%	3/1/48		75			83
	Pinnacle West Capital Corp.	2.250%	11/30/20		100			100
	PNM Resources Inc.	3.250%	3/9/21		50			51
	Potomac Electric Power Co.	6.500%	11/15/37		250			353
	Potomac Electric Power Co.	4.150%	3/15/43		150			168
	PPL Capital Funding Inc.	4.200%	6/15/22		25			26
	PPL Capital Funding Inc.	3.500%	12/1/22		115			119
	PPL Capital Funding Inc.	3.400%	6/1/23		100			103
	PPL Capital Funding Inc.	3.950%	3/15/24		50			53
	PPL Capital Funding Inc.	3.100%	5/15/26		100			102
	PPL Capital Funding Inc.	4.700%	6/1/43		75			83
	PPL Capital Funding Inc.	5.000%	3/15/44		200			229
	PPL Capital Funding Inc.	4.000%	9/15/47		75			76
	PPL Electric Utilities Corp.	3.000%	9/15/21		275			280
	PPL Electric Utilities Corp.	6.250%	5/15/39		100			140
	PPL Electric Utilities Corp.	4.125%	6/15/44		50			56
	PPL Electric Utilities Corp.	4.150%	10/1/45		155			174
	PPL Electric Utilities Corp.	3.950%	6/1/47		75			82
	Progress Energy Inc.	4.400%	1/15/21		100			102
	Progress Energy Inc.	3.150%	4/1/22		40			41
	Progress Energy Inc.	7.000%	10/30/31		119			160
	Progress Energy Inc.	6.000%	12/1/39		125			162
	PSEG Power LLC	3.850%	6/1/23		125			131
	PSEG Power LLC	8.625%	4/15/31		96			134
	Public Service Co. of Colorado	3.200%	11/15/20		25			25
	Public Service Co. of Colorado	3.700%	6/15/28		75			81
	Public Service Co. of Colorado	3.600%	9/15/42		175			184
	Public Service Co. of Colorado	4.100%	6/15/48		75			85
	Public Service Co. of New Hampshire	3.500%	11/1/23		50			52
	Public Service Co. of New Hampshire	3.600%	7/1/49		75			79
	Public Service Electric & Gas Co.	1.900%	3/15/21		150			150
	Public Service Electric & Gas Co.	3.000%	5/15/25		80			83
	Public Service Electric & Gas Co.	2.250%	9/15/26		250			247
	Public Service Electric & Gas Co.	3.000%	5/15/27		75			77
	Public Service Electric & Gas Co.	3.200%	5/15/29		70			74
	Public Service Electric & Gas Co.	3.800%	3/1/46		250			272
	Public Service Electric & Gas Co.	3.600%	12/1/47		75			80
	Public Service Electric & Gas Co.	3.850%	5/1/49		200			222
	Public Service Enterprise Group Inc.	2.650%	11/15/22		100			102
	Puget Energy Inc.	6.000%	9/1/21		100			106
	Puget Energy Inc.	5.625%	7/15/22		200			214
	Puget Energy Inc.	3.650%	5/15/25		400			415
	Puget Sound Energy Inc.	6.274%	3/15/37		125			169
	Puget Sound Energy Inc.	5.757%	10/1/39		125			166
	Puget Sound Energy Inc.	4.300%	5/20/45		100			115
	Puget Sound Energy Inc.	4.223%	6/15/48		125			142
	Puget Sound Energy Inc.	3.250%	9/15/49		90			90
	San Diego Gas & Electric Co.	2.500%	5/15/26		250			248
	San Diego Gas & Electric Co.	4.500%	8/15/40		100			111
	San Diego Gas & Electric Co.	3.750%	6/1/47		75			77
	San Diego Gas & Electric Co.	4.150%	5/15/48		75			82
	Sierra Pacific Power Co.	2.600%	5/1/26		100			101
	Southern California Edison Co.	2.900%	3/1/21		100			101
	Southern California Edison Co.	3.875%	6/1/21		275			281
3	Southern California Edison Co.	1.845%	2/1/22		36			35
	Southern California Edison Co.	2.400%	2/1/22		75			75
	Southern California Edison Co.	3.400%	6/1/23		75			77
	Southern California Edison Co.	3.500%	10/1/23		175			182
	Southern California Edison Co.	3.700%	8/1/25		50			53
	Southern California Edison Co.	3.650%	3/1/28		100			107
	Southern California Edison Co.	4.200%	3/1/29		75			83
	Southern California Edison Co.	6.650%	4/1/29		75			90
	Southern California Edison Co.	2.850%	8/1/29		75			75
	Southern California Edison Co.	5.750%	4/1/35		75			91
	Southern California Edison Co.	5.350%	7/15/35		200			237
	Southern California Edison Co.	5.625%	2/1/36		125			152
	Southern California Edison Co.	5.500%	3/15/40		100			122
	Southern California Edison Co.	4.500%	9/1/40		75			82
	Southern California Edison Co.	4.050%	3/15/42		208			214
	Southern California Edison Co.	3.900%	3/15/43		100			102
	Southern California Edison Co.	4.000%	4/1/47		335			350
	Southern California Edison Co.	4.125%	3/1/48		350			370
	Southern California Edison Co.	4.875%	3/1/49		100			118
	Southern Co.	2.350%	7/1/21		300			301
	Southern Co.	3.250%	7/1/26		350			363
	Southern Co.	4.250%	7/1/36		200			215
	Southern Co.	4.400%	7/1/46		360			398
	Southern Power Co.	2.500%	12/15/21		350			353
	Southern Power Co.	4.150%	12/1/25		100			108
	Southern Power Co.	5.150%	9/15/41		100			114
	Southern Power Co.	5.250%	7/15/43		50			57
	Southern Power Co.	4.950%	12/15/46		75			83
	Southwestern Electric Power Co.	2.750%	10/1/26		100			99
	Southwestern Electric Power Co.	4.100%	9/15/28		100			109
	Southwestern Electric Power Co.	6.200%	3/15/40		50			66
	Southwestern Electric Power Co.	3.900%	4/1/45		200			206
	Southwestern Electric Power Co.	3.850%	2/1/48		325			334
	Southwestern Public Service Co.	3.300%	6/15/24		165			171
	Southwestern Public Service Co.	4.500%	8/15/41		100			117
	Southwestern Public Service Co.	3.400%	8/15/46		275			274
	Southwestern Public Service Co.	3.700%	8/15/47		75			78
	Southwestern Public Service Co.	4.400%	11/15/48		275			321
	Southwestern Public Service Co.	3.750%	6/15/49		75			80
	Tampa Electric Co.	4.100%	6/15/42		50			54
	Tampa Electric Co.	4.350%	5/15/44		50			57
	Tampa Electric Co.	4.300%	6/15/48		75			87
	Tampa Electric Co.	4.450%	6/15/49		125			148
	Tampa Electric Co.	3.625%	6/15/50		50			53
	Toledo Edison Co.	6.150%	5/15/37		75			101
	Tucson Electric Power Co.	3.050%	3/15/25		50			52
	Union Electric Co.	3.500%	4/15/24		250			263
	Union Electric Co.	8.450%	3/15/39		150			244
	Union Electric Co.	3.650%	4/15/45		125			131
	Union Electric Co.	4.000%	4/1/48		75			84
	Union Electric Co.	3.250%	10/1/49		100			99
	Virginia Electric & Power Co.	3.450%	2/15/24		50			52
	Virginia Electric & Power Co.	2.950%	11/15/26		75			77
	Virginia Electric & Power Co.	3.500%	3/15/27		250			265
	Virginia Electric & Power Co.	3.800%	4/1/28		150			162
	Virginia Electric & Power Co.	2.875%	7/15/29		275			280
	Virginia Electric & Power Co.	6.000%	1/15/36		125			163
	Virginia Electric & Power Co.	6.000%	5/15/37		150			199
	Virginia Electric & Power Co.	6.350%	11/30/37		50			69
	Virginia Electric & Power Co.	4.000%	1/15/43		400			435
	Virginia Electric & Power Co.	4.450%	2/15/44		475			550
	Virginia Electric & Power Co.	4.200%	5/15/45		75			85
	Virginia Electric & Power Co.	4.000%	11/15/46		100			110
	Virginia Electric & Power Co.	3.800%	9/15/47		100			108
	Virginia Electric & Power Co.	4.600%	12/1/48		375			455
	Virginia Electric & Power Co.	3.300%	12/1/49		110			111
	WEC Energy Group Inc.	3.550%	6/15/25		200			211
	Westar Energy Inc.	2.550%	7/1/26		150			150
	Westar Energy Inc.	3.100%	4/1/27		100			103
	Westar Energy Inc.	4.125%	3/1/42		200			223
	Westar Energy Inc.	4.100%	4/1/43		100			111
	Westar Energy Inc.	4.250%	12/1/45		25			28
	Wisconsin Electric Power Co.	2.950%	9/15/21		75			76
	Wisconsin Electric Power Co.	2.050%	12/15/24		100			100
	Wisconsin Electric Power Co.	4.300%	10/15/48		100			115
	Wisconsin Power & Light Co.	6.375%	8/15/37		100			136
	Wisconsin Public Service Corp.	3.350%	11/21/21		300			309
	Xcel Energy Inc.	2.600%	3/15/22		75			76
	Xcel Energy Inc.	3.300%	6/1/25		325			339
	Xcel Energy Inc.	3.350%	12/1/26		75			78

168

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
	Xcel Energy Inc.	4.000%	6/15/28		75			82
	Xcel Energy Inc.	2.600%	12/1/29		200			198
	Xcel Energy Inc.	3.500%	12/1/49		100			102
	Natural Gas (0.2%)
	Atmos Energy Corp.	3.000%	6/15/27		100			103
	Atmos Energy Corp.	2.625%	9/15/29		50			50
	Atmos Energy Corp.	5.500%	6/15/41		200			257
	Atmos Energy Corp.	4.150%	1/15/43		100			112
	Atmos Energy Corp.	4.125%	10/15/44		50			56
	Atmos Energy Corp.	3.375%	9/15/49		530			535
	CenterPoint Energy Resources Corp.	4.500%	1/15/21		25			26
	CenterPoint Energy Resources Corp.	3.550%	4/1/23		50			52
	CenterPoint Energy Resources Corp.	4.000%	4/1/28		100			107
	CenterPoint Energy Resources Corp.	5.850%	1/15/41		250			315
	CenterPoint Energy Resources Corp.	4.100%	9/1/47		50			52
	KeySpan Corp.	5.803%	4/1/35		50			61
	NiSource Finance Corp.	3.490%	5/15/27		250			262
	NiSource Finance Corp.	5.950%	6/15/41		100			128
	NiSource Finance Corp.	4.800%	2/15/44		125			143
	NiSource Finance Corp.	5.650%	2/1/45		100			128
	NiSource Finance Corp.	4.375%	5/15/47		250			279
	NiSource Inc.	2.650%	11/17/22		75			76
	NiSource Inc.	3.650%	6/15/23		75			78
	NiSource Inc.	2.950%	9/1/29		100			100
	ONE Gas Inc.	4.658%	2/1/44		125			149
	ONE Gas Inc.	4.500%	11/1/48		75			89
	Piedmont Natural Gas Co. Inc.	3.500%	6/1/29		110			117
	Piedmont Natural Gas Co. Inc.	4.650%	8/1/43		50			56
	Piedmont Natural Gas Co. Inc.	3.640%	11/1/46		75			74
	Sempra Energy	2.850%	11/15/20		395			397
	Sempra Energy	2.875%	10/1/22		100			102
	Sempra Energy	2.900%	2/1/23		100			102
	Sempra Energy	4.050%	12/1/23		100			106
	Sempra Energy	3.750%	11/15/25		155			163
	Sempra Energy	3.250%	6/15/27		150			154
	Sempra Energy	3.400%	2/1/28		200			207
	Sempra Energy	3.800%	2/1/38		200			208
	Sempra Energy	6.000%	10/15/39		150			195
	Sempra Energy	4.000%	2/1/48		175			182
	Southern California Gas Co.	2.600%	6/15/26		200			200
	Southern California Gas Co.	3.750%	9/15/42		75			78
	Southern California Gas Co.	4.125%	6/1/48		75			83
	Southern California Gas Co.	3.950%	2/15/50		70			78
	Southern Co. Gas Capital Corp.	3.500%	9/15/21		325			332
	Southern Co. Gas Capital Corp.	3.250%	6/15/26		75			77
	Southern Co. Gas Capital Corp.	5.875%	3/15/41		75			95
	Southern Co. Gas Capital Corp.	4.400%	6/1/43		50			54
	Southern Co. Gas Capital Corp.	3.950%	10/1/46		100			102
	Southern Co. Gas Capital Corp.	4.400%	5/30/47		100			109
	Southwest Gas Corp.	3.700%	4/1/28		50			53
	Southwest Gas Corp.	3.800%	9/29/46		75			77
	Southwest Gas Corp.	4.150%	6/1/49		25			27
	Washington Gas Light Co.	3.796%	9/15/46		100			104
	Washington Gas Light Co.	3.650%	9/15/49		30			30
	Other Utility (0.0%)
	American Water Capital Corp.	3.400%	3/1/25		125			131
	American Water Capital Corp.	2.950%	9/1/27		325			331
	American Water Capital Corp.	3.450%	6/1/29		125			132
	American Water Capital Corp.	6.593%	10/15/37		150			213
	American Water Capital Corp.	4.300%	9/1/45		100			113
	American Water Capital Corp.	3.750%	9/1/47		200			210
	American Water Capital Corp.	4.200%	9/1/48		100			113
	American Water Capital Corp.	4.150%	6/1/49		125			140
	Aqua America Inc.	3.566%	5/1/29		75			79
	Aqua America Inc.	4.276%	5/1/49		85			94
	Veolia Environnement SA	6.750%	6/1/38		39			54
								84,050
Total Corporate Bonds (Cost $1,063,591)								1,139,256

Sovereign Bonds (4.1%)
	African Development Bank	1.250%	7/26/21	500	497
	African Development Bank	2.375%	9/23/21	300	303
	African Development Bank	1.625%	9/16/22	400	399
	African Development Bank	2.125%	11/16/22	700	708
	African Development Bank	3.000%	9/20/23	275	288
	Asian Development Bank	2.250%	1/20/21	500	503
	Asian Development Bank	1.625%	3/16/21	500	499
	Asian Development Bank	1.750%	6/8/21	625	625
	Asian Development Bank	2.000%	2/16/22	980	987
	Asian Development Bank	1.875%	2/18/22	600	603
	Asian Development Bank	1.875%	7/19/22	600	603
	Asian Development Bank	1.750%	9/13/22	900	901
	Asian Development Bank	2.750%	3/17/23	1,000	1,032
	Asian Development Bank	2.625%	1/30/24	1,000	1,034
	Asian Development Bank	1.500%	10/18/24	500	494
	Asian Development Bank	2.000%	1/22/25	300	303
	Asian Development Bank	2.000%	4/24/26	100	101
	Asian Development Bank	2.625%	1/12/27	200	209
	Asian Development Bank	2.375%	8/10/27	275	283
	Asian Development Bank	6.220%	8/15/27	100	127
	Asian Development Bank	2.500%	11/2/27	673	700
	Asian Development Bank	5.820%	6/16/28	148	188
	Asian Development Bank	3.125%	9/26/28	130	142
	Asian Development Bank	1.750%	9/19/29	200	195
	Asian Infrastructure Investment Bank	2.250%	5/16/24	500	510
	Canada	2.625%	1/25/22	250	255
	Canada	2.000%	11/15/22	570	575
	CNOOC Finance 2013 Ltd.	3.000%	5/9/23	300	306
	CNOOC Finance 2013 Ltd.	2.875%	9/30/29	250	250
	CNOOC Finance 2013 Ltd.	3.300%	9/30/49	250	236
	CNOOC Finance 2015 USA LLC	3.500%	5/5/25	500	523
	CNOOC Finance 2015 USA LLC	4.375%	5/2/28	500	554
	CNOOC Nexen Finance 2014 ULC	4.250%	4/30/24	300	320
	Corp. Andina de Fomento	3.250%	2/11/22	45	46
	Corp. Andina de Fomento	2.750%	1/6/23	125	126
	Corp. Andina de Fomento	3.750%	11/23/23	925	968
	Council Of Europe Development Bank	1.625%	3/16/21	200	200
	Council Of Europe Development Bank	1.750%	9/26/22	150	150
	Council Of Europe Development Bank	2.625%	2/13/23	425	437
	Ecopetrol SA	5.875%	9/18/23	225	250
	Ecopetrol SA	4.125%	1/16/25	200	210
	Ecopetrol SA	5.375%	6/26/26	750	841
	Ecopetrol SA	7.375%	9/18/43	100	135
	Ecopetrol SA	5.875%	5/28/45	400	470
	Equinor ASA	2.750%	11/10/21	300	305
	Equinor ASA	3.150%	1/23/22	150	154
	Equinor ASA	2.450%	1/17/23	450	457
	Equinor ASA	2.650%	1/15/24	375	384
	Equinor ASA	3.700%	3/1/24	150	160
	Equinor ASA	3.250%	11/10/24	150	158
	Equinor ASA	7.250%	9/23/27	250	331
	Equinor ASA	3.625%	9/10/28	175	193
	Equinor ASA	5.100%	8/17/40	125	159
	Equinor ASA	4.250%	11/23/41	175	202
	Equinor ASA	3.950%	5/15/43	125	139
	Equinor ASA	4.800%	11/8/43	175	221
	Equinor ASA	3.250%	11/18/49	125	125
	European Bank for Reconstruction & Development	1.875%	7/15/21	225	226
	European Bank for Reconstruction & Development	1.500%	11/2/21	150	150
	European Bank for Reconstruction & Development	1.875%	2/23/22	200	201
	European Bank for Reconstruction & Development	2.750%	3/7/23	925	955
	European Bank for Reconstruction & Development	1.625%	9/27/24	270	268
	European Investment Bank	4.000%	2/16/21	735	753
	European Investment Bank	2.000%	3/15/21	1,450	1,455
	European Investment Bank	2.500%	4/15/21	850	858

169

Total Bond Market Index Portfolio

			Face		Market
		Maturity	Amount		Value•
	Coupon	Date	($000	)	($000	)
European Investment Bank	2.375%	5/13/21	1,850		1,866
European Investment Bank	1.625%	6/15/21	1,000		998
European Investment Bank	1.375%	9/15/21	100		100
European Investment Bank	2.125%	10/15/21	300		302
European Investment Bank	2.875%	12/15/21	1,150		1,176
European Investment Bank	2.250%	3/15/22	500		506
European Investment Bank	2.625%	5/20/22	200		204
European Investment Bank	2.375%	6/15/22	1,725		1,753
European Investment Bank	1.375%	9/6/22	720		714
European Investment Bank	2.500%	3/15/23	600		615
European Investment Bank	2.875%	8/15/23	800		833
European Investment Bank	3.125%	12/14/23	500		527
European Investment Bank	3.250%	1/29/24	810		858
European Investment Bank	2.625%	3/15/24	530		549
European Investment Bank	2.250%	6/24/24	550		562
European Investment Bank	2.500%	10/15/24	276		285
European Investment Bank	1.875%	2/10/25	1,050		1,056
European Investment Bank	2.375%	5/24/27	225		232
European Investment Bank	1.625%	10/9/29	125		121
European Investment Bank	4.875%	2/15/36	325		436
Export Development Canada	1.500%	5/26/21	525		523
Export Development Canada	1.375%	10/21/21	200		199
Export Development Canada	1.750%	7/18/22	200		201
Export Development Canada	2.500%	1/24/23	40		41
Export Development Canada	2.625%	2/21/24	250		258
Export-Import Bank of Korea	2.500%	5/10/21	300		302
Export-Import Bank of Korea	4.375%	9/15/21	75		78
Export-Import Bank of Korea	1.875%	10/21/21	250		249
Export-Import Bank of Korea	3.500%	11/27/21	200		205
Export-Import Bank of Korea	5.000%	4/11/22	275		293
Export-Import Bank of Korea	3.000%	11/1/22	400		410
Export-Import Bank of Korea	3.625%	11/27/23	200		211
Export-Import Bank of Korea	4.000%	1/14/24	650		695
Export-Import Bank of Korea	2.625%	5/26/26	200		202
FMS Wertmanagement	2.000%	8/1/22	470		474
FMS Wertmanagement	2.750%	3/6/23	300		310
Hydro-Quebec	8.400%	1/15/22	375		421
Hydro-Quebec	8.050%	7/7/24	325		405
Industrial & Commercial Bank of China Ltd.	2.635%	5/26/21	250		251
Industrial & Commercial Bank of China Ltd.	2.957%	11/8/22	250		254
Industrial & Commercial Bank of China Ltd.	3.538%	11/8/27	250		258
Inter-American Development Bank	1.875%	3/15/21	200		200
Inter-American Development Bank	2.625%	4/19/21	700		708
Inter-American Development Bank	2.125%	1/18/22	700		706
Inter-American Development Bank	1.750%	4/14/22	800		801
Inter-American Development Bank	3.000%	9/26/22	500		516
Inter-American Development Bank	2.500%	1/18/23	1,025		1,050
Inter-American Development Bank	3.000%	10/4/23	625		655
Inter-American Development Bank	2.625%	1/16/24	150		155
Inter-American Development Bank	3.000%	2/21/24	900		943
Inter-American Development Bank	2.125%	1/15/25	1,100		1,117
Inter-American Development Bank	7.000%	6/15/25	100		125
Inter-American Development Bank	2.000%	6/2/26	750		754
Inter-American Development Bank	2.000%	7/23/26	100		101
Inter-American Development Bank	2.375%	7/7/27	450		464
Inter-American Development Bank	3.125%	9/18/28	875		955
Inter-American Development Bank	3.875%	10/28/41	200		245
Inter-American Development Bank	3.200%	8/7/42	100		112
International Bank for Reconstruction & Development	1.625%	3/9/21	1,100		1,099
International Bank for Reconstruction & Development	1.375%	5/24/21	1,100		1,095
International Bank for Reconstruction & Development	2.250%	6/24/21	450		453
International Bank for Reconstruction & Development	2.750%	7/23/21	1,330		1,352
International Bank for Reconstruction & Development	1.375%	9/20/21	1,975		1,966

	International Bank for Reconstruction & Development	2.125%	12/13/21	255	257
	International Bank for Reconstruction & Development	2.000%	1/26/22	145	146
	International Bank for Reconstruction & Development	1.625%	2/10/22	1,325	1,324
	International Bank for Reconstruction & Development	2.125%	7/1/22	775	783
	International Bank for Reconstruction & Development	1.875%	6/19/23	1,100	1,105
	International Bank for Reconstruction & Development	3.000%	9/27/23	1,125	1,177
	International Bank for Reconstruction & Development	2.500%	3/19/24	1,100	1,134
	International Bank for Reconstruction & Development	1.500%	8/28/24	695	687
	International Bank for Reconstruction & Development	2.500%	11/25/24	750	775
	International Bank for Reconstruction & Development	2.500%	7/29/25	1,150	1,193
	International Bank for Reconstruction & Development	3.125%	11/20/25	470	504
	International Bank for Reconstruction & Development	2.500%	11/22/27	350	365
	International Bank for Reconstruction & Development	1.750%	10/23/29	200	195
	International Bank for Reconstruction & Development	4.750%	2/15/35	250	326
	International Finance Corp.	2.250%	1/25/21	1,150	1,156
	International Finance Corp.	2.875%	7/31/23	275	286
	International Finance Corp.	1.375%	10/16/24	200	196
	International Finance Corp.	2.125%	4/7/26	600	609
7	Japan Bank for International Cooperation	3.125%	7/20/21	275	280
7	Japan Bank for International Cooperation	1.500%	7/21/21	750	746
7	Japan Bank for International Cooperation	2.000%	11/4/21	770	772
7	Japan Bank for International Cooperation	2.500%	6/1/22	450	456
7	Japan Bank for International Cooperation	2.375%	7/21/22	250	253
7	Japan Bank for International Cooperation	2.375%	11/16/22	540	547
7	Japan Bank for International Cooperation	3.250%	7/20/23	300	312
7	Japan Bank for International Cooperation	3.375%	7/31/23	100	105
7	Japan Bank for International Cooperation	3.375%	10/31/23	400	421
7	Japan Bank for International Cooperation	3.000%	5/29/24	500	519
7	Japan Bank for International Cooperation	1.750%	10/17/24	200	197
7	Japan Bank for International Cooperation	2.125%	2/10/25	330	331
7	Japan Bank for International Cooperation	2.375%	4/20/26	200	202
7	Japan Bank for International Cooperation	2.250%	11/4/26	200	201
7	Japan Bank for International Cooperation	2.875%	7/21/27	200	209
7	Japan Bank for International Cooperation	2.750%	11/16/27	800	832
7	Japan Bank for International Cooperation	3.250%	7/20/28	300	323
7	Japan Bank for International Cooperation	3.500%	10/31/28	350	384
7	Japan International Cooperation Agency	2.750%	4/27/27	300	310
8	KFW	1.625%	3/15/21	900	899
8	KFW	2.375%	3/24/21	900	907

170

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
8	KFW	2.625%	4/12/21		800			809
8	KFW	1.500%	6/15/21		900			898
8	KFW	1.750%	9/15/21		600			601
8	KFW	2.000%	11/30/21		600			604
8	KFW	3.125%	12/15/21		1,115			1,146
8	KFW	2.500%	2/15/22		1,000			1,016
8	KFW	2.125%	3/7/22		1,000			1,009
8	KFW	2.125%	6/15/22		750			758
8	KFW	1.750%	8/22/22		1,200			1,202
8	KFW	2.000%	10/4/22		950			958
8	KFW	2.375%	12/29/22		450			459
8	KFW	2.125%	1/17/23		1,025			1,040
8	KFW	2.625%	2/28/24		400			414
8	KFW	1.375%	8/5/24		900			883
8	KFW	2.500%	11/20/24		1,800			1,859
8	KFW	2.000%	5/2/25		150			152
8	KFW	2.875%	4/3/28		500			536
8	KFW	1.750%	9/14/29		175			171
8	KFW	0.000%	4/18/36		400			273
8	KFW	0.000%	6/29/37		200			133
	Korea Development Bank	4.625%	11/16/21		150			157
	Korea Development Bank	3.000%	9/14/22		750			768
	Korea Development Bank	3.375%	3/12/23		700			726
	Korea Development Bank	3.750%	1/22/24		500			530
	Korea Development Bank	2.125%	10/1/24		200			199
8	Landwirtschaftliche Rentenbank	1.750%	9/24/21		250			250
8	Landwirtschaftliche Rentenbank	2.250%	10/1/21		45			45
8	Landwirtschaftliche Rentenbank	3.125%	11/14/23		100			105
8	Landwirtschaftliche Rentenbank	2.000%	1/13/25		850			858
8	Landwirtschaftliche Rentenbank	2.375%	6/10/25		475			488
8	Landwirtschaftliche Rentenbank	1.750%	7/27/26		275			272
8	Landwirtschaftliche Rentenbank	2.500%	11/15/27		250			261
	Nexen Energy ULC	7.875%	3/15/32		50			72
	Nexen Energy ULC	6.400%	5/15/37		450			619
	Nexen Energy ULC	7.500%	7/30/39		200			311
	Nordic Investment Bank	2.250%	2/1/21		200			201
	Nordic Investment Bank	1.250%	8/2/21		400			397
	Nordic Investment Bank	2.125%	2/1/22		200			202
	Nordic Investment Bank	1.375%	10/17/22		200			198
	Nordic Investment Bank	2.875%	7/19/23		200			208
	Nordic Investment Bank	2.250%	5/21/24		200			203
9	Oesterreichische Kontrollbank AG	2.625%	1/31/22		100			102
9	Oesterreichische Kontrollbank AG	1.625%	9/17/22		400			399
9	Oesterreichische Kontrollbank AG	2.875%	3/13/23		500			518
9	Oesterreichische Kontrollbank AG	3.125%	11/7/23		200			210
3	Oriental Republic of Uruguay	8.000%	11/18/22		125			139
3	Oriental Republic of Uruguay	4.500%	8/14/24		303			328
3	Oriental Republic of Uruguay	4.375%	10/27/27		150			166
3	Oriental Republic of Uruguay	4.375%	1/23/31		208			233
3	Oriental Republic of Uruguay	7.625%	3/21/36		195			289
3	Oriental Republic of Uruguay	4.125%	11/20/45		300			322
3	Oriental Republic of Uruguay	5.100%	6/18/50		565			679
3	Oriental Republic of Uruguay	4.975%	4/20/55		500			589
	Petroleos Mexicanos	5.500%	1/21/21		200			205
	Petroleos Mexicanos	6.375%	2/4/21		261			266
	Petroleos Mexicanos	4.875%	1/24/22		185			192
	Petroleos Mexicanos	5.375%	3/13/22		64			67
	Petroleos Mexicanos	3.500%	1/30/23		215			217
	Petroleos Mexicanos	4.625%	9/21/23		87			91
	Petroleos Mexicanos	4.875%	1/18/24		120			126
	Petroleos Mexicanos	4.250%	1/15/25		100			101
	Petroleos Mexicanos	2.378%	4/15/25		28			28
	Petroleos Mexicanos	4.500%	1/23/26		110			109
	Petroleos Mexicanos	6.875%	8/4/26		599			657
6	Petroleos Mexicanos	6.490%	1/23/27		581			617
	Petroleos Mexicanos	6.500%	3/13/27		1,236			1,308
	Petroleos Mexicanos	5.350%	2/12/28		556			552
	Petroleos Mexicanos	6.500%	1/23/29		375			393
6	Petroleos Mexicanos	6.840%	1/23/30		1,091			1,168
	Petroleos Mexicanos	6.625%	6/15/35		625			635
	Petroleos Mexicanos	6.625%	6/15/38		150			147

	Petroleos Mexicanos	6.500%	6/2/41	250	248
	Petroleos Mexicanos	5.500%	6/27/44	94	84
	Petroleos Mexicanos	6.375%	1/23/45	300	290
	Petroleos Mexicanos	5.625%	1/23/46	367	330
	Petroleos Mexicanos	6.750%	9/21/47	1,288	1,289
	Petroleos Mexicanos	6.350%	2/12/48	496	479
6	Petroleos Mexicanos	7.690%	1/23/50	1,544	1,685
	Province of Alberta	2.200%	7/26/22	400	403
	Province of Alberta	3.350%	11/1/23	375	395
	Province of Alberta	2.950%	1/23/24	300	311
	Province of Alberta	1.875%	11/13/24	450	449
	Province of Alberta	3.300%	3/15/28	250	270
	Province of British Columbia	2.000%	10/23/22	200	201
	Province of British Columbia	1.750%	9/27/24	225	223
	Province of British Columbia	2.250%	6/2/26	300	303
	Province of Manitoba	2.050%	11/30/20	300	300
	Province of Manitoba	2.100%	9/6/22	150	151
	Province of Manitoba	2.600%	4/16/24	150	154
	Province of Manitoba	2.125%	6/22/26	90	90
	Province of New Brunswick	2.500%	12/12/22	95	97
	Province of New Brunswick	3.625%	2/24/28	105	115
	Province of Ontario	2.550%	2/12/21	180	181
	Province of Ontario	2.500%	9/10/21	575	581
	Province of Ontario	2.400%	2/8/22	525	531
	Province of Ontario	2.550%	4/25/22	350	356
	Province of Ontario	2.250%	5/18/22	500	505
	Province of Ontario	2.450%	6/29/22	150	152
	Province of Ontario	2.200%	10/3/22	400	404
	Province of Ontario	3.400%	10/17/23	760	802
	Province of Ontario	3.050%	1/29/24	250	261
	Province of Ontario	3.200%	5/16/24	150	158
	Province of Ontario	2.500%	4/27/26	250	256
	Province of Ontario	2.300%	6/15/26	900	911
	Province of Ontario	2.000%	10/2/29	585	575
	Province of Quebec	2.750%	8/25/21	325	330
	Province of Quebec	2.375%	1/31/22	390	394
	Province of Quebec	2.625%	2/13/23	425	435
	Province of Quebec	2.500%	4/20/26	200	205
	Province of Quebec	2.750%	4/12/27	850	884
	Province of Quebec	7.500%	9/15/29	475	684
	Province of Saskatchewan	8.500%	7/15/22	58	67
	Republic of Chile	2.250%	10/30/22	175	176
	Republic of Chile	3.125%	1/21/26	485	507
3	Republic of Chile	3.240%	2/6/28	460	482
3	Republic of Chile	3.500%	1/25/50	275	285
	Republic of Colombia	4.375%	7/12/21	450	464
	Republic of Colombia	4.000%	2/26/24	400	421
	Republic of Colombia	8.125%	5/21/24	100	123
3	Republic of Colombia	4.500%	1/28/26	322	350
3	Republic of Colombia	3.875%	4/25/27	765	808
3	Republic of Colombia	4.500%	3/15/29	650	719
	Republic of Colombia	10.375%	1/28/33	200	321
	Republic of Colombia	7.375%	9/18/37	300	427
	Republic of Colombia	6.125%	1/18/41	125	161
3	Republic of Colombia	5.625%	2/26/44	475	586
3	Republic of Colombia	5.000%	6/15/45	965	1,114
	Republic of Colombia	5.200%	5/15/49	400	477
	Republic of Hungary	6.375%	3/29/21	700	739
	Republic of Hungary	5.375%	2/21/23	400	438
	Republic of Hungary	5.750%	11/22/23	400	451
	Republic of Hungary	5.375%	3/25/24	350	394
	Republic of Hungary	7.625%	3/29/41	290	475
	Republic of Indonesia	2.950%	1/11/23	425	432
	Republic of Indonesia	4.100%	4/24/28	200	217
	Republic of Indonesia	4.750%	2/11/29	425	487
	Republic of Indonesia	3.400%	9/18/29	200	208
6	Republic of Indonesia	4.750%	7/18/47	200	231
	Republic of Indonesia	4.350%	1/11/48	300	332
	Republic of Indonesia	3.700%	10/30/49	200	203
	Republic of Italy	6.875%	9/27/23	590	671
	Republic of Italy	2.375%	10/17/24	475	465

171

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Republic of Italy	2.875%	10/17/29		200			189
	Republic of Italy	5.375%	6/15/33		475			544
	Republic of Italy	4.000%	10/17/49		500			474
	Republic of Korea	3.875%	9/11/23		200			213
	Republic of Korea	5.625%	11/3/25		100			118
	Republic of Korea	2.750%	1/19/27		1,000			1,021
	Republic of Korea	3.875%	9/20/48		125			149
3	Republic of Panama	4.000%	9/22/24		200			214
3	Republic of Panama	3.750%	3/16/25		200			212
	Republic of Panama	7.125%	1/29/26		168			210
	Republic of Panama	8.875%	9/30/27		238			339
3	Republic of Panama	3.875%	3/17/28		460			500
	Republic of Panama	9.375%	4/1/29		300			457
3	Republic of Panama	6.700%	1/26/36		292			409
3	Republic of Panama	4.500%	4/16/50		410			486
3	Republic of Panama	4.300%	4/29/53		400			466
3	Republic of Panama	3.870%	7/23/60		200			215
	Republic of Peru	7.350%	7/21/25		225			284
	Republic of Peru	8.750%	11/21/33		645			1,064
3	Republic of Peru	6.550%	3/14/37		225			329
	Republic of Peru	5.625%	11/18/50		475			689
	Republic of Poland	5.125%	4/21/21		275			286
	Republic of Poland	5.000%	3/23/22		775			827
	Republic of Poland	3.000%	3/17/23		325			335
	Republic of Poland	3.250%	4/6/26		500			529
	Republic of the Philippines	4.000%	1/15/21		350			357
	Republic of the Philippines	9.500%	10/21/24		350			466
	Republic of the Philippines	10.625%	3/16/25		100			141
	Republic of the Philippines	5.500%	3/30/26		225			267
	Republic of the Philippines	3.000%	2/1/28		400			415
	Republic of the Philippines	3.750%	1/14/29		400			441
	Republic of the Philippines	9.500%	2/2/30		300			478
	Republic of the Philippines	7.750%	1/14/31		400			591
	Republic of the Philippines	6.375%	1/15/32		200			272
	Republic of the Philippines	6.375%	10/23/34		550			781
	Republic of the Philippines	3.950%	1/20/40		700			799
	Republic of the Philippines	3.700%	3/1/41		400			453
	Republic of the Philippines	3.700%	2/2/42		350			394
	State of Israel	3.150%	6/30/23		400			416
	State of Israel	2.875%	3/16/26		200			208
	State of Israel	3.250%	1/17/28		300			322
	State of Israel	4.500%	1/30/43		200			238
	State of Israel	4.125%	1/17/48		250			285
	Svensk Exportkredit AB	1.750%	3/10/21		450			450
	Svensk Exportkredit AB	2.375%	4/9/21		200			202
	Svensk Exportkredit AB	2.875%	5/22/21		200			203
	Svensk Exportkredit AB	1.625%	9/12/21		300			300
	Svensk Exportkredit AB	3.125%	11/8/21		200			205
	Svensk Exportkredit AB	2.000%	8/30/22		190			191
	Svensk Exportkredit AB	1.625%	11/14/22		200			200
	Svensk Exportkredit AB	2.875%	3/14/23		195			202
	Syngenta Finance NV	3.125%	3/28/22		100			101
	United Mexican States	3.625%	3/15/22		548			564
	United Mexican States	3.600%	1/30/25		510			533
	United Mexican States	4.125%	1/21/26		445			474
	United Mexican States	4.150%	3/28/27		800			855
	United Mexican States	3.750%	1/11/28		675			700
	United Mexican States	4.500%	4/22/29		850			931
	United Mexican States	8.300%	8/15/31		220			326
	United Mexican States	7.500%	4/8/33		100			141
	United Mexican States	6.050%	1/11/40		883			1,144
	United Mexican States	4.750%	3/8/44		765			842
	United Mexican States	5.550%	1/21/45		510			625
	United Mexican States	4.600%	1/23/46		600			647
	United Mexican States	4.350%	1/15/47		760			796
	United Mexican States	4.600%	2/10/48		255			277
3	United Mexican States	4.500%	1/31/50		400			433
	United Mexican States	5.750%	10/12/10		342			402
Total Sovereign Bonds (Cost $168,587)								176,043
Taxable Municipal Bonds (0.7%)

Alabama Economic Settlement Authority BP Settlement Revenue	3.163%	9/15/25	75	77
American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	5.939%	2/15/47	150	207
American Municipal Power Ohio Inc.Revenue (Prairie State Energy Campus Project)	6.270%	2/15/50	50	67
American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	7.499%	2/15/50	50	77
American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	8.084%	2/15/50	125	214
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.918%	4/1/40	100	146
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.263%	4/1/49	250	382
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.907%	10/1/50	200	323
California Department of Water Resources Power Supply Revenue	2.000%	5/1/22	150	151
California GO	2.800%	4/1/21	150	152
California GO	5.700%	11/1/21	250	268
California GO	3.375%	4/1/25	100	106
California GO	2.650%	4/1/26	75	77
California GO	3.500%	4/1/28	150	162
California GO	4.500%	4/1/33	190	214
California GO	7.500%	4/1/34	350	527
California GO	4.600%	4/1/38	300	332
California GO	7.300%	10/1/39	75	115
California GO	7.350%	11/1/39	1,425	2,189
California GO	7.625%	3/1/40	205	328
California GO	7.600%	11/1/40	200	330
California State University Systemwide Revenue	3.899%	11/1/47	50	55
Central Puget Sound WA Regional Transit Authority Sales & Use Tax Revenue	5.491%	11/1/39	50	66
Chicago IL GO	7.045%	1/1/29	50	55
Chicago IL GO	7.375%	1/1/33	150	180
Chicago IL GO	6.314%	1/1/44	100	114
Chicago IL Metropolitan Water Reclamation District GO	5.720%	12/1/38	100	131
Chicago IL O’Hare International Airport Revenue	6.395%	1/1/40	125	180
Chicago IL O’Hare International Airport Revenue	4.472%	1/1/49	75	90
Chicago IL Transit Authority Sales Tax Receipts Revenue	6.200%	12/1/40	150	196
Chicago IL Transit Authority Transfer Tax Receipts Revenue	6.899%	12/1/40	125	169
Clark County NV Airport System Revenue	6.820%	7/1/45	100	158
Commonwealth Financing Authority Pennsylvania Revenue	3.864%	6/1/38	100	107
Commonwealth Financing Authority Pennsylvania Revenue	3.807%	6/1/41	55	59
Connecticut GO	5.090%	10/1/30	175	201
Connecticut GO	5.850%	3/15/32	200	258
Cook County IL GO	6.229%	11/15/34	50	65
Dallas TX Area Rapid Transit Revenue	5.999%	12/1/44	100	142
Dallas TX Area Rapid Transit Revenue	5.022%	12/1/48	50	66
Dallas TX Convention Center Hotel Development Corp. Hotel Revenue	7.088%	1/1/42	150	208

172

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
Dallas TX Independent School District GO	6.450%	2/15/35		100			105
Dallas-Fort Worth TX International Airport Revenue	2.994%	11/1/38		50			49
Dallas-Fort Worth TX International Airport Revenue	3.144%	11/1/45		75			74
District of Columbia Income Tax Revenue	5.591%	12/1/34		50			62
District of Columbia Water & Sewer Authority Public Utility Revenue	4.814%	10/1/14		150			197
Florida Board of Administration Finance Corp Revenue	2.638%	7/1/21		150			152
George Washington University	4.126%	9/15/48		150			173
Georgia Municipal Electric Power Authority Revenue	6.637%	4/1/57		248			334
Georgia Municipal Electric Power Authority Revenue	6.655%	4/1/57		149			205
Georgia Municipal Electric Power Authority Revenue	7.055%	4/1/57		74			100
Houston TX GO	6.290%	3/1/32		135			163
Illinois GO	4.950%	6/1/23		349			364
Illinois GO	5.100%	6/1/33		1,200			1,294
Illinois GO	7.350%	7/1/35		300			364
Illinois Toll Highway Authority Revenue	6.184%	1/1/34		50			66
JobsOhio Beverage System Statewide Liquor Profits Revenue	3.985%	1/1/29		150			163
JobsOhio Beverage System Statewide Liquor Profits Revenue	4.532%	1/1/35		100			117
Los Angeles CA Department of Water & Power Revenue	6.166%	7/1/40		25			26
Los Angeles CA Department of Water & Power Revenue	6.574%	7/1/45		100			156
Los Angeles CA Department of Water & Power Revenue	6.603%	7/1/50		100			160
Los Angeles CA Unified School District GO	5.755%	7/1/29		200			242
Los Angeles CA Unified School District GO	5.750%	7/1/34		125			160
Los Angeles CA Unified School District GO	6.758%	7/1/34		200			276
Los Angeles County CA Metropolitan Transportation Authority Sales Tax Revenue	5.735%	6/1/39		75			97
Los Angeles County CA Public Works Financing Authority Lease Revenue	7.618%	8/1/40		50			77
Maryland Transportation Authority Facilities Projects Revenue	5.888%	7/1/43		50			67
Massachusetts GO	4.200%	12/1/21		115			118
Massachusetts GO	5.456%	12/1/39		150			195
Massachusetts GO	2.813%	9/1/43		225			214
Massachusetts GO	2.900%	9/1/49		100			94
Massachusetts School Building Authority Dedicated Sales Tax Revenue	5.715%	8/15/39		100			132
Massachusetts School Building Authority Dedicated Sales Tax Revenue	3.395%	10/15/40		50			50
Massachusetts Transportation Fund Revenue	5.731%	6/1/40		50			65
Metropolitan Government of Nashville & Davidson County TN Convention Center Authority Tourism Tax Revenue	6.731%	7/1/43		50			71
Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue	7.462%	10/1/46		85			137
Miami-Dade County FL Aviation Revenue (Miami International Airport)	4.280%	10/1/41		125			134
Michigan Finance Authority Revenue (Trinity Health Credit Group)	3.084%	12/1/34		75			75
Michigan Finance Authority Revenue (Trinity Health Credit Group)	3.384%	12/1/40		200			200
Michigan State University Revenue	4.496%	8/15/48		50			55
Mississippi GO	5.245%	11/1/34		50			62

	Missouri Health & Educational Facilities Authority Revenue (Washington University)	3.652%	8/15/57	100	105
10	New Jersey Economic Development Authority Revenue (State Pension Funding)	7.425%	2/15/29	225	282
	New Jersey Transportation Trust Fund Authority Transportation Program Revenue	4.081%	6/15/39	75	75
	New Jersey Transportation Trust Fund Authority Transportation Program Revenue	4.131%	6/15/42	100	99
	New Jersey Transportation Trust Fund Authority Transportation System Revenue	6.104%	12/15/28	100	104
	New Jersey Transportation Trust Fund Authority Transportation System Revenue	6.561%	12/15/40	400	528
	New Jersey Turnpike Authority Revenue	7.414%	1/1/40	100	157
	New Jersey Turnpike Authority Revenue	7.102%	1/1/41	400	610
	New York City NY GO	6.246%	6/1/35	25	25
	New York City NY GO	5.517%	10/1/37	50	64
	New York City NY GO	6.271%	12/1/37	100	139
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.750%	6/15/41	50	70
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.952%	6/15/42	50	72
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	6.011%	6/15/42	50	72
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.440%	6/15/43	100	137
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.882%	6/15/44	175	255
	New York City NY Transitional Finance Authority Future Tax Revenue	5.767%	8/1/36	150	186
	New York City NY Transitional Finance Authority Future Tax Revenue	5.508%	8/1/37	100	127
	New York City NY Transitional Finance Authority Future Tax Revenue	5.572%	11/1/38	75	95
	New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund)	7.336%	11/15/39	400	626
	New York Metropolitan Transportation Authority Revenue (Transit Revenue)	5.871%	11/15/39	50	64
	New York State Dormitory Authority Revenue	3.142%	7/1/43	75	74
	New York State Dormitory Authority Revenue (Personal Income Tax)	3.110%	2/15/39	50	50
	New York State Dormitory Authority Revenue (Personal Income Tax)	5.628%	3/15/39	100	123
	New York State Dormitory Authority Revenue (Personal Income Tax)	3.190%	2/15/43	50	50
	New York State Thruway Authority	2.900%	1/1/35	75	75
	New York State Thruway Authority	3.500%	1/1/42	50	50
	New York State Urban Development Corp. Revenue (Personal Income Tax)	3.900%	3/15/33	100	107
	New York State Urban Development Corp. Revenue (Personal Income Tax)	5.770%	3/15/39	150	182
	North Texas Tollway Authority System Revenue	6.718%	1/1/49	150	235
	Ohio State University General Receipts Revenue	4.910%	6/1/40	100	127
	Ohio State University General Receipts Revenue	3.798%	12/1/46	100	111

173

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Ohio State University General Receipts Revenue	4.800%	6/1/11		100			127
	Ohio Water Development Authority Water Pollution Control Loan Fund Revenue	4.879%	12/1/34		75			88
	Oregon Department of Transportation Highway User Tax Revenue	5.834%	11/15/34		150			200
	Oregon GO	5.762%	6/1/23		135			145
	Oregon GO	5.892%	6/1/27		75			89
11	Oregon School Boards Association GO	5.528%	6/30/28		50			59
	Pennsylvania Public School Building Authority Lease Revenue (School District of Philadelphia)	5.000%	9/15/27		50			58
	Pennsylvania Turnpike Commission Revenue	5.511%	12/1/45		50			66
	Port Authority of New York & New Jersey Revenue	6.040%	12/1/29		75			97
	Port Authority of New York & New Jersey Revenue	4.960%	8/1/46		250			323
	Port Authority of New York & New Jersey Revenue	5.310%	8/1/46		100			111
	Port Authority of New York & New Jersey Revenue	4.031%	9/1/48		30			34
	Port Authority of New York & New Jersey Revenue	4.926%	10/1/51		100			130
	Port Authority of New York & New Jersey Revenue	4.458%	10/1/62		550			674
	Port Authority of New York & New Jersey Revenue	4.810%	10/15/65		100			126
	Port Authority of New York & New Jersey Revenue	3.287%	8/1/69		100			95
	Princeton University	5.700%	3/1/39		200			277
	Regents of the University of California Revenue	3.063%	7/1/25		100			105
	Regional Transportation District of Colorado Sales Tax Revenue	5.844%	11/1/50		100			145
	Rutgers State University New Jersey Revenue	5.665%	5/1/40		50			65
	Rutgers State University New Jersey Revenue	3.270%	5/1/43		25			25
	Rutgers State University New Jersey Revenue	3.915%	5/1/19		75			74
	Sales Tax Securitization Corp. Illinois Revenue	3.587%	1/1/43		75			74
	Sales Tax Securitization Corp. Illinois Revenue	3.820%	1/1/48		50			50
	Sales Tax Securitization Corp. Illinois Revenue	4.787%	1/1/48		100			116
	Salt River Project Arizona Agricultural Improvement & Power District Revenue	4.839%	1/1/41		150			187
	San Antonio TX Electric & Gas Systems Revenue	5.985%	2/1/39		125			172
	San Antonio TX Electric & Gas Systems Revenue	5.808%	2/1/41		125			172
	San Diego County CA Water Authority Revenue	6.138%	5/1/49		100			142
	San Francisco CA City & County Public Utilities Commission Water Revenue	6.950%	11/1/50		100			152
	San Jose California Redevelopment Agency Successor Agency Tax Allocation	3.375%	8/1/34		100			103
	Santa Clara Valley CA Transportation Authority Sales Tax Revenue	5.876%	4/1/32		200			245
	South Carolina Public Service Authority Revenue	2.388%	12/1/23		50			50
	South Carolina Public Service Authority Revenue	6.454%	1/1/50		100			147

	Texas A&M University System Revenue Financing System Revenue	3.100%	7/1/49	75	73
	Texas GO	5.517%	4/1/39	50	67
	Texas GO	3.211%	4/1/44	225	227
	Texas Private Activity Surface Transportation Corp. Revenue	3.922%	12/31/49	125	126
	Texas Transportation Commission Revenue	5.178%	4/1/30	175	211
	Texas Transportation Commission Revenue	4.681%	4/1/40	50	61
	University of California Regents Medical Center Revenue	6.548%	5/15/48	250	361
	University of California Regents Medical Center Revenue	6.583%	5/15/49	50	72
	University of California Revenue	5.946%	5/15/45	175	235
	University of California Revenue	4.858%	5/15/12	175	216
	University of California Revenue	4.767%	5/15/15	100	121
	University of Nebraska Student Fee Revenue	3.037%	10/1/49	25	24
	University of Pittsburgh-of the Commonwealth System of Higher Education	3.555%	9/15/19	250	242
	University of Southern California	5.250%	10/1/11	100	141
	University of Texas Permanent University Fund Revenue	3.376%	7/1/47	50	53
	University of Texas Revenue	3.354%	8/15/47	50	52
	University of Texas System Revenue Financing System Revenue	4.794%	8/15/46	75	93
	University of Virginia Revenue	4.179%	9/1/17	50	59
	Utah GO	4.554%	7/1/24	50	53
	Utah GO	3.539%	7/1/25	50	52
	Washington GO	5.140%	8/1/40	150	191
	Wisconsin Annual Appropriation Revenue	3.954%	5/1/36	250	267
	Wisconsin General Fund Annual Appropriation Revenue	3.154%	5/1/27	100	104
11	Wisconsin GO	5.700%	5/1/26	70	79
Total Taxable Municipal Bonds (Cost $24,262)					28,768

			Shares
Temporary Cash Investment (2.1%)
Money Market Fund (2.1%)
12	Vanguard Market Liquidity Fund (Cost $92,087)	1.816%	920,860	92,095
Total Investments (101.2%) (Cost $4,189,529)				4,351,047
				Amount
				($000	)
Other Assets and Liabilities (-1.2%)
Other Assets
Investment in Vanguard				192
Receivables for Investment Securities Sold				31,750
Receivables for Accrued Income				26,098
Receivables for Capital Shares Issued				15,803
Other Assets				1,364
Total Other Assets				75,207
Liabilities
Payables for Investment Securities Purchased				(120,857	)
Payables for Capital Shares Redeemed				(3,977	)
Payables to Vanguard				(1,417	)
Total Liabilities				(126,251	)
Net Assets (100%)
Applicable to 352,196,029 outstanding $.001 par value shares of beneficial interest (unlimited authorization)				4,300,003
Net Asset Value Per Share				$12.21

174

Total Bond Market Index Portfolio

At December 31, 2019, net assets consisted of:

	Amount
		($000	)
Paid-in Capital		4,040,937
Total Distributable Earnings (Loss)		259,066
Net Assets		4,300,003

• See Note A in Notes to Financial Statements.

1 U.S. government-guaranteed.

2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.

3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.

4 Includes securities purchased on a when-issued or delayed-delivery basis for which the portfolio has not taken delivery as of December 31, 2019.

5 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.

6 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $37,158,000, representing 0.9% of net assets.

7 Guaranteed by the Government of Japan.

8 Guaranteed by the Federal Republic of Germany.

9 Guaranteed by the Republic of Austria.

10 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.

11 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).

12 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

CMT—Constant Maturing Treasury Rate.

GO—General Obligation Bond.

LIBOR—London Interbank Offered Rate.

REIT—Real Estate Investment Trust.

TBA—To Be Announced.

UMBS—Uniform Mortgage-Backed Securities.

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

175

Total Bond Market Index Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000	)
Investment Income
Income
Interest1	113,167
Total Income	113,167
Expenses
The Vanguard Group—Note B
Investment Advisory Services	135
Management and Administrative	4,757
Marketing and Distribution	465
Custodian Fees	51
Auditing Fees	82
Shareholders’ Reports	40
Trustees’ Fees and Expenses	2
Total Expenses	5,532
Net Investment Income	107,635
Realized Net Gain (Loss)
Investment Securities Sold1	8,036
Futures Contracts	(8	)
Realized Net Gain (Loss)	8,028
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	204,615
Futures Contracts	—
Change in Unrealized Appreciation (Depreciation)	204,615
Net Increase (Decrease) in Net Assets Resulting from Operations	320,278

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the portfolio were $1,887,000, $4,000, and $4,000, respectively. Purchases and sales are for temporary cash investment purposes.

Statement of Changes in Net Assets

	Year Ended December 31,
	2019			2018
	($000		)	($000		)
Increase (Decrease) in Net Assets
Operations
Net Investment Income		107,635			94,491
Realized Net Gain (Loss)		8,028			(11,812	)
Change in Unrealized Appreciation (Depreciation)		204,615			(87,509	)
Net Increase (Decrease) in Net Assets Resulting from Operations		320,278			(4,830	)
Distributions
Net Investment Income		(97,897	)		(79,188	)
Realized Capital Gain1		—			(6,703	)
Total Distributions		(97,897	)		(85,891	)
Capital Share Transactions
Issued		1,031,614			657,403
Issued in Lieu of Cash Distributions		97,897			85,891
Redeemed		(586,442	)		(616,385	)
Net Increase (Decrease) from Capital Share Transactions		543,069			126,909
Total Increase (Decrease)		765,450			36,188
Net Assets
Beginning of Period		3,534,553			3,498,365
End of Period		4,300,003			3,534,553

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $0 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

176

Total Bond Market Index Portfolio

Financial Highlights

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$11.54	$11.86	$11.77	$11.79	$12.07
Investment Operations
Net Investment Income	.3241	.3131	.2921	.283	.276
Net Realized and Unrealized Gain (Loss) on Investments	.657	(.343)	.119	.007	(.233)
Total from Investment Operations	.981	(.030)	.411	.290	.043
Distributions
Dividends from Net Investment Income	(.311)	(.267)	(.283)	(.277)	(.272)
Distributions from Realized Capital Gains	—	(.023)	(.038)	(.033)	(.051)
Total Distributions	(.311)	(.290)	(.321)	(.310)	(.323)
Net Asset Value, End of Period	$12.21	$11.54	$11.86	$11.77	$11.79
Total Return	8.67%	-0.21%	3.57%	2.47%	0.33%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$4,300	$3,535	$3,498	$2,985	$2,799
Ratio of Total Expenses to Average Net Assets	0.14%	0.14%	0.15%	0.15%	0.15%
Ratio of Net Investment Income to Average Net Assets	2.72%	2.74%	2.48%	2.41%	2.43%
Portfolio Turnover Rate2	80%	89%	91%	104%	149%

1 Calculated based on average shares outstanding.

2 Includes 19%, 26%, 24%, 33%, and 61% attributable to mortgage-dollar-roll activity.

Notes to Financial Statements

The Total Bond Market Index Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts. Certain of the portfolio’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries.

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

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. 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 portfolio’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

177

Total Bond Market Index Portfolio

2. Futures Contracts: The portfolio 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 portfolio 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 portfolio 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 portfolio’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).

During the year ended December 31, 2019, the portfolio’s average investments in long and short futures contracts represented 0% and less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The portfolio had no open futures contracts at December 31, 2019.

3. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The portfolio may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the portfolio is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The portfolio mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The portfolio may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the portfolio may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the portfolio under the master netting arrangements.

4. Mortgage Dollar Rolls: The portfolio enters into mortgage-dollar-roll transactions, in which the portfolio sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The portfolio forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The portfolio has also entered into mortgage-dollar-roll transactions in which the portfolio buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The portfolio continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The portfolio accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the portfolio’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Net Assets.

5. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

178

Total Bond Market Index Portfolio

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

7. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

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

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $192,000, representing less than 0.01% of the portfolio’s net assets and 0.08% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the portfolio’s investments as of December 31, 2019, based on the inputs used to value them:

	Level 1			Level 2			Level 3
Investments		($000	)		($000	)		($000	)
U.S. Government and Agency Obligations		—			2,804,700			—
Asset-Backed/Commercial Mortgage-Backed Securities		—			110,185			—
Corporate Bonds		—			1,139,256			—
Sovereign Bonds		—			176,043			—
Taxable Municipal Bonds		—			28,768			—
Temporary Cash Investments		92,095			—			—
Total		92,095			4,258,952			—

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D.  Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
		($000	)
Undistributed Ordinary Income		102,457
Undistributed Long-Term Gains		—
Capital Loss Carryforwards (Non-expiring)*		(3,796	)
Net Unrealized Gains (Losses)		161,512

* The fund used capital loss carryforwards of $7,998,000 to offset taxable capital gains realized during the year ended December 31, 2019.

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount
		($000	)
Tax Cost		4,189,535
Gross Unrealized Appreciation		169,713
Gross Unrealized Depreciation		(8,201	)
Net Unrealized Appreciation (Depreciation)		161,512

E.  During the year ended December 31, 2019, the portfolio purchased $362,538,000 of investment securities and sold $240,631,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $3,311,534,000 and $2,895,396,000, respectively.

F.  Capital shares issued and redeemed were:

	Year Ended December 31,
	2019			2018
	Shares			Shares
		(000	)		(000	)
Issued		86,771			57,508
Issued in Lieu of Cash Distributions		8,535			7,574
Redeemed		(49,300	)		(53,952	)
Net Increase (Decrease) in Shares Outstanding		46,006			11,130

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 37% of the portfolio’s net assets. If this shareholder were to redeem its investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

G.       Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

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Total Bond Market Index Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Total Bond Market Index Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Total Bond Market Index Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

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Total Bond Market Index Portfolio

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Aggregate Float Adjusted Index (the Index or Bloomberg Barclays Index).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Total Bond Market Index Portfolio and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Total Bond Market Index Portfolio. The Index is licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Total Bond Market Index Portfolio. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Index is the licensing of the Index, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Total Bond Market Index Portfolio or the owners of the Total Bond Market Index Portfolio.

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Index in connection with the Total Bond Market Index Portfolio. Investors acquire the Total Bond Market Index Portfolio from Vanguard and investors neither acquire any interest in the Index nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Total Bond Market Index Portfolio. The Total Bond Market Index Portfolio is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Total Bond Market Index Portfolio or the advisability of investing in securities generally or the ability of the Index to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Total Bond Market Index Portfolio with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Total Bond Market Index Portfolio to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Total Bond Market Index Portfolio or any other third party into consideration in determining, composing or calculating the Index. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Total Bond Market Index Portfolio.

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Total Bond Market Index Portfolio, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Total Bond Market Index Portfolio, investors or other third parties.

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDEX, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDEX. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBLITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDEX OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE TOTAL BOND MARKET INDEX PORTFOLIO.

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

© 2020 Bloomberg. Used with Permission.

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

182

Growth Portfolio

Your Portfolio’s Performance at a Glance

•    The Growth Portfolio of Vanguard Variable Insurance Fund returned 33.82% for the 12 months ended December 31, 2019, trailing the 36.39% return of its benchmark, the Russell 1000 Growth Index. Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

•    The broad U.S. stock market, as measured by the Russell 3000 Index, climbed 31% for the year. Global stock prices rose amid optimism that U.S.-China trade tensions were easing and that a trade deal might be signed in early 2020. Inversions of the U.S. Treasury yield curve, historically a signal of recession, raised concerns midway through the year. But the yield curve returned to its normal pattern in the second half as the Federal Reserve cut short-term interest rates three times in 2019.

•    Growth stocks outperformed their value counterparts, while large- and mid-capitalization stocks surpassed small-caps.

•    Returns were positive in nine of the sectors the portfolio invests in. The advisors’ holdings in industrials, health care, and information technology contributed most to relative performance. Communication services and financials were the biggest net detractors.

•    Over the decade ended December 31, 2019, the portfolio’s average annual return underperformed that of its benchmark.

Market Barometer

		Average Annual Total Returns
		Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

183

Growth Portfolio

Advisors’ Report

The Growth Portfolio returned 33.82% for the 12 months ended December 31, 2019, below the 36.39% return of its benchmark, the Russell 1000 Growth Index.

The portfolio is overseen by two independent advisors, a strategy that enhances its diversification by providing exposure to distinct yet complementary investment approaches. It is not uncommon for different advisors to have different views about individual securities or the broader investment environment.

The advisors, the amount and percentage of the portfolio’s assets each manages, and brief descriptions of their investment strategies are presented in the accompanying table. Each advisor has also prepared a discussion of the investment environment that existed during the period and of the effect it had on the portfolio’s positioning. These reports were prepared on January 27, 2020.

Wellington Management Company LLP

Portfolio Manager:

Andrew J. Shilling, CFA

Senior Managing Director

Our portion of the portfolio seeks to outperform growth indexes and, over the longer term, the broader market. We employ proprietary fundamental research and a rigorous valuation discipline to invest in large-capitalization companies with attractive growth characteristics. Our investment approach is based on identifying companies that possess a clear competitive advantage that will enable them to sustain above-average growth.

U.S. equities, as measured by the Standard & Poor’s 500 Index, returned 31.49% for the period. Growth stocks outperformed value stocks and large-cap companies led their smaller-cap peers.

Advanced Micro Devices, a semiconductor manufacturing company that continues to increase market share across desktop, mobile, and server CPUs, contributed most to performance. Global Payments, a provider of payment technology services, has been successful in embedding its payment-processing capabilities in mission-critical software and pursuing growth through acquisitions and strategic partnerships. Management anticipates greater revenue and cost savings from its $21.5 billion acquisition of Total System Services. ServiceNow, a provider of enterprise cloud-based services, has created high barriers by consistently launching new product features. This is evidenced by its best-in-class economics and expanding relationships with its customers. It now has an extendable platform for automating workflows across an organization.

Detractors included our underweight position in Apple, a leader in mobile devices and digital content distribution, which outperformed over the period. In management’s second-quarter earnings release, the company announced strong guidance ahead of expectations. Results for the iPhone were not as bad as feared, services remained strong, and wearables surprised to the upside.

Also detracting was an overweight position in The We Company, a real estate company that provides shared workspaces. The We Company’s valuation shrank meaningfully because of investor concerns about its business model viability; the company ultimately decided not to pursue an initial public offering. Uber Technologies experienced material regulatory and competitive pressures amid inconsistent operating results.

We continue to expect solid U.S. economic growth. While political uncertainty in the U.S. and abroad may heighten volatility, we believe we are well-positioned with our exposure to quality companies that benefit from long-term shifts. We are particularly encouraged by the powerful trends supporting cloud computing, digital payments, new media, and e-commerce and have positioned our portion of your fund with these enduring tailwinds in mind. We remain true to our process, seeking companies with competitive moats, strong balance sheets, skilled management teams, and the ability to sustain above-average growth.

Jackson Square Partners, LLC

Portfolio Managers:

Jeffrey S. Van Harte, CFA

Chairman and Chief Investment Officer

Christopher J. Bonavico, CFA

Christopher M. Ericksen, CFA

Daniel J. Prislin, CFA

For the 12 months ended December 31, 2019, the performance of assets we managed was largely driven by our stock exposure and disproportionately affected by a few disappointing stocks. On a sector level, communication services was the largest detractor and industrials was the largest contributor.

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Growth Portfolio

TripAdvisor was our largest relative detractor from performance. The travel website’s hotel segment struggled against competitive headwinds, including increased challenges from Google’s search business. That said, we believe TripAdvisor’s increased focus on its experiences and dining products—a growing business line that enhances the company’s overall profitability—is likely the right long-term strategic move. However, we sold the stock to deploy assets to more attractive opportunities.

Our largest relative contributor to performance was Applied Materials. The company is the global leader in providing equipment for advanced semiconductors and flat-panel displays. The segment drifted higher on stronger foundry investment from semiconductor foundry TSMC and signs of a bottom in the NAND memory market, as well as positive commentary from Applied Materials management on market-share gains for 2020. We remain confident that the market is undervaluing Applied Materials and that the firm is attractively positioned in a consolidating sector with high barriers to entry.

The positive and risk-seeking trends of recent years mostly continued in 2019, thanks to sustained economic growth coupled with persistently low interest rates. The market rally broadened to include cyclical sectors, as the investor outlook for global economic growth strengthened. The 10-year U.S. Treasury rate started the year at 2.68% and stayed well below 2% during the latter half of the period. As a result, the market continues to have a strong upward bias.

Other considerations for investors are President Trump’s unconventional style as head of state and an impeachment process that may hamper his administration’s goals of significant policy changes. We are mindful of the potential macroeconomic implications of President Trump’s policy positions, including his comments and public positioning on global trade negotiations with China that, despite recent hopes of a pending agreement, could have deleterious effects on global economic conditions. We believe it is too early to determine the long-term effects but we will continue to closely monitor President Trump’s tenure with a keen eye on controversies and challenges as well as the effectiveness of potential policy shifts.

Regardless of policy outcomes and oscillating investor sentiment in any given period, we remain consistent in our long-term investment philosophy:

We want to own what we view as strong secular-growth companies with solid business models and competitive positions that we believe can increase market share and have the potential to deliver shareholder value in a variety of market environments.

Growth Portfolio Investment Advisors
Portfolio Assets Managed
Investment Advisor	%	$ Million	Investment Strategy
Wellington Management Company LLP	52	409	Employs proprietary fundamental research and a rigorous valuation discipline in an effort to invest in high-quality, large-capitalization, sustainable-growth companies. The firm’s philosophy is based on the belief that stock prices often overreact to short-term trends and that bottom-up, intensive research focused on longer-term fundamentals can be used to identify stocks that will outperform the market over time.
Jackson Square Partners, LLC	46	365	Uses a bottom-up approach, seeking companies that have large end-market potential, dominant business models, and strong free-cash-flow generation that is attractively priced compared with the intrinsic value of the securities.
Cash Investments	2	17	These short-term reserves are invested by Vanguard in equity index products to simulate investment in stocks. Each advisor may also maintain a modest cash position.

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Growth Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 table below illustrates your portfolio’s costs in two ways:

•     Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•     Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Growth Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,078.43	$2.10
Based on Hypothetical 5% Yearly Return	1,000.00	1,023.19	2.04

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.40%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

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Growth Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019

Initial Investment of $10,000

		Average Annual Total Returns			Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	Growth Portfolio	33.82%	13.40%	14.25%	$37,899
	Russell 1000 Growth Index	36.39	14.63	15.22	41,234
	Dow Jones U.S. Total Stock Market Float Adjusted Index	30.90	11.18	13.43	35,251

See Financial Highlights for dividend and capital gains information.

187

Growth Portfolio

Sector Diversification

As of December 31, 2019

Communication Services	12.2%
Consumer Discretionary	12.5
Consumer Staples	3.9
Energy	0.2
Financials	8.3
Health Care	11.2
Industrials	6.1
Information Technology	40.5
Materials	2.4
Other	0.2
Real Estate	2.4
Utilities	0.1

The table reflects the portfolio’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

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Growth Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Market
				Value•
		Shares		($000	)
Common Stocks (95.2%)1
Communication Services (11.7%)
*	Alphabet Inc. Class C	17,288		23,114
*	Charter Communications Inc. Class A	36,916		17,907
*	Alphabet Inc. Class A	13,331		17,855
*	Facebook Inc. Class A	61,069		12,535
*	Netflix Inc.	33,041		10,691
*	Take-Two Interactive Software Inc.	86,579		10,600
				92,702
Consumer Discretionary (12.5%)
*	Amazon.com Inc.	11,666		21,557
	Hasbro Inc.	152,161		16,070
*	Dollar Tree Inc.	151,965		14,292
	Domino’s Pizza Inc.	40,571		11,919
	Home Depot Inc.	32,639		7,128
	Hilton Worldwide Holdings Inc.	41,864		4,643
*	O’Reilly Automotive Inc.	10,087		4,421
*	Under Armour Inc. Class A	190,588		4,117
*	Alibaba Group Holding Ltd. ADR	17,337		3,677
*	Uber Technologies Inc.	123,620		3,676
	Ross Stores Inc.	27,776		3,234
	TJX Cos. Inc.	34,231		2,090
	NIKE Inc. Class B	17,552		1,778
				98,602
Consumer Staples (3.6%)
	Constellation Brands Inc. Class A	124,685		23,659
*	Monster Beverage Corp.	72,576		4,612
				28,271
Financials (7.8%)
	KKR & Co. Inc. Class A	486,704		14,197
	Charles Schwab Corp.	289,479		13,768
	CME Group Inc.	51,630		10,363
	Progressive Corp.	71,565		5,181
*	Markel Corp.	3,474		3,971
	Intercontinental Exchange Inc.	41,695		3,859
	Marsh & McLennan Cos. Inc.	34,086		3,798
	S&P Global Inc.	10,172		2,777
	MSCI Inc. Class A	10,160		2,623
	MarketAxess Holdings Inc.	2,155		817
				61,354
Health Care (10.5%)
	UnitedHealth Group Inc.	81,844		24,061
*	IQVIA Holdings Inc.	131,651		20,341
*	Illumina Inc.	36,642		12,156
*	Edwards Lifesciences Corp.	23,690		5,527
	Thermo Fisher Scientific Inc.	14,681		4,769
*	Mettler-Toledo International Inc.	5,456		4,328
*	Penumbra Inc.	18,878		3,101
*	ABIOMED Inc.	17,395		2,967
	Danaher Corp.	14,898		2,287
*	Seattle Genetics Inc.	19,100		2,182
*	Biogen Inc.	3,943		1,170
*	DexCom Inc.	2,729		597
				83,486
Industrials (5.2%)
	TransUnion	91,603		7,842
	Lockheed Martin Corp.	19,628		7,643
*	IHS Markit Ltd.	90,700		6,834
	Equifax Inc.	34,739		4,868
	Northrop Grumman Corp.	13,129		4,516
	Boeing Co.	13,805		4,497
	Canadian National Railway Co.	41,742		3,776
	AMETEK Inc.	12,656		1,262
				41,238
Information Technology (39.4%)
	Microsoft Corp.	438,180		69,101
	Apple Inc.	102,483		30,094
	Mastercard Inc. Class A	92,864		27,728
	Visa Inc. Class A	122,002		22,924
*	PayPal Holdings Inc.	201,928		21,843
*	Autodesk Inc.	100,161		18,376
*	ServiceNow Inc.	54,058		15,262
	Applied Materials Inc.	169,578		10,351
*	salesforce.com Inc.	58,568		9,525
*	FleetCor Technologies Inc.	30,773		8,854
*	Adobe Inc.	26,708		8,809
*	Arista Networks Inc.	36,717		7,468
	Global Payments Inc.	37,489		6,844
*	Advanced Micro Devices Inc.	148,920		6,829
	SS&C Technologies Holdings Inc.	110,232		6,768
	Microchip Technology Inc.	59,153		6,195
	Fidelity National Information Services Inc.	42,389		5,896
*	Workday Inc. Class A	34,085		5,605
*	DocuSign Inc. Class A	73,540		5,450
*	Splunk Inc.	31,261		4,682
	CDW Corp.	28,121		4,017
*,^	Slack Technologies Inc. Class A	165,909		3,730
*	Tyler Technologies Inc.	10,647		3,194
*	Ceridian HCM Holding Inc.	38,246		2,596
				312,141
Materials (2.2%)
	Ball Corp.	274,314		17,740
Other (0.0%)
*,§,2	The We Company Class A PP	1,460		10
Real Estate (2.3%)
	American Tower Corp.	34,392		7,904
	Crown Castle International Corp.	45,991		6,538
	Equinix Inc.	6,600		3,852
				18,294
Total Common Stocks (Cost $515,957)				753,838
Preferred Stocks (0.2%)
*,§,2,3	Airbnb Inc., 8.00%	9,972		1,303
*,§,2,3	The We Company Pfd. D1 PP	19,954		223
*,§,2,3	The We Company Pfd. D2 PP	15,678		175
Total Preferred Stocks (Cost $1,522)				1,701
Temporary Cash Investments (4.8%)1
Money Market Fund (4.3%)
4,5	Vanguard Market Liquidity Fund, 1.816%	340,700		34,073
		Face
		Amount
		($000	)
Repurchase Agreement (0.4%)
	Bank of America Securities, LLC 1.570%, 1/2/20 (Dated 12/31/19, Repurchase Value $3,000,000, collateralized by Government National Mortgage Assn. 3.588%, 11/20/69, with a value of $3,060,000)	3,000		3,000
U.S. Government and Agency Obligations (0.1%)
6	United States Treasury Bill, 1.527%, 4/30/20	800		796
Total Temporary Cash Investments (Cost $37,872)				37,869
Total Investments (100.2%) (Cost $555,351)				793,408

	Amount
	($000	)
Other Assets and Liabilities (-0.2%)
Other Assets
Investment in Vanguard	35
Receivables for Accrued Income	251
Receivables for Capital Shares Issued	200
Variation Margin Receivable—Futures Contracts	40
Other Assets	65
Total Other Assets	591
Liabilities
Payables for Investment Securities Purchased	(274	)
Payables to Investment Advisor	(300	)
Collateral for Securities on Loan	(1,150	)
Payables for Capital Shares Redeemed	(321	)
Payables to Vanguard	(499	)
Total Liabilities	(2,544	)
Net Assets (100%)
Applicable to 29,372,458 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	791,455
Net Asset Value Per Share	$26.95

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Growth Portfolio

At December 31, 2019, net assets consisted of:

	Amount
	($000	)
Paid-in Capital	507,334
Total Distributable Earnings (Loss)	284,121
Net Assets	791,455

• See Note A in Notes to Financial Statements.

* Non-income-producing security.

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,124,000.

§ Security value determined using significant unobservable inputs.

1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the portfolio’s effective common stock and temporary cash investment positions represent 97.4% and 2.6%, respectively, of net assets.

2 Restricted securities totaling $1,711,000, representing 0.2% of net assets. See Restricted Securities table for additional information.

3 Perpetual security with no stated maturity date.

4 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

5 Collateral of $1,150,000 was received for securities on loan.

6	Securities with a value of $796,000 have been segregated as initial margin for open futures contracts.
	ADR—American Depositary Receipt.
	PP —Private Placement.

Restricted Securities as of Period End
		Acquisition
	Acquisition	Cost
Security Name	Date	($000	)
The We Company Pfd. D1 PP	December 2014	332
The We Company Pfd. D2 PP	December 2014	261
The We Company Class A PP	December 2014	24
Airbnb Inc.	June 2015	928

Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
					($000	)
					Value and
		Number of			Unrealized
		Long (Short	)	Notional	Appreciation
Expiration		Contracts		Amount	(Depreciation	)
Long Futures Contracts
E-mini S&P 500 Index	March 2020	105		16,963	282

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

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Growth Portfolio

Statement of Operations

Year Ended
December 31, 2019
	($000	)
Investment Income
Income
Dividends1	5,222
Interest2	725
Securities Lending—Net	61
Total Income	6,008
Expenses
Investment Advisory Fees—Note B
Basic Fee	1,050
Performance Adjustment	61
The Vanguard Group—Note C
Management and Administrative	1,676
Marketing and Distribution	62
Custodian Fees	10
Auditing Fees	34
Shareholders’ Reports	13
Trustees’ Fees and Expenses	1
Total Expenses	2,907
Expenses Paid Indirectly	(13	)
Net Expenses	2,894
Net Investment Income	3,114
Realized Net Gain (Loss)
Investment Securities Sold2	40,319
Futures Contracts	2,504
Realized Net Gain (Loss)	42,823
Change in Unrealized Appreciation (Depreciation)
Investment Securities2	152,954
Futures Contracts	1,127
Change in Unrealized Appreciation (Depreciation)	154,081
Net Increase (Decrease) in Net Assets Resulting from Operations	200,018

1 Dividends are net of foreign withholding taxes of $3,000.

2 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the portfolio were $599,000, ($1,000), and $1,000, respectively. Purchases and sales are for temporary cash investment purposes.

Statement of Changes in Net Assets

	Year Ended December 31,
	2019		2018
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	3,114		2,883
Realized Net Gain (Loss)	42,823		78,534
Change in Unrealized Appreciation (Depreciation)	154,081		(85,049	)
Net Increase (Decrease) in Net Assets Resulting from Operations	200,018		(3,632	)
Distributions
Net Investment Income	(2,812	)	(1,913	)
Realized Capital Gain1	(77,825	)	(29,602	)
Total Distributions	(80,637	)	(31,515	)
Capital Share Transactions
Issued	90,716		115,244
Issued in Lieu of Cash Distributions	80,637		31,515
Redeemed	(97,322	)	(71,586	)
Net Increase (Decrease) from Capital Share Transactions	74,031		75,173
Total Increase (Decrease)	193,412		40,026
Net Assets
Beginning of Period	598,043		558,017
End of Period	791,455		598,043

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $0 and $3,387,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

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Growth Portfolio

Financial Highlights

For a Share Outstanding					Year Ended December 31,
Throughout Each Period	2019		2018		2017		2016		2015
Net Asset Value, Beginning of Period	$22.82		$23.99		$19.70		$22.58		$23.24
Investment Operations
Net Investment Income	.108	1	.113	1	.094	1	.115		.127
Net Realized and Unrealized Gain (Loss) on Investments	7.119		.038		5.685		(.465	)	1.632
Total from Investment Operations	7.227		.151		5.779		(.350	)	1.759
Distributions
Dividends from Net Investment Income	(.108	)	(.080	)	(.116	)	(.126	)	(.141	)
Distributions from Realized Capital Gains	(2.989	)	(1.241	)	(1.373	)	(2.404	)	(2.278	)
Total Distributions	(3.097	)	(1.321	)	(1.489	)	(2.530	)	(2.419	)
Net Asset Value, End of Period	$26.95		$22.82		$23.99		$19.70		$22.58
Total Return	33.82%		0.20%		30.92%		-1.08%		7.98%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$791		$598		$558		$415		$506
Ratio of Total Expenses to Average Net Assets2	0.40%		0.39%		0.40%		0.42%		0.44%
Ratio of Net Investment Income to Average Net Assets	0.43%		0.45%		0.43%		0.53%		0.57%
Portfolio Turnover Rate	32%		47%		28%		28%		38%

1 Calculated based on average shares outstanding.

2 Includes performance-based investment advisory fee increases (decreases) of 0.01%, 0.00%, (0.01%), 0.00%, and 0.03%.

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

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Growth Portfolio

Notes to Financial Statements

The Growth Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts.

A.   The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The portfolio 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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the portfolio’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the portfolio’s pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. 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.

2. Futures Contracts: The portfolio uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The portfolio may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the portfolio 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 portfolio 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 portfolio’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).

During the year ended December 31, 2019, the portfolio’s average investments in long and short futures contracts represented 3% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

3. Repurchase Agreements: The portfolio enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the portfolio under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The portfolio further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

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Growth Portfolio

4. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

6. Securities Lending: To earn additional income, the portfolio lends its securities to qualified institutional borrowers. Security loans are subject to termination by the portfolio at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The portfolio further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the portfolio may experience delays and costs in recovering the securities loaned. The portfolio invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the portfolio is entitled to all distributions made on or in respect of the loaned securities.

7. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

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

B.   The investment advisory firms Wellington Management Company LLP and Jackson Square Partners, LLC, each provide investment advisory services to a portion of the portfolio for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fees of Wellington Management Company LLP and Jackson Square Partners, LLC, are subject to quarterly adjustments based on performance relative to the Russell 1000 Growth Index for the preceding three years.

Vanguard manages the cash reserves of the portfolio as described below.

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Growth Portfolio

For the year ended December 31, 2019, the aggregate investment advisory fee represented an effective annual basic rate of 0.15% of the portfolio’s average net assets, before an increase of $61,000 (0.01%) based on performance.

C.   In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio corporate management, administrative, marketing, distribution, and cash management services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the portfolio based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $35,000, representing less than 0.01% of the portfolio’s net assets and 0.01% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

D.   The portfolio has asked its investment advisors to direct certain security trades, subject to obtaining the best price and execution, to brokers who have agreed to rebate to the portfolio part of the commissions generated. Such rebates are used solely to reduce the fund’s management and administrative expenses. The fund’s custodian bank has also agreed to reduce its fees when the portfolio maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2019, these arrangements reduced the portfolio’s management and administrative expenses by $11,000 and custodian fees by $2,000. The total expense reduction represented an effective annual rate of less than 0.01% of the portfolio’s average net assets.

E.    Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the portfolio’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:

	Level 1		Level 2		Level 3
Investments	($000	)	($000	)	($000	)
Common Stocks	753,828		—		10
Preferred Stocks	—		—		1,701
Temporary Cash Investments	34,073		3,796		—
Futures Contracts—Assets1	40		—		—
Total	787,941		3,796		1,711

1 Represents variation margin on the last day of the reporting period.

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Growth Portfolio

F.   Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	3,806
Undistributed Long-Term Gains	42,830
Capital Loss Carryforwards (Non-Expiring)	—
Net Unrealized Gains (Losses)	237,881

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	555,527
Gross Unrealized Appreciation	243,533
Gross Unrealized Depreciation	(5,652	)
Net Unrealized Appreciation (Depreciation)	237,881

G.   During the year ended December 31, 2019, the portfolio purchased $216,346,000 of investment securities and sold $222,061,000 of investment securities, other than temporary cash investments.

H.   Capital shares issued and redeemed were:

	Year Ended December 31,
	2019		2018
	Shares		Shares
	(000	)	(000	)
Issued	3,626		4,586
Issued in Lieu of Cash Distributions	3,465		1,273
Redeemed	(3,929	)	(2,913	)
Net Increase (Decrease) in Shares Outstanding	3,162		2,946

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 75% of the portfolio’s net assets. If this shareholder were to redeem its investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

I.   Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

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Growth Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Growth Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Growth Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodians and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Vanguard Growth Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $77,825,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For corporate shareholders, 100% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

197

High Yield Bond Portfolio

Your Portfolio’s Performance at a Glance

•    For the 12 months ended December 31, 2019, the High Yield Bond Portfolio returned 15.67%, ahead of its benchmark, the High-Yield Corporate Composite Index (+14.61).

•    Stocks and bonds recorded their best results in years. Stocks benefited from accommodative monetary policies implemented by the Federal Reserve and other major central banks. With the U.S.-China trade conflict fueling economic growth concerns, investors were also drawn to assets, like bonds, that are generally considered safer.

•    U.S. Treasuries returned nearly 7%. Mortgage-backed securities returned a little less than that, but corporate bonds fared even better, returning more than 14%. By credit quality, lower-rated investment-grade bonds bested higher-rated ones; by maturity, longer-dated bonds significantly outperformed shorter-dated ones.

•    Within the high-yield market, however, higher-quality bonds generally outperformed those of lower quality, with BB- and B-rated bonds posting higher returns than their CCC-rated counterparts.

•    For the ten years ended December 31, 2019, the portfolio posted an average annual return of 7.01%. Its benchmark index recorded an average annual return of 7.14%.

•    Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer
	Average Annual Total Returns
	Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

198

High Yield Bond Portfolio

Advisor’s Report

The investment environment
For the 12 months ended December 31, 2019, the High Yield Bond Portfolio returned 15.67%, compared with the benchmark return of 14.61%. Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

High-yield markets benefited from both decreasing interest rates and tightening credit spreads. Sovereign yields declined across most markets after the injection of monetary stimulus by the U.S. Federal Reserve and the European Central Bank. With a U.S.-China trade agreement proving elusive, Brexit still unresolved, and an impeachment trial looking likely in the U.S., geopolitical uncertainty remained elevated for much of the period.

Despite these concerns, high-yield bond spreads tightened on optimism that monetary accommodation could offset the drag on global growth from restrictive trade policies. The Fed cut rates three times but later indicated it would adopt a wait-and-see stance to assess incoming economic data and track trade-negotiation developments.

The 10-year U.S. Treasury yield decreased to 1.92% by the end of December 2019 from 2.69% a year earlier. Major central banks deployed more accommodative policies amid trade headwinds, geopolitical tensions, and weaker global growth data, contributing to the decline in Treasury yields.

This dynamic lifted bond prices, as bond yields and bond prices generally move in opposite directions. The spread of the high-yield market tightened to 336 basis points over Treasuries as of December 31, 2019, from 526 basis points a year earlier. (A basis point is one-hundredth of a percentage point.) The average price of the high-yield market increased $8 to $101 per $100 of par or face value.

There was notable dispersion in performance by credit quality, with the high-yield market generally rewarding higher-credit-quality corporate bonds during the period. Highest-rated BB bonds led (returning 15.51%, according to Bloomberg Barclays U.S. Corporate High Yield Index data), while CCC-rated bonds (+9.52%) lagged and B-rated bonds returned 14.80%.

Although our macroeconomic outlook is somewhat mixed as we move into the new calendar year, we believe that the probability of a U.S. recession in 2020 is declining. Looking ahead to 2021, the macro environment remains unclear, which tempers our overall macroeconomic outlook. High-yield fundamentals and technicals, however, remain supportive, and while we expect defaults to increase over the next 12 months, we do not believe we are on the verge of the next default cycle.

High-yield spreads are inside historical median levels, but there is a bifurcation in higher- and lower-quality spreads, and we are finding attractive idiosyncratic opportunities. We also expect bouts of spread-widening around developments in the U.S. presidential race, and these may present attractive total-return opportunities.

Overall, we forecast a below-coupon—but still positive—total return for high yield in 2020, with security selection the key driver of benchmark-relative outperformance. Although high-yield spreads appear tight by historical standards, the asset class should generate attractive income, and technicals remain supportive as the demand for income persists around much of the globe.

Moody’s trailing 12-month global issuer-weighted speculative-grade default rate ended November 2019 at 2.8%, below the long-term average of 4.2%. Although bouts of volatility may persist, we continue to take a long-term, issuer-specific approach to finding opportunities in this market.

Global political uncertainty and elevated trade tensions may contribute to additional bouts of market volatility. However, most of the high-yield companies within our opportunity set operate in domestically focused industries. While we are more uncertain about the long-term U.S. macroeconomic outlook, we continue to favor higher-quality issuers expected to benefit from a stable U.S. consumer.

As we move into 2020, global trade represents a key source of uncertainty. The prospects for global growth likely hinge on whether trade policy developments lead to stability or push down manufacturing (and, subsequently, the consumer). However, we assign a low probability of U.S. and euro area recession over the next year.

The portfolio’s shortfalls

Positioning and security selection within the wirelines and consumer cyclical services sectors detracted from relative returns, as did credit selection in utilities.

The portfolio’s successes

The portfolio benefited from positioning and positive credit selection within the financial institutions sector, as well as credit selection within the media and entertainment sector. An underweight to government securities also helped relative performance.

199

High Yield Bond Portfolio

The portfolio’s positioning

The portfolio remains consistent in its investment objective and strategy and maintains meaningful exposure to relatively higher-quality names within the high-yield market. We believe these companies have more stable credit profiles and greater predictability of cash flows than those at the lower end of the quality spectrum.

We prefer higher-quality credits in an effort to minimize defaults and to provide stable income. We continue to diversify the portfolio’s holdings by issuer and industry. We also continue to deemphasize non-cash-paying securities, preferred stocks, and equity-linked securities, such as convertibles, because of their potential for volatility.

Michael L. Hong, CFA

Senior Managing Director and Fixed

Income Portfolio Manager

Wellington Management Company LLP

January 24, 2020

200

High Yield Bond Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 table below illustrates your portfolio’s costs in two ways:

•Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
High Yield Bond Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,044.64	$1.34
Based on Hypothetical 5% Yearly Return	1,000.00	1,023.89	1.33

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.26%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

201

High Yield Bond Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019
InitialInvestment of $10,000

 

		Average Annual Total Returns			Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	High Yield Bond Portfolio	15.67%	5.70%	7.01%	$19,696
	High-Yield Corporate Composite Index	14.61	5.83	7.14	19,929
	Bloomberg Barclays U.S. Corporate High Yield Index	14.32	6.13	7.57	20,747

High-Yield Corporate Composite Index: Weighted 95% Bloomberg Barclays U.S. High-Yield Ba/B 2% Issuer Capped Index and 5% Bloomberg Barclays U.S. 1-5 Year Treasury Bond Index.

See Financial Highlights for dividend and capital gains information.

202

High Yield Bond Portfolio

Sector Diversification

As of December 31, 2019

Basic Industry	4.0%
Capital Goods	13.6
Communication	19.8
Consumer Cyclical	14.5
Consumer Non-Cyclical	12.8
Energy	9.6
Finance	12.8
Other Industrial	0.8
Technology	9.9
Transportation	0.2
Other	0.4
Utilities	1.6

The table reflects the portfolio’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

203

High Yield Bond Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
Corporate Bonds (90.0%)
Finance (11.5%)
	Banking (3.4%)
	Ally Financial Inc.	4.625%	5/19/22	105		110
	Ally Financial Inc.	5.125%	9/30/24	1,480		1,630
	Ally Financial Inc.	5.750%	11/20/25	3,415		3,821
	Ally Financial Inc.	8.000%	11/1/31	215		297
	Barclays plc	4.375%	9/11/24	715		750
	Barclays plc	5.200%	5/12/26	300		327
1	BNP Paribas SA	6.750%	3/14/66	1,805		1,927
	CIT Group Inc.	5.250%	3/7/25	243		268
1	Credit Suisse AG	6.250%	12/31/50	5,280		5,754
1	ING Groep NV	6.875%	4/16/66	2,400		2,565
2	Intesa Sanpaolo SPA	5.017%	6/26/24	300		313
2	Intesa Sanpaolo SPA	5.710%	1/15/26	3,105		3,353
	Royal Bank of Scotland Group plc	6.125%	12/15/22	1,635		1,788
1	UBS Group AG	6.875%	3/22/66	3,700		3,856
	Finance Companies (5.2%)
1,2	AerCap Global Aviation Trust	6.500%	6/15/45	3,950		4,355
	Aircastle Ltd.	5.000%	4/1/23	465		498
	Aircastle Ltd.	4.125%	5/1/24	2,110		2,212
2	Avolon Holdings Funding Ltd.	5.250%	5/15/24	1,630		1,779
	CIT Group Inc.	5.000%	8/15/22	1,707		1,814
	CIT Group Inc.	5.000%	8/1/23	850		917
	CIT Group Inc.	4.750%	2/16/24	240		256
2	Freedom Mortgage Corp.	8.250%	4/15/25	740		726
	Navient Corp.	7.250%	1/25/22	1,320		1,435
	Navient Corp.	6.500%	6/15/22	4,150		4,503
	Navient Corp.	5.500%	1/25/23	2,625		2,796
	Navient Corp.	7.250%	9/25/23	590		668
	Navient Corp.	6.750%	6/25/25	4,030		4,463
	Navient Corp.	5.625%	8/1/33	1,052		905
2	Park Aerospace Holdings Ltd.	5.500%	2/15/24	600		659
	Springleaf Finance Corp.	8.250%	12/15/20	1,265		1,330
	Springleaf Finance Corp.	7.750%	10/1/21	1,965		2,125
	Springleaf Finance Corp.	6.125%	5/15/22	385		415
	Springleaf Finance Corp.	8.250%	10/1/23	515		601
	Springleaf Finance Corp.	6.125%	3/15/24	1,715		1,882
	Springleaf Finance Corp.	6.875%	3/15/25	715		812
	Springleaf Finance Corp.	7.125%	3/15/26	4,396		5,083
	Springleaf Finance Corp.	6.625%	1/15/28	765		859
	Insurance (2.5%)
1	Aegon NV	5.500%	4/11/48	730		793
3,4	Asurion LLC. Bank Loan,1M USD LIBOR + 3.000%	4.799%	11/3/24	3,063		3,078
	Centene Corp.	4.750%	1/15/25	600		621
2	Centene Corp.	4.250%	12/15/27	855		881
2	Centene Corp.	4.625%	12/15/29	1,250		1,315
	CNO Financial Group Inc.	5.250%	5/30/25	1,785		1,975
	CNO Financial Group Inc.	5.250%	5/30/29	1,635		1,827
	Genworth Holdings Inc.	7.700%	6/15/20	130		133
	Genworth Holdings Inc.	7.200%	2/15/21	830		852
	Genworth Holdings Inc.	7.625%	9/24/21	760		800
	Genworth Holdings Inc.	4.900%	8/15/23	1,475		1,444
	Genworth Holdings Inc.	4.800%	2/15/24	475		465
	MGIC Investment Corp.	5.750%	8/15/23	725		803
	Radian Group Inc.	4.500%	10/1/24	2,485		2,634
	Radian Group Inc.	4.875%	3/15/27	300		315
	WellCare Health Plans Inc.	5.250%	4/1/25	1,325		1,381
	Real Estate Investment Trusts (0.4%)
	Felcor Lodging LP	6.000%	6/1/25	1,100		1,148
2	VICI Properties LP / VICI Note Co. Inc.	4.250%	12/1/26	1,225		1,260
2	VICI Properties LP / VICI Note Co. Inc.	4.625%	12/1/29	820		855
						90,432
Industrial (77.1%)
	Basic Industry (3.6%)
2	Alliance Resource Operating Partners LP / Alliance Resource Finance Corp.	7.500%	5/1/25	1,353		1,224
	Chemours Co.	6.625%	5/15/23	1,327		1,329
	Chemours Co.	7.000%	5/15/25	3,115		3,123
	Chemours Co.	5.375%	5/15/27	930		822
	Commercial Metals Co.	5.750%	4/15/26	1,414		1,478
	Commercial Metals Co.	5.375%	7/15/27	565		593
2	Constellium NV	5.750%	5/15/24	1,085		1,115
2	Constellium NV	6.625%	3/1/25	2,185		2,267
2	Constellium NV	5.875%	2/15/26	260		274
2,5	CTC BondCo GmbH	5.250%	12/15/25	425		498
	Graphic Packaging International Inc.	4.125%	8/15/24	1,065		1,112
2	Graphic Packaging International LLC	4.750%	7/15/27	205		220
2	Novelis Corp.	6.250%	8/15/24	1,950		2,045
2	Novelis Corp.	5.875%	9/30/26	2,035		2,170
2,5	OCI NV	3.125%	11/1/24	910		1,059
2	OCI NV	5.250%	11/1/24	1,205		1,250
	Olin Corp.	5.125%	9/15/27	1,775		1,857
	Olin Corp.	5.625%	8/1/29	1,285		1,357
	Olin Corp.	5.000%	2/1/30	325		329
3,4	Starfruit Finco BV Bank Loan,3M USD LIBOR + 3.250%	4.960%	10/1/25	534		534
3,4	Starfruit Finco BV Bank Loan,3M USD LIBOR + 3.250%	4.960%	10/1/25	104		104
2	Tronox Finance plc	5.750%	10/1/25	675		685
2	Tronox Inc.	6.500%	4/15/26	2,725		2,800
	Capital Goods (12.3%)
2	American Builders & Contractors Supply Co. Inc.	5.875%	5/15/26	1,840		1,953
2	American Builders & Contractors Supply Co. Inc.	4.000%	1/15/28	896		909
2	ARD Finance SA	6.500%	6/30/27	955		987
2	Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.	6.000%	2/15/25	4,365		4,578
2	Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.	4.125%	8/15/26	1,490		1,527
2,6	Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.	4.750%	7/15/27	160		222
2	Ardagh Packaging Finance plc / Ardagh Holdings USA Inc.	5.250%	8/15/27	700		734
2	Ashtead Capital Inc.	4.125%	8/15/25	1,325		1,361
2	Ashtead Capital Inc.	5.250%	8/1/26	545		583
2	Ashtead Capital Inc.	4.375%	8/15/27	1,545		1,599
	Ball Corp.	4.000%	11/15/23	465		489
	Ball Corp.	5.250%	7/1/25	141		157
	Ball Corp.	4.875%	3/15/26	3,400		3,693
5	Ball Corp.	1.500%	3/15/27	1,270		1,433

204

High Yield Bond Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
2	BBA US Holdings Inc.	4.000%	3/1/28	1,900		1,872
2	Beacon Escrow Corp.	4.875%	11/1/25	2,585		2,591
2	Beacon Roofing Supply Inc.	4.500%	11/15/26	305		315
2	Berry Global Escrow Corp.	5.625%	7/15/27	215		231
2	Berry Global Inc.	4.500%	2/15/26	1,655		1,701
2	Berry Global Inc.	4.875%	7/15/26	1,630		1,729
2	Bombardier Inc.	5.750%	3/15/22	675		697
2	Bombardier Inc.	6.125%	1/15/23	2,698		2,759
2	Bombardier Inc.	7.500%	12/1/24	460		483
2	Bombardier Inc.	7.500%	3/15/25	1,412		1,454
2	Bombardier Inc.	7.875%	4/15/27	1,675		1,721
2	CD&R Waterworks Merger Sub LLC	6.125%	8/15/25	160		166
2	Cemex SAB de CV	6.125%	5/5/25	3,280		3,403
2	Cemex SAB de CV	7.750%	4/16/26	735		801
2	Clean Harbors Inc.	4.875%	7/15/27	960		1,010
2	Clean Harbors Inc.	5.125%	7/15/29	768		818
	Crown Americas LLC / Crown Americas Capital Corp. IV	4.500%	1/15/23	300		315
	Crown Americas LLC / Crown Americas Capital Corp. VI	4.750%	2/1/26	1,415		1,493
2,5	Crown European Holdings SA	2.875%	2/1/26	1,555		1,890
2	Flex Acquisition Co. Inc.	6.875%	1/15/25	4,000		4,030
2	HD Supply Inc.	5.375%	10/15/26	1,210		1,283
2	Herc Holdings Inc.	5.500%	7/15/27	3,700		3,894
2	Jeld-Wen Inc.	4.625%	12/15/25	345		354
2	Jeld-Wen Inc.	4.875%	12/15/27	195		199
2	LANXESS AG	6.000%	4/1/24	288		296
2,5	Loxam SAS	4.250%	4/15/24	190		220
2	OI European Group BV	4.000%	3/15/23	675		680
2	Owens-Brockway Glass Container Inc.	5.000%	1/15/22	180		187
2	Owens-Brockway Glass Container Inc.	5.875%	8/15/23	2,140		2,284
2	Owens-Brockway Glass Container Inc.	6.375%	8/15/25	1,195		1,306
	Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group
	Issuer Lu	5.750%	10/15/20	644		644
2	Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group
	Issuer Lu	5.125%	7/15/23	2,240		2,293
2	Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group
	Issuer Lu	7.000%	7/15/24	440		455
2	Standard Industries Inc.	5.500%	2/15/23	295		299
2	Standard Industries Inc.	5.375%	11/15/24	2,323		2,384
2	Standard Industries Inc.	6.000%	10/15/25	4,295		4,515
2	Standard Industries Inc.	5.000%	2/15/27	495		516
2	Standard Industries Inc.	4.750%	1/15/28	1,025		1,052
	TransDigm Inc.	6.500%	7/15/24	3,090		3,190
	TransDigm Inc.	6.500%	5/15/25	2,565		2,671
	TransDigm Inc.	6.375%	6/15/26	900		953
2	TransDigm Inc.	5.500%	11/15/27	2,810		2,845
2,5	Trivium Packaging Finance BV	3.750%	8/15/26	180		214
2	Trivium Packaging Finance BV	5.500%	8/15/26	345		365
	United Rentals North America Inc.	5.500%	7/15/25	2,230		2,314
	United Rentals North America Inc.	4.625%	10/15/25	1,665		1,713
	United Rentals North America Inc.	5.875%	9/15/26	1,955		2,092
	United Rentals North America Inc.	6.500%	12/15/26	1,590		1,745
	United Rentals North America Inc.	5.500%	5/15/27	2,125		2,274
	United Rentals North America Inc.	3.875%	11/15/27	880		899
	United Rentals North America Inc.	4.875%	1/15/28	1,470		1,527
	United Rentals North America Inc.	5.250%	1/15/30	740		794
	Communication (17.9%)
2	Altice Financing SA	6.625%	2/15/23	1,875		1,908
2	Altice France SA	7.375%	5/1/26	4,025		4,312
2	Altice Luxembourg SA	7.625%	2/15/25	1,200		1,243
	Belo Corp.	7.750%	6/1/27	920		1,065
	Belo Corp.	7.250%	9/15/27	667		759
	CCO Holdings LLC / CCO Holdings Capital Corp.	5.250%	9/30/22	365		369
	CCO Holdings LLC / CCO Holdings Capital Corp.	5.125%	2/15/23	400		405
2	CCO Holdings LLC / CCO Holdings Capital Corp.	5.125%	5/1/23	2,990		3,046
	CCO Holdings LLC / CCO Holdings Capital Corp.	5.750%	9/1/23	1,150		1,166
	CCO Holdings LLC / CCO Holdings Capital Corp.	5.750%	1/15/24	66		67
2	CCO Holdings LLC / CCO Holdings Capital Corp.	5.375%	5/1/25	2,871		2,964
2	CCO Holdings LLC / CCO Holdings Capital Corp.	5.750%	2/15/26	1,450		1,524
2	CCO Holdings LLC / CCO Holdings Capital Corp.	5.500%	5/1/26	1,386		1,459
2	CCO Holdings LLC / CCO Holdings Capital Corp.	5.875%	5/1/27	445		469
	CenturyLink Inc.	5.800%	3/15/22	303		318
	CenturyLink Inc.	6.750%	12/1/23	755		842
	CenturyLink Inc.	7.500%	4/1/24	557		629
	Charter Communications Operating LLC / Charter Communications Operating Capital	6.484%	10/23/45	891		1,110
	CSC Holdings LLC	6.750%	11/15/21	1,735		1,861
2	CSC Holdings LLC	5.375%	7/15/23	280		287
2	CSC Holdings LLC	6.625%	10/15/25	700		743
2	CSC Holdings LLC	5.500%	5/15/26	3,890		4,114
2	CSC Holdings LLC	5.500%	4/15/27	2,610		2,796
	DISH DBS Corp.	6.750%	6/1/21	4,530		4,751
	DISH DBS Corp.	5.875%	7/15/22	3,746		3,971
	DISH DBS Corp.	5.000%	3/15/23	1,384		1,417
	DISH DBS Corp.	5.875%	11/15/24	2,405		2,450
	DISH DBS Corp.	7.750%	7/1/26	3,260		3,447
	Embarq Corp.	7.995%	6/1/36	720		760
	Gannett Co. Inc.	6.375%	10/15/23	850		877
2	Gray Escrow Inc.	7.000%	5/15/27	415		462
2	Gray Television Inc.	5.125%	10/15/24	1,961		2,032
2	Gray Television Inc.	5.875%	7/15/26	1,470		1,564
2	iHeartCommunications Inc.	4.750%	1/15/28	905		928
	Level 3 Financing Inc.	5.375%	8/15/22	1,862		1,869
	Level 3 Financing Inc.	5.625%	2/1/23	870		873
	Level 3 Financing Inc.	5.125%	5/1/23	1,120		1,130
	Nokia Oyj	4.375%	6/12/27	2,210		2,303
2	Outfront Media Capital LLC / Outfront Media Capital Corp.	4.625%	3/15/30	1,535		1,564
	Quebecor Media Inc.	5.750%	1/15/23	2,810		3,052
	Qwest Corp.	6.875%	9/15/33	481		483
2	Sinclair Television Group Inc.	5.625%	8/1/24	470		484
2	Sinclair Television Group Inc.	5.875%	3/15/26	2,740		2,877
2	Sinclair Television Group Inc.	5.125%	2/15/27	1,975		2,029
2	Sirius XM Radio Inc.	4.625%	7/15/24	1,640		1,714
	Sprint Capital Corp.	6.875%	11/15/28	2,915		3,141
	Sprint Capital Corp.	8.750%	3/15/32	2,070		2,515
2	Sprint Communications Inc.	7.000%	3/1/20	2,285		2,296
	Sprint Communications Inc.	6.000%	11/15/22	755		791
	Sprint Corp.	7.875%	9/15/23	9,234		10,192
	Sprint Corp.	7.125%	6/15/24	2,101		2,264
	Sprint Corp.	7.625%	2/15/25	1,595		1,750
	T-Mobile USA Inc.	6.500%	1/15/26	690		737
	T-Mobile USA Inc.	5.375%	4/15/27	3,510		3,738
	Telecom Italia Capital SA	6.375%	11/15/33	381		422
	Telecom Italia Capital SA	6.000%	9/30/34	1,005		1,073
	Telecom Italia Capital SA	7.721%	6/4/38	1,280		1,578
2	Telecom Italia SPA	5.303%	5/30/24	445		479
2	Telenet Finance Luxembourg Notes Sarl	5.500%	3/1/28	3,600		3,817
	Time Warner Cable LLC	5.875%	11/15/40	60		69
	Time Warner Cable LLC	5.500%	9/1/41	1,223		1,365
2	UPCB Finance IV Ltd.	5.375%	1/15/25	2,225		2,286
1	Viacom Inc.	5.875%	2/28/57	2,560		2,672

205

High Yield Bond Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
1	Viacom Inc.	6.250%	2/28/57	944		1,038
	Videotron Ltd.	5.000%	7/15/22	3,923		4,139
2	Videotron Ltd.	5.375%	6/15/24	260		286
2	Virgin Media Finance plc	6.000%	10/15/24	1,855		1,908
2	Virgin Media Secured Finance plc	5.500%	8/15/26	940		980
2	Virgin Media Secured Finance plc	5.500%	5/15/29	870		921
2	VTR Finance BV	6.875%	1/15/24	2,521		2,568
2	WMG Acquisition Corp.	5.000%	8/1/23	840		860
2	WMG Acquisition Corp.	4.875%	11/1/24	1,475		1,525
2	WMG Acquisition Corp.	5.500%	4/15/26	2,651		2,790
2,5	WMG Acquisition Corp.	3.625%	10/15/26	220		261
	Zayo Group LLC / Zayo Capital Inc.	6.000%	4/1/23	3,315		3,390
2	Ziggo BV	5.500%	1/15/27	1,845		1,949
2	Ziggo BV	4.875%	1/15/30	1,799		1,850
	Consumer Cyclical (13.2%)
2	1011778 BC ULC / New Red Finance Inc.	4.250%	5/15/24	4,062		4,164
2	1011778 BC ULC / New Red Finance Inc.	5.000%	10/15/25	3,240		3,361
2	1011778 BC ULC / New Red Finance Inc.	3.875%	1/15/28	830		834
2	Adient Global Holdings Ltd.	4.875%	8/15/26	4,720		4,213
2	Adient US LLC	7.000%	5/15/26	540		589
2	APX Group Inc.	8.875%	12/1/22	4,155		4,124
3,4	Bass Pro Group, LLC Bank Loan, 3M USD LIBOR + 5.000%	6.799%	12/15/23	1,891		1,882
2	Boyd Gaming Corp.	4.750%	12/1/27	2,690		2,794
2	Cedar Fair LP	5.250%	7/15/29	925		997
	Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp. / Millennium Op	5.375%	4/15/27	775		830
	Cedar Fair LP / Canada’s Wonderland Co. / Magnum Management Corp.	5.375%	6/1/24	535		549
2	CRC Escrow Issuer LLC / CRC Finco Inc.	5.250%	10/15/25	5,768		5,970
	Dana Holding Corp.	5.500%	12/15/24	1,055		1,085
	Delta Merger Sub Inc.	6.000%	9/15/26	1,820		2,004
2	FirstCash Inc.	5.375%	6/1/24	223		231
	GLP Capital LP / GLP Financing II Inc.	4.375%	4/15/21	105		107
	GLP Capital LP / GLP Financing II Inc.	5.375%	11/1/23	2,630		2,858
	GLP Capital LP / GLP Financing II Inc.	5.375%	4/15/26	1,010		1,104
	GLP Capital LP / GLP Financing II Inc.	5.300%	1/15/29	1,030		1,148
	Goodyear Tire & Rubber Co.	5.000%	5/31/26	2,009		2,094
	Goodyear Tire & Rubber Co.	4.875%	3/15/27	3,278		3,401
2	Hanesbrands Inc.	4.625%	5/15/24	730		771
2	Hanesbrands Inc.	4.875%	5/15/26	735		775
	Hilton Domestic Operating Co. Inc.	4.250%	9/1/24	1,770		1,801
	Hilton Domestic Operating Co. Inc.	5.125%	5/1/26	2,830		2,979
	Hilton Domestic Operating Co. Inc.	4.875%	1/15/30	260		276
	Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp.	4.625%	4/1/25	3,395		3,493
	Hilton Worldwide Finance LLC / Hilton Worldwide Finance Corp.	4.875%	4/1/27	1,750		1,857
2	Jack Ohio Finance LLC / Jack Ohio Finance 1 Corp.	6.750%	11/15/21	16		16
2	Jacobs Entertainment Inc.	7.875%	2/1/24	600		636
	KB Home	7.000%	12/15/21	230		247
	KB Home	7.500%	9/15/22	215		242
	KB Home	7.625%	5/15/23	1,300		1,459
	KB Home	4.800%	11/15/29	325		332
2	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC	5.000%	6/1/24	1,965		2,039
2	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC	5.250%	6/1/26	872		922
2	KFC Holding Co./Pizza Hut Holdings LLC/Taco Bell of America LLC	4.750%	6/1/27	710		749
	L Brands Inc.	6.694%	1/15/27	537		537
	L Brands Inc.	5.250%	2/1/28	1,301		1,233
	Lennar Corp.	4.125%	1/15/22	1,015		1,040
	Lennar Corp.	4.875%	12/15/23	625		668
	Lennar Corp.	4.500%	4/30/24	3,165		3,343
	Lennar Corp.	5.875%	11/15/24	490		546
	Lennar Corp.	5.250%	6/1/26	270		295
	Lennar Corp.	5.000%	6/15/27	1,245		1,348
	Lennar Corp.	4.750%	11/29/27	1,085		1,169
2,5	LHMC Finco Sarl	6.250%	12/20/23	1,460		1,731
2	LHMC Finco Sarl	7.875%	12/20/23	1,523		1,607
2	Lithia Motors Inc.	5.250%	8/1/25	171		180
2	Lithia Motors Inc.	4.625%	12/15/27	1,745		1,800
	Meritage Homes Corp.	5.125%	6/6/27	505		539
	MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc.	5.625%	5/1/24	150		164
	MGM Resorts International	6.000%	3/15/23	680		747
	MGM Resorts International	5.750%	6/15/25	1,500		1,680
	MGM Resorts International	5.500%	4/15/27	1,365		1,515
2	Panther BF Aggregator 2 LP / Panther Finance Co. Inc.	8.500%	5/15/27	540		572
3,4	Panther BF Aggregator Bank Loan, 3M USD LIBOR + 3.500%	5.305%	4/30/26	1,082		1,085
2	PetSmart Inc.	5.875%	6/1/25	1,252		1,279
	PulteGroup Inc.	5.500%	3/1/26	2,075		2,319
	PulteGroup Inc.	5.000%	1/15/27	130		142
	Service Corp. International	8.000%	11/15/21	1,225		1,347
	Service Corp. International	4.625%	12/15/27	505		527
	Service Corp. International	5.125%	6/1/29	1,305		1,383
2	Speedway Motorsports LLC / Speedway Funding II Inc.	4.875%	11/1/27	600		607
	Toll Brothers Finance Corp.	4.375%	4/15/23	300		313
	Toll Brothers Finance Corp.	4.875%	11/15/25	295		322
	Toll Brothers Finance Corp.	4.875%	3/15/27	1,955		2,116
	William Lyon Homes Inc.	7.000%	8/15/22	64		64
	William Lyon Homes Inc.	6.000%	9/1/23	390		407
	William Lyon Homes Inc.	5.875%	1/31/25	1,415		1,450
2	Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.	5.500%	3/1/25	3,030		3,242
2	Wynn Las Vegas LLC / Wynn Las Vegas Capital Corp.	5.250%	5/15/27	1,636		1,736
2	Wynn Resorts Finance LLC / Wynn Resorts Capital Corp.	5.125%	10/1/29	660		706
2	Yum Brands Inc.	4.750%	1/15/30	400		420
	Consumer Noncyclical (11.6%)
	Aramark Services Inc.	5.125%	1/15/24	1,367		1,403
2	Aramark Services Inc.	5.000%	4/1/25	1,935		2,017
	Aramark Services Inc.	4.750%	6/1/26	940		980
2	Aramark Services Inc.	5.000%	2/1/28	1,465		1,542
2	Avantor Inc.	6.000%	10/1/24	1,000		1,065
	B&G Foods Inc.	5.250%	9/15/27	3,000		2,996
2	Bausch Health Americas Inc.	9.250%	4/1/26	520		598
2	Bausch Health Cos. Inc.	5.875%	5/15/23	19		19
2	Bausch Health Cos. Inc.	7.000%	3/15/24	1,090		1,134
2	Bausch Health Cos. Inc.	5.500%	11/1/25	2,140		2,236
2	Bausch Health Cos. Inc.	7.000%	1/15/28	540		595
2	Bausch Health Cos. Inc.	7.250%	5/30/29	60		68
2	Catalent Pharma Solutions Inc.	5.000%	7/15/27	630		660
2	Change Healthcare Holdings LLC / Change Healthcare Finance Inc.	5.750%	3/1/25	2,000		2,065
2	Charles River Laboratories International Inc.	5.500%	4/1/26	705		759
2	Charles River Laboratories International Inc.	4.250%	5/1/28	350		357
	CHS/Community Health Systems Inc.	5.125%	8/1/21	525		526
	CHS/Community Health Systems Inc.	6.250%	3/31/23	3,450		3,493
2	CHS/Community Health Systems Inc.	8.125%	6/30/24	1,203		986
2,5	Darling Global Finance BV	3.625%	5/15/26	395		467

206

High Yield Bond Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
2	Darling Ingredients Inc.	5.250%	4/15/27	575		611
2,5	Diamond BC BV	5.625%	8/15/25	3,235		3,569
2	Endo Dac / Endo Finance LLC / Endo Finco Inc.	6.000%	2/1/25	2,395		1,617
2	Endo Finance LLC / Endo Ltd. / Endo Finco Inc.	6.000%	7/15/23	2,535		1,838
2,5	Grifols SA	1.625%	2/15/25	810		926
2,5	Grifols SA	2.250%	11/15/27	905		1,049
	HCA Inc.	6.250%	2/15/21	870		908
	HCA Inc.	7.500%	2/15/22	155		171
	HCA Inc.	5.875%	5/1/23	2,725		3,004
	HCA Inc.	5.375%	2/1/25	1,955		2,160
	HCA Inc.	7.690%	6/15/25	130		157
	HCA Inc.	5.875%	2/15/26	2,895		3,293
	HCA Inc.	5.625%	9/1/28	390		446
	HCA Inc.	5.875%	2/1/29	450		520
2	Hologic Inc.	4.625%	2/1/28	570		604
2	IQVIA Inc.	5.000%	5/15/27	1,993		2,108
2,5	IQVIA Inc.	2.250%	1/15/28	1,200		1,388
3,4	Lands’ End, Inc. Bank Loan, 3M USD LIBOR + 3.250%	5.049%	3/12/21	2,257		2,210
2	MPH Acquisition Holdings LLC	7.125%	6/1/24	1,590		1,542
2	Performance Food Group Inc.	5.500%	10/15/27	2,100		2,237
2	Polaris Intermediate Corp.	8.500%	12/1/22	2,565		2,389
2	Post Holdings Inc.	5.500%	3/1/25	2,125		2,223
2	Post Holdings Inc.	5.000%	8/15/26	3,800		4,009
2	Post Holdings Inc.	5.750%	3/1/27	970		1,040
2	Post Holdings Inc.	5.625%	1/15/28	2,170		2,333
2	Quintiles IMS Inc.	5.000%	10/15/26	2,050		2,163
	Revlon Consumer Products Corp.	5.750%	2/15/21	570		486
	Revlon Consumer Products Corp.	6.250%	8/1/24	2,130		1,041
3,4	Revlon Consumer Products Corp. Bank Loan, 1M USD LIBOR + 3.500%	5.409%	9/7/23	176		134
3,4	Revlon Consumer Products Corp. Bank Loan, 1M USD LIBOR +3.500%	5.409%	9/7/23	589		449
	Tenet Healthcare Corp.	4.625%	7/15/24	279		287
	Teva Pharmaceutical Finance Netherlands III BV	3.150%	10/1/26	2,720		2,264
	Teva Pharmaceutical Finance Netherlands III BV	6.750%	3/1/28	2,785		2,813
	Teva Pharmaceutical Finance Netherlands III BV	4.100%	10/1/46	300		216
2	TreeHouse Foods Inc.	6.000%	2/15/24	2,100		2,176
2	Valeant Pharmaceuticals International Inc.	9.000%	12/15/25	815		926
2	Valeant Pharmaceuticals International Inc.	8.500%	1/31/27	1,150		1,311
2	VRX Escrow Corp.	6.125%	4/15/25	5,700		5,885
2	West Street Merger Sub Inc.	6.375%	9/1/25	4,336		4,314
	Energy (8.7%)
	AmeriGas Finance LLC / AmeriGas Finance Corp.	5.625%	5/20/24	1,395		1,507
	AmeriGas Finance LLC / AmeriGas Finance Corp.	5.875%	8/20/26	1,765		1,948
	AmeriGas Partners LP / AmeriGas Finance Corp.	5.500%	5/20/25	620		670
	AmeriGas Partners LP / AmeriGas Finance Corp.	5.750%	5/20/27	1,745		1,920
2	Blue Racer Midstream LLC / Blue Racer Finance Corp.	6.125%	11/15/22	1,042		1,021
2	Blue Racer Midstream LLC / Blue Racer Finance Corp.	6.625%	7/15/26	775		705
	Cheniere Corpus Christi Holdings LLC	5.875%	3/31/25	95		107
	Cheniere Corpus Christi Holdings LLC	5.125%	6/30/27	1,233		1,366
2	Cheniere Energy Partners LP	4.500%	10/1/29	1,566		1,609
	Chesapeake Energy Corp.	11.500%	1/1/25	2,791		2,638
2	DCP Midstream LLC	5.350%	3/15/20	335		337
2	DCP Midstream Operating LP	4.750%	9/30/21	672		690
	DCP Midstream Operating LP	4.950%	4/1/22	1,436		1,493
	DCP Midstream Operating LP	3.875%	3/15/23	801		819
	Ferrellgas LP / Ferrellgas Finance Corp.	6.500%	5/1/21	2,560		2,214
	Ferrellgas LP / Ferrellgas Finance Corp.	6.750%	1/15/22	474		403
	Ferrellgas LP / Ferrellgas Finance Corp.	6.750%	6/15/23	769		650
	Laredo Petroleum Inc.	5.625%	1/15/22	2,107		2,044
	Laredo Petroleum Inc.	6.250%	3/15/23	2,758		2,586
	Matador Resources Co.	5.875%	9/15/26	2,840		2,854
2	MEG Energy Corp.	6.375%	1/30/23	850		850
2	MEG Energy Corp.	7.000%	3/31/24	1,139		1,148
2	MEG Energy Corp.	6.500%	1/15/25	2,850		2,971
2	Noble Holding International Ltd.	7.875%	2/1/26	460		334
2	Parsley Energy LLC / Parsley Finance Corp.	5.375%	1/15/25	1,344		1,381
2	Parsley Energy LLC / Parsley Finance Corp.	5.250%	8/15/25	190		195
	QEP Resources Inc.	5.375%	10/1/22	1,270		1,275
	QEP Resources Inc.	5.250%	5/1/23	1,262		1,253
2	Rockies Express Pipeline LLC	7.500%	7/15/38	1,134		1,211
2	Rockies Express Pipeline LLC	6.875%	4/15/40	420		438
	SM Energy Co.	6.125%	11/15/22	935		944
	SM Energy Co.	5.000%	1/15/24	1,994		1,914
	SM Energy Co.	5.625%	6/1/25	1,651		1,568
	SM Energy Co.	6.750%	9/15/26	720		707
	SM Energy Co.	6.625%	1/15/27	500		491
	Sunoco LP / Sunoco Finance Corp.	4.875%	1/15/23	1,475		1,508
	Sunoco LP / Sunoco Finance Corp.	5.500%	2/15/26	1,589		1,653
	Sunoco LP / Sunoco Finance Corp.	6.000%	4/15/27	2,265		2,418
	Sunoco LP / Sunoco Finance Corp.	5.875%	3/15/28	555		591
2	Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.	4.750%	10/1/23	1,880		1,875
2	Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.	5.500%	9/15/24	210		211
2	Tallgrass Energy Partners LP / Tallgrass Energy Finance Corp.	5.500%	1/15/28	1,845		1,808

Targa Resources Partners LP / Targa Resources Partners Finance Corp. 6.750% 3/15/24 300 311

2	Targa Resources Partners LP / Targa Resources Partners Finance Corp.	6.875%	1/15/29	1,200	1,329
1,2	Transocean Guardian Ltd.	5.875%	1/15/24	1,573	1,608
1,2	Transocean Phoenix 2 Ltd.	7.750%	10/15/24	714	757
1,2	Transocean Pontus Ltd.	6.125%	8/1/25	1,278	1,313
1,2	Transocean Proteus Ltd.	6.250%	12/1/24	837	863
2	Vine Oil & Gas LP / Vine Oil & Gas Finance Corp.	8.750%	4/15/23	1,915	938
	Whiting Petroleum Corp.	6.625%	1/15/26	3,281	2,231
	WPX Energy Inc.	5.250%	9/15/24	3,734	3,967
	WPX Energy Inc.	5.750%	6/1/26	370	395
	Other Industrial (0.7%)
2	Brand Energy & Infrastructure Services Inc.	8.500%	7/15/25	3,222	3,303
3,4	Core & Main LP Bank Loan, 3M USD LIBOR + 3.000%	4.441%	8/1/24	47	46
3,4	Core & Main LP Bank Loan, 3M USD LIBOR + 3.000%	4.441%	8/1/24	114	114
3,4	Core & Main LP Bank Loan, 3M USD LIBOR + 3.000%	4.664%	8/1/24	104	103
2	KAR Auction Services Inc.	5.125%	6/1/25	1,819	1,890
	Technology (8.9%)
	Alcatel-Lucent USA Inc.	6.500%	1/15/28	1,355	1,391
	Alcatel-Lucent USA Inc.	6.450%	3/15/29	2,612	2,772

207

High Yield Bond Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	CDK Global Inc.	5.875%	6/15/26	915		977
	CDK Global Inc.	4.875%	6/1/27	585		618
2	CDK Global Inc.	5.250%	5/15/29	775		827
	CDW LLC / CDW Finance Corp.	5.500%	12/1/24	185		205
	CDW LLC / CDW Finance Corp.	5.000%	9/1/25	910		951
	CDW LLC / CDW Finance Corp.	4.250%	4/1/28	2,685		2,816
3,4	Dun and Bradstreet Corp. Bank Loan, 3M USD LIBOR + 5.000%	6.792%	2/8/26	3,360		3,382
2	Entegris Inc.	4.625%	2/10/26	150		155
4	Equinix Inc.	2.875%	2/1/26	3,115		3,623
	Equinix Inc.	5.375%	5/15/27	1,365		1,479
3,4	Grizzly Acquisitions Inc. Bank Loan, 3M USD LIBOR + 3.250%	5.349%	10/1/25	736		735
	Infor US Inc.	6.500%	5/15/22	3,060		3,110
	Iron Mountain Inc.	5.750%	8/15/24	972		982
2	Iron Mountain Inc.	4.875%	9/15/27	595		612
2	Iron Mountain Inc.	4.875%	9/15/29	2,177		2,210
2	MSCI Inc.	5.250%	11/15/24	149		153
2	MSCI Inc.	5.750%	8/15/25	1,915		2,008
2	MSCI Inc.	4.750%	8/1/26	210		220
2	MSCI Inc.	5.375%	5/15/27	690		745
2	MSCI Inc.	4.000%	11/15/29	2,710		2,747
	Nokia Oyj	6.625%	5/15/39	3,735		4,286
2	Open Text Corp.	5.625%	1/15/23	1,070		1,087
2	Open Text Corp.	5.875%	6/1/26	1,895		2,023
	Pitney Bowes Inc.	4.625%	5/15/22	1,015		1,020
	Pitney Bowes Inc.	5.200%	4/1/23	2,395		2,347
	Pitney Bowes Inc.	4.625%	3/15/24	975		907
	Qorvo Inc.	5.500%	7/15/26	2,044		2,172
2	Qorvo Inc.	4.375%	10/15/29	2,260		2,367
2	Sensata Technologies BV	4.875%	10/15/23	300		319
2	Sensata Technologies BV	5.625%	11/1/24	575		638
2	Sensata Technologies BV	5.000%	10/1/25	1,625		1,761
2	Sensata Technologies UK Financing Co. plc	6.250%	2/15/26	1,520		1,642
3,4	SS&C Technologies Holdings Inc. Bank Loan, 3M USD LIBOR + 2.250%	4.049%	4/16/25	676		681
3,4	SS&C Technologies Holdings Inc. Bank Loan, 3M USD LIBOR + 2.250%	4.049%	4/16/25	826		832
3,4	SS&C Technologies Holdings Inc. Bank Loan, 3M USD LIBOR + 2.250%	4.049%	4/16/25	73		577
2	SS&C Technologies Inc.	5.500%	9/30/27	3,575		3,816
	Symantec Corp.	3.950%	6/15/22	345		351
2	Symantec Corp.	5.000%	4/15/25	4,250		4,324
	Western Digital Corp.	4.750%	2/15/26	2,519		2,626
	Xerox Corp.	4.500%	5/15/21	720		736
	Xerox Corp.	4.125%	3/15/23	750		778
	Xerox Corp.	4.800%	3/1/35	542		488
	Xerox Corp.	6.750%	12/15/39	1,600		1,688
	Transportation (0.2%)
	Avis Budget Car Rental LLC / Avis Budget Finance Inc.	5.500%	4/1/23	602		611
2	Avis Budget Car Rental LLC / Avis Budget Finance Inc.	6.375%	4/1/24	715		742
						603,474
Utilities (1.4%)
	Electric (1.4%)
	AES Corp.	4.500%	3/15/23	1,835		1,881
	AES Corp.	4.875%	5/15/23	516		525
	AES Corp.	5.500%	4/15/25	150		155
	AES Corp.	6.000%	5/15/26	30		32
	AES Corp.	5.125%	9/1/27	2,115		2,257
2	NextEra Energy Operating Partners LP	4.250%	7/15/24	1,173		1,220
2	NextEra Energy Operating Partners LP	4.250%	9/15/24	1,145		1,191
2	NextEra Energy Operating Partners LP	3.875%	10/15/26	3,035		3,058
2	NextEra Energy Operating Partners LP	4.500%	9/15/27	700		728
						11,047
Total Corporate Bonds (Cost $684,752)						704,953
Sovereign Bonds (0.4%)
2	DAE Funding LLC	4.000%	8/1/20	130		131
2	DAE Funding LLC	5.250%	11/15/21	705		731
2	DAE Funding LLC	4.500%	8/1/22	1,264		1,283
2	DAE Funding LLC	5.000%	8/1/24	1,020		1,069
Total Sovereign Bonds (Cost $3,154)						3,214
	Shares
Common Stocks (0.1%)
Utilities (0.1%)
*,7	Homer City Generation LP(Cost $1,287)			62,633		448
Temporary Cash Investment (8.1%)

Repurchase Agreement (8.1%)
	Bank of America Securities, LLC   (Dated 12/31/19, Repurchase   Value $63,606,000, collateralized   by Federal National Mortgage   Assn., 4.000%, 6/01/34, and Federal   Home Loan Mortgage Corp.,   3.500%–4.500%, 9/01/46–5/01/49,   with a value of $64,872,000)
	(Cost $63,600)	1.570%	1/2/20	63,600	63,600
Total Investments (98.6%) (Cost $752,793)					772,215

	Amount
	($000	)
Other Assets and Liabilities (1.4%)
Other Assets
Investment in Vanguard	35
Receivables for Investment Securities Sold	272
Receivables for Accrued Income	10,235
Receivables for Capital Shares Issued	413
Other Assets8	806
Total Other Assets	11,761
Liabilities
Payables for Investment Securities Purchased	(19	)
Payables to Investment Advisor	(115	)
Payables for Capital Shares Redeemed	(316	)
Payables to Vanguard	(493	)
Variation Margin Payable—CC Swap Contracts	(1	)
Unrealized Depreciation—Forward Currency Contracts	(127	)
Total Liabilities	(1,071	)
Net Assets (100%)
Applicable to 95,578,799 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	782,905
Net Asset Value Per Share	$8.19

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High Yield Bond Portfolio

At December 31, 2019, net assets consisted of:
	Amount
	($000)
Paid-in Capital	733,724
Total Distributable Earnings (Loss)	49,181
Net Assets	782,905

• See Note A in Notes to Financial Statements.

* Non-income-producing security.

1 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.

2 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $336,646,000, representing 43.0% of net assets.

3 Security is a senior, secured, high-yield floating-rate loan. These loans are debt obligations issued by public and private companies and are comparable to high-yield bonds from a ratings and leverage perspective. At December 31, 2019, the aggregate value of these securities was $15,946,000, representing 2.0% of net assets.

4 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.

5 Face amount denominated in euro.

6 Face amount denominated in British pounds.

7 Security value determined using significant unobservable inputs.

8 Cash of $527,000 has been segregated as initial margin for open cleared swap contracts.

CC—Centrally Cleared.

LIBOR—London Interbank Offered Rate.

Derivative Financial Instruments Outstanding as of Period End
Forward Currency Contracts
	Contract					Unrealized	Unrealized
	Settlement		Contract Amount (000)			Appreciation	(Depreciation)
Counterparty	Date		Receive		Deliver	($000)	($000)
Citibank, N.A.	1/31/20	USD	17,861	EUR	16,004	—	(126)
Bank of America, N.A.	1/31/20	USD	62	GBP	48	—	(1)
						—	(127)

EUR—euro.

GBP—British pound.

USD—U.S. dollar.

Centrally Cleared Credit Default Swaps
				Periodic
				Premium		Unrealized
				Received		Appreciation
	Termination	Notional  Amount		(Paid)1	Value	(Depreciation)
Reference Entity	Date		(000)	(%)	($000)	($000)
Credit Protection Sold
CDX-NA-HY-S33-V1	12/20/24	USD	9,900	5.000	959	211

The notional amount represents the maximum potential amount the fund could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.

1 Periodic premium received/paid quarterly.

USD—U.S. dollar.

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

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High Yield Bond Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000)
Investment Income
Income
Interest	40,612
Total Income	40,612
Expenses
Investment Advisory Fees—Note B	446
The Vanguard Group—Note C
Management and Administrative	1,339
Marketing and Distribution	82
Custodian Fees	13
Auditing Fees	35
Shareholders’ Reports	16
Trustees’ Fees and Expenses	1
Total Expenses	1,932
Net Investment Income	38,680
Realized Net Gain (Loss)
Investment Securities Sold	(1,299)
Swap Contracts	(11)
Forward Currency Contracts	843
Foreign Currencies	(7)
Realized Net Gain (Loss)	(474)
Change in Unrealized Appreciation (Depreciation)
Investment Securities	68,687
Swap Contracts	597
Forward Currency Contracts	(151)
Foreign Currencies	4
Change in Unrealized Appreciation (Depreciation)	69,137
Net Increase (Decrease) in Net Assets Resulting from Operations	107,343

Statement of Changes in Net Assets

	Year Ended December 31,
	2019	2018
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	38,680	39,756
Realized Net Gain (Loss)	(474)	5,329
Change in Unrealized Appreciation (Depreciation)	69,137	(65,575)
Net Increase (Decrease) in Net Assets Resulting from Operations	107,343	(20,490)
Distributions
Net Investment Income	(42,939)	(35,316)
Realized Capital Gain	—	—
Total Distributions	(42,939)	(35,316)
Capital Share Transactions
Issued	152,281	118,985
Issued in Lieu of Cash Distributions	42,939	35,316
Redeemed	(180,636)	(146,831)
Net Increase (Decrease) from Capital Share Transactions	14,584	7,470
Total Increase (Decrease)	78,988	(48,336)
Net Assets
Beginning of Period	703,917	752,253
End of Period	782,905	703,917

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

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Financial Highlights

For a Share Outstanding	Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$7.53	$8.13	$7.99	$7.59	$8.14
Investment Operations
Net Investment Income	.4101	.4201	.4191	.397	.427
Net Realized and Unrealized Gain (Loss) on Investments	.731	(.636)	.119	.426	(.541)
Total from Investment Operations	1.141	(.216)	.538	.823	(.114)
Distributions
Dividends from Net Investment Income	(.481)	(.384)	(.398)	(.423)	(.423)
Distributions from Realized Capital Gains	—	—	—	—	(.013)
Total Distributions	(.481)	(.384)	(.398)	(.423)	(.436)
Net Asset Value, End of Period	$8.19	$7.53	$8.13	$7.99	$7.59
Total Return	15.67%	-2.73%	7.00%	11.35%	-1.58%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$783	$704	$752	$622	$521
Ratio of Total Expenses to Average Net Assets	0.26%	0.26%	0.28%	0.28%	0.28%
Ratio of Net Investment Income to Average Net Assets	5.21%	5.39%	5.22%	5.44%	5.41%
Portfolio Turnover Rate	27%	23%	28%	27%	38%

1 Calculated based on average shares outstanding.

Notes to Financial Statements

The High Yield Bond Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts. Certain of the portfolio’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries.

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

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the portfolio’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

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

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

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 forward currency contract gains (losses).

During the year ended December 31, 2019, the portfolio’s average investment in forward currency contracts represented 2% of net assets, based on the average of notional amounts at each quarter-end during the period.

4. Swap Contracts: The portfolio invests in credit default swaps to adjust the overall credit risk of the portfolio or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The portfolio may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The portfolio may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.

The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the portfolio under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.

The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the portfolio (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the portfolio) will be significantly less than the amount paid by the portfolio and, in a physically settled swap, the portfolio may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the portfolio. The portfolio’s maximum amount subject to counterparty risk is the unrealized appreciation on the swap contract. The portfolio mitigates

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its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the portfolio under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the portfolio’s net assets decline below a certain level, triggering a payment by the portfolio if the portfolio is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the portfolio has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The portfolio enters into centrally cleared credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the portfolio’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the portfolio trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

During the year ended December 31, 2019, the portfolio’s average amounts of investments in credit protection sold and credit protection purchased represented 1% and 0% of net assets, respectively, based on the average of notional amounts at each quarter-end during the period.

5. Repurchase Agreements: The portfolio enters into repurchase agreements with institutional counterparties. Securities pledged as collateral to the portfolio under repurchase agreements are held by a custodian bank until the agreements mature, and in the absence of a default, such collateral cannot be repledged, resold, or rehypothecated. Each agreement requires that the market value of the collateral be sufficient to cover payments of interest and principal. The portfolio further mitigates its counterparty risk by entering into repurchase agreements only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master repurchase agreements with its counterparties. The master repurchase agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any repurchase agreements with that counterparty, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio. Such action may be subject to legal proceedings, which may delay or limit the disposition of collateral.

6. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

8. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

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High Yield Bond Portfolio

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

B.    Wellington Management Company LLP provides investment advisory services to the portfolio for a fee calculated at an annual percentage rate of average net assets. For the year ended December 31, 2019, the investment advisory fee represented an effective annual rate of 0.06% of the portfolio’s average net assets.

C.    In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $35,000, representing less than 0.01% of the portfolio’s net assets and 0.01% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

D.    Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the portfolio’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
Corporate Bonds	—	704,953	—
Sovereign Bonds	—	3,214	—
Common Stocks	—	—	448
Temporary Cash Investments	—	63,600	—
Swap Contracts—Liabilities1	(1)	—	—
Forward Currency Contracts—Liabilities	—	(127)	—
Total	(1)	771,640	448

1 Represents variation margin on the last day of the reporting period.

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E.    At December 31, 2019, the fair values of derivatives were reflected in the Statement of Net Assets as follows:

	Foreign
	Exchange	Credit
	Contracts	Contracts	Total
Statement of Net Assets Caption	($000)	($000)	($000)
Variation Margin Payable—Swap Contracts	—	(1)	(1)
Unrealized Depreciation—Forward Currency Contracts	(127)	—	(127)
Total Liabilities	(127)	(1)	(128)

	Foreign
	Exchange	Credit
	Contracts	Contracts	Total
Realized Net Gain (Loss) on Derivatives	($000)	($000)	($000)
Swap Contracts	—	(11)	(11)
Forward Currency Contracts	843	—	843
Realized Net Gain (Loss) on Derivatives	843	(11)	832
Change in Unrealized Appreciation (Depreciation) on Derivatives
Swap Contracts	—	597	597
Forward Currency Contracts	(151)	—	(151)
Change in Unrealized Appreciation (Depreciation) on Derivatives	(151)	597	446

F.    Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions and swap agreements were reclassified between the individual components of total distributable earnings (loss).

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

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales; the realization of unrealized gains or losses on forward currency contracts; the amortization of premiums on certain callable debt instruments; and the tax recognition of gain or loss from foreign currency hedges. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	37,555
Undistributed Long-Term Gains	—
Capital Loss Carryforwards (Non-expiring)	(7,692)
Net Unrealized Gains (Losses)	19,730

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:
	Amount
	($000)
Tax Cost	752,696
Gross Unrealized Appreciation	30,996
Gross Unrealized Depreciation	(11,266)
Net Unrealized Appreciation (Depreciation)	19,730

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High Yield Bond Portfolio

G.    During the year ended December 31, 2019, the portfolio purchased $181,205,000 of investment securities and sold $193,984,000 of investment securities, other than U.S. government securities and temporary cash investments. There were no purchases or sales of U.S. government securities during the period.

H.    Capital shares issued and redeemed were:

	Year Ended December 31,
	2019	2018
	Shares	Shares
	(000)	(000)
Issued	19,313	15,135
Issued in Lieu of Cash Distributions	5,672	4,616
Redeemed	(22,931)	(18,772)
Net Increase (Decrease) in Shares Outstanding	2,054	979

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 48% of the portfolio’s net assets. If this shareholder were to redeem its investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

I.    Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of High Yield Bond Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of High Yield Bond Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodians and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

217

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Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

218

International Portfolio

Your Portfolio’s Performance at a Glance

•   The International Portfolio of Vanguard Variable Insurance Fund returned 31.22% for the 12 months ended December 31, 2019, well above the 21.51% return of its benchmark, the MSCI All Country World Index ex USA. Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

•   The broad U.S. stock market, as measured by the Russell 3000 Index, climbed 31% for the year. Global stock prices rose amid optimism that U.S.-China trade tensions were easing and that a trade deal might be signed in early 2020. Inversions of the U.S. Treasury yield curve, historically a signal of recession, raised concerns midway through the year. But the curve returned to its normal pattern in the second half as the Federal Reserve cut short-term interest rates three times.

•   Growth stocks outperformed their value counterparts, while large- and mid-capitalization stocks surpassed small-caps.

•   Returns were positive in the nine sectors the portfolio is primarily invested in. The advisors’ holdings in consumer discretionary and information technology contributed most to relative performance. Communication services and materials were the biggest net detractors.

•   Over the decade ended December 31, 2019, the portfolio’s average annual return outperformed that of its spliced benchmark.

Market Barometer
		Average Annual Total Returns
		Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

219

International Portfolio

Advisors’ Report

The International Portfolio returned 31.22% for the 12 months ended December 31, 2019, well above the 21.51% return of its benchmark, the MSCI All Country World Index ex USA.

The portfolio is overseen by two independent advisors, a strategy that enhances its diversification by providing exposure to distinct yet complementary investment approaches. It is not uncommon for different advisors to have different views about individual securities or the broader investment environment.

The advisors, the amount and percentage of the portfolio’s assets each manages, and brief descriptions of their investment strategies are presented in the accompanying table. Each advisor has also prepared a discussion of the investment environment that existed during the period and of the effect it had on the portfolio’s positioning. These reports were prepared on January 27, 2020.

Baillie Gifford Overseas Ltd.

Portfolio Managers:

James K. Anderson, Partner
Head of Global Equities

Thomas Coutts, Partner
Head of International Growth

We believe successful investing lies in finding exceptional and durable growth companies. In these times of considerable geopolitical uncertainty, you might expect a dearth of good growth ideas, but that isn’t the case. If you are patient and focus on decades rather than quarters, it’s a great time to be a growth investor.

Companies are capitalizing on an explosion of technology-driven disruption. Despite market uncertainty, they are growing by creating products and services that are being adopted more quickly than ever before. Why? Because we are more connected. Enabled by increasing computing power, humans now create rich seams of data. Using this data, new businesses are emerging ranging from online food delivery to autonomous electric vehicles. Almost every facet of consumer behavior is affected, and consumer demand is setting the pace. As companies are spawned from this disruption, we aim to pick the best of them.

Many of our holdings that contributed well over the year are long-term leaders in their sectors and heavy investors in R&D. ASML, the Dutch manufacturer of semiconductor machines, is an example. Its extreme ultraviolet (EUV) lithography allows the progression of Moore’s Law to continue, and a monopolistic position in this technology gives considerable pricing power. We believe ASML’s investment in developing this commercially proven system will pay dividends as EUV lithography helps develop the next wave of chips for artificial intelligence (AI), autonomous driving, 5G, and more.

Another contributor was Argentinian e-commerce platform Mercado Libre, the market leader in Latin America, which reported 90% revenue growth in third-quarter revenues at the end of October. The opportunity remains large in a continent of some 650 million people with underpenetrated internet, e-commerce, and financial services markets.

In China, Alibaba continues to impress as it takes market share in e-commerce but also expands its mission to be a provider of infrastructure and a creator of various ecosystems. A solid foundation in retail could potentially expand to logistics, transportation, manufacturing, and agriculture, all of which could be underpinned by the dominance of AliCloud.

Turning to the detractors, Baidu’s share price has been weak during the year, including a sharp fall in May after announcing its first quarterly loss as a public company. In the short term, revenues have declined as trade war fears hurt demand for advertising. Longer term, we observe increasing competition in the online search business as advertisers migrate from “search ads” to “super-apps” that offer better user targeting. While Baidu continues to gain users and seems to have a lead in AI, dealing with the longer-term structural challenges will be vital to its success.

Rolls-Royce also detracted from performance as shares trended down over the year. Its restructuring is progressing, but a problem with the Trent 1000 engine, which powers one-third of Boeing’s Dreamliner fleet, continues to drag. The market was disappointed that the costs associated with fixing the problem will be higher than expected, including an exceptional charge of $1.8 billion. Overall, we remain patient and buoyed by the determination of both Baidu and Rolls-Royce to invest heavily for the future.

We participated in the IPO of Jumia, the pan-African digital retail company, and a private placement of argenx, the Belgian antibody-based drugs company. We also took a holding in Israeli website developer Wix.com and banking software global leader Temenos. To fund these opportunities, we reduced SoftBank and Svenska Handelsbanken. We also sold discount chain Distribuidora Internacional de Alimentacion, where the growth opportunity has diminished.

220

International Portfolio

Schroder Investment Management

North America Inc.

Portfolio Manager:

Simon Webber, CFA

International equities made strong progress over the course of 2019, overcoming the pessimism and uncertainty that U.S.-China trade friction and disorderly Brexit preparations had created. Good stock selection supported relative performance for the portfolio through the year, with particularly strong contributions from industrials and consumer staples. By region, our emerging-market and Japanese exposures were especially positive.

Schneider Electric performed well throughout 2019. Over the last ten years, Schneider has transformed itself into a competitive global industrial with products to support industrial automation, power efficiency, and electrical infrastructure.

Schneider’s range of electrical distribution products is essential to the modern systems at the heart of the shift away from fossil fuels that is accelerating in Europe and elsewhere. It often takes years for the market to change its perceptions of a company, and we believe Schneider is in one of those re-rating phases as investors recognize its growth prospects.

Zee Entertainment was a weaker position. The domestic Indian TV broadcaster has executed well for many years, participating in the strong growth of the Indian advertising market. Unfortunately, the controlling family group, who once owned 40% of the shares, indebted itself and was forced to sell its stake. It has since become clear that the operating company is not entirely ring-fenced from the promoter’s financial frailties.

With confidence in Zee’s balance sheet undermined, our investment thesis is broken, and we have sold the position. Assessing governance alongside other environmental and social factors is a central part of our investment process. Zee is a timely reminder that good corporate governance is critical to long-term performance.

We recently bought Mercado Libre. The South American online retailer has demonstrated robust sales growth and ambitions to expand from its core markets in Brazil and Argentina. E-commerce remains significantly underpenetrated in Latin America. We believe the company’s development of a payments platform for transactions both on and off its own e-commerce marketplace is an overlooked driver of future earnings.

Relative to the levels of uncertainty experienced in 2019, this year begins with some sunlight peering through the clouds. An improved trade relationship between the U.S. and China looks set to help the manufacturing side of the global economy turn the corner. In Europe, progress on an orderly exit from the EU by the U.K. is settling corporate nerves, and a new European Commission is injecting some drive into growth initiatives.

We believe companies with stable balance sheets and underappreciated, sustainable earnings drivers will deliver consistent outperformance over the long term. The portfolio remains well-balanced and diversified among cyclical and defensive sectors of the economy.

We focus on individual companies whose future growth we believe will surprise the market. Many of them represent important long-term themes, including the growth of internet platforms for retailing, social media, and gaming and the transition to a low-carbon economy through a shift to cleaner forms of energy and transportation.

International Portfolio Investment Advisors
	Portfolio Assets Managed
Investment Advisor	%	$ Million	Investment Strategy
Baillie Gifford Overseas Ltd.	58	2,340	Uses a bottom-up, stock-driven approach to select stocks that it believes have above-average growth rates and trade at reasonable prices.
Schroder Investment Management North America Inc.	38	1,527	Uses fundamental research to identify high-quality companies in developed and emerging markets that it believes have above-average growth potential.
Cash Investments	4	156	These short-term reserves are invested by Vanguard in equity index products to simulate investment in stocks. Each advisor may also maintain a modest cash position.

221

International Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 table below illustrates your portfolio’s costs in two ways:

•Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•Based on hypothetical 5% yearly return.This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
International Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,106.87	$2.02
Based on Hypothetical 5% Yearly Return	1,000.00	1,023.29	1.94

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.38%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

222

International Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019

Initial Investment of $10,000

 

		Average Annual Total Returns			Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	International Portfolio	31.22%	10.59%	8.70%	$23,035
	Spliced International Index	21.51	5.51	4.68	15,794
	MSCI All Country World Index ex USA	21.51	5.51	4.97	16,236

Spliced International Index: MSCI EAFE Index through May 31, 2010; MSCI All Country World Index ex USA thereafter.

See Financial Highlights for dividend and capital gains information.

223

International Portfolio

Sector Diversification

As of December 31, 2019

Communication Services	10.6%
Consumer Discretionary	34.5
Consumer Staples	5.5
Energy	1.2
Financials	12.6
Health Care	11.4
Industrials	8.7
Information Technology	10.9
Materials	3.8
Other	0.7
Real Estate	0.0
Utilities	0.1

The table reflects the portfolio’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

224

International Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

			Market
			Value•
		Shares	($000	)
Common Stocks (95.1%)1
Austria (0.4%)
	Erste Group Bank AG	452,514	16,997
Belgium (1.7%)
	Umicore SA	1,112,750	54,229
*	Argenx SE	84,539	13,597
			67,826
Brazil (0.6%)
	Raia Drogasil SA	440,908	12,282
	B3 SA - Brasil Bolsa Balcao	1,077,538	11,576
			23,858
Canada (0.8%)
	Toronto-Dominion Bank	316,922	17,775
^	Nutrien Ltd.	334,066	15,994
			33,769
China (16.8%)
*	Alibaba Group Holding Ltd. ADR	1,003,850	212,916
	Tencent Holdings Ltd.	4,407,900	212,356
*	TAL Education Group ADR	1,341,800	64,675
*	Meituan Dianping Class B	4,125,383	53,903
	Ping An Insurance Group Co. of China Ltd.	3,489,500	41,293
*	Baidu Inc. ADR	228,028	28,823
*	Trip.com Group Ltd. ADR	651,713	21,858
	China Mengniu Dairy Co. Ltd.	3,384,000	13,689
	China Pacific Insurance Group Co. Ltd.	3,290,000	12,963
*,^	iQIYI Inc. ADR	347,157	7,328
*,^	NIO Inc. ADR	1,659,408	6,671
			676,475
Denmark (2.8%)
*	Genmab A/S	258,566	57,506
	Vestas Wind Systems A/S	230,207	23,252
	Chr Hansen Holding A/S	163,100	12,966
	Novozymes A/S	225,473	11,036
^	Ambu A/S Class B	517,256	8,673
			113,433
France (7.6%)
	Kering SA	135,047	88,985
	L’Oreal SA	219,591	64,935
	Schneider Electric SE	493,557	50,708
	EssilorLuxottica SA	189,477	28,968
	TOTAL SA	515,513	28,606
	Danone SA	301,543	25,042
	Vivendi SA	579,536	16,782
			304,026
Germany (6.9%)
*,2	Zalando SE	1,013,535	51,113
*,2	Delivery Hero SE	595,180	47,174
	Bayerische Motoren Werke AG	314,821	25,786
*	HelloFresh SE	1,072,370	22,352
	SAP SE	156,058	21,005
	Infineon Technologies AG	894,411	20,209
	adidas AG	59,802	19,467
	BASF SE	222,170	16,738
	GEA Group AG	498,812	16,510
	Continental AG	101,650	13,136
*	MorphoSys AG	67,732	9,581
*,2	Rocket Internet SE	278,557	6,886
*,^	Jumia Technologies AG ADR	644,932	4,340
*	AIXTRON SE	274,000	2,616
*	Home24 SE	194,547	1,061
			277,974
Hong Kong (4.1%)
	AIA Group Ltd.	11,257,400	118,405
	Hong Kong Exchanges & Clearing Ltd.	887,460	28,831
	Jardine Matheson Holdings Ltd.	326,602	18,175
			165,411
India (1.7%)
	Housing Development Finance Corp. Ltd.	1,088,397	36,802
*	HDFC Bank Ltd.	1,111,849	19,839
*,§,3	ANI Technologies	19,170	5,707
	Larsen & Toubro Ltd.	220,598	4,013
			66,361
Indonesia (0.4%)
	Bank Central Asia Tbk PT	6,577,100	15,818
Israel (0.5%)
*	Wix.com Ltd.	86,032	10,529
*	Check Point Software Technologies Ltd.	92,393	10,252
			20,781
Italy (2.7%)
	Ferrari NV	519,887	86,320
	Fiat Chrysler Automobiles NV	1,376,016	20,402
			106,722
Japan (10.2%)
	M3 Inc.	2,431,600	73,326
	SMC Corp.	110,100	50,350
	SoftBank Group Corp.	929,400	40,352
	Nintendo Co. Ltd.	74,000	29,597
	Recruit Holdings Co. Ltd.	709,700	26,582
	Nidec Corp.	187,500	25,609
	Sony Corp.	330,300	22,427
	Takeda Pharmaceutical Co. Ltd.	485,200	19,191
	Bridgestone Corp.	445,300	16,543
	Keyence Corp.	43,500	15,275
	Sekisui Chemical Co. Ltd.	772,400	13,401
	Murata Manufacturing Co. Ltd.	215,500	13,264
	Kubota Corp.	804,300	12,630
	Pigeon Corp.	319,600	11,703
	Toyota Motor Corp.	161,100	11,351
	ORIX Corp.	682,500	11,310
	SBI Holdings Inc.	477,700	10,085
	Suzuki Motor Corp.	211,200	8,816
			411,812
Netherlands (5.8%)
	ASML Holding NV	715,537	211,840
	Koninklijke Philips NV	446,781	21,841
			233,681
Norway (0.7%)
	DNB ASA	846,264	15,836
	Norsk Hydro ASA	3,710,583	13,798
			29,634
Other (0.1%)
4	Vanguard FTSE All-World ex-US ETF	74,796	4,020
Singapore (0.4%)
	Oversea-Chinese Banking Corp. Ltd.	1,812,000	14,823
South Korea (1.1%)
	Samsung Electronics Co. Ltd.	714,518	34,430
	Samsung SDI Co. Ltd.	56,351	11,480
			45,910
Spain (2.9%)
	Industria de Diseno Textil SA	2,100,029	74,216
	Banco Bilbao Vizcaya Argentaria SA	7,326,765	41,135
			115,351
Sweden (4.6%)
*	Spotify Technology SA	482,443	72,149
	Atlas Copco AB Class A	883,241	35,255
	Svenska Handelsbanken AB Class A	2,024,995	21,810
	Kinnevik AB	820,157	20,098
	Assa Abloy AB Class B	639,296	14,944
	SKF AB	603,624	12,221
	Elekta AB Class B	668,047	8,814
			185,291
Switzerland (5.0%)
	Roche Holding AG	184,951	60,110
	Nestle SA	446,179	48,306
	Temenos AG	154,202	24,393
	Novartis AG	250,022	23,674
	Lonza Group AG	54,764	19,978
	Cie Financiere Richemont SA	228,682	17,872
	Straumann Holding AG	6,120	6,003
			200,336
Taiwan (1.1%)
	Taiwan Semiconductor
	Manufacturing Co. Ltd.	3,927,000	43,463
Thailand (0.2%)
	Kasikornbank PCL	1,971,800	9,926
Turkey (0.2%)
*	Turkiye Garanti Bankasi AS	3,678,288	6,889
United Kingdom (6.4%)
	Rolls-Royce Holdings plc	4,382,443	39,609
	Diageo plc	867,027	36,534

225

International Portfolio

				Market
				Value•
		Shares		($000	)
*	Ocado Group plc	2,021,902		34,306
	BHP Group plc	829,898		19,448
	GlaxoSmithKline plc	823,386		19,347
	Royal Dutch Shell plc Class A	647,639		19,096
	Burberry Group plc	651,817		19,030
	Whitbread plc	279,822		17,959
	Smith & Nephew plc	605,501		14,593
	Lloyds Banking Group plc	16,460,762		13,637
	Next plc	135,722		12,647
	Bunzl plc	220,225		6,023
*,^,2	Aston Martin Lagonda Global Holdings plc	590,316		4,074
				256,303
United States (9.4%)
*	Amazon.com Inc.	64,153		118,545
*	MercadoLibre Inc.	166,050		94,971
*	Illumina Inc.	243,613		80,816
*	Tesla Inc.	178,353		74,610
*	Booking Holdings Inc.	5,273		10,829
				379,771
Total Common Stocks (Cost $2,660,214)				3,826,661
Preferred Stocks (0.5%)
*,§,3,5	CureVac GmbH	1,452		2,086
*,§,3,5	You & Mr. Jones	5,200,000		16,692
Total Preferred Stocks (Cost $8,759)				18,778
Temporary Cash Investments (4.7%)1
Money Market Fund (4.6%)
6,7	Vanguard Market Liquidity Fund, 1.816%	1,861,190		186,137
		Face
		Amount
		($000	)
U.S. Government and Agency Obligations (0.1%)
8	United States Treasury Bill, 1.531%, 2/13/20	3,500		3,494
Total Temporary Cash Investments (Cost $189,637)				189,631
Total Investments (100.3%) (Cost $2,858,610)				4,035,070
Other Assets and Liabilities (-0.3%)
Other Assets8,9				36,367
Liabilities7				(48,110	)
				(11,743	)
Net Assets (100%)
Applicable to 138,720,561 outstanding $.001 par value shares of beneficial interest (unlimited authorization)				4,023,327
Net Asset Value Per Share				$29.00

	Amount
	($000)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value
Unaffiliated Issuers	3,844,913
Affiliated Issuers	190,157
Total Investments in Securities	4,035,070
Investment in Vanguard	172
Receivables for Investment Securities Sold	12,043
Receivables for Accrued Income	4,239
Receivables for Capital Shares Issued	769
Unrealized Appreciation—Forward Currency Contracts	1,006
Other Assets8,9	18,138
Total Assets	4,071,437
Liabilities
Payables for Investment Securities Purchased	250
Collateral for Securities on Loan	33,056
Payables to Investment Advisor	1,790
Payables for Capital Shares Redeemed	8,741
Payables to Vanguard	1,882
Variation Margin Payable—Futures Contracts	1,789
Unrealized Depreciation—Forward Currency Contracts	414
Other Liabilities	188
Total Liabilities	48,110
Net Assets	4,023,327
At December 31, 2019, net assets consisted of:
	Amount
	($000)
Paid-in Capital	2,707,708
Total Distributable Earnings (Loss)	1,315,619
Net Assets	4,023,327

• See Note A in Notes to Financial Statements.

* Non-income-producing security.

^	Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $31,158,000.
§	Security value determined using significant unobservable inputs.

1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the portfolio’s effective common stock and temporary cash investment positions represent 98.9% and 0.9%, respectively, of net assets.

2 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $109,247,000, representing 2.7% of net assets.

3 Restricted securities totaling $24,485,000, representing 0.6% of net assets. See Restricted Securities table for additional information.

4 Considered an affiliated company of the portfolio as the issuer is another member of The Vanguard Group.

5 Perpetual security with no stated maturity date.

6 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

7 Collateral of $33,056,000 was received for securities on loan.

8 Securities with a value of $3,494,000 and cash of $4,158,000 have been segregated as initial margin for open futures contracts.

9 Cash of $690,000 has been segregated as collateral for open forward currency contracts.

ADR—American Depositary Receipt.

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Restricted Securities as of Period End
		Acquisition
	Acquisition	Cost
Security Name	Date	($000	)
You & Mr. Jones	September 2015	5,200
CureVac GmbH	October 2015	3,559
ANI Technologies	December 2015	5,969
Derivative Financial Instruments Outstanding as of Period End
Futures Contracts

					($000	)
					Value and
		Number of			Unrealized
		Long (Short	)	Notional	Appreciation
	Expiration	Contracts		Amount	(Depreciation	)
Long Futures Contracts
Dow Jones EURO STOXX 50 Index	March 2020	1,411		59,020	(80	)
Topix Index	March 2020	265		41,974	99
S&P ASX 200 Index	March 2020	222		25,717	(680	)
FTSE 100 Index	March 2020	257		25,528	406
					(255	)

Forward Currency Contracts
	Contract					Unrealized		Unrealized
	Settlement		Contract Amount (000)			Appreciation		(Depreciation	)
Counterparty	Date		Receive		Deliver	($000	)	($000	)
BNP Paribas	4/2/20	EUR	48,104	USD	53,890	385		—
Barclays Bank plc	4/2/20	JPY	4,474,184	USD	41,458	—		(60	)
Toronto-Dominion Bank	4/2/20	GBP	19,913	USD	26,657	—		(213	)
Barclays Bank plc	4/2/20	AUD	21,702	USD	14,940	324		—
BNP Paribas	4/2/20	AUD	14,235	USD	9,802	210		—
State Street Bank & Trust Co.	1/6/20	EUR	3,850	USD	4,292	30		—
Royal Bank of Canada	1/6/20	JPY	290,530	USD	2,654	21		—
JPMorgan Chase Bank, N.A.	1/6/20	AUD	2,700	USD	1,882	13		—
Goldman Sachs International	1/6/20	GBP	1,082	USD	1,419	15		—
State Street Bank & Trust Co.	4/2/20	USD	4,314	EUR	3,850	—		(30	)
Bank of America, N.A.	1/6/20	USD	4,298	EUR	3,850	—		(23	)
Royal Bank of Canada	1/6/20	USD	2,683	JPY	290,530	8		—
Royal Bank of Canada	4/2/20	USD	2,667	JPY	290,530	—		(21	)
JPMorgan Chase Bank, N.A.	4/2/20	USD	1,886	AUD	2,700	—		(13	)
Royal Bank of Canada	1/6/20	USD	1,860	AUD	2,700	—		(36	)
Royal Bank of Canada	1/6/20	USD	1,431	GBP	1,082	—		(3	)
Goldman Sachs International	4/2/20	USD	1,423	GBP	1,082	—		(15	)
						1,006		(414	)

AUD—Australian dollar.

EUR—euro.

GBP—British pound.

JPY—Japanese yen.

USD—U.S. dollar.

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

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Statement of Operations

	Year Ended
	December 31, 2019
	($000	)
Investment Income
Income
Dividends—Unaffiliated Issuers1	57,303
Dividends—Affiliated Issuers	498
Interest—Unaffiliated Issuers	118
Interest—Affiliated Issuers	2,131
Securities Lending—Net	3,799
Total Income	63,849
Expenses
Investment Advisory Fees—Note B
Basic Fee	5,339
Performance Adjustment	1,295
The Vanguard Group—Note C
Management and Administrative	6,103
Marketing and Distribution	413
Custodian Fees	106
Auditing Fees	43
Shareholders’ Reports	26
Trustees’ Fees and Expenses	4
Total Expenses	13,329
Net Investment Income	50,520
Realized Net Gain (Loss)
Investment Securities Sold—Unaffiliated Issuers	80,422
Investment Securities Sold—Affiliated Issuers	2,413
Futures Contracts	11,809
Forward Currency Contracts	426
Foreign Currencies	(508	)
Realized Net Gain (Loss)	94,562
Change in Unrealized Appreciation (Depreciation)
Investment Securities—Unaffiliated Issuers2	805,699
Investment Securities—Affiliated Issuers	64
Futures Contracts	1,587
Forward Currency Contracts	(169	)
Foreign Currencies	273
Change in Unrealized Appreciation (Depreciation)	807,454
Net Increase (Decrease) in Net Assets Resulting from Operations	952,536

1 Dividends are net of foreign withholding taxes of $6,294,000.

2 The change in unrealized appreciation (depreciation) is net of deferred foreign capital gain taxes of $188,000.

Statement of Changes in Net Assets

	Year Ended December 31,
	2019		2018
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	50,520		47,649
Realized Net Gain (Loss)	94,562		110,293
Change in Unrealized Appreciation (Depreciation)	807,454		(626,896	)
Net Increase (Decrease) in Net Assets Resulting from Operations	952,536		(468,954	)
Distributions
Net Investment Income	(50,042	)	(26,488	)
Realized Capital Gain1	(109,130	)	(88,646	)
Total Distributions	(159,172	)	(115,134	)
Capital Share Transactions
Issued	469,443		993,064
Issued in Lieu of Cash Distributions	159,172		115,134
Redeemed	(507,332	)	(613,419	)
Net Increase (Decrease) from Capital Share Transactions	121,283		494,779
Total Increase (Decrease)	914,647		(89,309	)
Net Assets
Beginning of Period	3,108,680		3,197,989
End of Period	4,023,327		3,108,680

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $1,600,000 and $16,968,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

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Financial Highlights

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$23.14	$27.34	$19.54	$19.80	$20.63
Investment Operations
Net Investment Income	.3711	.3671	.2241	.2711	.278
Net Realized and Unrealized Gain (Loss) on Investments	6.692	(3.644)	7.992	.075	(.394)
Total from Investment Operations	7.063	(3.277)	8.216	.346	(.116)
Distributions
Dividends from Net Investment Income	(.378)	(.212)	(.258)	(.280)	(.392)
Distributions from Realized Capital Gains	(.825)	(.711)	(.158)	(.326)	(.322)
Total Distributions	(1.203)	(.923)	(.416)	(.606)	(.714)
Net Asset Value, End of Period	$29.00	$23.14	$27.34	$19.54	$19.80
Total Return	31.22%	-12.61%	42.60%	1.93%	-0.77%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$4,023	$3,109	$3,198	$2,131	$2,253
Ratio of Total Expenses to Average Net Assets2	0.38%	0.37%	0.39%	0.39%	0.40%
Ratio of Net Investment Income to Average Net Assets	1.43%	1.36%	0.93%	1.40%	1.37%
Portfolio Turnover Rate	14%	16%	16%	29%	23%

1 Calculated based on average shares outstanding.

2 Includes performance-based investment advisory fee increases (decreases) of 0.04%, 0.03%, 0.03%, 0.03%, and 0.03%.

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

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Notes to Financial Statements

The International Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts. The portfolio invests in securities of foreign issuers, which may subject it to investment risks not normally associated with investing in securities of U.S. corporations.

A.The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The portfolio 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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the portfolio’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the portfolio’s pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. 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.

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

3. Futures and Forward Currency Contracts: The portfolio uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The portfolio may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the portfolio 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 portfolio 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 portfolio’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

The portfolio enters into forward currency contracts to provide the appropriate currency exposure related to any open futures contracts or to protect the value of securities and related receivables and payables against changes in foreign exchange rates. The portfolio’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations under the contracts. The portfolio mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting

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arrangements, and sell or retain any collateral held up to the net amount owed to the portfolio under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the portfolio’s net assets decline below a certain level, triggering a payment by the portfolio if the portfolio is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the portfolio has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Futures contracts are valued at their quoted daily settlement prices. Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Net Assets. 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 or forward currency contracts.

During the year ended December 31, 2019, the portfolio’s average investments in long and short futures contracts represented 3% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The portfolio’s average investment in forward currency contracts represented 3% of net assets, based on the average of the notional amounts at each quarter-end during the period.

4. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

6. Securities Lending: To earn additional income, the portfolio lends its securities to qualified institutional borrowers. Security loans are subject to termination by the portfolio at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The portfolio further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the portfolio may experience delays and costs in recovering the securities loaned. The portfolio invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the portfolio is entitled to all distributions made on or in respect of the loaned securities.

7. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

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International Portfolio

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

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

Taxes on foreign dividends and capital gains have been provided for in accordance with the portfolio’s understanding of the applicable countries’ tax rules and rates. Foreign capital gains tax is accrued daily based upon net unrealized gains. The portfolio has filed tax reclaims for previously withheld taxes on dividends earned in certain European Union countries. These filings are subject to various administrative and judicial proceedings within these countries. Such tax reclaims received during the year, if any, are included in dividend income. No other amounts for additional tax reclaims are reflected in the financial statements due to the uncertainty as to the ultimate resolution of proceedings, the likelihood of receipt of these reclaims, and the potential timing of payment.

B.The investment advisory firms Baillie Gifford Overseas Ltd. and Schroder Investment Management North America Inc., each provide investment advisory services to a portion of the portfolio for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fee of Baillie Gifford Overseas Ltd. and Schroder Investment Management North America Inc., is subject to quarterly adjustments based on performance relative to the MSCI All Country World Index ex USA for the preceding three years.

Vanguard manages the cash reserves of the portfolio as described below.

For the year ended December 31, 2019, the aggregate investment advisory fee represented an effective annual basic rate of 0.15% of the portfolio’s average net assets, before an increase of $1,295,000 (0.04%) based on performance.

C.In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio corporate management, administrative, marketing, distribution, and cash management services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the portfolio based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $172,000, representing less than 0.01% of the portfolio’s net assets and 0.07% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

D.Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

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The following table summarizes the market value of the portfolio’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
Common Stocks—North and South America	437,398	—	—
Common Stocks—Other	443,561	2,939,995	5,707
Preferred Stocks	—	—	18,778
Temporary Cash Investments	186,137	3,494	—
Futures Contracts—Liabilities1	(1,789)	—	—
Forward Currency Contracts—Assets	—	1,006	—
Forward Currency Contracts—Liabilities	—	(414)	—
Total	1,065,307	2,944,081	24,485

1 Represents variation margin on the last day of the reporting period.

E.At December 31, 2019, the fair values of derivatives were reflected in the Statement of Assets and Liabilities as follows:

		Foreign
	Equity	Exchange
	Contracts	Contracts	Total
Statement of Assets and Liabilities Caption	($000)	($000)	($000)
Variation Margin Receivable—Futures Contracts	—	—	—
Unrealized Appreciation—Forward Currency Contracts	—	1,006	1,006
Total Assets	—	1,006	1,006
Variation Margin Payable—Futures Contracts	(1,789)	—	(1,789)
Unrealized Depreciation—Forward Currency Contracts	—	(414)	(414)
Total Liabilities	(1,789)	(414)	(2,203)

Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended December 31, 2019, were:

		Foreign
	Equity	Exchange
	Contracts	Contracts	Total
Realized Net Gain (Loss) on Derivatives	($000)	($000)	($000)
Futures Contracts	11,809	—	11,809
Forward Currency Contracts	—	426	426
Realized Net Gain (Loss) on Derivatives	11,809	426	12,235
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts	1,587	—	1,587
Forward Currency Contracts	—	(169)	(169)
Change in Unrealized Appreciation (Depreciation) on Derivatives	1,587	(169)	1,418

F.Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions and passive foreign investment companies were reclassified between the individual components of total distributable earnings (loss).

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

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Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales; the realization of unrealized gains or losses on certain futures contracts and forward currency contracts; and unrealized gains on passive foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	58,506
Undistributed Long-Term Gains	84,122
Capital Loss Carryforwards (Non-expiring)	—
Net Unrealized Gains (Losses)	1,174,478

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	2,860,176
Gross Unrealized Appreciation	1,368,931
Gross Unrealized Depreciation	(194,618)
Net Unrealized Appreciation (Depreciation)	1,174,313

G.During the year ended December 31, 2019, the portfolio purchased $483,132,000 of investment securities and sold $520,061,000 of investment securities, other than temporary cash investments.

H.Capital shares issued and redeemed were:

	Year Ended December 31,
	2019	2018
	Shares	Shares
	(000)	(000)
Issued	17,755	36,050
Issued in Lieu of Cash Distributions	6,218	4,051
Redeemed	(19,574)	(22,736)
Net Increase (Decrease) in Shares Outstanding	4,399	17,365

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 30% of the portfolio’s net assets. If this shareholder were to redeem its investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

I.Transactions during the period in investments where the issuer is another member of The Vanguard Group were as follows:

					Current Period Transactions
	Dec. 31,		Proceeds		Change			Dec. 31,
	2018		from	Realized	in Net		Capital Gain	2019
	Market	Purchases	Securities	Net Gain	Unrealized		Distributions	Market
	Value	at Cost	Sold	(Loss)	App. (Dep.)	Income	Received	Value
	($000)	($000)	($000)	($000)	($000)	($000)	($000)	($000)
Vanguard Market Liquidity Fund	183,216	NA1	NA1	25	8	2,131	—	186,137
Vanguard FTSE All-World ex-US ETF Shares	13,619	—	12,043	2,388	56	498	—	4,020
Total	196,835			2,413	64	2,629	—	190,157

1 Not applicable—purchases and sales are for temporary cash investment purposes.

J.Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

234

International Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of International Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets and statement of assets and liabilities of International Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodians and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Vanguard International Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $107,530,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

The portfolio designates to shareholders foreign source income of $63,309,000 and foreign taxes paid of 4,863,000.

235

Mid-Cap Index Portfolio

Your Portfolio’s Performance at a Glance

•     For the 12 months ended December 31, 2019, the Mid-Cap Index Portfolio returned 30.87%, in line with its benchmark index after factoring in the portfolio’s expenses.

•     The Mid-Cap Index Portfolio offers investors broad exposure to the hundreds of mid-capitalization stocks in the U.S. equity market. Stocks of every style and from every industry sector are represented.

•     Stocks benefited from accommodative monetary policies from the Federal Reserve and other major central banks and corporate earnings that generally proved more resilient than expected. Over the fiscal year, large-cap stocks outpaced mid- and small-caps, and growth stocks beat their value counterparts.

•     Industrial stocks contributed most to the portfolio’s results. Financials and technology were also top contributors. All but one of the portfolio’s sectors finished with double-digit returns.

•     Over the past ten years, the portfolio recorded an average annual return of 12.93%, in line with its benchmark average.

•     Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer		Average Annual Total Returns
		Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

236

Mid-Cap Index Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 portfolio’s costs in two ways:

•     Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•    Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Mid-Cap Index Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,074.69	$0.89
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.35	0.87

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.17%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

237

Mid-Cap Index Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019

Initial Investment of $10,000

 

		Average Annual Total Returns			Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	Mid-Cap Index Portfolio	30.87%	9.13%	12.93%	$33,738
	Spliced Mid-Cap Index	31.09	9.29	13.13	34,328
	Dow Jones U.S. Total Stock Market Float Adjusted Index	30.90	11.18	13.43	35,251

Spliced Mid-Cap Index: MSCI US Mid Cap 450 Index through January 30, 2013; CRSP US Mid Cap Index thereafter.

See Financial Highlights for dividend and capital gains information.

238

Mid-Cap Index Portfolio

Sector Diversification

As of December 31, 2019

Basic Materials	4.2%
Consumer Goods	9.5
Consumer Services	11.5
Financials	21.6
Health Care	9.3
Industrials	16.4
Oil & Gas	4.5
Technology	15.9
Telecommunications	0.6
Utilities	6.5

The table reflects the portfolio’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Industry Classification Benchmark (“ICB”), except for the “Other” category (if applicable), which includes securities that have not been provided an ICB classification as of the effective reporting period.

The Industry Classification Benchmark (“ICB”) is owned by FTSE. FTSE does not accept any liability to any person for any loss or damage arising out of any error or omission in the ICB.

239

Mid-Cap Index Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

			Market
			Value•
		Shares	($000)
Common Stocks (99.6%)1
Basic Materials (4.2%)
	Newmont Goldcorp Corp.	396,901	17,245
	International Paper Co.	190,788	8,786
	Freeport-McMoRan Inc.	666,776	8,748
	Nucor Corp.	146,636	8,253
	Celanese Corp. Class A	58,620	7,217
	International Flavors & Fragrances Inc.	51,667	6,666
	FMC Corp.	62,642	6,253
	Avery Dennison Corp.	40,517	5,301
	CF Industries Holdings Inc.	105,030	5,014
	Eastman Chemical Co.	59,337	4,703
	Albemarle Corp.	51,301	3,747
	Mosaic Co.	164,678	3,564
	Reliance Steel & Aluminum Co.	15,382	1,842
*	Axalta Coating Systems Ltd.	51,197	1,556
	Westlake Chemical Corp.	18,647	1,308
			90,203
Consumer Goods (9.5%)
*	Lululemon Athletica Inc.	56,697	13,135
	McCormick & Co. Inc.	59,834	10,156
	Clorox Co.	60,755	9,328
	DR Horton Inc.	169,499	8,941
	Church & Dwight Co. Inc.	118,710	8,350
	Conagra Brands Inc.	235,357	8,059
	Lennar Corp. Class A	135,786	7,576
	Genuine Parts Co.	66,814	7,098
	Garmin Ltd.	68,981	6,730
*	Take-Two Interactive Software Inc.	54,856	6,716
	Hasbro Inc.	62,292	6,579
	Tyson Foods Inc. Class A	71,369	6,497
*	NVR Inc.	1,701	6,478
	Lamb Weston Holdings Inc.	70,609	6,074
	Aptiv plc	61,687	5,858
	Hormel Foods Corp.	129,223	5,829
	JM Smucker Co.	52,440	5,461
	Corteva Inc.	181,269	5,358
	PulteGroup Inc.	124,323	4,824
*	LKQ Corp.	133,692	4,773
	Campbell Soup Co.	94,776	4,684
	Molson Coors Brewing Co. Class B	85,322	4,599
	Whirlpool Corp.	30,595	4,514
	Fortune Brands Home & Security Inc.	67,380	4,403
	BorgWarner Inc.	100,109	4,343
	Lear Corp.	29,260	4,014
*	Mohawk Industries Inc.	27,653	3,771
	PVH Corp.	35,846	3,769
	Bunge Ltd.	65,309	3,759
	Tapestry Inc.	133,404	3,598
	Newell Brands Inc.	184,932	3,554
*	WABCO Holdings Inc.	24,780	3,358
*	Wayfair Inc.	30,300	2,738
	Ralph Lauren Corp. Class A	22,882	2,682
*,^	Under Armour Inc. Class A	90,615	1,957
*	Under Armour Inc. Class C	95,169	1,825
	Coty Inc. Class A	147,616	1,661
	Levi Strauss & Co. Class A	21,400	413
	Lennar Corp. Class B	6,899	308
			203,770
Consumer Services (11.4%)
*	Chipotle Mexican Grill Inc. Class A	13,405	11,221
	Royal Caribbean Cruises Ltd.	81,282	10,852
*	Dollar Tree Inc.	114,586	10,777
	Best Buy Co. Inc.	108,400	9,518
*	Copart Inc.	101,349	9,217
*	Liberty Broadband Corp.	70,076	8,812
	Omnicom Group Inc.	105,256	8,528
	MGM Resorts International	224,306	7,463
	Tiffany & Co.	55,180	7,375
	Expedia Group Inc.	67,369	7,285
*	CarMax Inc.	79,563	6,975
*	AutoZone Inc.	5,765	6,868
*	Ulta Beauty Inc.	27,115	6,864
	Darden Restaurants Inc.	59,343	6,469
	Wynn Resorts Ltd.	44,254	6,146
*	Norwegian Cruise Line Holdings Ltd.	103,104	6,022
	AmerisourceBergen Corp. Class A	69,934	5,946
	Domino’s Pizza Inc.	19,820	5,823
*	Roku Inc.	42,100	5,637
	American Airlines Group Inc.	190,970	5,477
	ViacomCBS Inc. Class B	129,252	5,425
	Tractor Supply Co.	57,250	5,349
	Aramark	120,871	5,246
	Advance Auto Parts Inc.	31,851	5,101
*	Discovery Communications Inc.	165,516	5,047
	FactSet Research Systems Inc.	18,360	4,926
*	Live Nation Entertainment Inc.	67,300	4,810
*	United Airlines Holdings Inc.	52,064	4,586
	Interpublic Group of Cos. Inc.	187,510	4,332
*	Lyft Inc. Class A	96,963	4,171
*	Altice USA Inc. Class A	152,182	4,161
*	DISH Network Corp. Class A	115,940	4,112
	Alaska Air Group Inc.	59,733	4,047
	Kohl’s Corp.	76,905	3,918
*	Burlington Stores Inc.	16,000	3,649
*	Liberty Media Corp-Liberty SiriusXM Class C	73,957	3,560
	Nielsen Holdings plc	172,738	3,507
	News Corp. Class A	244,021	3,450
*	Discovery Communications Inc. Class A	73,004	2,390
	Rollins Inc.	71,298	2,364
	Vail Resorts Inc.	9,800	2,350
*	Liberty Media Corp-Liberty SiriusXM Class A	42,345	2,047
*	Liberty Broadband Corp. Class A	12,365	1,540
	Hyatt Hotels Corp. Class A	16,848	1,511
*	Carvana Co. Class A	12,200	1,123
*	Chewy Inc.	20,300	589
	ViacomCBS Inc. Class A	2,790	125
	News Corp. Class B	3,475	50
			246,761
Financials (21.5%)
*	IHS Markit Ltd.	184,306	13,888
	SBA Communications Corp. Class A	54,501	13,134
	Digital Realty Trust Inc.	100,988	12,092
	Realty Income Corp.	157,605	11,604
	Hartford Financial Services Group Inc.	174,382	10,597
	M&T Bank Corp.	60,668	10,298
	MSCI Inc. Class A	38,967	10,061
	KeyCorp	476,403	9,642
	Essex Property Trust Inc.	31,993	9,625
	First Republic Bank	81,640	9,589
*	CBRE Group Inc. Class A	154,039	9,441
	Alexandria Real Estate Equities Inc.	55,723	9,004
	Arthur J Gallagher & Co.	90,280	8,597
	Citizens Financial Group Inc.	210,467	8,547
	Healthpeak Properties Inc.	246,924	8,512
	Cincinnati Financial Corp.	79,052	8,312
	Equifax Inc.	58,574	8,207
	Regions Financial Corp.	467,159	8,016
*	Arch Capital Group Ltd.	186,650	8,005
	Invitation Homes Inc.	260,360	7,803
	Huntington Bancshares Inc.	499,133	7,527
	Principal Financial Group Inc.	134,558	7,401
	KKR & Co. Inc. Class A	253,192	7,386
	Mid-America Apartment Communities Inc.	55,248	7,285
*	Markel Corp.	6,355	7,265
	AvalonBay Communities Inc.	33,810	7,090
	Sun Communities Inc.	44,800	6,725
	WP Carey Inc.	83,500	6,683
	MarketAxess Holdings Inc.	17,500	6,634
	UDR Inc.	141,766	6,621
	Annaly Capital Management Inc.	691,576	6,515
	Host Hotels & Resorts Inc.	347,286	6,442
	Loews Corp.	122,492	6,430
	Cboe Global Markets Inc.	53,573	6,429
	Extra Space Storage Inc.	59,623	6,297
*	SVB Financial Group	25,006	6,278
	Duke Realty Corp.	178,044	6,173
	Nasdaq Inc.	55,461	5,940
	Fidelity National Financial Inc.	126,449	5,735
	Lincoln National Corp.	96,072	5,669
	Ally Financial Inc.	184,067	5,625
	Vornado Realty Trust	83,104	5,526
	Everest Re Group Ltd.	19,716	5,458
	Weyerhaeuser Co.	180,443	5,449
	Western Union Co.	203,091	5,439
	Raymond James Financial Inc.	60,405	5,404
*	Alleghany Corp.	6,647	5,315
	Regency Centers Corp.	81,119	5,118

240

Mid-Cap Index Portfolio

			Market
			Value•
		Shares	($000)
	Ameriprise Financial Inc.	30,600	5,097
	AXA Equitable Holdings Inc.	202,304	5,013
	Comerica Inc.	69,638	4,997
	Camden Property Trust	46,865	4,972
	Globe Life Inc.	47,142	4,962
	E*TRADE Financial Corp.	109,228	4,956
	Reinsurance Group of America Inc. Class A	30,325	4,945
	VEREIT Inc.	515,626	4,764
	Federal Realty Investment Trust	36,606	4,712
	AGNC Investment Corp.	261,090	4,616
	WR Berkley Corp.	66,721	4,610
	Iron Mountain Inc.	138,700	4,420
	Zions Bancorp NA	82,444	4,281
	SEI Investments Co.	65,337	4,278
	Kimco Realty Corp.	194,398	4,026
	Voya Financial Inc.	65,367	3,986
	SL Green Realty Corp.	38,751	3,560
	Franklin Resources Inc.	132,774	3,450
*	Athene Holding Ltd. Class A	69,028	3,246
	Invesco Ltd.	176,040	3,165
	Jones Lang LaSalle Inc.	12,451	2,168
	People’s United Financial Inc.	107,671	1,820
	Interactive Brokers Group Inc.	18,112	844
			463,721
Health Care (9.2%)
*	IQVIA Holdings Inc.	79,837	12,336
*	Centene Corp.	190,266	11,962
*	IDEXX Laboratories Inc.	41,500	10,837
	ResMed Inc.	69,569	10,781
*	DexCom Inc.	44,300	9,690
*	Align Technology Inc.	34,340	9,582
	Teleflex Inc.	22,423	8,441
*	WellCare Health Plans Inc.	24,400	8,057
*	Laboratory Corp. of America Holdings	46,974	7,947
*	Incyte Corp.	88,505	7,728
	Cooper Cos. Inc.	23,963	7,699
*	BioMarin Pharmaceutical Inc.	86,828	7,341
	Cardinal Health Inc.	141,700	7,167
	Quest Diagnostics Inc.	65,206	6,964
*	Hologic Inc.	129,959	6,785
*	Seattle Genetics Inc.	58,058	6,634
*	Exact Sciences Corp.	71,300	6,594
*	Varian Medical Systems Inc.	43,928	6,238
*	Alnylam Pharmaceuticals Inc.	53,905	6,208
	Dentsply Sirona Inc.	107,709	6,095
*	Elanco Animal Health Inc.	180,665	5,321
	Universal Health Services Inc. Class B	37,042	5,314
*	Mylan NV	250,135	5,028
*	Henry Schein Inc.	71,092	4,743
*	Jazz Pharmaceuticals plc	26,026	3,885
*	ABIOMED Inc.	20,746	3,539
	Perrigo Co. plc	62,713	3,240
*	DaVita Inc.	40,850	3,065
			199,221
Industrials (16.3%)
	Amphenol Corp. Class A	143,612	15,543
	TransDigm Group Inc.	24,570	13,759
	Willis Towers Watson plc	62,190	12,559
*	FleetCor Technologies Inc.	42,039	12,095
	Verisk Analytics Inc. Class A	79,263	11,837
	Waste Connections Inc.	127,561	11,581
	Cintas Corp.	42,636	11,473
	AMETEK Inc.	110,576	11,029
*	CoStar Group Inc.	17,739	10,613
	Fastenal Co.	277,770	10,264
	Ball Corp.	158,232	10,233
*	Mettler-Toledo International Inc.	11,759	9,328
*	Keysight Technologies Inc.	90,700	9,309
	Vulcan Materials Co.	64,072	9,226
	Martin Marietta Materials Inc.	30,284	8,469
	Dover Corp.	70,257	8,098
	TransUnion	91,256	7,812
	WW Grainger Inc.	22,226	7,524
	Kansas City Southern	47,957	7,345
*	Waters Corp.	31,185	7,286
	Xylem Inc.	87,186	6,869
	Wabtec Corp.	88,162	6,859
	Broadridge Financial Solutions Inc.	55,402	6,844
	Masco Corp.	138,347	6,639
	Old Dominion Freight Line Inc.	34,778	6,600
	Expeditors International of Washington Inc.	82,449	6,433
*	United Rentals Inc.	36,322	6,057
	Arconic Inc.	188,719	5,807
	Jacobs Engineering Group Inc.	64,387	5,784
	Rockwell Automation Inc.	27,962	5,667
	Westrock Co.	124,913	5,360
*	Square Inc.	84,117	5,262
	Packaging Corp. of America	45,816	5,131
	CH Robinson Worldwide Inc.	65,557	5,127
*	Trimble Inc.	120,726	5,033
	Huntington Ingalls Industries Inc.	19,769	4,960
	Textron Inc.	110,547	4,930
	JB Hunt Transport Services Inc.	41,373	4,832
*	Crown Holdings Inc.	65,428	4,746
	Snap-on Inc.	26,592	4,505
*	Sensata Technologies Holding plc	77,066	4,152
	Hubbell Inc. Class B	26,297	3,887
	HEICO Corp. Class A	39,700	3,554
	Xerox Holdings Corp.	89,274	3,292
	Jack Henry & Associates Inc.	18,600	2,710
*	IPG Photonics Corp.	16,641	2,412
	Cognex Corp.	39,141	2,193
	HEICO Corp.	19,000	2,169
	Pentair plc	40,820	1,872
*	XPO Logistics Inc.	22,351	1,781
	Robert Half International Inc.	26,816	1,693
	FLIR Systems Inc.	32,291	1,681
	AO Smith Corp.	33,189	1,581
	Global Payments Inc.	200	37
			351,842
Oil & Gas (4.5%)
	ONEOK Inc.	200,107	15,142
	Halliburton Co.	403,846	9,882
	Hess Corp.	132,569	8,857
	Concho Resources Inc.	97,253	8,516
	Diamondback Energy Inc.	77,672	7,213
*	Cheniere Energy Inc.	111,017	6,780
	Noble Energy Inc.	231,615	5,753
	Marathon Oil Corp.	386,637	5,251
	National Oilwell Varco Inc.	187,098	4,687
	Apache Corp.	182,225	4,663
	Targa Resources Corp.	112,798	4,606
	Devon Energy Corp.	176,500	4,584
	Baker Hughes a GE Co. Class A	157,152	4,028
	HollyFrontier Corp.	70,483	3,574
	Cabot Oil & Gas Corp.	99,512	1,732
	Continental Resources Inc.	35,713	1,225
			96,493
Technology (15.8%)
	KLA Corp.	76,379	13,608
	Motorola Solutions Inc.	82,957	13,368
*	Advanced Micro Devices Inc.	269,386	12,354
	Microchip Technology Inc.	115,620	12,108
	Xilinx Inc.	121,821	11,910
*	Twitter Inc.	356,650	11,431
*	Splunk Inc.	74,651	11,180
	Cerner Corp.	144,422	10,599
*	ANSYS Inc.	40,790	10,500
*	Palo Alto Networks Inc.	45,073	10,423
*	Synopsys Inc.	72,721	10,123
	Skyworks Solutions Inc.	82,426	9,964
	CDW Corp.	69,691	9,955
*	VeriSign Inc.	51,154	9,856
*	IAC/InterActiveCorp	38,067	9,483
*	Cadence Design Systems Inc.	135,931	9,428
*	Veeva Systems Inc. Class A	63,700	8,960
	Western Digital Corp.	136,755	8,680
	Marvell Technology Group Ltd.	322,867	8,575
	Maxim Integrated Products Inc.	131,104	8,064
*	Snap Inc.	468,418	7,649
*	Fortinet Inc.	70,300	7,505
	NortonLifeLock Inc.	271,583	6,931
	NetApp Inc.	110,480	6,877
	Citrix Systems Inc.	59,815	6,634
*	Qorvo Inc.	56,282	6,542
	Seagate Technology plc	108,163	6,436
*	Akamai Technologies Inc.	74,466	6,432
	SS&C Technologies Holdings Inc.	103,813	6,374
*	Paycom Software Inc.	24,000	6,354
*	Gartner Inc.	41,087	6,332
*	Okta Inc.	51,500	5,942
*	Twilio Inc. Class A	60,200	5,916
*	GoDaddy Inc. Class A	82,716	5,618
*	Arista Networks Inc.	25,905	5,269
	Hewlett Packard Enterprise Co.	313,800	4,977
*	Black Knight Inc.	68,840	4,439
*	F5 Networks Inc.	29,436	4,111
	Juniper Networks Inc.	161,593	3,980
*	RingCentral Inc. Class A	18,100	3,053
*	Pinterest Inc. Class A	153,090	2,854
*,^	Slack Technologies Inc. Class A	112,498	2,529
	DXC Technology Co.	61,631	2,317
*,^	Match Group Inc.	25,555	2,098
*	Dropbox Inc. Class A	103,933	1,861
*	Datadog Inc. Class A	13,300	502
*	Crowdstrike Holdings Inc. Class A	9,900	494
			340,595
Telecommunications (0.6%)
	CenturyLink Inc.	527,655	6,970
*	Zayo Group Holdings Inc.	114,420	3,965
*,^	Zoom Video Communications Inc. Class A	21,942	1,493
			12,428

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Mid-Cap Index Portfolio

				Market
				Value•
		Shares		($000)
Utilities (6.6%)
	WEC Energy Group Inc.	152,671		14,081
	Eversource Energy	156,648		13,326
	FirstEnergy Corp.	261,568		12,712
	DTE Energy Co.	92,649		12,032
	Entergy Corp.	96,432		11,553
	American Water Works Co. Inc.	87,485		10,747
	Ameren Corp.	119,130		9,149
	CMS Energy Corp.	137,486		8,640
	Evergy Inc.	110,435		7,188
	CenterPoint Energy Inc.	242,573		6,615
	Alliant Energy Corp.	118,234		6,470
	AES Corp.	321,346		6,395
	NiSource Inc.	180,903		5,036
	Pinnacle West Capital Corp.	54,395		4,892
	Vistra Energy Corp.	188,788		4,340
	OGE Energy Corp.	97,028		4,315
	NRG Energy Inc.	57,700		2,294
	Avangrid Inc.	29,845		1,527
				141,312
Total Common Stocks (Cost $1,665,949)				2,146,346
Temporary Cash Investments (0.6%)1
Money Market Fund (0.6%)
2,3	Vanguard Market Liquidity Fund, 1.816%	113,181		11,319
		Face
		Amount
		($000	)
U.S. Government and Agency Obligations (0.0%)
4	United States Treasury Bill, 1.527%, 4/30/20	400		398
Total Temporary Cash Investments (Cost $11,718)				11,717
Total Investments (100.2%) (Cost $1,677,667)				2,158,063

	Amount
	($000)
Other Assets and Liabilities (-0.2%)
Other Assets
Investment in Vanguard	94
Receivables for Accrued Income	3,588
Receivables for Capital Shares Issued	685
Variation Margin Receivable—Futures Contracts	18
Other Assets4	191
Total Other Assets	4,576
Liabilities
Payables for Investment Securities Purchased	(102)
Collateral for Securities on Loan	(3,913)
Payables for Capital Shares Redeemed	(2,895)
Payables to Vanguard	(745)
Other Liabilities	(206)
Total Liabilities	(7,861)
Net Assets (100%)
Applicable to 89,684,771 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	2,154,778
Net Asset Value Per Share	$24.03

At December 31, 2019, net assets consisted of:
	Amount
	($000)
Paid-in Capital	1,535,254
Total Distributable Earnings (Loss)	619,524
Net Assets	2,154,778

• See Note A in Notes to Financial Statements.

* Non-income-producing security.

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $3,819,000.

1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the portfolio’s effective common stock and temporary cash investment positions represent 100.1% and 0.1%, respectively, of net assets.

2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

3 Collateral of $3,913,000 was received for securities on loan.

4 Securities with a value of $183,000 and cash of $163,000 have been segregated as initial margin for open futures contracts.

Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
				($000)
				Value and
		Number of		Unrealized
		Long (Short)	Notional	Appreciation
	Expiration	Contracts	Amount	(Depreciation)
Long Futures Contracts
E-mini S&P 500 Index	March 2020	43	6,947	73
E-mini S&P Mid-Cap 400 Index	March 2020	10	2,065	36
				109

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

242

Mid-Cap Index Portfolio

Statement of Operations

Year Ended
	December 31, 2019
	($000)
Investment Income
Income
Dividends	32,028
Interest1	111
Securities Lending—Net	167
Total Income	32,306
Expenses
The Vanguard Group—Note B
Investment Advisory Services	290
Management and Administrative	2,736
Marketing and Distribution	198
Custodian Fees	36
Auditing Fees	33
Shareholders’ Reports	30
Trustees’ Fees and Expenses	1
Total Expenses	3,324
Expenses Paid Indirectly	(19	)
Net Expenses	3,305
Net Investment Income	29,001
Realized Net Gain (Loss)
Investment Securities Sold1	111,773
Futures Contracts	1,145
Realized Net Gain (Loss)	112,918
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	359,752
Futures Contracts	295
Change in Unrealized Appreciation (Depreciation)	360,047
Net Increase (Decrease) in Net Assets Resulting from Operations	501,966

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the portfolio were $102,000, $2,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.

Statement of Changes in Net Assets

	Year Ended December 31,
	2019	2018
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	29,001	27,241
Realized Net Gain (Loss)	112,918	143,656
Change in Unrealized Appreciation (Depreciation)	360,047	(339,835	)
Net Increase (Decrease) in Net Assets Resulting from Operations	501,966	(168,938	)
Distributions
Net Investment Income	(27,995)	(21,762	)
Realized Capital Gain1	(144,308)	(88,481	)
Total Distributions	(172,303)	(110,243	)
Capital Share Transactions
Issued	300,982	255,681
Issued in Lieu of Cash Distributions	172,303	110,243
Redeemed	(269,427)	(269,732	)
Net Increase (Decrease) from Capital Share Transactions	203,858	96,192
Total Increase (Decrease)	533,521	(182,989	)
Net Assets
Beginning of Period	1,621,257	1,804,246
End of Period	2,154,778	1,621,257

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $4,013,000 and $3,072,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

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Mid-Cap Index Portfolio

Financial Highlights

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$20.23	$23.72	$21.11	$20.76	$22.49
Investment Operations
Net Investment Income	.3341	.3431	.2921	.280	.291
Net Realized and Unrealized Gain (Loss) on Investments	5.621	(2.386)	3.575	1.814	(.552)
Total from Investment Operations	5.955	(2.043)	3.867	2.094	(.261)
Distributions
Dividends from Net Investment Income	(.350)	(.286)	(.270)	(.292)	(.268)
Distributions from Realized Capital Gains	(1.805)	(1.161)	(.987)	(1.452)	(1.201)
Total Distributions	(2.155)	(1.447)	(1.257)	(1.744)	(1.469)
Net Asset Value, End of Period	$24.03	$20.23	$23.72	$21.11	$20.76
Total Return	30.87%	-9.33%	19.08%	11.11%	-1.43%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$2,155	$1,621	$1,804	$1,495	$1,363
Ratio of Total Expenses to Average Net Assets	0.17%	0.17%	0.19%	0.19%	0.19%
Ratio of Net Investment Income to Average Net Assets	1.49%	1.49%	1.32%	1.40%	1.35%
Portfolio Turnover Rate	21%	21%	18%	21%	23%

1 Calculated based on average shares outstanding.

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

244

Mid-Cap Index Portfolio

Notes to Financial Statements

The Mid-Cap Index Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts.

A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The portfolio 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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the portfolio’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. 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.

2. Futures Contracts: The portfolio uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The portfolio may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the portfolio 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 portfolio 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 portfolio’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).

During the year ended December 31, 2019, the portfolio’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

3. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

5. Securities Lending: To earn additional income, the portfolio lends its securities to qualified institutional borrowers. Security loans are subject to termination by the portfolio at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The portfolio further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties.

245

Mid-Cap Index Portfolio

The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the portfolio may experience delays and costs in recovering the securities loaned. The portfolio invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the portfolio is entitled to all distributions made on or in respect of the loaned securities.

6. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

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

B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $94,000, representing less than 0.01% of the portfolio’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

C. The portfolio’s custodian bank has agreed to reduce its fees when the portfolio maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2019, custodian fee offset arrangements reduced the portfolio’s expenses by $19,000 (an annual rate of less than 0.01% of average net assets).

D. Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

246

Mid-Cap Index Portfolio

The following table summarizes the market value of the portfolio’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:

	Level 1	Level 2	Level 3
Investments	($000)	($000)	($000)
Common Stocks	2,146,346	—	—
Temporary Cash Investments	11,319	398	—
Futures Contracts—Assets1	18	—	—
Total	2,157,683	398	—

1 Represents variation margin on the last day of the reporting period.

E.Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	28,442
Undistributed Long-Term Gains	111,241
Capital Loss Carryforwards (Non-expiring)	—
Net Unrealized Gains (Losses)	480,396

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	1,677,667
Gross Unrealized Appreciation	576,482
Gross Unrealized Depreciation	(96,086)
Net Unrealized Appreciation (Depreciation)	480,396

F.During the year ended December 31, 2019, the portfolio purchased $463,048,000 of investment securities and sold $403,744,000 of investment securities, other than temporary cash investments.

The portfolio purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended December 31, 2019, such purchases and sales were $53,731,000 and $188,215,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.

G.Capital shares issued and redeemed were:

	Year Ended December 31,
	2019	2018
	Shares	Shares
	(000)	(000)
Issued	13,473	11,048
Issued in Lieu of Cash Distributions	8,135	4,812
Redeemed	(12,082)	(11,768)
Net Increase (Decrease) in Shares Outstanding	9,526	4,092

247

Mid-Cap Index Portfolio

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 40% of the portfolio’s net assets. If this shareholder were to redeem its investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

H. Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

248

Mid-Cap Index Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Mid-Cap Index Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Mid-Cap Index Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Mid-Cap Index Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $140,295,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For corporate shareholders, 83.5% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

249

Mid-Cap Index Portfolio

The CRSP US Mid Cap Index (the “Index”) is a product of the Center for Research in Security Prices, LLC (“CRSP”), an affiliate of the University of Chicago (“University”), and has been licensed for use by Vanguard. CRSP^®is a trademark of CRSP; and has been licensed by CRSP for use for certain purposes by Vanguard. The Vanguard Mid-Cap Index Portfolio is not sponsored, endorsed, sold or promoted by CRSP or University. Neither CRSP nor University makes any representation or warranty, express or implied, to the owners of the Vanguard Mid-Cap Index Portfolio or any member of the public regarding the advisability of investing in securities generally or in Vanguard Mid-Cap Index Portfolio particularly or the ability of the Index to track general market performance. The Index is determined, composed and calculated without regard to Vanguard or the Vanguard Mid-Cap Index Portfolio. Neither CRSP nor the University has any obligation to take the needs of Vanguard or the owners of Vanguard Mid-Cap Index Portfolio into consideration in determining, composing or calculating the Index. Neither CRSP nor the University is responsible for and has not participated in the determination of the prices and amount of Vanguard Mid-Cap Index Portfolio or the timing of the issuance or sale of Vanguard Mid-Cap Index Portfolio or in the determination or calculation of the equation by which Vanguard Mid-Cap Index Portfolio is to be converted into cash, surrendered or redeemed, as the case may be. Neither CRSP nor the University has any obligation or liability in connection with the administration, marketing or trading of Vanguard Mid-Cap Index Portfolio. There is no assurance that investment products based on the Index will accurately track index performance or provide positive investment returns. Neither CRSP nor the University is an investment advisor. Inclusion of a security within an index is not a recommendation by CRSP or the University to buy, sell, or hold such security, nor is it considered to be investment advice.

NEITHER CRSP NOR THE UNIVERSITY GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. NEITHER CRSP NOR THE UNIVERSITY SHALL BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. NEITHER CRSP NOR THE UNIVERSITY MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND CRSP AND THE UNIVERSITY EXPRESSLY DISCLAIM ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF THE VANGUARD MID-CAP INDEX PORTFOLIO, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL CRSP OR THE UNIVERSITY BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF IT HAS BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD-PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN CRSP AND VANGUARD, OTHER THAN THE LICENSORS, IF ANY, OF CRSP.

250

Moderate Allocation Portfolio

Your Portfolio’s Performance at a Glance

•    For the 12 months ended December 31, 2019, the Moderate Allocation Portfolio returned 19.53%, in line with the 20.26% return of its composite index after factoring in the portfolio’s expenses.

•    Stocks and bonds recorded their best results in years. Stocks benefited from accommodative monetary policies implemented by the Federal Reserve and other major central banks. Safer assets such as bonds also attracted investors as the U.S.-China trade conflict fueled global economic growth concerns.

•    The portfolio targets an asset allocation of approximately 60% stocks and 40% bonds through these holdings: Vanguard Variable Insurance Fund (VVIF) Total Bond Market Index Portfolio, VVIF Equity Index Portfolio, Vanguard Total International Bond Index Fund, Vanguard Total International Stock Index Fund, and Vanguard Extended Market Index Fund.

•     The Equity Index Portfolio returned about 31%, the Extended Market Index Fund about 28%, and the Total International Stock Fund more than 21%. The Total Bond Market Index Portfolio returned almost 9%, and the Total International Bond Index Fund returned nearly 8%.

•     Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer
		Average Annual Total Returns
		Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

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About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A typical portfolio’s expenses are expressed as a percentage of its average net assets. The Moderate Allocation Portfolio has no direct expenses, but bears its proportionate share of the expenses of the underlying funds in which it invests. These indirect expenses make up the acquired fund fees and expenses, also expressed as a percentage of average net assets. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your portfolio 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 costs were calculated using the acquired fund fees and expenses for the Moderate Allocation Portfolio.

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

•     Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•     Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only. The portfolio’s expense figure does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Moderate Allocation Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,063.94	$0.62
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.60	$0.61

The calculations are based on the Moderate Allocation Portfolio’s acquired fund fees and expenses for the most recent six-month period. The Moderate Allocation Portfolio’s annualized expense figure for that period is 0.12%. The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio for the underlying funds, 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 recent 12-month period (184/365).

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Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: October 19, 2011–December 31, 2019

Initial Investment of $10,000

 

			Average Annual Total Returns
		Periods Ended December 31, 2019
					Since	Final Value
		One		Five	Inception	of a $10,000
		Year		Years	(10/19/2011)	Investment
	Moderate Allocation Portfolio	19.53%		6.97%	8.64%	$19,735
	Moderate Allocation Composite Index	20.26		7.32	8.93	20,167
	Dow Jones U.S. Total Stock Market Float Adjusted Index	30.90		11.18	14.82	31,055

Moderate Allocation Composite Index: Weighted 42% S&P Total Market Index, 32% Bloomberg Barclays U.S. Aggregate Float Adjusted Index, 18% FTSE Global All Cap ex US Index, and 8% Bloomberg Barclays Global Aggregate ex-USD Float Adjusted RIC Capped Index (USD Hedged) as of June 3, 2013. Previously, the composite was weighted 42% S&P Total Market Index, 40% Bloomberg Barclays U.S. Aggregate Float Adjusted Index, and 18% MSCI ACWI ex USA IMI Index.

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

See Financial Highlights for dividend and capital gains information.

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Underlying Vanguard Funds

As of December 31, 2019

Vanguard Variable Insurance Fund Equity Index Portfolio	30.3%
Vanguard Variable Insurance Fund Total Bond Market Index Fund	27.7
Vanguard Total International Stock Index Fund Admiral Shares	24.2
Vanguard Total International Bond Index Fund Admiral Shares	11.9
Vanguard Extended Market Index Fund Admiral Shares	5.9

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Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

		Market
		Value•
	Shares	($000	)
Investment Companies (100.0%)
U.S. Stock Funds (36.2%)
Vanguard Variable Insurance Fund—Equity Index Portfolio	3,372,237	160,856
Vanguard Extended Market Index Fund Admiral Shares	329,666	31,519
		192,375
International Stock Fund (24.2%)
Vanguard Total International Stock Index Fund Admiral Shares	4,301,692	128,492
U.S. Bond Fund (27.7%)
Vanguard Variable Insurance Fund—Total Bond Market Index Portfolio	12,080,725	147,506
International Bond Fund (11.9%)
Vanguard Total International Bond Index Fund Admiral Shares	2,795,866	63,242
Total Investment Companies (Cost $478,749)		531,615
Temporary Cash Investment (0.0%)
Money Market Fund (0.0%)
1Vanguard Market Liquidity Fund, 1.816%(Cost $0)	3	—
Total Investments (100.0%) (Cost $478,749)		531,615
Other Assets and Liabilities (0.0%)
Other Assets		799
Liabilities		(734	)
		65
Net Assets (100%)
Applicable to 17,652,671 outstanding $.001 par value shares of beneficial interest (unlimited authorization)		531,680
Net Asset Value Per Share		$30.12

	Amount
	($000	)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value—Affiliated Funds	531,615
Receivables for Investment Securities Sold	650
Receivables for Capital Shares Issued	149
Total Assets	532,414
Liabilities
Payables for Capital Shares Redeemed	370
Other Payables	364
Total Liabilities	734
Net Assets	531,680

At December 31, 2019, net assets consisted of:
	Amount
	($000)
Paid-in Capital	455,930
Total Distributable Earnings (Loss)	75,750
Net Assets	31,680

• See Note A in Notes to Financial Statements.

1 Affiliated fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown for Vanguard Market Liquidity Fund is the 7-day yield.

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

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Statement of Operations

	Year Ended
	December 31, 2019
	($000)
Investment Income
Income
Income Distributions Received from Affiliated Funds	11,835
Net Investment Income—Note B	11,835
Realized Net Gain (Loss)
Capital Gain Distributions Received from Affiliated Funds	3,264
Affiliated Funds Sold	8,452
Realized Net Gain (Loss)	11,716
Change in Unrealized Appreciation (Depreciation) from Affiliated Funds	57,473
Net Increase (Decrease) in Net Assets Resulting from Operations	81,024

Statement of Changes in Net Assets

	Year Ended December 31,
	2019	2018
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	11,835	9,377
Realized Net Gain (Loss)	11,716	10,505
Change in Unrealized Appreciation (Depreciation)	57,473	(41,100)
Net Increase (Decrease) in Net Assets Resulting from Operations	81,024	(21,218)
Distributions
Net Investment Income	(9,885)	(7,930)
Realized Capital Gain1	(10,650)	(13,085)
Total Distributions	(20,535)	(21,015)
Capital Share Transactions
Issued	96,476	77,289
Issued in Lieu of Cash Distributions	20,535	21,015
Redeemed	(45,572)	(50,345)
Net Increase (Decrease) from Capital Share Transactions	71,439	47,959
Total Increase (Decrease)	131,928	5,726
Net Assets
Beginning of Period	399,752	394,026
End of Period	531,680	399,752

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $0 and $223,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

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Financial Highlights

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$26.46	$29.35	$26.67	$25.80	$26.63
Investment Operations
Net Investment Income1	.720	.634	.657	.581	.499
Capital Gain Distributions Received	.199	.148	.309	.182	.282
Net Realized and Unrealized Gain (Loss) on Investments	4.106	(2.142)	2.863	1.112	(.809)
Total from Investment Operations	5.025	(1.360)	3.829	1.875	(.028)
Distributions
Dividends from Net Investment Income	(.657)	(.577)	(.545)	(.439)	(.417)
Distributions from Realized Capital Gains	(.708)	(.953)	(.604)	(.566)	(.385)
Total Distributions	(1.365)	(1.530)	(1.149)	(1.005)	(.802)
Net Asset Value, End of Period	$30.12	$26.46	$29.35	$26.67	$25.80
Total Return	19.53%	-4.94%	14.80%	7.55%	-0.16%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$532	$400	$394	$294	$257
Ratio of Total Expenses to Average Net Assets	—	—	—	—	—
Acquired Fund Fees and Expenses	0.12%	0.12%	0.14%	0.16%	0.16%
Ratio of Net Investment Income to Average Net Assets	2.54%	2.25%	2.36%	2.25%	1.89%
Portfolio Turnover Rate	13%	20%	21%	14%	12%

1 Calculated based on average shares outstanding.

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

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Notes to Financial Statements

The Moderate Allocation Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio follows a balanced investment strategy by investing in selected Vanguard funds and portfolios to achieve its targeted allocation of assets to U.S. and international stocks, and U.S. and international bonds. Financial statements and other information about each underlying fund and portfolio are available on vanguard.com. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts.

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

1. Security Valuation: Investments are valued at the net asset value of each underlying Vanguard fund determined as of the close of the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date.

2. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

4. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and borne by the funds in which the portfolio invests (see Note B). Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

5. Other: Income and capital gain distributions received are recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the portfolio and all other expenses incurred by the portfolio during the period ended December 31, 2019, were borne by the underlying Vanguard funds in which the portfolio invests. The portfolio’s trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard.

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Moderate Allocation Portfolio

C.  Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

At December 31, 2019, 100% of the market value of the portfolio’s investments) was determined based on Level 1 inputs.

D.  Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	11,887
Undistributed Long-Term Gains	10,997
Capital Loss Carryforwards (Non-expiring)	—
Net Unrealized Gains (Losses)	52,866

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	478,749
Gross Unrealized Appreciation	53,764
Gross Unrealized Depreciation	(898	)
Net Unrealized Appreciation (Depreciation)	52,866

E.  Capital shares issued and redeemed were:

	Year Ended December 31,
	2019			2018
	Shares			Shares
		(000	)		(000	)
Issued		3,403			2,733
Issued in Lieu of Cash Distributions		754			748
Redeemed		(1,613	)		(1,799	)
Net Increase (Decrease) in Shares Outstanding		2,544			1,682

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 88% of the portfolio’s net assets.

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F.  Transactions during the period in affiliated underlying Vanguard funds were as follows:

			Current Period Transactions
	Dec, 31,				Proceeds		Realized								Dec. 31,
	2018				from		Net		Change in				Capital Gain		2019
	Market		Purchases		Securities		Gain		Unrealized		Distributions				Market
	Value		at Cost		Sold		(Loss	)	App. (Dep.	)	Income		Received		Value
	($000	)	($000	)	($000	)	($000	)	($000	)	($000	)	($000	)	($000	)
Vanguard Market Liquidity Fund	69		NA1		NA1		—		—		3		—		—
Vanguard Extended Market Index Fund	23,496		3,898		2,229		725		5,629		396		—		31,519
Vanguard Total International Bond Index Fund	48,154		15,797		2,666		299		1,658		2,011		—		63,242
Vanguard Total International Stock Index Fund	97,249		27,224		14,248		1,502		16,765		3,687		—		128,492
Vanguard Variable Insurance Fund— Equity Index Portfolio	121,281		29,669		22,130		5,338		26,698		2,493		3,264		160,856
Vanguard Variable Insurance Fund— Total Bond Market Index Portfolio	109,660		51,060		20,525		588		6,723		3,245		—		147,506
Total	399,909		127,648		61,798		8,452		57,473		11,835		3,264		531,615

1 Not applicable—purchases and sales are for temporary cash investment purposes.

G.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Moderate Allocation Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets and statement of assets and liabilities of Moderate Allocation Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the transfer agent. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Moderate Allocation Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $10,650,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For corporate shareholders, 20.8% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

The portfolio designates to shareholders foreign source income of $5,829,000 and foreign taxes paid of $275,000. Shareholders will receive more detailed information with their Form 1099-DIV in January 2020 to determine the calendar-year amounts to be included on their 2019 tax returns.

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BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Aggregate Float Adjusted Index and the Bloomberg Barclays Global Aggregate ex-USD Float Adjusted RIC Capped Index (USD Hedged) (the Indices or Bloomberg Barclays Indices).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Moderate Allocation Portfolio and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Moderate Allocation Portfolio. The Indices are licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Moderate Allocation Portfolio. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Indices is the licensing of the Indices, which are determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Moderate Allocation Portfolio or the owners of the Moderate Allocation Portfolio.

Additionally, Vanguard may for itself execute transaction(s) with Barclays in or relating to the Indices in connection with the Moderate Allocation Portfolio. Investors acquire the Moderate Allocation Portfolio from Vanguard and investors neither acquire any interest in the Indices nor enter into any relationship of any kind whatsoever with Bloomberg or Barclays upon making an investment in the Moderate Allocation Portfolio. The Moderate Allocation Portfolio is not sponsored, endorsed, sold or promoted by Bloomberg or Barclays. Neither Bloomberg nor Barclays makes any representation or warranty, express or implied regarding the advisability of investing in the Moderate Allocation Portfolio or the advisability of investing in securities generally or the ability of the Indices to track corresponding or relative market performance. Neither Bloomberg nor Barclays has passed on the legality or suitability of the Moderate Allocation Portfolio with respect to any person or entity. Neither Bloomberg nor Barclays is responsible for and has not participated in the determination of the timing of, prices at, or quantities of the Moderate Allocation Portfolio to be issued. Neither Bloomberg nor Barclays has any obligation to take the needs of the Issuer or the owners of the Moderate Allocation Portfolio or any other third party into consideration in determining, composing or calculating the Indices. Neither Bloomberg nor Barclays has any obligation or liability in connection with administration, marketing or trading of the Moderate Allocation Portfolio.

The licensing agreement between Bloomberg and Barclays is solely for the benefit of Bloomberg and Barclays and not for the benefit of the owners of the Moderate Allocation Portfolio, investors or other third parties. In addition, the licensing agreement between Vanguard and Bloomberg is solely for the benefit of Vanguard and Bloomberg and not for the benefit of the owners of the Moderate Allocation Portfolio, investors or other third parties.

NEITHER BLOOMBERG NOR BARCLAYS SHALL HAVE ANY LIABILITY TO THE ISSUER, INVESTORS OR TO OTHER THIRD PARTIES FOR THE QUALITY, ACCURACY AND/OR COMPLETENESS OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR FOR INTERRUPTIONS IN THE DELIVERY OF THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY THE ISSUER, THE INVESTORS OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. NEITHER BLOOMBERG NOR BARCLAYS MAKES ANY EXPRESS OR IMPLIED WARRANTIES, AND EACH HEREBY EXPRESSLY DISCLAIMS ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE WITH RESPECT TO THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN. BLOOMBERG RESERVES THE RIGHT TO CHANGE THE METHODS OF CALCULATION OR PUBLICATION, OR TO CEASE THE CALCULATION OR PUBLICATION OF THE BLOOMBERG BARCLAYS INDICES, AND NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY MISCALCULATION OF OR ANY INCORRECT, DELAYED OR INTERRUPTED PUBLICATION WITH RESPECT TO THE BLOOMBERG BARCLAYS INDICES. NEITHER BLOOMBERG NOR BARCLAYS SHALL BE LIABLE FOR ANY DAMAGES, INCLUDING, WITHOUT LIMITATION, ANY SPECIAL, INDIRECT OR CONSEQUENTIAL DAMAGES, OR ANY LOST PROFITS AND EVEN IF ADVISED OF THE POSSIBLITY OF SUCH, RESULTING FROM THE USE OF THE BLOOMBERG BARCLAYS INDICES OR ANY DATA INCLUDED THEREIN OR WITH RESPECT TO THE MODERATE ALLOCATION PORTFOLIO.

None of the information supplied by Bloomberg or Barclays and used in this publication may be reproduced in any manner without the prior written permission of both Bloomberg and Barclays Capital, the investment banking division of Barclays Bank Plc. Barclays Bank Plc is registered in England No. 1026167. Registered office 1 Churchill Place London E14 5HP.

© 2020 Bloomberg. Used with Permission.

Source: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

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About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 table below illustrates your portfolio’s costs in two ways:

•    Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•    Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Money Market Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,010.23	$0.76
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.45	0.77

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.15%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

263

Money Market Portfolio

Sector Diversification

As of December 31, 2019

Certificates of Deposit	8.3%
U.S. Commercial Paper	5.1
U.S. Government Obligations	11.4
U.S. Treasury Bills	24.3
Yankee/Foreign	47.8
Other	3.1

The table reflects the portfolio’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

264

Money Market Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio publishes its holdings on a monthly basis on Vanguard’s website and files them with the Securities and Exchange Commission (SEC) on Form N-MFP. The portfolio’s Form N-MFP filings may be viewed via a link on the “Portfolio Holdings” page at www.vanguard.com or on the SEC’s website at www.sec.gov.

				Face		Market
			Maturity	Amount		Value•
		Yield1	Date	($000	)	($000	)
U.S. Government and Agency Obligations (36.0%)
2	Fannie Mae Discount Notes	1.603%	1/2/20	482		482
2	Fannie Mae Discount Notes	1.603%–1.604%	1/3/20	928		928
2	Fannie Mae Discount Notes	1.604%	1/29/20	4,965		4,959
2	Fannie Mae Discount Notes	1.624%	2/13/20	6,298		6,286
	Federal Home Loan Bank Discount Notes	1.604%	1/2/20	2,400		2,400
	Federal Home Loan Bank Discount Notes	1.603%–1.604%	1/3/20	3,300		3,300
	Federal Home Loan Bank Discount Notes	1.603%–1.604%	1/8/20	4,735		4,734
	Federal Home Loan Bank Discount Notes	1.604%	1/10/20	11,299		11,294
	Federal Home Loan Bank Discount Notes	1.604%	1/15/20	2,193		2,192
	Federal Home Loan Bank Discount Notes	1.603%–1.654%	1/23/20	5,690		5,684
	Federal Home Loan Bank Discount Notes	1.654%	1/27/20	4,528		4,523
	Federal Home Loan Bank Discount Notes	1.604%–1.623%	1/28/20	8,197		8,187
	Federal Home Loan Bank Discount Notes	1.634%–1.654%	1/29/20	6,885		6,876
	Federal Home Loan Bank Discount Notes	1.604%–1.654%	1/30/20	5,088		5,081
	Federal Home Loan Bank Discount Notes	1.604%–1.654%	1/31/20	13,540		13,521
	Federal Home Loan Bank Discount Notes	1.604%	2/3/20	1,900		1,897
	Federal Home Loan Bank Discount Notes	1.604%	2/4/20	2,000		1,997
	Federal Home Loan Bank Discount Notes	1.604%–1.654%	2/5/20	1,269		1,267
	Federal Home Loan Bank Discount Notes	1.654%	2/6/20	320		319
	Federal Home Loan Bank Discount Notes	1.603%–1.624%	2/7/20	6,300		6,290
	Federal Home Loan Bank Discount Notes	1.654%–1.655%	2/10/20	1,794		1,791
	Federal Home Loan Bank Discount Notes	1.624%	2/11/20	2,100		2,096
	Federal Home Loan Bank Discount Notes	1.583%–1.655%	2/14/20	17,314		17,279
	Federal Home Loan Bank Discount Notes	1.654%	2/19/20	5,378		5,366
2	Freddie Mac Discount Notes	1.604%	1/13/20	5,000		4,997
2	Freddie Mac Discount Notes	1.654%	2/13/20	650		649
	United States Treasury Bill	2.020%	1/2/20	25,000		24,999
	United States Treasury Bill	2.031%	1/16/20	35,000		34,971
	United States Treasury Bill	1.637%–2.031%	1/23/20	40,000		39,955
	United States Treasury Bill	1.857%	2/20/20	10,000		9,974
	United States Treasury Bill	1.569%	2/25/20	25,000		24,940
	United States Treasury Bill	1.566%	2/27/20	25,000		24,938
	United States Treasury Bill	1.566%	3/5/20	25,000		24,931
	United States Treasury Bill	1.546%	3/19/20	14,980		14,930
	United States Treasury Bill	1.623%	4/30/20	18,345		18,247
	United States Treasury Bill	1.547%–1.557%	5/7/20	35,000		34,810
	United States Treasury Bill	1.562%	5/14/20	45,000		44,740
	United States Treasury Bill	1.572%	7/2/20	7,000		6,945
	United States Treasury Note/Bond	2.375%	4/30/20	15,000		15,038
	United States Treasury Note/Bond	1.625%	6/30/20	3,926		3,926
Total U.S. Government and Agency Obligations (Cost $447,739)						447,739
Commercial Paper (36.1%)
Bank Holding Company (2.4%)
3	ABN Amro Funding USA LLC	2.044%	1/8/20	1,000		1,000
3	ABN Amro Funding USA LLC	2.113%	1/10/20	500		500
3	ABN Amro Funding USA LLC	2.114%	1/16/20	500		499
3	ABN Amro Funding USA LLC	2.065%	1/21/20	500		499
3	ABN Amro Funding USA LLC	1.968%	2/10/20	1,000		998
3	ABN Amro Funding USA LLC	1.973%	2/14/20	1,000		998
3	ABN Amro Funding USA LLC	1.882%–1.923%	3/2/20	1,500		1,495
3	ABN Amro Funding USA LLC	1.912%	3/3/20	1,000		997
	Cooperatieve Rabobank UA	2.070%	3/18/20	1,500		1,500
4	Cooperatieve Rabobank UA, 1M USD LIBOR + 0.230%	1.970%	1/16/20	1,000		1,000
4	Cooperatieve Rabobank UA, 1M USD LIBOR + 0.230%	1.967%	3/17/20	1,000		1,000
4	Cooperatieve Rabobank UA, 1M USD LIBOR + 0.250%	1.987%	1/17/20	6,000		6,000
3	JP Morgan Securities LLC	2.115%	1/21/20	2,000		1,998
3	JP Morgan Securities LLC	2.116%	1/28/20	2,000		1,997
3	JP Morgan Securities LLC	1.908%	4/23/20	5,000		4,970
4	JP Morgan Securities LLC, 1M USD LIBOR + 0.220%	1.928%	3/2/20	2,000		2,000
4	JP Morgan Securities LLC, 1M USD LIBOR + 0.220%	1.930%	3/9/20	2,000		2,000
4	JP Morgan Securities LLC, 1M USD LIBOR + 0.220%	1.956%	5/12/20	1,000		1,000
						30,451
Finance—Auto (1.3%)
3	BMW US Capital LLC	1.701%	1/3/20	10,000		9,999
4	Toyota Motor Credit Corp., 1M USD LIBOR + 0.120%	1.865%	1/14/20	1,000		1,000
4	Toyota Motor Credit Corp., 1M USD LIBOR + 0.150%	1.887%	2/12/20	1,000		1,000
4	Toyota Motor Credit Corp., 1M USD LIBOR + 0.150%	1.887%	2/13/20	1,000		1,000
4	Toyota Motor Credit Corp., 1M USD LIBOR + 0.180%	1.965%	2/19/20	1,500		1,500
4	Toyota Motor Credit Corp., 1M USD LIBOR + 0.180%	1.965%	2/20/20	1,500		1,500
						15,999
Foreign Banks (25.0%)
3	Australia & New Zealand Banking Group Ltd.	1.793%	1/6/20	3,500		3,500
3	Australia & New Zealand Banking Group Ltd.	1.882%	3/4/20	3,000		2,990
3,4	Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.130%	1.875%	2/18/20	2,000		2,000
3,4	Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.130%	1.895%	2/20/20	2,000		2,000
3,4	Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.130%	1.895%	2/20/20	1,000		1,000

265

Money Market Portfolio

				Face		Market
			Maturity	Amount		Value•
		Yield1	Date	($000	)	($000	)
3,4	Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.180%	1.898%	3/11/20	2,000		2,000
3,4	Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.180%	1.916%	3/12/20	3,000		3,000
3,4	Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.180%	1.884%	6/5/20	3,000		3,000
3,4	Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.190%	1.908%	6/11/20	3,000		3,000
3,4	Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.210%	1.975%	8/20/20	2,000		2,000
3,4	Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.220%	1.930%	4/9/20	5,000		5,000
3,4	Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.270%	2.010%	7/13/20	3,000		3,000
3,4	Australia & New Zealand Banking Group Ltd., 1M USD LIBOR + 0.270%	2.010%	7/15/20	2,500		2,500
3	Bank of Nova Scotia	1.921%	5/21/20	2,000		1,985
3,4	Bank of Nova Scotia, 1M USD LIBOR + 0.220%	1.960%	6/15/20	2,000		2,000
3,4	Bank of Nova Scotia, 1M USD LIBOR + 0.220%	2.005%	6/22/20	5,000		5,000
3,4	Bank of Nova Scotia, 1M USD LIBOR + 0.220%	1.985%	7/20/20	4,000		4,000
3	Canadian Imperial Bank of Commerce	1.930%	1/24/20	2,000		2,000
3,4	Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.130%	1.848%	2/11/20	5,000		5,000
3,4	Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.170%	1.874%	3/5/20	3,000		3,000
3,4	Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.210%	1.946%	3/12/20	6,000		6,000
3,4	Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.210%	2.002%	6/25/20	4,000		4,000
3,4	Canadian Imperial Bank of Commerce, 1M USD LIBOR + 0.220%	1.965%	6/18/20	1,500		1,500
3	Commonwealth Bank of Australia	2.071%	3/20/20	2,000		1,991
3,4	Commonwealth Bank of Australia, 1M USD LIBOR + 0.180%	1.898%	3/11/20	2,000		2,000
3,4	Commonwealth Bank of Australia, 1M USD LIBOR + 0.180%	1.916%	3/12/20	6,000		6,000
3,4	Commonwealth Bank of Australia, 1M USD LIBOR + 0.180%	1.920%	3/13/20	1,000		1,000
3,4	Commonwealth Bank of Australia, 1M USD LIBOR + 0.180%	1.920%	3/16/20	1,000		1,000
3,4	Commonwealth Bank of Australia, 1M USD LIBOR + 0.180%	1.960%	4/24/20	1,000		1,000
3,4	Commonwealth Bank of Australia, 1M USD LIBOR + 0.220%	2.025%	8/28/20	2,000		2,000
3,4	Commonwealth Bank of Australia, 1M USD LIBOR + 0.220%	1.917%	9/3/20	1,000		1,000
3,4	Commonwealth Bank of Australia, 1M USD LIBOR + 0.230%	1.924%	9/4/20	3,000		3,000
3,4	Commonwealth Bank of Australia, 1M USD LIBOR + 0.230%	1.940%	9/8/20	1,000		1,000
3,4	Commonwealth Bank of Australia, 1M USD LIBOR + 0.230%	1.940%	9/9/20	500		500
3,4	Commonwealth Bank of Australia, 1M USD LIBOR + 0.240%	1.980%	9/14/20	3,000		3,000
3,4	Commonwealth Bank of Australia, 1M USD LIBOR + 0.250%	1.986%	11/12/20	1,000		1,000
	Credit Suisse AG (New York Branch)	1.879%	2/3/20	7,000		6,988
	Credit Suisse AG (New York Branch)	1.889%	2/7/20	3,000		2,994
3	DBS Bank Ltd.	2.044%	1/6/20	1,000		1,000
3	DBS Bank Ltd.	2.065%–2.069%	1/16/20	2,000		1,998
3	DBS Bank Ltd.	2.064%–2.065%	1/17/20	2,000		1,998
3	DBS Bank Ltd.	2.084%	1/23/20	1,000		999
3	DBS Bank Ltd.	2.085%	1/24/20	3,000		2,996
3	DBS Bank Ltd.	1.839%	2/12/20	1,000		998
3	DBS Bank Ltd.	1.839%–2.037%	2/13/20	2,000		1,995
3	DBS Bank Ltd.	2.038%	2/14/20	2,000		1,995
3	DBS Bank Ltd.	2.038%	2/18/20	1,000		997
3	DBS Bank Ltd.	1.911%–2.038%	2/20/20	1,500		1,496
3	DBS Bank Ltd.	2.010%–2.016%	3/13/20	4,000		3,984
3	DBS Bank Ltd.	2.031%	3/16/20	1,000		996
3	DBS Bank Ltd.	2.082%	3/18/20	3,000		2,987
3	DBS Bank Ltd.	1.867%	4/24/20	1,000		994
3	DBS Bank Ltd.	1.878%	5/1/20	1,000		994
3	DBS Bank Ltd.	1.858%	5/4/20	1,000		994
3	DBS Bank Ltd.	1.878%	5/5/20	1,000		994
3	DBS Bank Ltd.	1.867%	5/8/20	1,000		993
3	DBS Bank Ltd.	1.857%	5/20/20	1,000		993
3	DNB Bank ASA	2.115%	1/27/20	479		478
3	DNB Bank ASA	2.010%	3/19/20	4,000		3,983
3	ING US Funding LLC	1.867%	1/3/20	1,000		1,000
	ING US Funding LLC	1.852%	3/3/20	2,000		1,994
	ING US Funding LLC	1.852%	3/4/20	4,000		3,987
3	KFW	1.911%	4/3/20	7,700		7,662
3,4	National Australia Bank Ltd., 1M USD LIBOR + 0.120%	1.905%	2/21/20	2,000		2,000
3,4	National Australia Bank Ltd., 1M USD LIBOR + 0.130%	1.824%	2/4/20	3,000		3,000
3,4	National Australia Bank Ltd., 1M USD LIBOR + 0.130%	1.870%	2/13/20	1,000		1,000
3,4	National Australia Bank Ltd., 1M USD LIBOR + 0.150%	1.868%	2/11/20	1,000		1,000
3,4	National Australia Bank Ltd., 1M USD LIBOR + 0.150%	1.914%	4/16/20	3,000		3,000
3,4	National Australia Bank Ltd., 1M USD LIBOR + 0.170%	1.883%	2/6/20	4,300		4,300
3,4	National Australia Bank Ltd., 1M USD LIBOR + 0.180%	1.920%	3/13/20	7,000		7,000
3,4	National Australia Bank Ltd., 1M USD LIBOR + 0.200%	1.909%	5/1/20	7,000		7,000
3,4	National Australia Bank Ltd., 1M USD LIBOR + 0.240%	1.976%	8/12/20	3,000		3,000
3,4	National Australia Bank Ltd., 1M USD LIBOR + 0.260%	2.024%	6/19/20	2,000		2,000
3,4	National Australia Bank Ltd., 1M USD LIBOR + 0.270%	1.978%	7/2/20	4,000		4,000
3	Nederlandse Waterschapsbank NV	2.085%	1/27/20	2,000		1,997
3	Nederlandse Waterschapsbank NV	2.080%	1/29/20	1,000		998
3	Nederlandse Waterschapsbank NV	1.905%	2/3/20	5,000		4,991
3	Nederlandse Waterschapsbank NV	1.901%	2/12/20	250		249
3	Nederlandse Waterschapsbank NV	1.901%	2/13/20	500		499
3	Nederlandse Waterschapsbank NV	1.902%	2/24/20	1,000		997
3	Nederlandse Waterschapsbank NV	1.831%	3/11/20	3,000		2,989
3	Nederlandse Waterschapsbank NV	1.861%	3/27/20	3,710		3,694
3	Nordea Bank ABP	2.054%	1/22/20	7,000		6,992
3	Nordea Bank ABP	1.971%	1/27/20	830		829
3	Nordea Bank ABP	1.910%	3/9/20	980		977
3	Nordea Bank ABP	1.852%	5/1/20	5,000		4,969
3	NRW Bank	2.028%	3/2/20	2,600		2,591
3	NRW Bank	1.836%	3/16/20	1,000		996
3	NRW Bank	1.836%	3/17/20	1,000		996
3	NRW Bank	1.836%	3/18/20	2,000		1,992
3	NRW Bank	1.836%	3/19/20	2,000		1,992
3	NRW Bank	1.836%	3/20/20	3,000		2,988
3	NRW Bank	1.836%	3/23/20	2,000		1,992
3	NRW Bank	1.837%	3/24/20	2,000		1,992
3,4	Royal Bank of Canada, 1M USD LIBOR + 0.180%	1.920%	4/14/20	6,000		6,000
3,4	Royal Bank of Canada, 1M USD LIBOR + 0.180%	1.917%	6/17/20	5,000		5,000
3,4	Royal Bank of Canada, 1M USD LIBOR + 0.190%	1.930%	3/16/20	3,000		3,000
3,4	Royal Bank of Canada, 1M USD LIBOR + 0.210%	1.923%	5/6/20	4,000		4,000
3,4	Royal Bank of Canada, 1M USD LIBOR + 0.240%	2.039%	7/31/20	5,000		5,000

266

Money Market Portfolio

				Face		Market
			Maturity	Amount		Value•
		Yield1	Date	($000	)	($000	)
3,4	Royal Bank of Canada, 1M USD LIBOR + 0.240%	2.032%	8/26/20	2,000		2,000
3,4	Royal Bank of Canada, 1M USD LIBOR + 0.250%	1.995%	11/18/20	2,000		2,000
3,4	Royal Bank of Canada, 1M USD LIBOR + 0.250%	2.014%	11/19/20	2,000		2,000
3,4	Royal Bank of Canada, 1M USD LIBOR + 0.310%	2.018%	10/1/20	4,000		4,000
3	Skandinaviska Enskilda Banken AB	1.931%	3/23/20	5,000		4,978
3	Skandinaviska Enskilda Banken AB	1.929%	4/21/20	5,000		4,971
3	Svenska Handelsbanken AB	1.851%	3/5/20	2,000		1,993
3	Svenska Handelsbanken AB	1.844%	4/8/20	3,000		2,985
3	Svenska Handelsbanken AB	1.867%	4/29/20	2,000		1,988
3,4	Toronto-Dominion Bank, 1M USD LIBOR + 0.250%	1.986%	12/11/20	2,500		2,500
3,4	Toronto-Dominion Bank, 1M USD LIBOR + 0.250%	1.991%	12/11/20	1,000		1,000
3,4	Toronto-Dominion Bank, 1M USD LIBOR + 0.320%	2.030%	10/9/20	11,000		11,000
3,4	Toronto-Dominion Bank, 1M USD LIBOR + 0.330%	2.039%	10/2/20	4,000		4,000
3,4	Westpac Banking Corp., 1M USD LIBOR + 0.160%	1.864%	6/5/20	1,000		1,000
3,4	Westpac Banking Corp., 1M USD LIBOR + 0.230%	1.924%	9/4/20	2,000		2,000
3,4	Westpac Banking Corp., 1M USD LIBOR + 0.230%	1.924%	9/4/20	3,000		3,000
						310,888
Foreign Governments (5.7%)
5	CDP Financial Inc.	1.781%	1/2/20	1,000		1,000
5	CDP Financial Inc.	1.701%	1/3/20	4,000		4,000
5	CDP Financial Inc.	2.204%–2.215%	1/24/20	1,000		999
5	CDP Financial Inc.	1.884%	3/25/20	1,000		996
3,5	CDP Financial Inc.	1.928%–1.969%	4/1/20	1,500		1,493
5	CDP Financial Inc.	1.929%	4/6/20	1,000		995
5	CDP Financial Inc.	1.938%	4/8/20	1,000		995
5	CDP Financial Inc.	1.878%	4/27/20	500		497
3	CDP Financial Inc.	1.878%	4/28/20	500		497
5	CDP Financial Inc.	1.837%	5/4/20	500		497
5	CDP Financial Inc.	1.846%	5/13/20	4,000		3,973
5	CPPIB Capital Inc.	2.094%	1/10/20	1,500		1,499
	Export Development Canada	1.907%	4/9/20	500		497
	Export Development Canada	1.924%	4/17/20	3,500		3,480
	Export Development Canada	1.898%	4/22/20	500		497
	Export Development Canada	1.816%	5/18/20	2,000		1,986
	Export Development Canada	1.865%	5/20/20	5,000		4,964
3	Kingdom of Netherlands	1.751%	1/3/20	4,000		4,000
5	Ontario Teachers’ Finance Trust	1.838%	2/11/20	500		499
3,5	Ontario Teachers’ Finance Trust	1.911%	2/14/20	3,000		2,993
5	Ontario Teachers’ Finance Trust	1.875%	4/3/20	300		298
5	Ontario Teachers’ Finance Trust	1.878%	5/5/20	250		248
5	Ontario Teachers’ Finance Trust	1.860%	6/1/20	250		248
4,5	Ontario Teachers’ Finance Trust, 1M USD LIBOR + 0.120%	1.833%	3/6/20	1,000		1,000
4,5	Ontario Teachers’ Finance Trust, 1M USD LIBOR + 0.200%	1.962%	8/24/20	1,000		1,000
3,4, 5	Ontario Teachers’ Finance Trust, 1M USD LIBOR + 0.270%	2.007%	8/17/20	1,000		1,000
3	Province Of Alberta	2.017%–2.019%	2/20/20	2,000		1,994
3	Province Of Alberta	1.948%	3/31/20	1,500		1,493
3	Province Of Alberta	1.867%	6/11/20	1,000		992
3	Province Of Alberta	1.868%	6/17/20	1,000		991
	Province of British Columbia	1.949%	1/6/20	1,185		1,185
	Province of British Columbia	1.949%	3/19/20	3,900		3,884
	Province of British Columbia	1.830%	3/25/20	500		498
	Province of British Columbia	1.830%	3/26/20	500		498
	Province of British Columbia	1.830%	3/27/20	500		498
	Province of British Columbia	1.831%	4/8/20	500		497
	Province of Ontario	1.741%–1.907%	1/6/20	1,217		1,217
3	Province of Quebec	2.017%	2/13/20	2,000		1,995
3	Province of Quebec	2.017%	2/14/20	2,000		1,995
5	PSP Capital Inc.	2.205%	1/27/20	1,000		998
5	PSP Capital Inc.	2.205%	1/28/20	500		499
5	PSP Capital Inc.	2.006%	2/10/20	4,175		4,166
5	PSP Capital Inc.	2.010%	3/11/20	1,000		996
5	PSP Capital Inc.	2.071%	3/12/20	1,000		996
5	PSP Capital Inc.	2.020%	3/13/20	1,000		996
5	PSP Capital Inc.	2.061%	3/17/20	500		498
5	PSP Capital Inc.	2.051%	3/19/20	1,000		996
5	PSP Capital Inc.	1.898%	4/23/20	2,000		1,988
5	PSP Capital Inc.	1.867%	4/27/20	500		497
						70,518
Foreign Industrial (1.4%)
3	Nestle Capital Corp.	2.052%	3/24/20	1,000		995
3	Total Capital Canada Ltd.	1.970%	1/7/20	1,000		1,000
3	Total Capital Canada Ltd.	1.970%	1/8/20	4,500		4,498
3	Total Capital Canada Ltd.	1.949%	4/8/20	2,000		1,989
3	Total Capital Canada Ltd.	1.949%	4/14/20	3,000		2,983
4	Toyota Credit Canada Inc., 1M USD LIBOR + 0.230%	1.924%	6/4/20	500		500
4	Toyota Credit Canada Inc., 1M USD LIBOR + 0.250%	1.960%	7/9/20	1,000		1,000
3	Unilever Capital Corp.	1.928%	1/6/20	500		500
3	Unilever Capital Corp.	1.929%	1/9/20	500		500
3	Unilever Capital Corp.	1.939%	1/13/20	3,500		3,498
						17,463
Industrial (0.3%)
3	LVMH Moet Hennessy Louis Vuitton Inc.	1.979%	1/2/20	1,325		1,325
3	LVMH Moet Hennessy Louis Vuitton Inc.	1.970%	1/7/20	1,000		1,000
3	LVMH Moet Hennessy Louis Vuitton Inc.	1.929%	1/15/20	500		499
3	Pfizer Inc.	1.919%	1/17/20	1,000		999
						3,823
Total Commercial Paper (Cost $449,142)						449,142
Certificates of Deposit (25.7%)
Domestic Banks (4.1%)
	Citibank NA	2.220%	1/6/20	2,000		2,000
	Citibank NA	1.830%	5/4/20	5,000		5,000
	Citibank NA	1.840%	6/5/20	1,500		1,500
	State Street Bank & Trust Co.	1.900%	4/15/20	9,000		9,000
4	State Street Bank & Trust Co., 1M USD LIBOR + 0.220%	1.935%	8/10/20	3,000		3,000
	Wells Fargo Bank NA	2.000%	2/12/20	6,000		6,000
4	Wells Fargo Bank NA, 1M USD LIBOR + 0.160%	1.901%	2/13/20	5,000		5,000
4	Wells Fargo Bank NA, 1M USD LIBOR + 0.160%	1.900%	2/14/20	5,000		5,000
4	Wells Fargo Bank NA, 1M USD LIBOR + 0.190%	1.954%	3/19/20	7,000		7,000
4	Wells Fargo Bank NA, 1M USD LIBOR + 0.210%	1.951%	4/14/20	3,000		3,000
4	Wells Fargo Bank NA, 1M USD LIBOR + 0.230%	1.938%	5/1/20	2,000		2,000
4	Wells Fargo Bank NA, 1M USD LIBOR + 0.240%	1.985%	5/18/20	2,000		2,000
						50,500
Eurodollar Certificates of Deposit (2.3%)
	ABN AMRO Bank NV	2.120%	1/7/20	1,000		1,000
	ABN AMRO Bank NV	2.110%	1/13/20	6,000		6,000
	ABN AMRO Bank NV	2.120%	2/3/20	7,000		7,000
4	ING BANK NV, 1M USD LIBOR + 0.002%	1.910%	2/7/20	15,000		15,000
						29,000
Yankee Certificates of Deposit (19.3%)
4	Australia & New Zealand Banking Group, Ltd. (New York Branch), 1M USD LIBOR + 0.180%	1.888%	6/1/20	1,000		1,000

267

Money Market Portfolio

				Face		Market
			Maturity	Amount		Value•
		Yield1	Date	($000	)	($000	)
4	Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.110%	2.002%	1/27/20	5,000		5,000
4	Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.150%	1.930%	1/24/20	6,000		6,000
4	Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.170%	1.879%	3/2/20	2,000		2,000
4	Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.190%	1.887%	4/3/20	9,000		9,000
4	Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.210%	2.002%	6/25/20	4,000		4,000
4	Bank of Montreal (Chicago Branch), 1M USD LIBOR + 0.240%	1.949%	5/1/20	5,000		5,000
4	Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.170%	1.910%	3/16/20	2,000		2,000
4	Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.220%	1.930%	6/8/20	6,000		6,000
4	Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.220%	1.914%	7/6/20	3,000		3,000
4	Bank of Nova Scotia (Houston Branch), 1M USD LIBOR + 0.230%	1.995%	4/20/20	4,000		4,000
	Bayerische Landesbank (New York Branch)	1.600%	1/3/20	5,000		5,000
	Canadian Imperial Bank of Commerce (New York Branch)	1.824%	2/5/20	3,000		3,000
	Canadian Imperial Bank of Commerce (New York Branch)	1.870%	5/7/20	6,000		6,000
4	Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.170%	1.955%	4/23/20	1,500		1,500
4	Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.170%	1.906%	6/9/20	3,000		3,000
4	Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.180%	1.884%	6/5/20	1,000		1,000
4	Commonwealth Bank of Australia (New York Branch), 1M USD LIBOR + 0.200%	1.945%	3/18/20	1,000		1,000
	Cooperatieve Rabobank UA (New York Branch)	2.050%	3/17/20	500		500
4	Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.130%	1.848%	2/11/20	2,000		2,000
4	Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.160%	1.952%	2/27/20	1,000		1,000
4	Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170%	1.883%	3/6/20	2,000		2,000
4	Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170%	1.880%	3/9/20	2,000		2,000
4	Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170%	1.952%	3/27/20	2,000		2,000
4	Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.170%	1.879%	4/1/20	2,000		2,000
4	Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.200%	1.918%	5/11/20	1,000		1,000
4	Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.200%	1.999%	6/30/20	1,000		1,000
4	Cooperatieve Rabobank UA (New York Branch), 1M USD LIBOR + 0.250%	1.944%	5/4/20	3,000		3,000
	Credit Suisse AG (New York Branch)	2.000%	3/24/20	4,000		4,000
	Credit Suisse AG (New York Branch)	2.000%	3/27/20	6,000		6,000
	Credit Suisse AG (New York Branch)	1.970%	4/3/20	4,000		4,000
4	DNB Bank ASA (New York Branch), 1M USD LIBOR + 0.160%	1.864%	2/5/20	6,000		6,000
4	DNB Bank ASA (New York Branch), 1M USD LIBOR + 0.180%	1.985%	2/28/20	6,000		6,000
	MUFG Bank Ltd. (New York Branch)	2.080%	1/10/20	3,000		3,000
	MUFG Bank Ltd. (New York Branch)	2.080%	1/14/20	3,000		3,000
	MUFG Bank Ltd. (New York Branch)	2.070%	1/15/20	2,000		2,000
	MUFG Bank Ltd. (New York Branch)	2.080%	1/17/20	1,000		1,000
	MUFG Bank Ltd. (New York Branch)	2.110%	1/17/20	4,000		4,000
	MUFG Bank Ltd. (New York Branch)	1.960%	2/10/20	2,000		2,000
	MUFG Bank Ltd. (New York Branch)	1.980%	2/10/20	2,000		2,000
	MUFG Bank Ltd. (New York Branch)	1.980%	2/11/20	2,000		2,000
	MUFG Bank Ltd. (New York Branch)	1.900%	3/6/20	6,000		6,000
	Nordea Bank ABP (New York Branch)	2.060%	3/18/20	4,000		4,000
4	Royal Bank of Canada (New York Branch), 1M USD LIBOR + 0.250%	1.947%	9/3/20	4,000		4,000
4	Skandinaviska Enskilda Banken AB (New York Branch), 1M USD LIBOR + 0.230%	2.035%	5/29/20	6,000		6,000
4	Skandinaviska Enskilda Banken AB (New York Branch), 1M USD LIBOR + 0.230%	1.938%	6/1/20	6,000		6,000
	Sumitomo Mitsui Banking Corp. (New York Branch)	1.883%	1/6/20	1,000		1,000
	Sumitomo Mitsui Banking Corp. (New York Branch)	1.880%	1/7/20	3,000		3,000
4	Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.180%	1.920%	1/15/20	3,000		3,000
4	Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.200%	1.909%	4/3/20	6,000		6,000
4	Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.200%	1.985%	4/24/20	3,000		3,000
4	Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.200%	1.981%	5/4/20	4,000		4,000
4	Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.220%	1.960%	4/14/20	5,000		5,000
4	Sumitomo Mitsui Banking Corp. (New York Branch), 1M USD LIBOR + 0.230%	1.948%	2/11/20	3,000		3,000
4	Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.140%	1.925%	1/23/20	1,000		1,000
4	Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.160%	1.900%	6/15/20	1,500		1,500
4	Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.160%	1.924%	6/19/20	5,000		5,000
4	Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.180%	1.920%	7/15/20	5,000		5,000
4	Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.190%	1.894%	5/5/20	7,000		7,000
4	Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.200%	1.964%	5/19/20	1,000		1,000
4	Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.240%	2.020%	11/24/20	3,000		3,000
4	Svenska HandelsBanken AB (New York Branch), 1M USD LIBOR + 0.240%	1.937%	12/2/20	4,000		4,000

268

Money Market Portfolio

				Face		Market
			Maturity	Amount		Value•
		Yield1	Date	($000	)	($000	)
4	Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.200%	1.910%	7/7/20	5,000		5,000
4	Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.210%	1.919%	5/4/20	2,000		2,000
4	Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.220%	1.960%	5/14/20	4,000		4,000
4	Toronto-Dominion Bank (New York Branch), 1M USD LIBOR + 0.250%	2.049%	7/31/20	7,000		7,000
4	Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.040%	1.942%	2/3/20	1,100		1,100
4	Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.160%	1.869%	7/2/20	5,000		5,000
4	Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.230%	1.948%	9/11/20	1,000		1,000
4	Westpac Banking Corp. (New York Branch), 1M USD LIBOR + 0.230%	1.970%	9/16/20	5,000		5,000
						240,600
Total Certificates of Deposit (Cost $320,100)						320,100
Other Notes (1.1%)
4	Bank of America NA, 1M USD LIBOR + 0.110%	1.825%	1/10/20	2,000		2,000
4	Bank of America NA, 1M USD LIBOR + 0.150%	1.935%	2/21/20	1,000		1,000
4	Bank of America NA, 1M USD LIBOR + 0.150%	1.930%	2/24/20	1,000		1,000
4	Bank of America NA, 1M USD LIBOR + 0.200%	1.909%	4/1/20	2,000		2,000
4	Bank of America NA, 1M USD LIBOR + 0.220%	2.012%	4/27/20	2,000		2,000
4	Bank of America NA, 1M USD LIBOR + 0.220%	1.928%	5/1/20	3,000		3,000
4	Bank of America NA, 1M USD LIBOR + 0.240%	1.958%	5/11/20	2,500		2,500
Total Other Notes (Cost $13,500)						13,500
Taxable Municipal Bonds (2.0%)
5,6	South Central Texas IndustrialDevelopment Corp	1.600%	1/7/20	7,400		7,400
6	Traer Creek Metropolitan District	1.880%	1/7/20	11,614		11,614
	University of Texas System Revenue Financing System Revenue VRDO	1.600%	1/7/20	5,000		5,000
Total Taxable Municipal Bonds (Cost $24,014)						24,014
Total Investments (100.9%) (Cost $1,254,495)						1,254,495

	Amount
	($000	)
Other Assets and Liabilities (-0.9%)
Other Assets
Investment in Vanguard	56
Receivables for Accrued Income	932
Receivables for Capital Shares Issued	938
Other Assets	55
Total Other Assets	1,981
Liabilities
Payables for Investment Securities Purchased	(10,945	)
Payables for Capital Shares Redeemed	(1,988	)
Payables to Vanguard	(97	)
Total Liabilities	(13,030	)
Net Assets (100%)
Applicable to 1,243,062,558 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	1,243,446
Net Asset Value per Share	$1.00

At December 31, 2019, net assets consisted of:
	Amount
	($000	)
Paid-in-Capital	1,243,462
Total Distributable Earnings (Loss)	(16	)
Net Assets	1,243,446

• See Note A in Notes to Financial Statements.

1 Represents annualized yield at date of purchase for discount securities, and coupon for coupon-bearing securities.

2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.

3 Security exempt from registration under Section 4(2) of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration only to dealers in that program or other “accredited investors.” At December 31, 2019, the aggregate value of these securities was $360,104,000, representing 29.0% of net assets.

4 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.

5 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $44,260,000, representing 3.6% of net assets.

6	Scheduled principal and interest payments are guaranteed by bank letter of credit.
	LIBOR—London Interbank Offered Rate.
	VRDO—Variable Rate Demand Obligation.

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

269

Money Market Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000	)
Investment Income
Income
Interest	29,158
Total Income	29,158
Expenses
The Vanguard Group—Note B
Investment Advisory Services	42
Management and Administrative	1,572
Marketing and Distribution	147
Custodian Fees	14
Auditing Fees	32
Shareholders’ Reports	33
Trustees’ Fees and Expenses	1
Total Expenses	1,841
Net Investment Income	27,317
Realized Net Gain (Loss) on Investment Securities Sold	3
Net Increase (Decrease) in Net Assets Resulting from Operations	27,320

Statement of Changes in Net Assets

	Year Ended December 31,
	2019		2018
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	27,317		20,856
Realized Net Gain (Loss)	3		(15	)
Net Increase (Decrease) in Net Assets Resulting from Operations	27,320		20,841
Distributions
Net Investment Income	(27,441	)	(20,856	)
Realized Capital Gain	—		—
Total Distributions	(27,441	)	(20,856	)
Capital Share Transactions (at $1.00 per share)
Issued	374,573		526,395
Issued in Lieu of Cash Distributions	27,441		20,856
Redeemed	(376,165	)	(290,715	)
Net Increase (Decrease) from Capital Share Transactions	25,849		256,536
Total Increase (Decrease)	25,728		256,521
Net Assets
Beginning of Period	1,217,718		961,197
End of Period	1,243,446		1,217,718

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

270

Money Market Portfolio

Financial Highlights

For a Share Outstanding					Year Ended December 31,
Throughout Each Period	2019		2018		2017		2016		2015
Net Asset Value, Beginning of Period	$1.00		$1.00		$1.00		$1.00		$1.00
Investment Operations
Net Investment Income	.022	1	.020	1	.010	1	.005		.001
Net Realized and Unrealized Gain (Loss) on Investments	—		—		—		—		—
Total from Investment Operations	.022		.020		.010		.005		.001
Distributions
Dividends from Net Investment Income	(.022	)	(.020	)	(.010	)	(.005	)	(.001	)
Distributions from Realized Capital Gains	—		—		—		—		—
Total Distributions	(.022	)	(.020	)	(.010	)	(.005	)	(.001	)
Net Asset Value, End of Period	$1.00		$1.00		$1.00		$1.00		$1.00
Total Return	2.26%		1.97%		1.01%		0.48%		0.15%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$1,243		$1,218		$961		$965		$1,217
Ratio of Expenses to Average Net Assets2	0.15%		0.15%		0.16%		0.16%		0.06%
Ratio of Net Investment Income to Average Net Assets	2.23%		1.97%		1.00%		0.46%		0.15%

1 Calculated based on average shares outstanding.

2 Vanguard and the board of trustees have agreed to temporarily limit certain net operating expenses in excess of the portfolio’s daily yield in order to maintain a zero or positive yield for the portfolio. Vanguard and the board of trustees may terminate the temporary expense limitation at any time. The portfolio is not obligated to repay this amount to Vanguard. The ratio of total expenses to average net assets before an expense reduction was 0.16% for 2016 and 0.16% for 2015. For the years ended December 31, 2019, 2018, and 2017, there were no expense reductions.

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

271

Money Market Portfolio

Notes to Financial Statements

The Money Market Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts. The portfolio invests in short-term debt instruments of companies primarily operating in specific industries, particularly financial services; the issuers’ abilities to meet their obligations may be affected by economic developments in such industries.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The portfolio 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. Securities are valued at amortized cost, which approximates market value.

2. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

3. Distributions: Distributions from net investment income are declared daily and paid on the first business day of the following month. Annual distributions from realized capital gains, if any, are recorded on the ex-dividend date. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes.

4. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

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

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees, and are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $56,000, representing less than 0.01% of the portfolio’s net assets and 0.02% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  Various inputs may be used to determine the value of the portfolio’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.

272

Money Market Portfolio

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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

At December 31, 2019, 100% of the market value of the portfolio’s investments was determined using amortized cost, in accordance with rules under the Investment Company Act of 1940. Amortized cost approximates the current fair value of a security, but since the value is not obtained from a quoted price in an active market, securities valued at amortized cost are considered to be valued using Level 2 inputs.

D.  Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	6
Undistributed Long-Term Gains	—
Capital Loss Carryforwards (Non-expiring)*	(22	)
Net Unrealized Gains (Losses)	—

* The fund used capital loss carryforwards of $3,000 to offset taxable capital gains realized during the year ended December 31, 2019.

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	1,254,495
Gross Unrealized Appreciation	—
Gross Unrealized Depreciation	—
Net Unrealized Appreciation (Depreciation)	—

E.  At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 88% of the portfolio’s net assets. If this shareholder was to redeem its investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

F.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

273

Money Market Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Money Market Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Money Market Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

274

Real Estate Index Portfolio

Your Portfolio’s Performance at a Glance

•   For the 12 months ended December 31, 2019, the Real Estate Index Portfolio returned 28.81%, in line with its target benchmark index after factoring in the portfolio’s expenses, and about 2 percentage points behind the broad U.S. stock market.

•   The Federal Reserve reduced its target for short-term interest rates three times during the year. Real estate investment trusts (REITs), which are particularly sensitive to rate changes, attracted investors searching for more solid sources of income in the low-rate environment.

•   All subsectors of the REIT market finished in positive territory. Specialized REITs, which account for about a third of the portfolio, added the most to results. Residential, industrial, office, health care, and diversified REITs also made notable contributions.

•   Please note that the portfolio returns in Vanguard Variable Insurance Fund (VVIF) are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer
	Average Annual Total Returns
	Periods Ended December 31, 2019
	One Year		Three Years		Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43	%	15.05	%	11.48	%
Russell 2000 Index (Small-caps)	25.53		8.59		8.23
Russell 3000 Index (Broad U.S. market)	31.02		14.57		11.24
FTSE All-World ex US Index (International)	21.81		9.96		5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72	%	4.03	%	3.05	%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54		4.72		3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25		1.65		1.04
CPI
Consumer Price Index	2.29	%	2.10	%	1.82	%

275

Real Estate Index Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 portfolio’s costs in two ways:

•   Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•   Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Real Estate Index Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,080.19	$1.36
Based on Hypothetical 5% Yearly Return	1,000.00	1,023.89	1.33

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.26%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

276

Real Estate Index Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019

Initial Investment of $10,000

		Average Annual Total Returns			Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	Real Estate Index Portfolio	28.81%	7.19%	11.90%	$30,772
	Real Estate Spliced Index	29.03	7.42	12.13	31,431
	Dow Jones U.S. Total Stock Market Float Adjusted Index	30.90	11.18	13.43	35,251

Real Estate Spliced Index: MSCI US REIT Index adjusted to include a 2% cash position (Lipper Money Market Average) through April 30, 2009; the MSCI US REIT Index through January 18, 2018; and the MSCI US Investable Market Real Estate 25/50 Index thereafter.

See Financial Highlights for dividend and capital gains information.

277

Real Estate Index Portfolio

Subindustry Diversification

As of December 31, 2019

Diversified REITs	4.8%
Health Care REITs	9.6
Hotel & Resort REITs	4.2
Industrial REITs	8.3
Office REITs	9.5
Residential REITs	14.6
Retail REITs	12.0
Specialized REITs	33.2
Real Estate Management and Development	3.8

The table reflects the portfolio’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

278

Real Estate Index Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

			Market
			Value•
		Shares	($000	)
Equity Real Estate Investment Trusts (REITs) (96.1%)1
Diversified REITs (4.8%)
	WP Carey Inc.	166,211	13,304
	VEREIT Inc.	1,025,658	9,477
	Liberty Property Trust	152,367	9,150
	STORE Capital Corp.	213,175	7,939
	PS Business Parks Inc.	20,081	3,311
	Washington REIT	77,594	2,264
	American Assets Trust Inc.	49,172	2,257
	Colony Capital Inc.	447,869	2,127
	Empire State Realty Trust Inc.	146,452	2,044
	Essential Properties Realty Trust Inc.	73,947	1,835
	Global Net Lease Inc.	81,806	1,659
	Alexander & Baldwin Inc.	66,358	1,391
	Armada Hoffler Properties Inc.	51,086	937
	iStar Inc.	60,180	873
	Gladstone Commercial Corp.	30,059	657
	One Liberty Properties Inc.	14,567	396
*,§	Winthrop Realty Trust	32,397	28
			59,649
Health Care REITs (9.6%)
	Welltower Inc.	394,404	32,254
	Ventas Inc.	362,744	20,945
	Healthpeak Properties Inc.	477,627	16,464
	Medical Properties Trust Inc.	496,604	10,483
	Omega Healthcare Investors Inc.	212,664	9,006
	Healthcare Trust of America Inc. Class A	199,577	6,043
	Healthcare Realty Trust Inc.	125,955	4,203
	Sabra Health Care REIT Inc.	184,999	3,948
	National Health Investors Inc.	42,068	3,428
	Physicians Realty Trust	180,872	3,426
	Senior Housing Properties Trust	230,360	1,944
	CareTrust REIT Inc.	92,577	1,910
	LTC Properties Inc.	38,504	1,724
	Universal Health Realty Income Trust	12,708	1,492
	Community Healthcare Trust Inc.	17,872	766
	New Senior Investment Group Inc.	80,535	616
	Global Medical REIT Inc.	39,551	523
			119,175
Hotel & Resort REITs (4.2%)
	Host Hotels & Resorts Inc.	711,309	13,195
	Park Hotels & Resorts Inc.	232,831	6,023
	Ryman Hospitality Properties Inc.	47,634	4,128
	Service Properties Trust	161,190	3,922
	MGM Growth Properties LLC Class A	111,091	3,440
	Pebblebrook Hotel Trust	127,993	3,431
	Apple Hospitality REIT Inc.	208,759	3,392
	Sunstone Hotel Investors Inc.	220,264	3,066
	RLJ Lodging Trust	169,838	3,010
	Xenia Hotels & Resorts Inc.	109,152	2,359
	DiamondRock Hospitality Co.	193,998	2,150
	Summit Hotel Properties Inc.	101,743	1,256
	Chatham Lodging Trust	45,726	839
	Hersha Hospitality Trust Class A	36,250	527
	CorePoint Lodging Inc.	39,021	417
	Ashford Hospitality Trust Inc.	94,335	263
	Braemar Hotels & Resorts Inc.	26,792	239
			51,657
Industrial REITs (8.3%)
	Prologis Inc.	614,038	54,735
	Duke Realty Corp.	351,565	12,189
	Americold Realty Trust	177,061	6,208
	First Industrial Realty Trust Inc.	123,146	5,112
	Rexford Industrial Realty Inc.	106,834	4,879
	EastGroup Properties Inc.	36,578	4,853
	STAG Industrial Inc.	124,114	3,918
	Terreno Realty Corp.	63,956	3,463
	Lexington Realty Trust Class B	204,649	2,173
	Hannon Armstrong Sustainable Infrastructure Capital Inc.	63,654	2,048
	Industrial Logistics Properties Trust	63,059	1,414
	Monmouth Real Estate Investment Corp.	87,871	1,272
^	Innovative Industrial Properties Inc.	10,978	833
			103,097
Office REITs (9.5%)
	Boston Properties Inc.	150,386	20,732
	Alexandria Real Estate Equities Inc.	110,278	17,819
	Vornado Realty Trust	166,885	11,098
	Kilroy Realty Corp.	98,120	8,232
	SL Green Realty Corp.	80,179	7,367
	Douglas Emmett Inc.	161,907	7,108
	Cousins Properties Inc.	141,460	5,828
	Hudson Pacific Properties Inc.	150,291	5,658
	JBG SMITH Properties	124,333	4,960
	Highwoods Properties Inc.	101,141	4,947
	Equity Commonwealth	118,772	3,899
	Corporate Office Properties Trust	109,490	3,217
	Piedmont Office Realty Trust Inc. Class A	123,285	2,742
	Brandywine Realty Trust	170,705	2,689
	Paramount Group Inc.	181,442	2,526
	Columbia Property Trust Inc.	113,262	2,368
	Mack-Cali Realty Corp.	87,728	2,029
	Easterly Government Properties Inc.	68,985	1,637
	Office Properties Income Trust	46,645	1,499
	Franklin Street Properties Corp.	104,158	891
	City Office REIT Inc.	52,875	715
			117,961
Residential REITs (14.6%)
	Equity Residential	360,785	29,195
	AvalonBay Communities Inc.	135,816	28,481
	Essex Property Trust Inc.	63,961	19,243
	Invitation Homes Inc.	523,493	15,689
	Mid-America Apartment Communities Inc.	110,990	14,635
	UDR Inc.	285,137	13,316
	Sun Communities Inc.	88,155	13,232
	Equity LifeStyle Properties Inc.	168,252	11,843
	Camden Property Trust	94,246	10,000
	Apartment Investment & Management Co.	144,835	7,481
	American Homes 4 Rent Class A	262,313	6,875
	American Campus Communities Inc.	133,616	6,284
	Independence Realty Trust Inc.	88,730	1,249
	NexPoint Residential Trust Inc.	18,919	851
	Investors Real Estate Trust	11,169	810
	Front Yard Residential Corp.	49,478	611
	Preferred Apartment Communities Inc. Class A	43,231	576
	UMH Properties Inc.	35,299	555
			180,926
Retail REITs (12.0%)
	Simon Property Group Inc.	299,882	44,670
	Realty Income Corp.	309,757	22,807
	Regency Centers Corp.	163,282	10,302
	Federal Realty Investment Trust	72,809	9,373
	National Retail Properties Inc.	158,837	8,517
	Kimco Realty Corp.	410,139	8,494
	Brixmor Property Group Inc.	289,715	6,261
	Spirit Realty Capital Inc.	87,767	4,316

279

Real Estate Index Portfolio

				Market
				Value•
		Shares		($000	)
	Weingarten Realty Investors	119,479		3,733
^	Macerich Co.	109,516		2,948
	Agree Realty Corp.	41,008		2,878
	Retail Properties of America Inc.	206,987		2,774
	Urban Edge Properties	117,416		2,252
	Acadia Realty Trust	81,825		2,122
	SITE Centers Corp.	139,964		1,962
	Retail Opportunity Investments Corp.	110,741		1,956
	Taubman Centers Inc.	59,251		1,842
	Kite Realty Group Trust	81,404		1,590
	American Finance Trust Inc.	103,234		1,369
	Seritage Growth Properties Class A	33,914		1,359
^	Tanger Factory Outlet Centers Inc.	90,655		1,335
	RPT Realty	77,623		1,167
	Getty Realty Corp.	33,985		1,117
	Alexander’s Inc.	2,212		731
	Urstadt Biddle Properties Inc. Class A	28,790		715
	Saul Centers Inc.	13,416		708
^	Washington Prime Group Inc.	180,008		655
	Retail Value Inc.	14,702		541
	Whitestone REIT	36,779		501
^	Pennsylvania REIT	71,364		380
	Cedar Realty Trust Inc.	85,440		252
	Spirit MTA REIT	42,040		32
				149,659
Specialized REITs (33.1%)
	American Tower Corp.	430,674		98,978
	Crown Castle International Corp.	404,528		57,504
	Equinix Inc.	82,510		48,161
	Public Storage	152,884		32,558
	SBA Communications Corp. Class A	110,070		26,526
	Digital Realty Trust Inc.	202,663		24,267
	Weyerhaeuser Co.	724,760		21,888
	Extra Space Storage Inc.	124,961		13,198
	VICI Properties Inc.	448,722		11,465
	Iron Mountain Inc.	278,991		8,891
	Gaming and Leisure Properties Inc.	198,166		8,531
	Lamar Advertising Co. Class A	83,577		7,460
	CyrusOne Inc.	110,043		7,200
	CubeSmart	187,194		5,893
	EPR Properties	75,482		5,332
	Life Storage Inc.	45,408		4,917
	Rayonier Inc.	126,376		4,140
	CoreSite Realty Corp.	35,965		4,032
	Outfront Media Inc.	139,823		3,750
	QTS Realty Trust Inc. Class A	53,577		2,908
	PotlatchDeltic Corp.	65,689		2,842
	CoreCivic Inc.	115,268		2,003
	GEO Group Inc.	117,514		1,952
	National Storage Affiliates Trust	57,449		1,931
	Four Corners Property Trust Inc.	66,246		1,867
	Uniti Group Inc.	187,157		1,537
	CorEnergy Infrastructure Trust Inc.	13,108		586
	CatchMark Timber Trust Inc. Class A	47,483		545
	Jernigan Capital Inc.	21,540		412
	Safehold Inc.	9,798		395
				411,669
Total Equity Real Estate Investment Trusts (REITs) (Cost $1,093,553)				1,193,793
Real Estate Management & Development (3.8%)1
*	CBRE Group Inc. Class A	311,282		19,078
	Jones Lang LaSalle Inc.	50,093		8,721
*	Howard Hughes Corp.	39,985		5,070
	Kennedy-Wilson Holdings Inc.	124,080		2,767
	Newmark Group Inc. Class A	143,946		1,937
*	Cushman & Wakefield plc	94,647		1,935
*,^	Redfin Corp.	71,357		1,509
^	Realogy Holdings Corp.	110,760		1,072
*	Marcus & Millichap Inc.	22,767		848
	RE/MAX Holdings Inc. Class A	18,043		694
*	St. Joe Co.	34,711		688
	RMR Group Inc. Class A	14,631		668
*	Five Point Holdings LLC Class A	49,235		342
*	Tejon Ranch Co.	21,312		341
*	FRP Holdings Inc.	6,769		337
*	Forestar Group Inc.	16,023		334
*,^	eXp World Holdings Inc.	20,656		234
*	Altisource Portfolio Solutions SA	6,356		123
Total Real Estate Management & Development (Cost $41,907)				46,698
Temporary Cash Investments (0.3%)1
Money Market Fund (0.3%)
2,3	Vanguard Market Liquidity Fund, 1.816%	38,726		3,873
		Face
		Amount
		($000	)
U.S. Government and Agency Obligations (0.0%)
4	United States Treasury Bill, 1.541%, 4/30/20	100		100
Total Temporary Cash Investments (Cost $3,973)				3,973
Total Investments (100.2%) (Cost $1,139,433)				1,244,464

	Amount
	($000	)
Other Assets and Liabilities (-0.2%)
Other Assets
Investment in Vanguard	56
Receivables for Investment Securities Sold	1
Receivables for Accrued Income	5,402
Receivables for Capital Shares Issued	297
Variation Margin Receivable—Futures Contracts	15
Other Assets	46
Total Other Assets	5,817
Liabilities
Payables for Investment Securities Purchased	(2,011	)
Collateral for Securities on Loan	(3,858	)
Payables for Capital Shares Redeemed	(1,288	)
Payables to Vanguard	(526	)
Other Liabilities	(147	)
Total Liabilities	(7,830	)
Net Assets (100%)
Applicable to 90,431,333 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	1,242,451
Net Asset Value Per Share	$13.74
At December 31, 2019, net assets consisted of:
	Amount
	($000	)
Paid-in Capital	1,093,312
Total Distributable Earnings (Loss)	149,139
Net Assets	1,242,451

• See Note A in Notes to Financial Statements.

* Non-income-producing security.

§	Security value determined using significant unobservable inputs.
^	Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $3,753,000.

1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the portfolio’s effective common stock and temporary cash investment positions represent 100.1% and 0.1%, respectively, of net assets.

2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

3 Collateral of $3,858,000 was received for securities on loan.

4	Securities with a value of $89,000 have been segregated as initial margin for open futures contracts.
	REIT—Real Estate Investment Trust.

280

Real Estate Index Portfolio

Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
				($000)
				Value and
		Number of		Unrealized
		Long (Short)	Notional	Appreciation
	Expiration	Contracts	Amount	(Depreciation)
Long Futures Contracts
Dow Jones U.S. Real Estate Index	March 2020	65	2,389	85

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

281

Real Estate Index Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000	)
Investment Income
Income
Dividends	32,059
Interest1	32
Securities Lending—Net	61
Total Income	32,152
Expenses
The Vanguard Group—Note B
Investment Advisory Services	173
Management and Administrative	2,658
Marketing and Distribution	112
Custodian Fees	25
Auditing Fees	35
Shareholders’ Reports	19
Trustees’ Fees and Expenses	1
Total Expenses	3,023
Expenses Paid Indirectly	(19	)
Net Expenses	3,004
Net Investment Income	29,148
Realized Net Gain (Loss)
Investment Securities Sold1	11,579
Futures Contracts	270
Capital Gain Distributions Received	5,739
Realized Net Gain (Loss)	17,588
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	229,952
Futures Contracts	218
Change in Unrealized Appreciation (Depreciation)	230,170
Net Increase (Decrease) in Net Assets Resulting from Operations	276,906

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the portfolio were $29,000, $3,000, and ($1,000), respectively. Purchases and sales are for temporary cash investment purposes.

Statement of Changes in Net Assets

	Year EndedDecember 31,
	2019		2018
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	29,148		30,686
Realized Net Gain (Loss)	17,588		53,322
Change in Unrealized Appreciation (Depreciation)	230,170		(141,621	)
Net Increase (Decrease) in Net Assets Resulting from Operations	276,906		(57,613	)
Distributions
Net Investment Income	(30,595	)	(30,725	)
Realized Capital Gain1	(55,292	)	(37,675	)
Total Distributions	(85,887	)	(68,400	)
Capital Share Transactions
Issued	159,509		145,927
Issued in Lieu of Cash Distributions	85,887		68,400
Redeemed	(159,033	)	(200,093	)
Net Increase (Decrease) from Capital Share Transactions	86,363		14,234
Total Increase (Decrease)	277,382		(111,779	)
Net Assets
Beginning of Period	965,069		1,076,848
End of Period	1,242,451		965,069

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $6,455,000 and $441,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

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Financial Highlights

For a Share Outstanding					Year Ended December 31,
Throughout Each Period	2019		2018		2017		2016		2015
Net Asset Value, Beginning of Period	$11.57		$13.14		$13.48		$13.77		$14.17
Investment Operations
Net Investment Income	.329	1	.367	1	.375	1	.346		.358
Net Realized and Unrealized Gain (Loss) on Investments	2.874		(1.084	)	.220		.734		(.032	)
Total from Investment Operations	3.203		(.717	)	.595		1.080		.326
Distributions
Dividends from Net Investment Income	(.368	)	(.383	)	(.336	)	(.375	)	(.251	)
Distributions from Realized Capital Gains	(.665	)	(.470	)	(.599	)	(.995	)	(.475	)
Total Distributions	(1.033	)	(.853	)	(.935	)	(1.370	)	(.726	)
Net Asset Value, End of Period	$13.74		$11.57		$13.14		$13.48		$13.77
Total Return	28.81%		-5.35%		4.78%		8.36%		2.22%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$1,242		$965		$1,077		$1,093		$990
Ratio of Total Expenses to Average Net Assets	0.26%		0.26%		0.27%		0.27%		0.27%
Ratio of Net Investment Income to Average Net Assets	2.52%		3.04%		2.87%		2.55%		2.60%
Portfolio Turnover Rate	7%		35%		10%		14%		21%

1 Calculated based on average shares outstanding.

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

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Notes to Financial Statements

The Real Estate Index Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts.

A.  The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The portfolio 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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the portfolio’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. 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.

2. Futures Contracts: The portfolio uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The portfolio may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the portfolio 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 portfolio 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 portfolio’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).

During the year ended December 31, 2019, the portfolio’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

3. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

5. Securities Lending: To earn additional income, the portfolio lends its securities to qualified institutional borrowers. Security loans are subject to termination by the portfolio at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The portfolio further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties.

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The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the portfolio may experience delays and costs in recovering the securities loaned. The portfolio invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the portfolio is entitled to all distributions made on or in respect of the loaned securities.

6. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

7. Other: Distributions received from investment securities are recorded on the ex-dividend date. Each investment security typically reports annually the tax character of its distributions. Dividend income, capital gain distributions received, and unrealized appreciation (depreciation) reflect the amounts of taxable income, capital gain, and return of capital reported by the investment securities, and management’s estimates of such amounts for investment security distributions for which actual information has not been reported. Interest income includes income distributions received from Vanguard Market Liquidity Fund and is accrued daily. Premiums and discounts on debt securities are amortized and accreted, respectively, to interest income over the lives of the respective securities, except for premiums on certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $56,000, representing less than 0.01% of the portfolio’s net assets and 0.02% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  The portfolio’s custodian bank has agreed to reduce its fees when the portfolio maintains cash on deposit in the non-interest-bearing custody account. For the year ended December 31, 2019, custodian fee offset arrangements reduced the portfolio’s expenses by $19,000 (an annual rate of less than 0.01% of average net assets).

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D.  Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the portfolio’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:

	Level 1		Level 2		Level 3
Investments	($000	)	($000	)	($000	)
Common Stocks	1,240,463		—		28
Temporary Cash Investments	3,873		100		—
Futures Contracts—Assets1	15		—		—
Total	1,244,351		100		28

1 Represents variation margin on the last day of the reporting period.

E.  Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

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

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	26,310
Undistributed Long-Term Gains	16,178
Capital Loss Carryforwards (Non-expiring)	—
Net Unrealized Gains (Losses)	105,031

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	1,139,433
Gross Unrealized Appreciation	229,375
Gross Unrealized Depreciation	(124,344	)
Net Unrealized Appreciation (Depreciation)	105,031

F.  During the year ended December 31, 2019, the portfolio purchased $122,461,000 of investment securities and sold $81,611,000 of investment securities, other than temporary cash investments.

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Real Estate Index Portfolio

G.  Capital shares issued and redeemed were:

	Year Ended December 31,
	2019		2018
	Shares		Shares
	(000	)	(000	)
Issued	12,229		12,072
Issued in Lieu of Cash Distributions	7,040		6,005
Redeemed	(12,225	)	(16,621	)
Net Increase (Decrease) in Shares Outstanding	7,044		1,456

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 44% of the portfolio’s net assets. If this shareholder were to redeem its investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

H.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

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Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Real Estate Index Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Real Estate Index Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Vanguard Real Estate Index Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $48,837,000 as capital gain dividends (from net long-term capital gains) to shareholders during the fiscal year. The portfolio designates $47,555,000 of its capital gain dividends as 20% rate gain distributions and $1,282,000 as unrecaptured section 1250 gain distributions (25% rate gain).

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THESE FUNDS ARE NOT SPONSORED, ENDORSED, SOLD OR PROMOTED BY MSCI INC. (“MSCI”), ANY OF ITS AFFILIATES, ANY OF ITS DIRECT OR INDIRECT INFORMATION PROVIDERS OR ANY OTHER THIRD PARTY INVOLVED IN, OR RELATED TO, COMPILING, COMPUTING OR CREATING ANY MSCI INDEX (COLLECTIVELY, THE “MSCI PARTIES”). THE MSCI INDEXES ARE THE EXCLUSIVE PROPERTY OF MSCI. MSCI AND THE MSCI INDEX NAMES ARE SERVICE MARK(S) OF MSCI OR ITS AFFILIATES AND HAVE BEEN LICENSED FOR USE FOR CERTAIN PURPOSES BY VANGUARD. NONE OF THE MSCI PARTIES MAKES ANY REPRESENTATION OR WARRANTY, EXPRESS OR IMPLIED, TO THE OWNERS OF THESE FUNDS OR ANY MEMBER OF THE PUBLIC REGARDING THE ADVISABILITY OF INVESTING IN FUNDS GENERALLY OR IN THESE FUNDS PARTICULARLY OR THE ABILITY OF ANY MSCI INDEX TO TRACK CORRESPONDING STOCK MARKET PERFORMANCE. MSCI OR ITS AFFILIATES ARE THE LICENSORS OF CERTAIN TRADEMARKS, SERVICE MARKS AND TRADE NAMES AND OF THE MSCI INDEXES WHICH ARE DETERMINED, COMPOSED AND CALCULATED BY MSCI WITHOUT REGARD TO THESE FUNDS OR THE ISSUER OR OWNER OF THESE FUNDS. NONE OF THE MSCI PARTIES HAS ANY OBLIGATION TO TAKE THE NEEDS OF THE ISSUERS OR OWNERS OF THESE FUNDS INTO CONSIDERATION IN DETERMINING, COMPOSING OR CALCULATING THE MSCI INDEXES. NONE OF THE MSCI PARTIES IS RESPONSIBLE FOR OR HAS PARTICIPATED IN THE DETERMINATION OF THE TIMING OF, PRICES AT, OR QUANTITIES OF THESE FUNDS TO BE ISSUED OR IN THE DETERMINATION OR CALCULATION OF THE CONSIDERATION INTO WHICH THESE FUNDS ARE REDEEMABLE. NONE OF THE MSCI PARTIES HAS ANY OBLIGATION OR LIABILITY TO THE OWNERS OF THESE FUNDS IN CONNECTION WITH THE ADMINISTRATION, MARKETING OR OFFERING OF THESE FUNDS.

ALTHOUGH MSCI SHALL OBTAIN INFORMATION FOR INCLUSION IN OR FOR USE IN THE CALCULATION OF THE MSCI INDEXES FROM SOURCES WHICH MSCI CONSIDERS RELIABLE, NONE OF THE MSCI PARTIES WARRANTS OR GUARANTEES THE ORIGINALITY, ACCURACY AND/OR THE COMPLETENESS OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. NONE OF THE MSCI PARTIES MAKES ANY WARRANTY, EXPRESS OR IMPLIED, AS TO RESULTS TO BE OBTAINED BY LICENSEE, LICENSEE’S CUSTOMERS OR COUNTERPARTIES, ISSUERS OF THE FUNDS, OWNERS OF THE FUNDS, OR ANY OTHER PERSON OR ENTITY, FROM THE USE OF ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN IN CONNECTION WITH THE RIGHTS LICENSED HEREUNDER OR FOR ANY OTHER USE. NONE OF THE MSCI PARTIES SHALL HAVE ANY LIABILITY FOR ANY ERRORS, OMISSIONS OR INTERRUPTIONS OF OR IN CONNECTION WITH ANY MSCI INDEX OR ANY DATA INCLUDED THEREIN. FURTHER, NONE OF THE MSCI PARTIES MAKES ANY EXPRESS OR IMPLIED WARRANTIES OF ANY KIND, AND THE MSCI PARTIES HEREBY EXPRESSLY DISCLAIM ALL WARRANTIES OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE, WITH RESPECT TO ANY MSCI INDEX AND ANY DATA INCLUDED THEREIN. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT SHALL ANY OF THE MSCI PARTIES HAVE ANY LIABILITY FOR ANY DIRECT, INDIRECT, SPECIAL, PUNITIVE, CONSEQUENTIAL OR ANY OTHER DAMAGES (INCLUDING WITHOUT LIMITATION LOST PROFITS) EVEN IF NOTIFIED OF THE POSSIBILITY OF SUCH DAMAGES.

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Short-Term Investment-Grade Portfolio

Your Portfolio’s Performance at a Glance

•   For the 12 months ended December 31, 2019, the Short-Term Investment-Grade Portfolio returned 5.69%, lagging the 6.58% return of its benchmark index, the Bloomberg Barclays U.S. 1–5 Year Credit Bond Index.

•   The year was marked by concerns about slowing global growth, escalations in trade disputes, flare-ups in geopolitical tensions, and uncertainty over the United Kingdom’s exit from the European Union. The more challenging outlook prompted the Federal Reserve to cut interest rates three times in 2019; other major central banks adopted more accommodative monetary policies as well. The U.S. Treasury yield curve flattened across the maturity spectrum. Corporate earnings generally proved more resilient than expected and corporate defaults remained low, helping the average yield spread for corporate bonds versus Treasuries to narrow significantly.

•   Corporate bonds as a whole returned more than 14%. Bonds issued by industrial companies and utilities outperformed those of financial institutions. By credit quality, lower-rated investment-grade bonds bested higher-rated ones. And by maturity, longer-dated bonds significantly outperformed.

•   The portfolio’s duration was a little shorter than that of its benchmark index, which contributed to its underperformance given that bond yields ended the 12 months significantly lower. Other detractors were overall security selection and an allocation to asset-backed and commercial mortgage-backed securities—higher-quality defensive credit segments that are not part of the benchmark. A modest overweight to credit, on the other hand, added value.

•   Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer

				Average Annual Total Returns
				Periods Ended December 31, 2019
	One Year			Three Years			Five Years
Stocks
Russell 1000 Index (Large-caps)		31.43	%		15.05	%		11.48	%
Russell 2000 Index (Small-caps)		25.53			8.59			8.23
Russell 3000 Index (Broad U.S. market)		31.02			14.57			11.24
FTSE All-World ex US Index (International)		21.81			9.96			5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)		8.72	%		4.03	%		3.05	%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)		7.54			4.72			3.53
FTSE Three-Month U.S. Treasury Bill Index		2.25			1.65			1.04
CPI
Consumer Price Index		2.29	%		2.10	%		1.82	%

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Short-Term Investment-Grade Portfolio

Advisor’s Report

With bond yields falling in 2019, prices rose, contributing to strong returns for the 12 months ended December 31, 2019. The Short-Term Investment-Grade Portfolio returned 5.69%, lagging the 6.58% return of its benchmark index, the Bloomberg Barclays U.S. 1–5 Year Credit Bond Index.

Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the portfolio), which take into account insurance-related expenses.

With yields falling, the portfolio’s 30-day SEC yield stood at 2.21% as of December 31, down from 3.32% a year earlier. The 30-day SEC yield is a proxy for a portfolio’s potential annualized rate of income.

U.S. monetary policy reversed direction in 2019

Although U.S. gross domestic product, the broadest measure of economic activity, expanded in the first quarter of 2019 at an annual rate of about 3% after adjusting for inflation, the pace has slowed since then amid fading effects from tax cuts, weaker business confidence, and trade disputes. The labor market remained robust even as job creation eased a little. The unemployment rate continued to trend lower, falling to 3.5% by late 2019, which helped keep consumers spending. The Federal Reserve’s preferred measure of inflation remained below its 2% target.

Signs of slowing growth at home and abroad led to a pivot in monetary policy. After raising interest rates four times in 2018, the Fed went on to cut them three times in 2019. Those cuts, the first in more than a decade, were justified by policymakers as “insurance” meant to cushion the effects of trade policies and prolong an economic expansion already in its 11th year.

Yields of U.S. Treasuries fell and corporate spreads narrowed

Fed action pushed shorter-term U.S. Treasury yields significantly lower. The yield of the 2-year Treasury note fell 92 basis points over the period to 1.57%. (A basis point is one-hundredth of a percentage point.)

Demand for longer-term Treasury bonds was supported at times by escalating trade tensions, geopolitical flare-ups, and political uncertainties in Europe. The outlook for slower growth and falling inflation expectations, however, led yields on these securities to end the period lower. The yield of the bellwether 10-year Treasury note ended 77 basis points lower, at 1.92%.

Corporate fundamentals proved more resilient than expected and corporate defaults remained low. The average yield spread of investment-grade corporate bonds over Treasuries narrowed to 93 basis points at the end of 2019; it was 153 basis points a year earlier.

The portfolio finished a few steps behind its benchmark

The portfolio had a few pockets of under-performance. It maintains a relatively consistent duration of 2.5 years, while the benchmark’s is a few tenths of a year longer. That modestly shorter duration hurt results as interest rates fell meaningfully over the 12 months.

For diversification purposes across the investment-grade credit sector, we had allocations to asset-backed and commercial mortgage-backed securities, which fall outside the portfolio’s benchmark index. These two defensive segments underper-formed other credit sectors such as investment-grade corporates during a year when lower-quality credit performed well. Security selection also detracted in the aggregate.

We did add value in some areas, notably with a modestly overweight allocation to credit.

More central bank easing possible amid continuing uncertainty

The prospect of slowing growth and tame inflation is likely to elicit more monetary easing by major central banks, including the Fed, which may further cut rates depending on developments that include economic growth, trade tariffs, and the shape of the yield curve.

We expect to see periods of turbulence in the global economy in 2020. Based on that outlook and the fact that rates are low and credit spreads are tight, we are positioned going into the new fiscal year with plenty of dry powder on hand, which will allow us to take advantage of price dislocations as they arise.

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

Portfolio Managers:

Daniel Shaykevich, Principal

Samuel C. Martinez, CFA

Arvind Narayanan, CFA

Vanguard Fixed Income Group

January 24, 2020

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Short-Term Investment-Grade Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 table below illustrates your portfolio’s costs in two ways:

•   Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•   Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019

	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Short-Term Investment-Grade Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,015.93	$0.71
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.50	0.71

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.14%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

292

Short-Term Investment-Grade Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost.The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019

Initial Investment of $10,000

 

		Average Annual Total Returns			Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	Short-Term Investment-Grade Portfolio	5.69%	2.52%	2.70%	$13,055
	Bloomberg Barclays U.S. 1–5 Year Credit Bond Index	6.58	2.71	3.07	13,525
	Bloomberg Barclays U.S. Aggregate Bond Index	8.72	3.05	3.75	14,445

See Financial Highlights for dividend and capital gains information.

293

Short-Term Investment-Grade Portfolio

Sector Diversification

As of December 31, 2019

Asset-Backed/Commercial Mortgage-Backed	23.8	%
Finance	26.4
Foreign	5.2
Government Mortgage-Backed	0.5
Industrial	27.4
Treasury/Agency	12.2
Utilities	4.4
Other	0.1

The table reflects the fund’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

294

Short-Term Investment-Grade Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Face	Market
			Maturity	Amount	Value•
		Coupon	Date	($000)	($000)
U.S. Government and Agency Obligations (4.1%)
U.S. Government Securities (2.2%)
	United States Treasury Note/Bond	2.250%	2/15/21	41	42
	United States Treasury Note/Bond	2.375%	4/15/21	30,000	30,286
1	United States Treasury Note/Bond	2.000%	7/31/22	11,300	11,411
	United States Treasury Note/Bond	2.875%	8/15/28	400	431
					42,170
Nonconventional Mortgage-Backed Securities (1.9%)
2,3,4	Fannie Mae Pool, 12M USD LIBOR + 1.704%	4.829%	2/1/37	10	10
2,3,4	Fannie Mae Pool, 12M USD LIBOR + 1.750%	4.000%	9/1/32	5	5
2,3,4	Fannie Mae Pool, 12M USD LIBOR + 1.760%	4.387%	8/1/37	9	9
2,3,4	Fannie Mae Pool, 12M USD LIBOR + 1.785%	4.035%	8/1/33	26	27
2,3,4	Fannie Mae Pool, 12M USD LIBOR + 1.785%	4.410%	8/1/33	15	15
2,3,4	Fannie Mae Pool, 12M USD LIBOR + 1.800%	4.486%	7/1/33	69	71
2,3,4	Fannie Mae Pool, 12M USD LIBOR + 1.960%	4.585%	5/1/33	2	2
2,3,4	Fannie Mae Pool, 1Y CMT + 2.000%	4.097%	12/1/32	5	5
2,3,4	Fannie Mae Pool, 1Y CMT + 2.125%	4.600%	6/1/33	22	23
2,3,4	Fannie Mae Pool, 1Y CMT + 2.185%	4.560%	7/1/32	3	3
2,3,4	Fannie Mae Pool, 1Y CMT + 2.210%	4.733%	5/1/33	29	30
2,3	Fannie Mae-Aces 2011-48D	3.000%	9/25/49	729	746
2,3	Fannie Mae-Aces 2011-50F	3.000%	9/25/49	1,188	1,211
2,3	Fannie Mae-Aces 2011-77A	3.000%	4/25/44	2,830	2,873
2,3	Fannie Mae-Aces 2011-90A	3.500%	12/25/45	547	566
2,3	Fannie Mae-Aces 2012-124E	1.500%	11/25/42	928	889
2,3	Fannie Mae-Aces 2013-111B	2.125%	10/25/42	678	673
2,3	Fannie Mae-Aces 2013-114D	2.250%	7/25/43	219	218
2,3	Fannie Mae-Aces 2013-115A	2.000%	11/25/43	659	649
2,3	Fannie Mae-Aces 2013-115B	2.100%	4/25/43	538	531
2,3	Fannie Mae-Aces 2013-115B	2.250%	10/25/43	962	953
2,3	Fannie Mae-Aces 2013-20E	1.500%	3/25/43	1,037	993
2,3	Fannie Mae-Aces 2013-46B	1.700%	5/25/43	1,107	1,076
2,3	Fannie Mae-Aces 2013-46C	1.700%	5/25/43	563	546
2,3	Fannie Mae-Aces 2013-46D	1.500%	5/25/43	1,109	1,077
2,3	Fannie Mae-Aces 2014-60E	2.000%	9/25/44	1,844	1,812
2,3	Fannie Mae-Aces 2014-86A	2.000%	12/25/44	761	748
2,3	Fannie Mae-Aces 2015-18E	1.750%	4/25/44	850	832
2,3	Fannie Mae-Aces 2015-19	2.000%	12/25/44	1,571	1,548
2,3	Fannie Mae-Aces 2015-73	1.600%	10/25/45	1,082	1,061
2,3	Fannie Mae-Aces 2016-60B	2.500%	9/25/46	1,369	1,373
2,3	Freddie Mac REMICS	2.500%	10/25/49	1,491	1,496
2,3	Freddie Mac REMICS	3.000%	10/25/48	732	747
2	Fannie Mae REMICS	3.500%	10/25/48	2,406	2,462
2,3,4	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750%	4.368%	8/1/37	30	31
2,3,4	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.893%	4.143%	9/1/32	16	16
2,3,4	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961%	3.896%	10/1/32	6	7
2,3,4	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961%	4.211%	8/1/33	11	12
2,3,4	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.961%	5.086%	2/1/33	4	5
2,3,4	Freddie Mac Non Gold Pool, 1Y CMT + 2.254%	4.254%	9/1/32	1	1
2,3	Freddie Mac REMICS	2.500%	4/15/43	1,188	1,192
2	Ginnie Mae REMICS	1.500%	10/20/45–11/20/45	8,862	8,616
2	Ginnie Mae REMICS	2.500%	11/20/47	742	745
2	Ginnie Mae REMICS	3.000%	3/20/41	200	204
					36,109
Total U.S. Government and Agency Obligations (Cost $77,602)					78,279
Asset-Backed/Commercial Mortgage-Backed Securities (21.6%)
2	Ally Auto Receivables Trust 2017-5	2.220%	10/17/22	490	491
2	Ally Auto Receivables Trust 2018-1	2.530%	2/15/23	590	594
2	Ally Auto Receivables Trust 2019-1	3.020%	4/15/24	240	246
2	Ally Auto Receivables Trust 2019-3	1.930%	5/15/24	660	660
2	Ally Auto Receivables Trust 2019-4	1.920%	1/15/25	250	249
2	Ally Master Owner Trust Series 2018-2	3.290%	5/15/23	900	915
2	Ally Master Owner Trust Series 2018-2	3.300%	7/17/23	1,320	1,346
2	American Express Credit Account Master Trust 2019-1	2.870%	10/15/24	830	848
2,5	American Homes 4 Rent 2014-SFR2	3.786%	10/17/36	274	285
2,5	American Homes 4 Rent 2014-SFR2	4.290%	10/17/36	80	84
2,5	American Homes 4 Rent 2014-SFR3	3.678%	12/17/36	401	416
2,5	American Homes 4 Rent 2015-SFR1	3.467%	4/17/52	348	357
2,5	American Homes 4 Rent 2015-SFR2	3.732%	10/17/52	167	174
2,5	American Homes 4 Rent 2015-SFR2	4.295%	10/17/52	100	106
2,5	Americold 2010 LLC Trust Series 2010-ARTA	4.954%	1/14/29	428	441
2,5	Americold 2010 LLC Trust Series 2010-ARTA	6.811%	1/14/29	275	288
2	AmeriCredit Automobile Receivables Trust 2016-2	3.650%	5/9/22	220	223
2	AmeriCredit Automobile Receivables Trust 2016-3	2.710%	9/8/22	240	241
2	AmeriCredit Automobile Receivables Trust 2018-2	4.010%	7/18/24	700	723
2	AmeriCredit Automobile Receivables Trust 2019-1	3.620%	3/18/25	560	575
2,5	AOA Mortgage Trust 2015-1177	2.957%	12/13/29	280	282
2,5	Applebee’s Funding LLC / IHOP Funding LLC 2019-1	4.194%	6/7/49	150	152
2,5	ARL Second LLC 2014-1A	2.920%	6/15/44	267	269
2,5	Aventura Mall Trust 2013-AVM	3.743%	12/5/32	480	488
2,5	Aventura Mall Trust 2018-AVM	4.112%	7/5/40	240	265
2,5	Avis Budget Rental Car Funding AESOP LLC 2015-1A	2.500%	7/20/21	360	360
2,5	Avis Budget Rental Car Funding AESOP LLC 2015-2A	2.630%	12/20/21	1,120	1,124
2,5	Avis Budget Rental Car Funding AESOP LLC 2016-1A	2.990%	6/20/22	100	101
2,5	Avis Budget Rental Car Funding AESOP LLC 2017-1A	3.070%	9/20/23	180	183
2,5	Avis Budget Rental Car Funding AESOP LLC 2017-2A	2.970%	3/20/24	120	122
2,5	Avis Budget Rental Car Funding AESOP LLC 2018-1A	3.700%	9/20/24	160	166
2,5	Avis Budget Rental Car Funding AESOP LLC 2018-2A	4.000%	3/20/25	410	437
2,5	Avis Budget Rental Car Funding AESOP LLC 2019-1A	3.450%	3/20/23	450	460
2,5	BAMLL Commercial Mortgage Securities Trust 2012-PARK	2.959%	12/10/30	125	128

295

Short-Term Investment-Grade Portfolio

					Face			Market
				Maturity	Amount			Value•
			Coupon	Date	($000		)	($000		)
2		Banc of America Commercial Mortgage Trust 2015-UBS7	3.429%	9/15/48		220			228
2		Banc of America Commercial Mortgage Trust 2015-UBS7	3.705%	9/15/48		410			436
2		Banc of America Commercial Mortgage Trust 2015-UBS7	4.361%	9/15/48		40			42
2		Banc of America Commercial Mortgage Trust 2017-BNK3	3.574%	2/15/50		110			118
2		Banc of America Funding 2006-H Trust	4.157%	9/20/46		167			153
2,5		Banc of America Merrill Lynch Large Loan Inc. BAMLL_19-BPR	3.287%	11/5/32		410			420
2		BANK 2017 - BNK4	3.625%	5/15/50		150			161
2		BANK 2017 - BNK5	3.390%	6/15/60		275			291
2		BANK 2017 - BNK6	3.254%	7/15/60		330			344
2		BANK 2017 - BNK6	3.518%	7/15/60		440			469
2		BANK 2017 - BNK6	3.741%	7/15/60		80			85
2		BANK 2017 - BNK7	3.435%	9/15/60		410			435
2		BANK 2017 - BNK8	3.488%	11/15/50		860			915
2		BANK 2017 - BNK9	3.538%	11/15/54		500			534
2		BANK 2018 - BN10	3.641%	2/15/61		300			319
2		BANK 2018 - BN10	3.688%	2/15/61		500			539
2		BANK 2018 - BN12	4.255%	5/15/61		70			78
2		BANK 2018 - BN14	4.185%	9/15/60		485			531
2		BANK 2018 - BN15	4.407%	11/15/61		563			640
2		BANK 2019 - BN17	3.623%	4/15/52		164			176
2		BANK 2019 - BN17	3.714%	4/15/52		446			484
2		BANK 2019 - BN18	3.584%	5/15/62		490			527
2		BANK 2019 - BN19	3.183%	8/15/61		530			553
2		BANK 2019 - BN20	3.011%	9/15/61		300			309
2		BANK 2019 - BN21	2.851%	10/17/52		370			376
2		BANK 2019 - BN24	2.960%	11/15/62		2,400			2,460
2		Bank of America Mortgage Trust 2002-J	4.553%	9/25/32		1			1
2		BBCMS Mortgage Trust 2019-C4	2.919%	8/15/52		600			609
2		BBCMS Mortgage Trust 2019-C5	3.063%	11/15/52		990			1,013
2		Bear Stearns ARM Trust 2006-4	3.885%	10/25/36		238			220
2		Bear Stearns ARM Trust 2007-3	4.333%	5/25/47		193			181
2		BENCHMARK 2018-B1 Mortgage Trust	3.602%	1/15/51		100			106
2		BENCHMARK 2018-B1 Mortgage Trust	3.666%	1/15/51		210			226
2		BENCHMARK 2018-B1 Mortgage Trust	3.878%	1/15/51		160			171
2		BENCHMARK 2018-B1 Mortgage Trust	4.059%	1/15/51		250			266
2		BENCHMARK 2018-B1 Mortgage Trust	4.117%	1/15/51		390			407
2		BENCHMARK 2018-B3 Mortgage Trust	4.025%	4/10/51		220			243
2		BENCHMARK 2018-B6 Mortgage Trust	4.170%	10/10/51		669			728
2		BENCHMARK 2018-B6 Mortgage Trust	4.261%	10/10/51		820			919
2		BENCHMARK 2018-B8 Mortgage Trust	4.232%	1/15/52		512			575
2		BENCHMARK 2019-B10 Mortgage Trust	3.615%	3/15/62		177			189
2		BMW Vehicle Owner Trust 2018-A	1.920%	1/25/24		1,300			1,300
2		BMW Vehicle Owner Trust 2018-A	2.510%	6/25/24		400			403
2,4		Brazos Higher Education Authority Inc. Series 2005-3, 3M USD LIBOR + 0.200%	2.147%	6/25/26		122			121
2,4		Brazos Higher Education Authority Inc. Series 2011-1, 3M USD LIBOR + 0.800%	2.710%	2/25/30		228			228
2,5		BX Trust 2019-OC11	3.202%	12/9/41		500			515
2,5		CAL Funding II Ltd. Series 2012-1A	3.470%	10/25/27		57			57
2,5		CAL Funding II Ltd. Series 2013-1A	3.350%	3/27/28		114			114
2,5		CAL Funding II Ltd. Series 2018-2A	4.340%	9/25/43		429			435
2		California Republic Auto Receivables Trust 2016-2	2.520%	5/16/22		150			150
2		California Republic Auto Receivables Trust 2016-2	3.510%	3/15/23		70			70
2,5		Canadian Pacer Auto Receivables Trust A Series 2018	3.220%	9/19/22		220			223
2,5		Canadian Pacer Auto Receivables Trust A Series 2019	2.960%	6/19/24		140			143
2,5		Canadian Pacer Auto Receiveable Trust A Series 2018	3.270%	12/19/22		180			181
2,5		Canadian Pacer Auto Receiveable Trust A Series 2018	3.440%	8/21/23		80			82
2		Cantor Commercial Real Estate Lending 2019-CF3	3.006%	1/15/53		650			663
2		Capital Auto Receivables Asset Trust 2016-2	3.160%	11/20/23		40			40
2		Capital Auto Receivables Asset Trust 2016-3	2.650%	1/20/24		80			80
2		Capital One Auto Receivables Trust 2019-1	2.510%	11/15/23		1,170			1,179
2		Capital One Auto Receivables Trust 2019-1	2.560%	10/15/24		390			395
2		Capital One Auto Receivables Trust 2019-2	1.920%	5/15/24		1,530			1,528
2		Capital One Multi-Asset Execution Trust 2019-A1	2.840%	12/15/24		2,640			2,695
2		CarMax Auto Owner Trust 2016-2	2.160%	12/15/21		120			120
2		CarMax Auto Owner Trust 2016-2	3.250%	11/15/22		140			140
2	��	CarMax Auto Owner Trust 2016-3	2.200%	6/15/22		140			140
2		CarMax Auto Owner Trust 2016-3	2.940%	1/17/23		100			100
2		CarMax Auto Owner Trust 2017-4	2.330%	5/15/23		170			171
2		CarMax Auto Owner Trust 2017-4	2.460%	8/15/23		80			80
2		CarMax Auto Owner Trust 2017-4	2.700%	10/16/23		80			81
2		CarMax Auto Owner Trust 2018-1	2.480%	11/15/22		524			526
2		CarMax Auto Owner Trust 2018-1	2.640%	6/15/23		300			303
2		CarMax Auto Owner Trust 2018-1	2.830%	9/15/23		500			507
2		CarMax Auto Owner Trust 2018-1	2.950%	11/15/23		220			221
2		CarMax Auto Owner Trust 2018-2	3.370%	10/16/23		140			144
2		CarMax Auto Owner Trust 2018-2	3.570%	12/15/23		200			206
2		CarMax Auto Owner Trust 2018-2	3.990%	4/15/25		210			216
2		CarMax Auto Owner Trust 2018-3	3.130%	6/15/23		870			882
2		CarMax Auto Owner Trust 2018-3	3.270%	3/15/24		430			442
2		CarMax Auto Owner Trust 2018-4	3.360%	9/15/23		650			662
2		CarMax Auto Owner Trust 2018-4	3.480%	2/15/24		240			249
2		CarMax Auto Owner Trust 2018-4	3.670%	5/15/24		210			218
2		CarMax Auto Owner Trust 2018-4	3.850%	7/15/24		140			145
2		CarMax Auto Owner Trust 2018-4	4.150%	4/15/25		200			208
2		CarMax Auto Owner Trust 2019-3	2.180%	8/15/24		1,500			1,503
2		CarMax Auto Owner Trust 2019-3	2.300%	4/15/25		270			271
2		CarMax Auto Owner Trust 2019-3	2.500%	4/15/25		350			351
2		CarMax Auto Owner Trust 2019-4	2.020%	11/15/24		1,650			1,652
2		CarMax Auto Owner Trust 2019-4	2.130%	7/15/25		440			441
2		CarMax Auto Owner Trust 2019-4	2.600%	9/15/25		140			139
2		CD 2016-CD1 Commercial Mortgage Trust	2.724%	8/10/49		95			96
2		CD 2016-CD1 Commercial Mortgage Trust	3.631%	8/10/49		40			40
2		CD 2017-CD3 Commercial Mortgage Trust	3.631%	2/10/50		510			546
2		CD 2017-CD4 Commercial Mortgage Trust	3.514%	5/10/50		180			191
2		CD 2017-CD5 Commercial Mortgage Trust	3.431%	8/15/50		465			490
2		CD 2017-CD6 Commercial Mortgage Trust	3.456%	11/13/50		165			174
2		CD 2019-CD8 Commercial Mortgage Trust	2.912%	8/15/57		300			306
2		CenterPoint Energy Transition Bond Co. IV LLC 2012-1	2.161%	10/15/21		123			123
2,5		CFCRE Commercial Mortgage Trust 2011-C2	5.741%	12/15/47		390			410
2		CFCRE Commercial Mortgage Trust 2016-C4	3.283%	5/10/58		502			520
2,5		Chesapeake Funding II LLC 2018-1	3.040%	4/15/30		556			562
2,5		Chesapeake Funding II LLC 2019-1	2.940%	4/15/31		1,166			1,178
2		CHL Mortgage Pass-Through Trust 2006-HYB1	3.777%	3/20/36		133			121
2		CHL Mortgage Pass-Through Trust 2007-HYB2	3.621%	2/25/47		144			124
2,5		Chrysler Capital Auto Receivables Trust 2015-BA	4.170%	1/16/23		281			281

296

Short-Term Investment-Grade Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2,5	Chrysler Capital Auto Receivables Trust 2016-AA	4.220%	2/15/23		630			633
2	Citibank Credit Card Issuance Trust 2018-A1	2.490%	1/20/23		1,903			1,915
2,5	Citigroup Commercial Mortgage Trust 2012-GC8	3.683%	9/10/45		52			53
2	Citigroup Commercial Mortgage Trust 2013-GC11	3.093%	4/10/46		156			160
2	Citigroup Commercial Mortgage Trust 2013-GC15	3.942%	9/10/46		152			157
2	Citigroup Commercial Mortgage Trust 2013-GC15	4.371%	9/10/46		90			96
2	Citigroup Commercial Mortgage Trust 2014-GC19	4.023%	3/10/47		550			585
2	Citigroup Commercial Mortgage Trust 2014-GC21	3.575%	5/10/47		87			91
2	Citigroup Commercial Mortgage Trust 2014-GC21	3.855%	5/10/47		1,208			1,278
2	Citigroup Commercial Mortgage Trust 2014-GC23	3.356%	7/10/47		336			349
2	Citigroup Commercial Mortgage Trust 2014-GC23	3.622%	7/10/47		570			602
2	Citigroup Commercial Mortgage Trust 2014-GC23	3.863%	7/10/47		310			325
2	Citigroup Commercial Mortgage Trust 2014-GC23	4.175%	7/10/47		130			134
2	Citigroup Commercial Mortgage Trust 2014-GC23	4.437%	7/10/47		153			160
2	Citigroup Commercial Mortgage Trust 2014-GC25	3.372%	10/10/47		1,400			1,456
2	Citigroup Commercial Mortgage Trust 2014-GC25	3.635%	10/10/47		1,251			1,318
2	Citigroup Commercial Mortgage Trust 2014-GC25	4.345%	10/10/47		170			179
2	Citigroup Commercial Mortgage Trust 2014-GC25	4.526%	10/10/47		20			21
2	Citigroup Commercial Mortgage Trust 2015-GC27	3.137%	2/10/48		770			797
2	Citigroup Commercial Mortgage Trust 2015-GC31	3.762%	6/10/48		1,295			1,379
2	Citigroup Commercial Mortgage Trust 2015-GC33	3.778%	9/10/58		1,389			1,481
2	Citigroup Commercial Mortgage Trust 2015-GC33	4.572%	9/10/58		100			105
2	Citigroup Commercial Mortgage Trust 2016-C1	3.209%	5/10/49		1,146			1,191
2	Citigroup Commercial Mortgage Trust 2016-P4	2.902%	7/10/49		120			123
2	Citigroup Commercial Mortgage Trust 2017-C4	3.471%	10/12/50		485			516
2	Citigroup Commercial Mortgage Trust 2017-P8	3.465%	9/15/50		1,020			1,079
2	Citigroup Commercial Mortgage Trust 2017-P8	4.192%	9/15/50		240			253
2	Citigroup Commercial Mortgage Trust 2017-P8	4.269%	9/15/50		240			250
2	Citigroup Commercial Mortgage Trust 2018-C5	4.228%	6/10/51		10			11
2	Citigroup Commercial Mortgage Trust 2018-C6	4.343%	11/10/51		650			718
2	Citigroup Commercial Mortgage Trust 2018-C6	4.412%	11/10/51		800			901
2	Citigroup Commercial Mortgage Trust 2019-C7	2.860%	12/15/72		800			804
2	Citigroup Commercial Mortgage Trust 2019-C7	3.042%	12/15/72		650			667
2	Citigroup Commercial Mortgage Trust 2019-C7	3.102%	12/15/72		1,600			1,653
2	Citigroup Mortgage Loan Trust 2007-AR8	4.469%	7/25/37		95			92
2,5	CLI Funding V LLC 2013-1A	2.830%	3/18/28		210			208
2	COMM 2012-CCRE2 Mortgage Trust	3.147%	8/15/45		75			77
2	COMM 2012-CCRE2 Mortgage Trust	3.791%	8/15/45		100			103
2	COMM 2012-CCRE3 Mortgage Trust	2.822%	10/15/45		499			504
2,5	COMM 2012-CCRE3 Mortgage Trust	3.416%	10/15/45		260			264
2	COMM 2012-CCRE4 Mortgage Trust	2.853%	10/15/45		262			266
2	COMM 2012-CCRE4 Mortgage Trust	3.251%	10/15/45		40			40
2	COMM 2012-CCRE5 Mortgage Trust	2.771%	12/10/45		70			71
2	COMM 2013-CCRE10 Mortgage Trust	3.795%	8/10/46		189			195
2	COMM 2013-CCRE11 Mortgage Trust	3.983%	8/10/50		270			285
2	COMM 2013-CCRE11 Mortgage Trust	4.258%	8/10/50		1,047			1,119
2	COMM 2013-CCRE12 Mortgage Trust	3.623%	10/10/46		276			284
2	COMM 2013-CCRE12 Mortgage Trust	3.765%	10/10/46		180			185
2	COMM 2013-CCRE12 Mortgage Trust	4.046%	10/10/46		1,006			1,066
2	COMM 2013-CCRE13 Mortgage Trust	4.194%	11/10/46		1,076			1,148
2	COMM 2013-CCRE13 Mortgage Trust	4.889%	11/10/46		110			119
2	COMM 2013-CCRE13 Mortgage Trust	4.889%	11/10/46		1,300			1,377
2,5	COMM 2013-CCRE6 Mortgage Trust	3.147%	3/10/46		250			255
2,5	COMM 2013-CCRE6 Mortgage Trust	3.397%	3/10/46		70			71
2	COMM 2013-CCRE8 Mortgage Trust	3.334%	6/10/46		38			39
2	COMM 2013-CCRE8 Mortgage Trust	3.612%	6/10/46		1,205			1,253
2	COMM 2013-CCRE9 Mortgage Trust	4.222%	7/10/45		330			350
2,5	COMM 2013-CCRE9 Mortgage Trust	4.246%	7/10/45		250			259
2,5	COMM 2013-CCRE9 Mortgage Trust	4.246%	7/10/45		280			276
2,5	COMM 2013-LC13 Mortgage Trust	3.774%	8/10/46		191			196
2	COMM 2013-LC13 Mortgage Trust	4.205%	8/10/46		315			337
2,5	COMM 2013-LC13 Mortgage Trust	4.557%	8/10/46		435			467
2	COMM 2013-LC6 Mortgage Trust	2.941%	1/10/46		100			102
2,5	COMM 2013-SFS Mortgage Trust	2.987%	4/12/35		110			112
2,5	COMM 2014-277P Mortgage Trust	3.611%	8/10/49		980			1,034
2	COMM 2014-CCRE14 Mortgage Trust	3.955%	2/10/47		50			53
2	COMM 2014-CCRE14 Mortgage Trust	4.236%	2/10/47		470			502
2	COMM 2014-CCRE15 Mortgage Trust	2.928%	2/10/47		89			89
2	COMM 2014-CCRE15 Mortgage Trust	4.074%	2/10/47		500			534
2	COMM 2014-CCRE15 Mortgage Trust	4.426%	2/10/47		250			265
2	COMM 2014-CCRE17 Mortgage Trust	3.700%	5/10/47		39			41
2	COMM 2014-CCRE17 Mortgage Trust	3.977%	5/10/47		1,141			1,213
2	COMM 2014-CCRE17 Mortgage Trust	4.174%	5/10/47		650			692
2	COMM 2014-CCRE17 Mortgage Trust	4.786%	5/10/47		200			210
2	COMM 2014-CCRE18 Mortgage Trust	3.550%	7/15/47		222			230
2	COMM 2014-CCRE18 Mortgage Trust	3.828%	7/15/47		781			825
2	COMM 2014-CCRE20 Mortgage Trust	3.326%	11/10/47		640			664
2	COMM 2014-CCRE20 Mortgage Trust	3.590%	11/10/47		926			977
2	COMM 2014-CCRE21 Mortgage Trust	3.528%	12/10/47		1,039			1,088
2	COMM 2014-LC17 Mortgage Trust	3.917%	10/10/47		479			512
2	COMM 2015-CCRE22 Mortgage Trust	3.309%	3/10/48		825			861
2	COMM 2015-CCRE24 Mortgage Trust	3.696%	8/10/48		252			268
2	COMM 2015-CCRE25 Mortgage Trust	3.759%	8/10/48		991			1,057
2	COMM 2015-CCRE26 Mortgage Trust	3.630%	10/10/48		753			797
2	COMM 2015-CCRE27 Mortgage Trust	3.612%	10/10/48		405			429
2	COMM 2015-CCRE27 Mortgage Trust	4.471%	10/10/48		825			869
2	COMM 2015-LC19 Mortgage Trust	3.183%	2/10/48		245			254
2	CSAIL 2015-C2 Commercial Mortgage Trust	3.504%	6/15/57		1,000			1,046
2	CSAIL 2015-C3 Commercial Mortgage Trust	3.718%	8/15/48		414			437
2	CSAIL 2015-C3 Commercial Mortgage Trust	4.354%	8/15/48		240			244
2	CSAIL 2015-C4 Commercial Mortgage Trust	3.808%	11/15/48		981			1,049
2	CSAIL 2016-C5 Commercial Mortgage Trust	4.577%	11/15/48		220			233
2	CSAIL 2016-C7 Commercial Mortgage Trust	3.502%	11/15/49		1,483			1,556
2	CSAIL 2017-C8 Commercial Mortgage Trust	3.392%	6/15/50		525			555
2	CSAIL 2018-CX12 Commercial Mortgage Trust	4.224%	8/15/51		520			571
2	CSAIL 2019-C15 Commercial Mortgage Trust	4.053%	3/15/52		400			440
2,5	Daimler Trucks Retail Trust 2019-1	2.790%	5/15/25		420			425
2	DBGS Mortgage Trust 2018-C1	4.466%	10/15/51		1,010			1,148

297

Short-Term Investment-Grade Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2	DBJPM 16-C1 Mortgage Trust	3.348%	5/10/49		60			59
2	DBJPM 17-C6 Mortgage Trust	3.328%	6/10/50		730			763
2,4,5	DELAM 2018-1, 1M USD LIBOR + 0.700%	2.464%	11/19/25		500			499
2,5	Dell Equipment Finance Trust 2019-1	2.830%	3/22/24		1,110			1,123
2	Discover Card Execution Note Trust 2019-A1	3.040%	7/15/24		1,000			1,024
2	Discover Card Execution Note Trust 2019-A3	1.890%	10/15/24		1,740			1,738
2,5	DLL Securitization Trust Series 2018-A3	3.460%	1/20/22		1,240			1,252
2,5	DLL Securitization Trust Series 2018-A4	3.590%	6/20/24		300			307
2,5	DLL Securitization Trust Series 2019-DA1	2.890%	4/20/23		1,000			1,008
2,5	DLL Securitization Trust Series 2019-DA1	2.920%	4/20/27		730			744
2,5	DLL Securitization Trust Series 2019-MA2	2.340%	9/20/23		1,030			1,033
2,5	DLL Securitization Trust Series 2019-MT3	2.080%	2/21/23		900			897
2,5	DLL Securitization Trust Series 2019-MT3	2.150%	9/21/26		500			498
2,5	DRB Prime Student Loan Trust 2017-C	2.810%	11/25/42		544			549
2,5	Drive Auto Receivables Trust 2016-BA	4.530%	8/15/23		332			335
2,5	Drive Auto Receivables Trust 2016-C	4.180%	3/15/24		511			518
2	Drive Auto Receivables Trust 2017-1	3.840%	3/15/23		60			61
2	Drive Auto Receivables Trust 2018-2	3.630%	8/15/24		836			840
2	Drive Auto Receivables Trust 2018-2	4.140%	8/15/24		620			633
2	Drive Auto Receivables Trust 2018-3	3.370%	9/15/22		212			213
2	Drive Auto Receivables Trust 2018-3	3.720%	9/16/24		1,000			1,008
2	Drive Auto Receivables Trust 2018-3	4.300%	9/16/24		530			543
2	Drive Auto Receivables Trust 2018-5	3.680%	7/15/23		500			504
2	Drive Auto Receivables Trust 2018-5	3.990%	1/15/25		480			492
2	Drive Auto Receivables Trust 2018-5	4.300%	4/15/26		660			681
2	Drive Auto Receivables Trust 2019-2	3.040%	3/15/23		520			523
2	Drive Auto Receivables Trust 2019-2	3.690%	8/17/26		500			513
2,4,5	Edsouth Indenture No 9 LLC 2015-1, 1M USD LIBOR + 0.800%	2.592%	10/25/56		338			337
2,5	EDvestinU Private Education Loan Trust (EDVES) 2019-A	3.580%	11/25/38		252			259
2,5	ELFI Graduate Loan Program 2018-A LLC	3.430%	8/25/42		535			547
2,5	Enterprise Fleet Financing LLC Series 2019-1	2.980%	10/20/24		300			303
2,5	Enterprise Fleet Financing LLC Series 2019-1	3.070%	10/20/24		430			439
2,3,4,5	Fannie Mae Connecticut Avenue Securities 2019-R03, 1M USD LIBOR + 0.750%	2.542%	9/25/31		154			154
2,3,4,5	Fannie Mae Connecticut Avenue Securities 2019-R04, 1M USD LIBOR + 0.750%	2.542%	6/25/39		439			439
2,3,4,5	Fannie Mae Connecticut Avenue Securities 2019-R05, 1M USD LIBOR + 0.750%	2.542%	7/25/39		876			876
2,3,4,5	Fannie Mae Connecticut Avenue Securities 2019-R06, 1M USD LIBOR + 0.750%	2.542%	9/25/39		1,075			1,075
2,3,4,5	Fannie Mae Connecticut Avenue Securities 2019-R07, 1M USD LIBOR + 0.770%	2.562%	10/25/39		2,373			2,375
2,3	Fannie Mae Grantor Trust 2017-T1	2.898%	6/25/27		489			502
2,3	FHLMC Multifamily Structured Pass Through Certificates 4122K	1.500%	10/15/42		664			635
2,3	FHLMC Multifamily Structured Pass Through Certificates 4194A	1.700%	4/15/43		963			940
2,3	FHLMC Multifamily Structured Pass Through Certificates 4213D	1.750%	11/15/41		1,774			1,752
2,3	FHLMC Multifamily Structured Pass Through Certificates 4259B	2.250%	4/15/43–6/15/43		624			620
2,3	FHLMC Multifamily Structured Pass Through Certificates 4604E	2.750%	1/15/46		862			873
2,3	FHLMC Multifamily Structured Pass Through Certificates 4764B	3.000%	10/15/45		735			747
2,3	FHLMC Multifamily Structured Pass Through Certificates 4927F	2.250%	9/25/49		742			736
2,3	FHLMC Multifamily Structured Pass Through Certificates 4935A	2.500%	12/25/49		247			248
2,3	FHLMC Multifamily Structured Pass Through Certificates 4935A	2.750%	10/25/49		247			251
2	First Horizon Mortgage Pass-Through Trust 2006-AR3	3.481%	11/25/36		72			62
	First Horizon Mortgage Pass-Through Trust 2006-AR4	4.362%	1/25/37		148			123
2	Ford Credit Auto Lease Trust 2018-A	3.170%	9/15/21		350			352
2	Ford Credit Auto Lease Trust 2018-B	3.190%	12/15/21		494			498
2	Ford Credit Auto Lease Trust 2019-A	2.900%	5/15/22		1,240			1,252
2	Ford Credit Auto Lease Trust 2019-A	3.250%	7/15/22		780			789
2,5	Ford Credit Auto Owner Trust 2015-REV2	2.440%	1/15/27		404			405
2,5	Ford Credit Auto Owner Trust 2016-REV1	2.310%	8/15/27		660			662
2,5	Ford Credit Auto Owner Trust 2016-REV2	2.030%	12/15/27		1,120			1,120
2,5	Ford Credit Auto Owner Trust 2017-1	2.620%	8/15/28		650			657
2,5	Ford Credit Auto Owner Trust 2017-2	2.360%	3/15/29		990			997
2,5	Ford Credit Auto Owner Trust 2017-2	2.600%	3/15/29		180			181
2,5	Ford Credit Auto Owner Trust 2017-2	2.750%	3/15/29		370			373
2,5	Ford Credit Auto Owner Trust 2018-2	3.760%	1/15/30		240			248
2	Ford Credit Auto Owner Trust 2018-A	3.030%	11/15/22		561			565
2	Ford Credit Auto Owner Trust 2018-B	3.380%	3/15/24		450			462
2,5	Ford Credit Auto Owner Trust 2018-REV1	3.190%	7/15/31		2,230			2,321
2,5	Ford Credit Auto Owner Trust 2018-REV1	3.340%	7/15/31		810			827
2,5	Ford Credit Auto Owner Trust 2018-REV2	3.470%	1/15/30		890			930
2,5	Ford Credit Auto Owner Trust 2018-REV2	3.610%	1/15/30		530			545
2,5	Ford Credit Auto Owner Trust 2019-1	3.520%	7/15/30		870			914
2	Ford Credit Auto Owner Trust 2019-A	2.850%	8/15/24		900			919
2	Ford Credit Auto Owner Trust 2019-A	3.020%	10/15/24		350			358
2	Ford Credit Auto Owner Trust 2019-A	3.250%	9/15/25		370			378
2	Ford Credit Floorplan Master Owner Trust A Series 2017-2	2.160%	9/15/22		359			359
2	Ford Credit Floorplan Master Owner Trust A Series 2018-1	2.950%	5/15/23		2,390			2,418
2	Ford Credit Floorplan Master Owner Trust A Series 2018-3	3.520%	10/15/23		1,830			1,875
2	Ford Credit Floorplan Master Owner Trust A Series 2019-1	2.840%	3/15/24		1,500			1,520
2	Ford Credit Floorplan Master Owner Trust A Series 2019-2	3.250%	4/15/26		260			267
2,3,4	Freddie Mac Structured Agency Credit Risk Debt Notes 2016-DNA3, 1M USD LIBOR + 2.000%	3.792%	12/25/28		34			34
2,3,5	Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI1	3.736%	2/25/48		248			248
2,3,5	Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI2	3.813%	5/25/48		193			194
2,3,5	Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI3	4.152%	8/25/48		93			93
2,3,5	Freddie Mac Structured Agency Credit Risk Debt Notes 2018-SPI4	4.459%	11/25/48		28			27
2,3,4,5	Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4, 1M USD LIBOR + 0.700%	2.505%	10/25/49		255			255

298

Short-Term Investment-Grade Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2,3,4,5	Freddie Mac Structured Agency Credit Risk Debt Notes 2019-DNA4, 1M USD LIBOR + 0.730%	2.522%	7/25/49		127			127
2,3,4,5	Freddie Mac Structured Agency Credit Risk Debt Notes 2019-HQA2, 1M USD LIBOR + 0.700%	2.492%	4/25/49		211			211
2,3,4,5	Freddie Mac Structured Agency Credit Risk Debt Notes 2019-HQA3, 1M USD LIBOR + 0.750%	2.542%	9/25/49		190			190
2	GM Financial Automobile Leasing Trust 2017-3	2.400%	9/20/21		210			210
2	GM Financial Automobile Leasing Trust 2017-3	2.730%	9/20/21		130			130
2	GM Financial Automobile Leasing Trust 2019-3	2.030%	6/20/22		1,050			1,049
2,5	GM Financial Consumer Automobile 2017-3	2.130%	3/16/23		390			391
2,5	GM Financial Consumer Automobile 2017-3	2.330%	3/16/23		70			70
2	GM Financial Consumer Automobile 2018-3	3.160%	1/16/24		250			257
2	GM Financial Consumer Automobile 2018-4	3.320%	6/17/24		250			259
2	GM Financial Consumer Automobile 2019-1	3.110%	7/16/24		380			391
2	GM Financial Consumer Automobile 2019-2	2.710%	8/16/24		490			499
2	GM Financial Consumer Automobile 2019-3	2.180%	4/16/24		1,070			1,075
2	GM Financial Securitized Term Auto Receivables Trust 2019-4	1.760%	1/16/25		170			168
2	GMACM Mortgage Loan Trust 2005-AR6	3.918%	11/19/35		32			30
2,5	GMF Floorplan Owner Revolving Trust 2017-2	2.440%	7/15/22		440			440
2,5	GMF Floorplan Owner Revolving Trust 2017-2	2.630%	7/15/22		240			240
2,5	GMF Floorplan Owner Revolving Trust 2018-2	3.130%	3/15/23		1,530			1,550
2,5	GMF Floorplan Owner Revolving Trust 2019-1	2.700%	4/15/24		410			412
2,5	Golden Credit Card Trust 2018-1A	2.620%	1/15/23		4,000			4,026
2,5	Golden Credit Card Trust 2018-4A	3.440%	10/15/25		2,420			2,526
2,4,5	Gosforth Funding 2018-1A plc, 3M USD LIBOR + 0.450%	2.360%	8/25/60		350			350
2,5	GRACE Mortgage Trust 2014-A	3.369%	6/10/28		500			506
2,5	GreatAmerica Leasing Receivables Funding LLC Series 2018-1	2.830%	6/17/24		170			171
2,5	GreatAmerica Leasing Receivables Funding LLC Series 2019-1	3.210%	2/18/25		210			215
2,5	GS Mortgage Securities Corporation Trust 2012-ALOHA	3.551%	4/10/34		790			813
2,5	GS Mortgage Securities Trust 2010-C2	5.180%	12/10/43		100			102
2,5	GS Mortgage Securities Trust 2011-GC3	5.636%	3/10/44		70			72
2,5	GS Mortgage Securities Trust 2012-BWTR	2.954%	11/5/34		860			870
2,5	GS Mortgage Securities Trust 2012-GC6	4.948%	1/10/45		25			26
2	GS Mortgage Securities Trust 2012-GCJ7	5.686%	5/10/45		210			220
2	GS Mortgage Securities Trust 2013-GC13	4.050%	7/10/46		543			579
2,5	GS Mortgage Securities Trust 2013-GC13	4.083%	7/10/46		140			145
2	GS Mortgage Securities Trust 2013-GCJ12	3.135%	6/10/46		306			314
2	GS Mortgage Securities Trust 2013-GCJ12	3.777%	6/10/46		200			206
2	GS Mortgage Securities Trust 2013-GCJ14	3.817%	8/10/46		145			149
2	GS Mortgage Securities Trust 2013-GCJ14	3.955%	8/10/46		705			734
2	GS Mortgage Securities Trust 2013-GCJ14	4.243%	8/10/46		1,015			1,080
2	GS Mortgage Securities Trust 2014-GC20	3.998%	4/10/47		1,000			1,060
2	GS Mortgage Securities Trust 2014-GC20	4.258%	4/10/47		20			21
2	GS Mortgage Securities Trust 2014-GC24	3.931%	9/10/47		1,107			1,181
2	GS Mortgage Securities Trust 2014-GC24	4.162%	9/10/47		380			401
2	GS Mortgage Securities Trust 2014-GC24	4.511%	9/10/47		270			282
2	GS Mortgage Securities Trust 2014-GC24	4.532%	9/10/47		410			392
2	GS Mortgage Securities Trust 2014-GC26	3.364%	11/10/47		500			521
2	GS Mortgage Securities Trust 2014-GC26	3.629%	11/10/47		1,030			1,089
2	GS Mortgage Securities Trust 2015-GC28	3.136%	2/10/48		939			970
2	GS Mortgage Securities Trust 2015-GC28	3.396%	2/10/48		677			708
2	GS Mortgage Securities Trust 2015-GC30	3.382%	5/10/50		300			314
2	GS Mortgage Securities Trust 2015-GC32	3.764%	7/10/48		99			106
2	GS Mortgage Securities Trust 2015-GC34	3.506%	10/10/48		888			934
2	GS Mortgage Securities Trust 2015-GC34	4.652%	10/10/48		310			327
2	GS Mortgage Securities Trust 2016-GS3	2.850%	10/10/49		530			542
2	GS Mortgage Securities Trust 2018-GS10	4.155%	7/10/51		130			144
2	GS Mortgage Securities Trust 2018-GS9	3.992%	3/10/51		10			11
2	GS Mortgage Securities Trust 2019-GC38	3.968%	2/10/52		200			220
2	GS Mortgage Securities Trust 2019-GC40	3.160%	7/10/52		110			114
2	GS Mortgage Securities Trust 2019-GS4	3.001%	9/1/52		400			409
5	GTP Acquisition Partners I LLC	2.350%	6/15/20		40			40
2,5	Hardee’s Funding HNGRY 2018-1	4.959%	6/20/48		49			50
2,5	Hardee’s Funding HNGRY 2018-1A	5.710%	6/20/48		731			776
2,5	Harley Marine Financing LLC Barge 2018-1	5.682%	5/15/43		464			404
2	Harley-Davidson Motorcycle Trust 2019-A	2.340%	2/15/24		1,230			1,233
2	Harley-Davidson Motorcycle Trust 2019-A	2.390%	11/15/26		270			271
2,5	Hertz Fleet Lease Funding LP 2018-1	3.230%	5/10/32		895			901
2,5	Hertz Vehicle Financing II LP 2015-3A	2.670%	9/25/21		200			201
2,5	Hertz Vehicle Financing II LP 2016-2A	2.950%	3/25/22		385			388
2,5	Hertz Vehicle Financing II LP 2018-1A	3.600%	2/25/24		320			326
2,5	Hilton USA Trust 2016-HHV	3.719%	11/5/38		80			84
2,4,5	Holmes Master Issuer plc 2018-1, 3M USD LIBOR + 0.360%	2.361%	10/15/54		624			624
2,4,5	Holmes Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420%	2.421%	10/15/54		617			617
2	Honda Auto Receivables 2017-4 Owner Trust	2.210%	3/21/24		260			261
2	Honda Auto Receivables 2018-3 Owner Trust	2.950%	8/22/22		560			566
2	Honda Auto Receivables 2018-3 Owner Trust	3.070%	11/21/24		210			214

299

Short-Term Investment-Grade Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2	Honda Auto Receivables 2018-4 Owner Trust	2.520%	6/21/23		3,060			3,088
2	Honda Auto Receivables 2018-4 Owner Trust	2.540%	3/21/25		620			629
2	Honda Auto Receivables 2018-4 Owner Trust	3.300%	7/15/25		200			206
2	Honda Auto Receivables 2019-1 Owner Trust	2.900%	6/18/24		230			235
2	Honda Auto Receivables 2019-3 Owner Trust	1.850%	8/15/25		500			497
2,5	Houston Galleria Mall Trust 2015-HGLR	3.087%	3/5/37		3,030			3,111
2,5	HPEFS Equipment Trust 2019-1	2.190%	9/20/29		400			400
2,5	HPEFS Equipment Trust 2019-1	2.210%	9/20/29		100			100
2,5	HPEFS Equipment Trust 2019-1	2.320%	9/20/29		100			100
2,5	HPEFS Equipment Trust 2019-1	2.490%	9/20/29		100			100
2,5	HPEFS Equipment Trust 2019-1	2.720%	9/20/29		100			100
2,5	Hudson Yards 2019-30HY	3.228%	7/10/39		330			340
2,5	Hudsons Bay Simon JV Trust 2015-HB7	3.914%	8/5/34		500			510
2,5	Hyundai Auto Lease Securitization Trust 2017-C	2.460%	7/15/22		160			160
2,5	Hyundai Auto Lease Securitization Trust 2019-A	2.980%	7/15/22		860			870
2,5	Hyundai Auto Lease Securitization Trust 2019-A	3.050%	12/15/22		140			142
2,5	Hyundai Auto Lease Securitization Trust 2019-B	2.040%	8/15/22		1,220			1,217
2	Hyundai Auto Receivables Trust 2019-A	2.710%	5/15/25		350			356
2	Hyundai Auto Receivables Trust 2019-A	2.940%	5/15/25		190			194
2	Hyundai Auto Receivables Trust 2019-B	1.940%	2/15/24		1,460			1,460
2	Hyundai Auto Receivables Trust 2019-B	2.000%	4/15/25		410			410
2	Hyundai Auto Receivables Trust 2019-B	2.210%	4/15/25		120			120
2,5	Hyundai Floorplan Master Owner Trust Series 2019-1A	2.680%	4/15/24		510			516
2,4,5	Invitation Homes 2017-SFR2 Trust, 1M USD LIBOR + 0.850%	2.587%	12/17/36		681			676
2,4,5	Invitation Homes 2017-SFR2 Trust, 1M USD LIBOR + 1.150%	2.887%	12/17/36		250			250
2,4,5	Invitation Homes 2018-SFR1 Trust, 1M USD LIBOR + 0.700%	2.437%	3/17/37		1,020			1,007
2,4,5	Invitation Homes 2018-SFR1 Trust, 1M USD LIBOR + 0.950%	2.687%	3/17/37		260			257
2,5	Irvine Core Office Trust 2013-IRV	3.173%	5/15/48		358			369
2,5	Jackson Park Trust 2019-LIC	2.766%	10/14/39		530			525
2	John Deere Owner Trust 2018-B	3.230%	6/16/25		340			348
2	John Deere Owner Trust 2018-B	3.000%	1/15/26		180			184
2	John Deere Owner Trust 2019-B	2.320%	5/15/26		350			351
2,5	JP Morgan Chase Commercial Mortgage Securities Trust 2010-C1	4.608%	6/15/43		18			18
2,5	JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2	4.070%	11/15/43		58			58
2,5	JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2	5.599%	11/15/43		150			152
2,5	JP Morgan Chase Commercial Mortgage Securities Trust 2010-C2	5.599%	11/15/43		170			173
2,5	JP Morgan Chase Commercial Mortgage Securities Trust 2011-C3	4.717%	2/15/46		561			573
2,5	JP Morgan Chase Commercial Mortgage Securities Trust 2011-C5	5.418%	8/15/46		100			104
2,5	JP Morgan Chase Commercial Mortgage Securities Trust 2011-RR1	4.717%	3/16/46		70			72
2	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6	3.507%	5/15/45		301			309
2	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8	2.829%	10/15/45		339			344
2,5	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8	3.424%	10/15/45		100			102
2	JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX	4.271%	6/15/45		650			677
2,5	JP Morgan Chase Commercial Mortgage Securities Trust 2012-HSBC	3.093%	7/5/32		141			144
2	JP Morgan Chase Commercial Mortgage Securities Trust 2012-LC9	2.840%	12/15/47		755			767
2	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13	3.994%	1/15/46		350			368
2	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C13	4.065%	1/15/46		170			176
2	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	3.674%	12/15/46		210			216
2	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	3.881%	12/15/46		60			63
2	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	4.166%	12/15/46		410			438
2	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	4.517%	12/15/46		400			429
2	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	4.962%	12/15/46		550			596
2	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	5.027%	12/15/46		270			289
2	JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11	2.960%	4/15/46		702			718
2	JP Morgan Chase Commercial Mortgage Securities Trust 2014-C20	3.461%	7/15/47		692			710
2	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3	2.870%	8/15/49		1,164			1,186
2	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4	3.648%	12/15/49		290			309
2	JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6	3.490%	7/15/50		310			327
2	JPMBB Commercial Mortgage Securities Trust 2013-C12	3.664%	7/15/45		439			459
2	JPMBB Commercial Mortgage Securities Trust 2013-C12	4.039%	7/15/45		180			189
2	JPMBB Commercial Mortgage Securities Trust 2013-C14	3.761%	8/15/46		260			267
2	JPMBB Commercial Mortgage Securities Trust 2013-C14	4.133%	8/15/46		300			318
2	JPMBB Commercial Mortgage Securities Trust 2013-C15	3.659%	11/15/45		75			77
2	JPMBB Commercial Mortgage Securities Trust 2013-C15	4.131%	11/15/45		800			853
2	JPMBB Commercial Mortgage Securities Trust 2013-C15	4.927%	11/15/45		430			464
2	JPMBB Commercial Mortgage Securities Trust 2013-C15	5.198%	11/15/45		340			365
2	JPMBB Commercial Mortgage Securities Trust 2013-C17	4.199%	1/15/47		497			532
2	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.079%	2/15/47		950			1,014
2	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.439%	2/15/47		300			320
2	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.810%	2/15/47		300			320
2	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.810%	2/15/47		150			158
2	JPMBB Commercial Mortgage Securities Trust 2014-C19	3.997%	4/15/47		70			75
2	JPMBB Commercial Mortgage Securities Trust 2014-C24	3.639%	11/15/47		1,204			1,272
2	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.231%	1/15/48		595			615
2	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.494%	1/15/48		1,030			1,080
2	JPMBB Commercial Mortgage Securities Trust 2015-C27	3.179%	2/15/48		354			366
2	JPMBB Commercial Mortgage Securities Trust 2015-C30	3.551%	7/15/48		580			610
2	JPMBB Commercial Mortgage Securities Trust 2015-C30	3.822%	7/15/48		1,290			1,376
2	JPMBB Commercial Mortgage Securities Trust 2015-C30	4.226%	7/15/48		385			412

300

Short-Term Investment-Grade Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2	JPMBB Commercial Mortgage Securities Trust 2015-C31	3.801%	8/15/48		590			629
2	JPMBB Commercial Mortgage Securities Trust 2015-C32	3.598%	11/15/48		270			285
2	JPMBB Commercial Mortgage Securities Trust 2015-C33	3.770%	12/15/48		513			549
2	JPMCC Commercial Mortgage Securities Trust 2017-JP5	3.723%	3/15/50		700			752
2	JPMCC Commercial Mortgage Securities Trust 2017-JP7	3.454%	9/15/50		350			370
2	JPMDB Commercial Mortgage Securities Trust 2016-C4	3.141%	12/15/49		220			228
2	JPMDB Commercial Mortgage Securities Trust 2017-C7	3.409%	10/15/50		160			169
2	JPMDB Commercial Mortgage Securities Trust 2018-C8	4.211%	6/15/51		10			11
2,5	Kubota Credit Owner Trust 2018-1	3.210%	1/15/25		175			179
2,4,5	Lanark Master Issuer plc 2018-1A, 3M USD LIBOR + 0.420%	2.319%	12/22/69		496			496
2,4	Lanark Master Issuer plc 2018-2A, 3M USD LIBOR + 0.420%	2.319%	12/22/69		313			314
2,5	Laurel Road Prime Student Loan Trust 2018-B	3.540%	5/26/43		849			876
2,5	LCCM Mortgage Trust 2014-A	3.388%	5/15/31		450			455
	Louisiana Local Government Environmental Facilities & Community Development Authority Revenue 2010-ELL	3.450%	2/1/22		26			26
2	M Financial Securitized Term Auto Receivables Trust 2019-4	1.750%	7/16/24		1,200			1,194
2,5	Madison Avenue Trust 2013-650M	3.843%	10/12/32		295			298
2	MASTR Adjustable Rate Mortgages Trust 2004-3	4.275%	4/25/34		9			9
2	Mercedes-Benz Auto Lease Trust 2019-A	2.000%	10/17/22		890			890
2	Mercedes-Benz Auto Receivables Trust 2018-1	3.150%	10/15/24		340			349
2	Mercedes-Benz Auto Receivables Trust 2019-1	2.040%	1/15/26		590			589
2,5	Mercedes-Benz Master Owner Trust 2019-B	2.610%	5/15/24		1,890			1,914
2	Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A2	3.407%	2/25/33		13			12
2	Merrill Lynch Mortgage Investors Trust MLMI Series 2003-A4	4.818%	7/25/33		7			7
2,5	MMAF Equipment Finance LLC 2015-AA	2.490%	2/19/36		675			678
2,5	MMAF Equipment Finance LLC 2018-A	3.390%	1/10/25		200			205
2,5	MMAF Equipment Finance LLC 2018-A	3.610%	3/10/42		110			114
2,5	MMAF Equipment Finance LLC 2019-A	3.080%	11/12/41		220			226
2	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5	3.176%	8/15/45		506			517
2	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5	3.792%	8/15/45		50			52
2	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C6	2.858%	11/15/45		119			120
2	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10	4.081%	7/15/46		683			722
2	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C10	4.081%	7/15/46		70			71
2	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	3.960%	8/15/46		259			271
2	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	4.153%	8/15/46		580			615
2	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12	3.824%	10/15/46		135			139
2	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12	4.259%	10/15/46		80			85
2	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C13	4.039%	11/15/46		200			212
2	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	2.918%	2/15/46		130			132
2	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	3.214%	2/15/46		60			61
2	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9	3.102%	5/15/46		595			609
2	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.064%	2/15/47		450			478
2	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.384%	2/15/47		450			482
2	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15	3.773%	4/15/47		769			812
2	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15	4.051%	4/15/47		615			653
2	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C15	4.909%	4/15/47		50			54
2	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	3.892%	6/15/47		1,004			1,061
2	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	4.094%	6/15/47		230			243
2	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	4.337%	6/15/47		660			698
2	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	4.770%	6/15/47		300			315
2	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17	3.741%	8/15/47		620			653
2	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C17	4.011%	8/15/47		160			169
2	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	3.923%	10/15/47		490			521
2	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.326%	12/15/47		450			461
2	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.526%	12/15/47		440			461
2	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.069%	2/15/48		560			572
2	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.249%	2/15/48		780			808
2	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.451%	7/15/50		240			251
2	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.719%	7/15/50		822			872
2	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24	3.479%	5/15/48		420			440
2	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C24	3.732%	5/15/48		1,350			1,434
2	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25	3.635%	10/15/48		1,455			1,539
2	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29	3.325%	5/15/49		2,279			2,371
2	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C29	4.749%	5/15/49		40			42
2	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C32	3.720%	12/15/49		2,904			3,097
2	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34	3.536%	11/15/52		490			520
2	Morgan Stanley Capital I Trust 2012-C4	3.244%	3/15/45		380			386
2	Morgan Stanley Capital I Trust 2012-C4	3.773%	3/15/45		60			62
2,5	Morgan Stanley Capital I Trust 2012-STAR	3.201%	8/5/34		411			419
2,5	Morgan Stanley Capital I Trust 2014-150E	3.912%	9/9/32		675			709
2,5	Morgan Stanley Capital I Trust 2014-CPT	3.350%	7/13/29		600			611
2,5	Morgan Stanley Capital I Trust 2015-420	3.727%	10/12/50		696			729
2	Morgan Stanley Capital I Trust 2015-UBS8	3.809%	12/15/48		916			980

301

Short-Term Investment-Grade Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2	Morgan Stanley Capital I Trust 2015-UBS8	4.586%	12/15/48		350			367
2	Morgan Stanley Capital I Trust 2016-BNK2	3.049%	11/15/49		400			414
2	Morgan Stanley Capital I Trust 2016-UB11	2.782%	8/15/49		1,054			1,065
2	Morgan Stanley Capital I Trust 2016-UBS9	3.594%	3/15/49		963			1,019
2	Morgan Stanley Capital I Trust 2017-HR2	3.509%	12/15/50		140			148
2	Morgan Stanley Capital I Trust 2017-HR2	3.587%	12/15/50		195			209
2	Morgan Stanley Capital I Trust 2018-H4	4.247%	12/15/51		440			482
2	Morgan Stanley Capital I Trust 2019-L3	3.127%	11/15/29		440			454
2	Morgan Stanley Mortgage Loan Trust 2006-8AR	3.985%	6/25/36		76			75
2,4,5	Motor plc 2017-1A, 1M USD LIBOR + 0.530%	2.322%	9/25/24		336			335
2,5	MSBAM Commercial Mortgage Securities Trust 2012-CKSV	3.277%	10/15/30		885			892
2,4,5	Navient Student Loan Trust 2016-3, 1M USD LIBOR + 0.850%	2.642%	6/25/65		68			68
2,4,5	Navient Student Loan Trust 2016-6A, 1M USD LIBOR + 0.750%	2.542%	3/25/66		451			452
2,5	Navient Student Loan Trust 2017-A	2.880%	12/16/58		440			445
2,5	Navient Student Loan Trust 2018-BA	3.430%	12/15/59		1,341			1,347
2,5	Navient Student Loan Trust 2018-BA	3.610%	12/15/59		560			576
2,5	Navient Student Loan Trust 2018-BA	4.000%	12/15/59		2,230			2,317
2,5	Navient Student Loan Trust 2018-CA	3.520%	6/16/42		1,480			1,525
2,5	Navient Student Loan Trust 2018-DA	4.000%	12/15/59		1,360			1,406
2,5	Navient Student Loan Trust 2019-B	3.390%	12/15/59		560			575
4	New Mexico Educational Assistance Foundation 2013-1, 1M USD LIBOR + 0.700%	2.408%	1/2/25		179			178
2	Nissan Auto Lease Trust 2018-B	3.350%	9/15/23		380			385
2	Nissan Auto Lease Trust 2019-A	2.760%	3/15/22		730			737
2	Nissan Auto Lease Trust 2019-A	2.780%	7/15/24		360			364
2	Nissan Auto Receivables 2017-C Owner Trust	2.280%	2/15/24		540			541
2	Nissan Auto Receivables 2019-A Owner Trust	3.160%	12/16/24		340			349
2	Nissan Auto Receivables 2019-A Owner Trust	3.000%	9/15/25		280			288
2	Nissan Auto Receivables 2019-B Owner Trust	2.500%	11/15/23		3,150			3,182
2	Nissan Auto Receivables 2019-B Owner Trust	2.540%	12/15/25		610			619
2,5	OBP Depositor LLC Trust 2010-OBP	4.646%	7/15/45		225			228
2,5	One Bryant Park 2019 - OBP A	2.516%	9/15/54		530			514
2,5	Palisades Center Trust 2016-PLSD	2.713%	4/13/33		200			201
2,4,5	Pepper Residential Securities Trust 2017-A, 1M USD LIBOR + 1.100%	2.815%	3/10/58		2			2
2,4,5	Pepper Residential Securities Trust 2018-A, 1M USD LIBOR + 0.950%	2.686%	3/12/47		9			9
2,4,5	Pepper Residential Securities Trust 2021-A1U, 1M USD LIBOR + 0.880%	2.620%	1/16/60		696			695
2,4,5	Pepper Residential Securities Trust 2022-A1U, 1M USD LIBOR + 1.000%	2.765%	6/20/60		346			347
2,4,5	Pepper Residential Securities Trust 2023-A1U, 1M USD LIBOR + 0.950%	2.695%	8/18/60		263			263
2,4,5	Permanent Master Issuer plc 2018-1A, 3M USD LIBOR + 0.380%	2.366%	7/15/58		410			412
2,5	PFS Financing Corp 2017-B	2.220%	7/15/22		530			531
2,5	PFS Financing Corp. 2017-D	2.400%	10/17/22		850			852
2,5	PFS Financing Corp. 2018-D	3.190%	4/17/23		370			375
2,4,5	PHEAA Student Loan Trust 2016-2A, 1M USD LIBOR + 0.950%	2.742%	11/25/65		550			547
2,5	Progress Residential 2015-SFR3 Trust	3.067%	11/12/32		612			611
2,5	Progress Residential 2015-SFR3 Trust	3.733%	11/12/32		230			230
2,5	Progress Residential 2017-SFR2 Trust	2.897%	12/17/34		389			387
2,5	Progress Residential 2017-SFR2 Trust	3.196%	12/17/34		100			100
2,5	Progress Residential 2018-SFR1 Trust	3.255%	3/17/35		559			562
2,5	Progress Residential 2018-SFR1 Trust	3.484%	3/17/35		100			100
2,5	Progress Residential 2018-SFR3 Trust	3.880%	10/17/35		999			1,018
2	Public Service New Hampshire Funding LLC 2018-1	3.094%	2/1/26		187			190
2,4,5	Resimac Premier Series 2018-1A, 1M USD LIBOR + 0.800%	2.515%	11/10/49		576			576
2,4,5	Resimac Premier Series 2018-1NCA, 1M USD LIBOR + 0.850%	2.554%	12/5/59		790			791
2,4,5	Resimac Premier Series 2018-2, 1M USD LIBOR + 0.850%	2.565%	4/10/50		101			101
2	RFMSI Series 2006-SA2 Trust	5.119%	8/25/36		217			182
2	RFMSI Series 2006-SA3 Trust	5.227%	9/25/36		72			63
2	Santander Drive Auto Receivables Trust 2016-2	3.390%	4/15/22		100			101
2	Santander Drive Auto Receivables Trust 2017-3	2.760%	12/15/22		150			150
2	Santander Drive Auto Receivables Trust 2018-1	2.960%	3/15/24		920			925
2	Santander Drive Auto Receivables Trust 2018-1	3.320%	3/15/24		400			404
2	Santander Drive Auto Receivables Trust 2018-3	3.290%	10/17/22		840			841
2	Santander Drive Auto Receivables Trust 2018-3	4.070%	8/15/24		1,390			1,423
2	Santander Drive Auto Receivables Trust 2018-4	3.980%	12/15/25		780			800
2	Santander Drive Auto Receivables Trust 2018-5	4.190%	12/16/24		1,250			1,284
2,5	Santander Retail Auto Lease Trust 2017-A	2.680%	1/20/22		140			140
2,5	Santander Retail Auto Lease Trust 2018-A	2.930%	5/20/21		404			405
2,5	Santander Retail Auto Lease Trust 2018-A	3.060%	4/20/22		310			312
2,5	Santander Retail Auto Lease Trust 2018-A	3.200%	4/20/22		270			272
2,5	Santander Retail Auto Lease Trust 2018-A	3.490%	5/20/22		620			625
2,5	Santander Retail Auto Lease Trust 2019-A	2.770%	6/20/22		1,860			1,882
5	SBA Tower Trust	3.156%	10/8/20		270			270
2,5	Securitized Term Auto Receivables Trust 2018-1A	3.298%	11/25/22		160			163
2,5	Securitized Term Auto Receivables Trust 2018-2A	3.544%	6/26/23		230			236
2,5	SLM Private Education Loan Trust 2011-C	4.540%	10/17/44		26			26
2,5	SLM Private Education Loan Trust 2013-B	3.000%	5/16/44		226			226
2,5	SLM Private Education Loan Trust 2014-A	3.500%	11/15/44		100			101
2	SMART ABS Series 2016-2US Trust	2.050%	12/14/22		110			110
2,5	SMB Private Education Loan Trust 2016-A	2.700%	5/15/31		208			210
2,4,5	SMB Private Education Loan Trust 2016-B, 1M USD LIBOR + 1.450%	3.190%	2/17/32		193			195
2,4,5	SMB Private Education Loan Trust 2016-C, 1M USD LIBOR + 1.100%	2.840%	9/15/34		211			213
2,4,5	SMB Private Education Loan Trust 2017-A, 1M USD LIBOR + 0.900%	2.640%	9/15/34		235			235
2,5	SMB Private Education Loan Trust 2017-B	2.820%	10/15/35		435			440
2,5	SMB Private Education Loan Trust 2018-A	3.500%	2/15/36		1,450			1,512
2,5	SMB Private Education Loan Trust 2018-B	3.600%	1/15/37		770			796
2,5	SMB Private Education Loan Trust 2018-C	3.630%	11/15/35		1,010			1,044
2,5	SoFi Professional Loan Program 2016-B LLC	2.740%	10/25/32		124			125

302

Short-Term Investment-Grade Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2,5	SoFi Professional Loan Program 2016-C LLC	2.360%	12/27/32		150			150
2,5	SoFi Professional Loan Program 2016-D LLC	2.340%	4/25/33		105			105
2,4,5	SoFi Professional Loan Program 2016-D LLC, 1M USD LIBOR + 0.950%	2.742%	1/25/39		39			39
2,5	SoFi Professional Loan Program 2017-A LLC	2.400%	3/26/40		42			42
2,5	SoFi Professional Loan Program 2017-B LLC	2.740%	5/25/40		290			294
2,4,5	SoFi Professional Loan Program 2017-C LLC, 1M USD LIBOR + 0.600%	2.392%	7/25/40		23			23
2,5	SoFi Professional Loan Program 2017-D LLC	2.650%	9/25/40		184			185
2,5	SoFi Professional Loan Program 2017-E LLC	2.720%	11/26/40		250			252
2,5	SoFi Professional Loan Program 2017-F LLC	2.840%	1/25/41		310			313
2,5	SoFi Professional Loan Program 2018-A LLC	2.390%	2/25/42		296			296
2,5	SoFi Professional Loan Program 2018-A LLC	2.950%	2/25/42		390			394
2,5	SoFi Professional Loan Program 2018-B LLC	3.340%	8/25/47		780			795
2,5	SoFi Professional Loan Program 2018-C LLC	3.590%	1/25/48		1,600			1,648
2,5	SoFi Professional Loan Program 2018-D LLC	3.600%	2/25/48		1,150			1,188
2,5	SoFi Professional Loan Program 2019-B LLC	3.090%	8/17/48		520			525
2,5	Stack Infrastructure Issuer LLC 2019-1A	4.540%	2/25/44		431			451
2	Synchrony Card Issuance Trust 2018-A1	3.380%	9/15/24		980			1,002
2	Synchrony Card Issuance Trust 2019-2A	2.340%	6/15/25		1,600			1,614
2	Synchrony Credit Card Master Note Trust 2016-2	2.950%	5/15/24		280			281
2	Synchrony Credit Card Master Note Trust 2017-2	2.620%	10/15/25		1,945			1,975
2	Synchrony Credit Card Master Note Trust 2017-2	2.820%	10/15/25		290			293
2	Synchrony Credit Card Master Note Trust 2017-2	3.010%	10/15/25		380			384
2,5	Taco Bell Funding LLC 2016-1A	4.377%	5/25/46		205			206
2,5	Taco Bell Funding LLC 2016-1A	4.970%	5/25/46		88			92
2,5	Taco Bell Funding LLC 2018-1	4.940%	11/25/48		148			160
2,5	Tesla Auto Lease Trust 2018-A	2.160%	10/20/22		1,400			1,399
2,5	Tesla Auto Lease Trust 2018-A	2.200%	11/21/22		400			400
2,5	Tesla Auto Lease Trust 2018-B	3.710%	8/20/21		2,807			2,846
2,5	Tesla Auto Lease Trust 2018-B	4.120%	10/20/21		360			367
2,5	Tesla Auto Lease Trust 2018-B	4.360%	10/20/21		230			236
2,5	Textainer Marine Containers Limited 2019-A	3.960%	4/20/44		350			353
2,5	Tidewater Auto Receivables Trust 2018-AA	3.120%	7/15/22		119			120
2,5	Tidewater Auto Receivables Trust 2018-AA	3.450%	11/15/24		130			131
2,5	Tidewater Auto Receivables Trust 2018-AA	3.840%	11/15/24		140			142
2,5	Tidewater Auto Receivables Trust 2018-AA	4.300%	11/15/24		100			103
2,5	TMSQ 2014-1500 Mortgage Trust	3.680%	10/10/36		640			670
2	Toyota Auto Receivables 2017-D Owner Trust	2.120%	2/15/23		70			70
2	Toyota Auto Receivables 2018-A Owner Trust	2.350%	5/16/22		1,304			1,308
2	Toyota Auto Receivables 2018-A Owner Trust	2.520%	5/15/23		190			192
2	Toyota Auto Receivables 2018-B Owner Trust	3.110%	11/15/23		360			367
2	Toyota Auto Receivables 2018-C Owner Trust	3.020%	12/15/22		840			853
2	Toyota Auto Receivables 2018-C Owner Trust	3.130%	2/15/24		360			370
2	Toyota Auto Receivables 2019-A Owner Trust	3.000%	5/15/24		190			195
2	Toyota Auto Receivables 2019-C Owner Trust	1.910%	9/15/23		1,540			1,539
2	Toyota Auto Receivables 2019-D Owner Trust	1.990%	2/18/25		300			300
2,5	Trafigura Securitisation Finance plc 2017-1A	2.470%	12/15/20		1,050			1,050
2,5	Trafigura Securitisation Finance plc 2018-1A	3.730%	3/15/22		1,500			1,530
2,5	Trillium Credit Card Trust II 2019-2A	3.038%	1/26/24		1,550			1,567
2,5	Trinity Rail Leasing LP 2018-1A	4.620%	6/17/48		740			785
2,5	Trip Rail Master Funding LLC 2017-1A	2.709%	8/15/47		62			62
2,5	Triton Container Finance LLC 2018-A2	4.190%	6/22/43		969			985
2	UBS Commercial Mortgage Trust 2012-C1	4.171%	5/10/45		30			31
2	UBS Commercial Mortgage Trust 2017-C7	3.679%	12/15/50		280			300
2	UBS Commercial Mortgage Trust 2019-C16	3.460%	4/15/52		167			176
2,5	UBS-BAMLL Trust 2012-WRM	3.663%	6/10/30		606			621
2	UBS-Barclays Commercial Mortgage Trust 2012-C4	2.850%	12/10/45		223			226
2	UBS-Barclays Commercial Mortgage Trust 2013-C6	3.244%	4/10/46		150			154
2	UBS-Barclays Commercial Mortgage Trust 2013-C6	3.469%	4/10/46		50			52
2	UBS-Barclays Commercial Mortgage Trust 2019-C18	3.035%	12/15/52		300			307
2	USAA Auto Owner Trust 2019-1	2.160%	7/17/23		450			452
2,5	Vantage Data Centers LLC 2018-1A	4.072%	2/16/43		393			409
2,5	Vantage Data Centers LLC 2019-1A	3.188%	7/15/44		199			200
2,5	Verizon Owner Trust 2017-3	2.380%	4/20/22		430			431
2,5	Verizon Owner Trust 2017-3	2.530%	4/20/22		490			491
2,5	Verizon Owner Trust 2018-1	2.820%	9/20/22		423			425
2,5	Verizon Owner Trust 2018-1	3.050%	9/20/22		670			676
2	Verizon Owner Trust 2018-A	3.230%	4/20/23		500			508
2	Verizon Owner Trust 2019-A	2.930%	9/20/23		610			618
2	Verizon Owner Trust 2019-A	1.940%	4/22/24		1,580			1,578
2,5	VNDO 2012-6AVE Mortgage Trust	2.996%	11/15/30		297			302
2,5	VNDO 2013-PENN Mortgage Trust	3.808%	12/13/29		270			273
2,5	VNDO 2013-PENN Mortgage Trust	3.947%	12/13/29		80			81
2,5	VNDO 2013-PENN Mortgage Trust	3.947%	12/13/29		60			61
2	Volkswagen Auto Loan Enhanced Trust 2018-1	3.020%	11/21/22		530			536
2	Volkswagen Auto Loan Enhanced Trust 2018-1	3.150%	7/22/24		220			225
2	Volkswagen Auto Loan Enhanced Trust 2018-2	3.330%	2/20/25		220			227
2	WaMu Mortgage Pass-Through Certificates Series 2002-AR18 Trust	4.100%	1/25/33		6			6
2	WaMu Mortgage Pass-Through Certificates Series 2003-AR7 Trust	4.434%	8/25/33		6			6
2	WaMu Mortgage Pass-Through Certificates Series 2003-AR9 Trust	4.322%	9/25/33		9			9
2	Wells Fargo Commercial Mortgage Trust 2012-LC5	2.918%	10/15/45		675			687
2	Wells Fargo Commercial Mortgage Trust 2012-LC5	3.539%	10/15/45		40			41
2	Wells Fargo Commercial Mortgage Trust 2013-LC12	3.928%	7/15/46		143			147
2	Wells Fargo Commercial Mortgage Trust 2013-LC12	4.218%	7/15/46		777			824
2	Wells Fargo Commercial Mortgage Trust 2013-LC12	4.284%	7/15/46		110			116
2	Wells Fargo Commercial Mortgage Trust 2014-LC16	3.817%	8/15/50		1,420			1,505
2	Wells Fargo Commercial Mortgage Trust 2014-LC16	4.020%	8/15/50		200			210

303

Short-Term Investment-Grade Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2	Wells Fargo Commercial Mortgage Trust 2014-LC16	4.322%	8/15/50		350			367
2	Wells Fargo Commercial Mortgage Trust 2014-LC16	4.458%	8/15/50		220			223
2	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.405%	12/15/47		870			911
2	Wells Fargo Commercial Mortgage Trust 2015-C26	3.166%	2/15/48		675			700
2	Wells Fargo Commercial Mortgage Trust 2015-C27	3.190%	2/15/48		666			687
2	Wells Fargo Commercial Mortgage Trust 2015-C27	3.451%	2/15/48		1,990			2,091
2	Wells Fargo Commercial Mortgage Trust 2015-C29	3.637%	6/15/48		1,445			1,534
2	Wells Fargo Commercial Mortgage Trust 2015-C29	4.222%	6/15/48		270			282
2	Wells Fargo Commercial Mortgage Trust 2015-C30	3.411%	9/15/58		484			507
2	Wells Fargo Commercial Mortgage Trust 2015-C30	3.664%	9/15/58		420			447
2	Wells Fargo Commercial Mortgage Trust 2015-C30	4.067%	9/15/58		350			373
2	Wells Fargo Commercial Mortgage Trust 2015-C30	4.497%	9/15/58		270			283
2	Wells Fargo Commercial Mortgage Trust 2015-LC22	3.839%	9/15/58		899			965
2	Wells Fargo Commercial Mortgage Trust 2015-LC22	4.207%	9/15/58		275			295
2	Wells Fargo Commercial Mortgage Trust 2015-LC22	4.534%	9/15/58		315			333
2	Wells Fargo Commercial Mortgage Trust 2015-SG1	3.789%	9/15/48		897			957
2	Wells Fargo Commercial Mortgage Trust 2016-BNK1	2.652%	8/15/49		920			927
2	Wells Fargo Commercial Mortgage Trust 2016-C32	3.560%	1/15/59		1,344			1,424
2	Wells Fargo Commercial Mortgage Trust 2016-C37	3.525%	12/15/49		260			273
2	Wells Fargo Commercial Mortgage Trust 2016-C37	3.794%	12/15/49		240			259
2	Wells Fargo Commercial Mortgage Trust 2017-C38	3.453%	7/15/50		520			551
2	Wells Fargo Commercial Mortgage Trust 2017-C39	3.157%	9/15/50		120			124
2	Wells Fargo Commercial Mortgage Trust 2017-C39	3.418%	9/15/50		1,650			1,743
2	Wells Fargo Commercial Mortgage Trust 2017-C40	3.581%	10/15/50		1,150			1,228
2	Wells Fargo Commercial Mortgage Trust 2017-C41	3.472%	11/15/50		790			837
2	Wells Fargo Commercial Mortgage Trust 2017-C42	3.589%	12/15/50		375			400
2	Wells Fargo Commercial Mortgage Trust 2017-RC1	3.631%	1/15/60		194			207
2	Wells Fargo Commercial Mortgage Trust 2018-C43	4.012%	3/15/51		710			779
2	Wells Fargo Commercial Mortgage Trust 2018-C43	4.514%	3/15/51		80			83
2	Wells Fargo Commercial Mortgage Trust 2018-C46	4.152%	8/15/51		290			322
2	Wells Fargo Commercial Mortgage Trust 2018-C47	4.365%	9/15/61		1,160			1,284
2	Wells Fargo Commercial Mortgage Trust 2018-C48	4.245%	1/15/52		670			737
2	Wells Fargo Commercial Mortgage Trust 2019-C49	3.933%	3/15/52		210			228
2	Wells Fargo Commercial Mortgage Trust 2019-C49	4.023%	3/15/52		210			232
2	Wells Fargo Commercial Mortgage Trust 2019-C50	3.635%	5/15/52		230			246
2	Wells Fargo Commercial Mortgage Trust 2019-C52	2.892%	8/15/52		440			447
2	Wells Fargo Commercial Mortgage Trust 2019-C54	3.146%	12/15/52		560			580
2	Wells Fargo Mortgage Backed Securities 2006-AR14 Trust	4.556%	10/25/36		110			107
2,5	Wendys Funding LLC 2015-1A	4.497%	6/15/45		144			146
2,5	Wendys Funding LLC 2018-1	3.573%	3/15/48		157			157
2,5	WFLD 2014-MONT Mortgage Trust	3.755%	8/10/31		875			919
2,5	WFRBS Commercial Mortgage Trust 2011-C3	4.375%	3/15/44		274			279
2	WFRBS Commercial Mortgage Trust 2012-C10	2.875%	12/15/45		265			269
2	WFRBS Commercial Mortgage Trust 2012-C7	3.431%	6/15/45		274			281
2	WFRBS Commercial Mortgage Trust 2012-C7	4.090%	6/15/45		135			140
2	WFRBS Commercial Mortgage Trust 2012-C8	3.001%	8/15/45		102			104
2	WFRBS Commercial Mortgage Trust 2012-C9	2.870%	11/15/45		512			520
2	WFRBS Commercial Mortgage Trust 2012-C9	3.388%	11/15/45		70			72
2	WFRBS Commercial Mortgage Trust 2013-C13	3.345%	5/15/45		50			51
2	WFRBS Commercial Mortgage Trust 2013-C15	3.720%	8/15/46		372			382
2	WFRBS Commercial Mortgage Trust 2013-C15	4.153%	8/15/46		355			376
2	WFRBS Commercial Mortgage Trust 2013-C16	4.415%	9/15/46		350			375
2	WFRBS Commercial Mortgage Trust 2013-C17	3.558%	12/15/46		67			69
2	WFRBS Commercial Mortgage Trust 2013-C17	4.023%	12/15/46		230			244
2	WFRBS Commercial Mortgage Trust 2013-C18	3.676%	12/15/46		131			134
2	WFRBS Commercial Mortgage Trust 2013-C18	4.162%	12/15/46		665			710
2	WFRBS Commercial Mortgage Trust 2013-C18	4.692%	12/15/46		140			151
2	WFRBS Commercial Mortgage Trust 2014-C19	3.829%	3/15/47		780			820
2	WFRBS Commercial Mortgage Trust 2014-C19	4.101%	3/15/47		530			567
2	WFRBS Commercial Mortgage Trust 2014-C20	3.995%	5/15/47		965			1,028
2	WFRBS Commercial Mortgage Trust 2014-C20	4.378%	5/15/47		280			293
2	WFRBS Commercial Mortgage Trust 2014-C20	4.513%	5/15/47		90			91
2	WFRBS Commercial Mortgage Trust 2014-C21	3.410%	8/15/47		31			32
2	WFRBS Commercial Mortgage Trust 2014-C21	3.678%	8/15/47		989			1,044
2	WFRBS Commercial Mortgage Trust 2014-C21	3.891%	8/15/47		170			179
2	WFRBS Commercial Mortgage Trust 2014-C21	4.234%	8/15/47		300			304
2	WFRBS Commercial Mortgage Trust 2014-C23	3.650%	10/15/57		531			558
2	WFRBS Commercial Mortgage Trust 2014-C23	3.917%	10/15/57		340			363
2	WFRBS Commercial Mortgage Trust 2014-C24	3.607%	11/15/47		542			572
2	WFRBS Commercial Mortgage Trust 2014-LC14	3.766%	3/15/47		60			63
2	WFRBS Commercial Mortgage Trust 2014-LC14	4.045%	3/15/47		1,203			1,280
2	World Omni Auto Receivables Trust 2018-A	2.730%	2/15/24		410			415

304

Short-Term Investment-Grade Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2	World Omni Auto Receivables Trust 2018-A	2.890%	4/15/25		220			223
2	World Omni Auto Receivables Trust 2018-D	3.440%	12/16/24		130			135
2	World Omni Auto Receivables Trust 2019-A	3.220%	6/16/25		230			237
2	World Omni Auto Receivables Trust 2019-B	2.860%	6/16/25		170			173
2	World Omni Automobile Lease Securitization Trust 2018-B	3.190%	12/15/21		690			698
2	World Omni Automobile Lease Securitization Trust 2019-B	2.030%	11/15/22		1,250			1,249
2	World Omni Automobile Lease Securitization Trust 2019-B	3.240%	7/15/24		150			153
2,5	World Omni Select Auto Trust A Series 2018-1 A3	3.460%	3/15/23		410			413
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $402,808)								411,673
Corporate Bonds (61.7%)
Finance (26.3%)
	Banking (23.0%)
6	ABN AMRO Bank NV	6.375%	4/27/21		450			547
5	ABN AMRO Bank NV	3.400%	8/27/21		1,600			1,634
	Ally Financial Inc.	4.125%	3/30/20		30			30
	Ally Financial Inc.	4.125%	2/13/22		100			103
	Ally Financial Inc.	3.875%	5/21/24		140			146
	Ally Financial Inc.	5.750%	11/20/25		150			168
	American Express Co.	3.700%	11/5/21		2,050			2,111
	American Express Co.	2.750%	5/20/22		808			821
	American Express Co.	3.700%	8/3/23		3,342			3,517
	American Express Co.	2.500%	7/30/24		1,130			1,142
	American Express Credit Corp.	2.250%	5/5/21		218			219
5	ANZ New Zealand International Ltd.	2.200%	7/17/20		725			726
	Australia & New Zealand Banking Group Ltd.	2.625%	11/9/22		1,085			1,104
4,7	Australia & New Zealand Banking Group Ltd., 3M Australian Bank Bill Rate +2.700%	3.602%	5/17/26		250			179
5	Banco Santander Chile	2.500%	12/15/20		2,060			2,061
	Banco Santander SA	3.125%	2/23/23		200			204
	Banco Santander SA	2.706%	6/27/24		1,600			1,621
	Bank of America Corp.	2.625%	10/19/20		1,082			1,087
	Bank of America Corp.	2.625%	4/19/21		2,700			2,724
2	Bank of America Corp.	2.369%	7/21/21		5,225			5,236
2	Bank of America Corp.	2.328%	10/1/21		4,595			4,601
2	Bank of America Corp.	2.738%	1/23/22		1,000			1,007
2,6	Bank of America Corp.	0.736%	2/7/22		450			509
2	Bank of America Corp.	3.124%	1/20/23		1,035			1,053
2	Bank of America Corp.	2.816%	7/21/23		500			507
	Bank of America Corp.	3.004%	12/20/23		4,148			4,239
	Bank of America Corp.	4.125%	1/22/24		1,475			1,587
2	Bank of America Corp.	3.550%	3/5/24		3,189			3,299
2	Bank of America Corp.	3.864%	7/23/24		500			526
2	Bank of America Corp.	2.456%	10/22/25		750			752
	Bank of Montreal	2.900%	3/26/22		1,940			1,975
	Bank of Montreal	3.300%	2/5/24		2,650			2,759
2	Bank of Montreal	4.338%	10/5/28		375			396
	Bank of New York Mellon Corp.	2.050%	5/3/21		334			335
	Bank of New York Mellon Corp.	2.950%	1/29/23		136			140
2	Bank of New York Mellon Corp.	2.661%	5/16/23		150			152
	Bank of New York Mellon Corp.	3.450%	8/11/23		830			870
	Bank of Nova Scotia	2.500%	1/8/21		945			950
	Bank of Nova Scotia	4.375%	1/13/21		290			297
6	Banque Federative du Credit Mutuel SA	0.125%	8/30/21		500			563
8	Banque Federative du Credit Mutuel SA	1.375%	12/20/21		500			666
5	Banque Federative du Credit Mutuel SA	2.700%	7/20/22		1,090			1,106
5	Banque Federative du Credit Mutuel SA	2.125%	11/21/22		1,250			1,250
5	Banque Federative du Credit Mutuel SA	3.750%	7/20/23		2,180			2,287
8	Barclays Bank plc	10.000%	5/21/21		1,417			2,090
2	Barclays plc	4.610%	2/15/23		350			365
2	Barclays plc	3.932%	5/7/25		625			657
2,5	BNP Paribas SA	2.819%	11/19/25		1,560			1,571
7	BPCE SA	3.500%	4/24/20		700			494
	BPCE SA	2.750%	12/2/21		575			583
4,7	BPCE SA, 3M Australian Bank Bill Rate +1.100%	1.985%	4/26/23		660			465
4,7	BPCE SA, 3M Australian Bank Bill Rate +1.300%	2.183%	4/24/20		430			302
	Canadian Imperial Bank of Commerce	2.550%	6/16/22		855			865
2	Canadian Imperial Bank of Commerce	2.606%	7/22/23		4,830			4,874
	Canadian Imperial Bank of Commerce	3.500%	9/13/23		4,435			4,655
	Canadian Imperial Bank of Commerce	3.100%	4/2/24		520			535
	Capital One Financial Corp.	3.050%	3/9/22		1,140			1,163
	Capital One NA	2.250%	9/13/21		450			451
	Citibank NA	2.850%	2/12/21		6,790			6,845
4,7	Citibank NA, 3M Australian Bank Bill Rate +0.750%	1.634%	5/20/22		500			351
	Citigroup Inc.	2.700%	3/30/21		325			327
6	Citigroup Inc.	0.500%	1/29/22		295			335
	Citigroup Inc.	2.750%	4/25/22		1,610			1,636
2	Citigroup Inc.	2.312%	11/4/22		1,150			1,153
2	Citigroup Inc.	2.876%	7/24/23		1,440			1,464
8	Citigroup Inc.	2.750%	1/24/24		270			374
2	Citigroup Inc.	4.044%	6/1/24		1,020			1,080
4,7	Citigroup Inc., 3M Australian Bank Bill Rate +1.550%	2.477%	5/4/21		1,137			807
	Citizens Bank NA	3.250%	2/14/22		1,125			1,152
	Comerica Inc.	3.700%	7/31/23		865			908
	Commonwealth Bank of Australia	2.300%	3/12/20		510			510
5	Commonwealth Bank of Australia	2.750%	3/10/22		1,485			1,510
5	Commonwealth Bank of Australia	2.500%	9/18/22		1,862			1,894
5	Commonwealth Bank of Australia	3.450%	3/16/23		1,554			1,618
5	Commonwealth Bank of Australia	3.350%	6/4/24		1,000			1,045
4,7	Commonwealth Bank of Australia, 3M Australian Bank Bill Rate +2.650%	3.536%	6/3/26		100			72
	Cooperatieve Rabobank UA	2.750%	1/10/23		800			813
5	Cooperatieve Rabobank UA	3.875%	9/26/23		1,750			1,844
	Cooperatieve Rabobank UA	4.625%	12/1/23		2,434			2,639
5	Cooperatieve Rabobank UA	2.625%	7/22/24		675			682
4,7	Cooperatieve Rabobank UA, 3M Australian Bank Bill Rate +2.500%	3.360%	7/2/25		892			631
7	Cooperatieve Rabobank UA	5.000%	7/2/25		300			214
	Credit Suisse AG	2.100%	11/12/21		2,700			2,706
2,5	Credit Suisse Group AG	4.207%	6/12/24		2,000			2,109
	Credit Suisse Group Funding Guernsey Ltd.	3.125%	12/10/20		2,410			2,431
6	Credit Suisse Group Funding Guernsey Ltd.	1.250%	4/14/22		295			339
5	Danske Bank A/S	2.750%	9/17/20		572			574
6	Danske Bank A/S	0.500%	5/6/21		991			1,121
5	Danske Bank A/S	2.000%	9/8/21		800			795
6	Danske Bank A/S	1.375%	5/24/22		295			339
2,5	Danske Bank A/S	3.001%	9/20/22		1,000			1,009
5	Danske Bank A/S	3.875%	9/12/23		1,000			1,036
5	DNB Bank ASA	2.150%	12/2/22		1,500			1,503
	Fifth Third Bancorp	3.650%	1/25/24		900			947
	Fifth Third Bank	2.250%	6/14/21		686			689
	Fifth Third Bank	2.875%	10/1/21		510			518
	First Republic Bank	2.500%	6/6/22		2,265			2,286
	Goldman Sachs Group Inc.	2.750%	9/15/20		1,490			1,497
	Goldman Sachs Group Inc.	2.600%	12/27/20		5,505			5,515
	Goldman Sachs Group Inc.	2.875%	2/25/21		8,333			8,411
	Goldman Sachs Group Inc.	2.625%	4/25/21		2,305			2,321
	Goldman Sachs Group Inc.	2.350%	11/15/21		1,375			1,380
	Goldman Sachs Group Inc.	5.750%	1/24/22		2,828			3,026

305

Short-Term Investment-Grade Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
	Goldman Sachs Group Inc.	3.000%	4/26/22		1,557			1,577
6	Goldman Sachs Group Inc.	1.375%	7/26/22		295			343
2	Goldman Sachs Group Inc.	2.876%	10/31/22		1,433			1,450
2	Goldman Sachs Group Inc.	2.908%	6/5/23		807			820
2	Goldman Sachs Group Inc.	2.905%	7/24/23		128			130
	Goldman Sachs Group Inc.	3.625%	2/20/24		1,820			1,910
	Goldman Sachs Group Inc.	4.000%	3/3/24		200			212
	Goldman Sachs Group Inc.	3.850%	7/8/24		600			633
	Goldman Sachs Group Inc.	3.500%	1/23/25		295			310
4,7	Goldman Sachs Group Inc., 3M Australian Bank Bill Rate +1.200%	2.080%	8/26/20		540			380
4,7	Goldman Sachs Group Inc., 3M Australian Bank Bill Rate +1.200%	2.102%	5/16/23		300			211
4,7	Goldman Sachs Group Inc., 3M Australian Bank Bill Rate +1.370%	2.261%	9/8/21		520			368
	HSBC Holdings plc	2.950%	5/25/21		3,665			3,709
	HSBC Holdings plc	2.650%	1/5/22		1,735			1,754
	HSBC Holdings plc	4.000%	3/30/22		300			312
2	HSBC Holdings plc	3.262%	3/13/23		1,605			1,640
	HSBC Holdings plc	3.600%	5/25/23		920			957
2	HSBC Holdings plc	3.033%	11/22/23		3,780			3,857
2	HSBC Holdings plc	3.950%	5/18/24		1,455			1,526
2	HSBC Holdings plc	3.803%	3/11/25		3,585			3,762
2	HSBC Holdings plc	2.633%	11/7/25		1,029			1,027
	Huntington National Bank	2.375%	3/10/20		525			525
	Huntington National Bank	2.875%	8/20/20		819			823
	Huntington National Bank	2.500%	8/7/22		1,460			1,476
	Huntington National Bank	3.550%	10/6/23		1,160			1,214
5	ING Bank NV	2.050%	8/15/21		500			500
5	Intesa Sanpaolo SPA	3.250%	9/23/24		2,000			2,007
	JPMorgan Chase & Co.	2.550%	10/29/20		1,957			1,963
	JPMorgan Chase & Co.	2.550%	3/1/21		3,291			3,309
6	JPMorgan Chase & Co.	2.625%	4/23/21		445			518
	JPMorgan Chase & Co.	2.295%	8/15/21		245			245
	JPMorgan Chase & Co.	4.500%	1/24/22		700			734
2	JPMorgan Chase & Co.	3.514%	6/18/22		3,475			3,549
	JPMorgan Chase & Co.	3.250%	9/23/22		1,215			1,256
	JPMorgan Chase & Co.	2.972%	1/15/23		3,391			3,457
2	JPMorgan Chase & Co.	3.207%	4/1/23		1,140			1,165
2	JPMorgan Chase & Co.	2.776%	4/25/23		2,965			3,000
	JPMorgan Chase & Co.	2.700%	5/18/23		947			964
2	JPMorgan Chase & Co.	3.559%	4/23/24		1,345			1,402
2	JPMorgan Chase & Co.	4.023%	12/5/24		1,490			1,587
2	JPMorgan Chase & Co.	2.301%	10/15/25		3,750			3,745
2	JPMorgan Chase Bank NA	3.086%	4/26/21		1,965			1,972
	KeyBank NA	2.500%	11/22/21		250			253
	KeyBank NA	2.300%	9/14/22		420			424
6	Leeds Building Society	2.625%	4/1/21		400			464
6	Lloyds Banking Group plc	0.750%	11/9/21		450			512
	Lloyds Banking Group plc	4.050%	8/16/23		1,450			1,530
2	Lloyds Banking Group plc	2.907%	11/7/23		2,800			2,841
	Macquarie Bank Ltd.	6.625%	4/7/21		170			179
7	Macquarie Bank Ltd.	1.750%	6/21/22		90			63
4,7	Macquarie Bank Ltd., 3M Australian Bank Bill Rate +0.750%	1.672%	6/21/22		1,200			843
7	Macquarie Group Ltd.	3.250%	12/15/22		400			287
2	Macquarie Group Ltd.	3.189%	11/28/23		960			980
2,5	Macquarie Group Ltd.	3.189%	11/28/23		275			281
4,7	Macquarie Group Ltd., 3M Australian Bank Bill Rate +1.150%	2.045%	12/15/22		1,150			809
	Manufacturers & Traders Trust Co.	2.500%	5/18/22		675			683
4	Manufacturers & Traders Trust Co., 3M USD LIBOR + 0.640%	2.547%	12/1/21		245			245
	Mitsubishi UFJ Financial Group Inc.	2.950%	3/1/21		983			993
	Mitsubishi UFJ Financial Group Inc.	3.535%	7/26/21		535			547
	Mitsubishi UFJ Financial Group Inc.	2.190%	9/13/21		470			471
	Mitsubishi UFJ Financial Group Inc.	3.218%	3/7/22		3,405			3,484
	Mitsubishi UFJ Financial Group Inc.	2.623%	7/18/22		2,210			2,238
	Mitsubishi UFJ Financial Group Inc.	2.665%	7/25/22		4,898			4,968
	Mitsubishi UFJ Financial Group Inc.	3.761%	7/26/23		3,990			4,191
	Mitsubishi UFJ Financial Group Inc.	2.527%	9/13/23		200			201
	Mitsubishi UFJ Financial Group Inc.	3.407%	3/7/24		2,965			3,091
	Mitsubishi UFJ Financial Group Inc.	2.801%	7/18/24		2,160			2,199
5	Mitsubishi UFJ Trust & Banking Corp.	2.650%	10/19/20		460			462
5	Mizuho Bank Ltd.	2.950%	10/17/22		480			490
	Mizuho Financial Group Inc.	2.273%	9/13/21		460			461
	Mizuho Financial Group Inc.	2.953%	2/28/22		715			727
2	Mizuho Financial Group Inc.	2.721%	7/16/23		2,000			2,019
	Morgan Stanley	2.650%	1/27/20		922			922
	Morgan Stanley	2.800%	6/16/20		1,244			1,249
	Morgan Stanley	2.500%	4/21/21		449			451
	Morgan Stanley	5.500%	7/28/21		800			842
	Morgan Stanley	2.625%	11/17/21		6,885			6,962
	Morgan Stanley	2.750%	5/19/22		2,910			2,961
	Morgan Stanley	3.125%	1/23/23		4,905			5,038
	Morgan Stanley	3.750%	2/25/23		575			601
2	Morgan Stanley	2.720%	7/22/25		870			878
5	MUFG Bank Ltd.	2.300%	3/5/20		1,840			1,841
5	MUFG Bank Ltd.	2.750%	9/14/20		2,357			2,368
5	MUFG Bank Ltd.	2.850%	9/8/21		700			708
	MUFG Union Bank NA	3.150%	4/1/22		3,350			3,425
	MUFG Union Bank NA	2.100%	12/9/22		1,000			1,002
5	National Bank of Canada	2.150%	10/7/22		1,500			1,499
2,5	Nationwide Building Society	3.766%	3/8/24		200			206
	PNC Bank NA	2.450%	11/5/20		439			441
	PNC Bank NA	2.550%	12/9/21		785			792
	PNC Bank NA	2.625%	2/17/22		4,309			4,354
	PNC Bank NA	2.700%	11/1/22		1,080			1,090
2	PNC Bank NA	2.028%	12/9/22		940			941
	PNC Bank NA	3.800%	7/25/23		500			524
	PNC Bank NA	3.300%	10/30/24		800			832
	PNC Financial Services Group Inc.	2.854%	11/9/22		493			502
	Regions Financial Corp.	2.750%	8/14/22		395			402
	Royal Bank of Canada	2.150%	10/26/20		1,202			1,204
	Royal Bank of Canada	3.700%	10/5/23		1,175			1,239
	Royal Bank of Canada	2.550%	7/16/24		2,914			2,957
	Royal Bank of Canada	2.250%	11/1/24		2,430			2,441
	Royal Bank of Scotland Group plc	3.875%	9/12/23		200			209
2	Royal Bank of Scotland Group plc	4.519%	6/25/24		300			318
2	Royal Bank of Scotland Group plc	4.269%	3/22/25		1,600			1,697
	Santander Holdings USA Inc.	3.700%	3/28/22		1,995			2,049
	Santander Holdings USA Inc.	3.400%	1/18/23		1,480			1,517
	Santander Holdings USA Inc.	3.500%	6/7/24		1,000			1,028
2	Santander UK Group Holdings plc	3.373%	1/5/24		2,017			2,060
2	Santander UK Group Holdings plc	4.796%	11/15/24		820			884
	Santander UK plc	3.750%	11/15/21		1,250			1,288
5	Santander UK plc	5.000%	11/7/23		350			379
	Santander UK plc	4.000%	3/13/24		940			1,001
2,6	Skandinaviska Enskilda Banken AB	2.500%	5/28/26		570			658
	State Street Corp.	3.700%	11/20/23		1,000			1,063
2	State Street Corp.	2.354%	11/1/25		1,330			1,332
	Sumitomo Mitsui Banking Corp.	2.450%	10/20/20		460			461
	Sumitomo Mitsui Financial Group Inc.	2.442%	10/19/21		2,969			2,989
	Sumitomo Mitsui Financial Group Inc.	2.784%	7/12/22		3,002			3,053
	Sumitomo Mitsui Financial Group Inc.	2.778%	10/18/22		1,380			1,401
	Sumitomo Mitsui Financial Group Inc.	3.102%	1/17/23		2,205			2,255
	Sumitomo Mitsui Financial Group Inc.	3.748%	7/19/23		2,320			2,431
	Sumitomo Mitsui Financial Group Inc.	3.936%	10/16/23		150			159
	Sumitomo Mitsui Financial Group Inc.	2.696%	7/16/24		4,310			4,368
4,7	Sumitomo Mitsui Financial Group Inc.,3M Australian Bank Bill Rate +1.270%	2.190%	3/29/22		1,227			867
	Svenska Handelsbanken AB	2.450%	3/30/21		1,300			1,307
	Svenska Handelsbanken AB	1.875%	9/7/21		855			853
6	Svenska Handelsbanken AB	4.375%	10/20/21		450			546
7	Svenska Handelsbanken AB	3.250%	9/27/23		390			287
	Svenska Handelsbanken AB	3.900%	11/20/23		1,225			1,311
8	Swedbank AB	1.250%	12/29/21		590			781
8	Swedbank AB	1.625%	12/28/22		1,120			1,494
	Synchrony Bank	3.000%	6/15/22		745			759
	Toronto-Dominion Bank	3.250%	6/11/21		7,415			7,568
	Toronto-Dominion Bank	3.500%	7/19/23		4,700			4,948
2	Truist Bank	2.590%	1/29/21		117			117

306

Short-Term Investment-Grade Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2	Truist Bank	3.525%	10/26/21		1,400			1,416
	Truist Bank	2.625%	1/15/22		3,540			3,584
	Truist Bank	2.800%	5/17/22		4,500			4,579
	Truist Bank	2.450%	8/1/22		2,915			2,945
	Truist Bank	3.200%	4/1/24		2,650			2,751
2	Truist Bank	3.689%	8/2/24		1,150			1,205
	Truist Bank	2.150%	12/6/24		1,300			1,297
	Truist Financial Corp.	2.050%	5/10/21		539			539
	Truist Financial Corp.	2.700%	1/27/22		1,460			1,480
	Truist Financial Corp.	3.950%	3/22/22		100			104
	Truist Financial Corp.	3.050%	6/20/22		1,420			1,448
	Truist Financial Corp.	3.750%	12/6/23		970			1,025
	Truist Financial Corp.	2.500%	8/1/24		475			481
5	UBS AG	2.450%	12/1/20		4,575			4,590
5	UBS Group Funding Jersey Ltd.	3.000%	4/15/21		1,250			1,265
5	UBS Group Funding Jersey Ltd.	2.650%	2/1/22		1,722			1,740
5	UBS Group Funding Switzerland AG	3.491%	5/23/23		210			216
2,5	UBS Group Funding Switzerland AG	2.859%	8/15/23		1,872			1,895
6	Unione di Banche Italiane SPA	1.000%	7/22/22		295			335
	US Bancorp	2.950%	7/15/22		1,100			1,128
	US Bancorp	3.375%	2/5/24		1,220			1,277
	US Bancorp	2.400%	7/30/24		1,250			1,265
	US Bank NA	3.450%	11/16/21		1,225			1,260
	US Bank NA	2.650%	5/23/22		2,155			2,192
	US Bank NA	1.950%	1/9/23		1,800			1,802
§,9	Washington Mutual Bank / Debt not acquired by JPMorgan	6.875%	6/15/11		517			—
	Wells Fargo & Co.	4.600%	4/1/21		673			694
	Wells Fargo & Co.	2.100%	7/26/21		1,170			1,172
	Wells Fargo & Co.	2.625%	7/22/22		4,860			4,925
	Wells Fargo & Co.	3.069%	1/24/23		500			509
	Wells Fargo & Co.	3.450%	2/13/23		1,500			1,552
	Wells Fargo & Co.	3.750%	1/24/24		2,525			2,660
2	Wells Fargo & Co.	2.406%	10/30/25		2,220			2,214
4,7	Wells Fargo & Co., 3M Australian Bank Bill Rate +1.100%	1.985%	4/27/22		657			464
4,7	Wells Fargo & Co., 3M Australian Bank Bill Rate +1.320%	2.205%	7/27/21		1,635			1,158
2	Wells Fargo Bank NA	3.325%	7/23/21		9,385			9,447
	Wells Fargo Bank NA	3.625%	10/22/21		3,766			3,874
2	Wells Fargo Bank NA	2.082%	9/9/22		3,500			3,500
8	Wells Fargo Bank NA	5.250%	8/1/23		400			597
	Wells Fargo Bank NA	3.550%	8/14/23		1,960			2,047
	Westpac Banking Corp.	2.100%	5/13/21		221			221
	Westpac Banking Corp.	2.000%	8/19/21		5,400			5,401
	Westpac Banking Corp.	2.750%	1/11/23		4,210			4,280
	Westpac Banking Corp.	3.300%	2/26/24		2,365			2,460
4,7	Westpac Banking Corp., 3M Australian Bank Bill Rate +1.800%	2.722%	6/22/28		1,100			777
4,7	Westpac Banking Corp., 3M Australian Bank Bill Rate +3.100%	3.989%	3/10/26		1,200			862
	Brokerage (0.3%)
	Ameriprise Financial Inc.	3.000%	3/22/22		1,000			1,022
6	Blackstone Property Partners Europe Holdings Sarl	1.400%	7/6/22		775			890
	Charles Schwab Corp.	3.550%	2/1/24		200			211
	Franklin Resources Inc.	2.800%	9/15/22		970			995
	Invesco Finance plc	3.125%	11/30/22		1,000			1,028
§,9	Lehman Brothers Holdings E-Capital Trust I	3.589%	8/19/65		210			—
	Stifel Financial Corp.	3.500%	12/1/20		405			410
	TD Ameritrade Holding Corp.	2.950%	4/1/22		200			204
	TD Ameritrade Holding Corp.	3.625%	4/1/25		100			106
	Finance Companies (0.1%)
7	GE Capital Australia Funding Pty Ltd.	5.250%	9/4/20		1,150			825
5	SMBC Aviation Capital Finance DAC	2.650%	7/15/21		445			448
	Springleaf Finance Corp.	5.375%	11/15/29		10			10
	Insurance (1.6%)
	Aflac Inc.	3.625%	11/15/24		300			321
5	AIG Global Funding	2.150%	7/2/20		365			365
5	AIG Global Funding	2.700%	12/15/21		315			319
	Alleghany Corp.	5.625%	9/15/20		210			215
	AXIS Specialty Finance LLC	5.875%	6/1/20		50			51
6	Berkshire Hathaway Inc.	0.250%	1/17/21		445			502
	Berkshire Hathaway Inc.	2.750%	3/15/23		3,069			3,151
	Centene Corp.	4.750%	5/15/22		259			264
	Centene Corp.	6.125%	2/15/24		355			368
5	Centene Corp.	4.750%	1/15/25		100			104
5	Centene Corp.	5.375%	6/1/26		60			64
5	Centene Corp.	4.250%	12/15/27		120			124
	Chubb INA Holdings Inc.	2.300%	11/3/20		503			505
	Chubb INA Holdings Inc.	2.875%	11/3/22		519			532
	Chubb INA Holdings Inc.	2.700%	3/13/23		765			782
	Chubb INA Holdings Inc.	3.350%	5/15/24		200			210
	Coventry Health Care Inc.	5.450%	6/15/21		300			312
5	Five Corners Funding Trust	4.419%	11/15/23		3,113			3,380
	Lincoln National Corp.	4.000%	9/1/23		303			321
	Marsh & McLennan Cos. Inc.	2.350%	3/6/20		590			590
	Marsh & McLennan Cos. Inc.	4.800%	7/15/21		330			342
	Marsh & McLennan Cos. Inc.	3.300%	3/14/23		442			456
	Marsh & McLennan Cos. Inc.	4.050%	10/15/23		387			410
5	MassMutual Global Funding II	2.750%	6/22/24		1,200			1,230
5	Metropolitan Life Global Funding I	3.450%	10/9/21		435			447
5	Metropolitan Life Global Funding I	3.600%	1/11/24		345			365
5	New York Life Global Funding	1.950%	2/11/20		530			530
5	Pricoa Global Funding I	2.200%	6/3/21		410			411
5	Principal Life Global Funding II	2.200%	4/8/20		685			685
	Progressive Corp.	3.750%	8/23/21		535			551
	Prudential Financial Inc.	4.500%	11/16/21		525			552
	Reinsurance Group of America Inc.	5.000%	6/1/21		250			260
5	Reliance Standard Life Global Funding II	2.500%	1/15/20		2,255			2,255
5	Reliance Standard Life Global Funding II	2.375%	5/4/20		920			921
5	Reliance Standard Life Global Funding II	3.850%	9/19/23		1,020			1,068
5	Swiss Re Treasury US Corp.	2.875%	12/6/22		1,026			1,043
	Travelers Cos. Inc.	3.900%	11/1/20		105			107
	UnitedHealth Group Inc.	4.700%	2/15/21		250			256
	UnitedHealth Group Inc.	2.375%	10/15/22		3,000			3,034
	UnitedHealth Group Inc.	2.750%	2/15/23		400			407
	UnitedHealth Group Inc.	2.875%	3/15/23		800			818
	UnitedHealth Group Inc.	3.500%	2/15/24		1,543			1,625
	UnitedHealth Group Inc.	2.375%	8/15/24		380			385
	Real Estate Investment Trusts (1.3%)
	Alexandria Real Estate Equities Inc.	3.900%	6/15/23		700			735
	Alexandria Real Estate Equities Inc.	4.000%	1/15/24		1,635			1,739
	Alexandria Real Estate Equities Inc.	3.450%	4/30/25		1,120			1,174
	Brandywine Operating Partnership LP	4.100%	10/1/24		185			195
	Brixmor Operating Partnership LP	3.875%	8/15/22		575			599
	Brixmor Operating Partnership LP	3.650%	6/15/24		915			951
	Brixmor Operating Partnership LP	3.850%	2/1/25		146			153
	Camden Property Trust	2.950%	12/15/22		290			296
	Camden Property Trust	4.875%	6/15/23		410			443
	Camden Property Trust	4.250%	1/15/24		438			469
	Camden Property Trust	3.500%	9/15/24		180			188
	CyrusOne LP / CyrusOne Finance Corp.	2.900%	11/15/24		1,045			1,049
	Digital Realty Trust LP	3.950%	7/1/22		840			874
	Federal Realty Investment Trust	2.550%	1/15/21		449			451
	Federal Realty Investment Trust	3.000%	8/1/22		1,000			1,020
	Federal Realty Investment Trust	2.750%	6/1/23		260			264
	Healthcare Trust of America Holdings LP	3.700%	4/15/23		320			331
	Healthpeak Properties Inc.	4.250%	11/15/23		850			907
	Healthpeak Properties Inc.	4.200%	3/1/24		195			208
	Healthpeak Properties Inc.	3.875%	8/15/24		202			215
	Healthpeak Properties Inc.	3.400%	2/1/25		280			291
	Highwoods Realty LP	3.200%	6/15/21		250			253
	Kimco Realty Corp.	3.400%	11/1/22		190			196

307

Short-Term Investment-Grade Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
	Kimco Realty Corp.	3.125%	6/1/23		426			435
7	Lendlease Finance Ltd.	6.000%	5/13/20		290			206
	Mid-America Apartments LP	4.300%	10/15/23		135			144
	Omega Healthcare Investors Inc.	4.950%	4/1/24		202			221
	Realty Income Corp.	5.750%	1/15/21		95			99
	Realty Income Corp.	3.250%	10/15/22		2,545			2,621
	Realty Income Corp.	3.875%	4/15/25		485			522
	Sabra Health Care LP / Sabra Capital Corp.	4.800%	6/1/24		1,010			1,074
	Simon Property Group LP	2.500%	7/15/21		800			806
	Simon Property Group LP	2.350%	1/30/22		1,295			1,304
	Simon Property Group LP	2.750%	2/1/23		200			204
	Simon Property Group LP	2.000%	9/13/24		1,500			1,479
	Ventas Realty LP	3.750%	5/1/24		355			373
	Ventas Realty LP	3.500%	2/1/25		80			83
	Weingarten Realty Investors	3.500%	4/15/23		150			154
	Welltower Inc.	3.750%	3/15/23		729			759
	Welltower Inc.	3.950%	9/1/23		1,095			1,155
	Welltower Inc.	3.625%	3/15/24		565			591
	Welltower Inc.	4.000%	6/1/25		280			301
								501,029
Industrial (31.4%)
	Basic Industry (0.8%)
5	Air Liquide Finance SA	1.750%	9/27/21		755			752
5	Air Liquide Finance SA	2.250%	9/27/23		1,235			1,235
	BHP Billiton Finance USA Ltd.	2.875%	2/24/22		210			214
	BHP Billiton Finance USA Ltd.	3.850%	9/30/23		465			495
5	Chevron Phillips Chemical Co. LLC /Chevron Phillips Chemical Co. LP	3.300%	5/1/23		1,610			1,662
	DuPont de Nemours Inc.	3.766%	11/15/20		695			704
	DuPont de Nemours Inc.	4.205%	11/15/23		1,565			1,673
	Eastman Chemical Co.	3.600%	8/15/22		575			595
	Ecolab Inc.	4.350%	12/8/21		250			262
	Ecolab Inc.	2.375%	8/10/22		670			676
	FMC Corp.	3.950%	2/1/22		610			628
	LYB International Finance BV	4.000%	7/15/23		110			117
	LyondellBasell Industries NV	6.000%	11/15/21		445			473
	LyondellBasell Industries NV	5.750%	4/15/24		400			450
	Newmont Corp.	3.625%	6/9/21		30			31
	Newmont Corp.	3.500%	3/15/22		265			272
	Newmont Corp.	3.700%	3/15/23		2,455			2,567
	Nutrien Ltd.	3.150%	10/1/22		145			148
	Nutrien Ltd.	3.500%	6/1/23		55			57
	Nutrien Ltd.	3.625%	3/15/24		140			146
5	OCI NV	5.250%	11/1/24		30			31
	Praxair Inc.	2.200%	8/15/22		85			86
	Steel Dynamics Inc.	2.800%	12/15/24		445			448
	Vale Overseas Ltd.	6.250%	8/10/26		240			281
6	Vale SA	3.750%	1/10/23		100			122
	WestRock RKT Co.	4.900%	3/1/22		105			111
	WestRock RKT Co.	4.000%	3/1/23		1,050			1,094
	Capital Goods (2.7%)
6	3M Co.	0.375%	2/15/22		445			504
	3M Co.	1.750%	2/14/23		1,060			1,054
	3M Co.	2.250%	3/15/23		790			797
5	Airbus Finance BV	2.700%	4/17/23		225			228
5	American Builders & Contractors Supply Co. Inc.	4.000%	1/15/28		30			30
	Ball Corp.	4.375%	12/15/20		100			102
	Ball Corp.	4.000%	11/15/23		215			226
	Ball Corp.	4.875%	3/15/26		20			22
	Berry Global Inc.	5.500%	5/15/22		80			81
	Berry Global Inc.	6.000%	10/15/22		8			8
5	Berry Global Inc.	4.875%	7/15/26		160			170
	Boeing Co.	2.300%	8/1/21		3,295			3,312
	Boeing Co.	2.125%	3/1/22		305			305
	Boeing Co.	2.700%	5/1/22		1,155			1,171
	Boeing Co.	1.875%	6/15/23		500			496
	Boeing Co.	2.800%	3/1/24		565			577
	Boeing Co.	2.850%	10/30/24		245			251
	Caterpillar Financial Services Corp.	1.850%	9/4/20		245			245
	Caterpillar Financial Services Corp.	2.650%	5/17/21		675			682
	Caterpillar Financial Services Corp.	1.931%	10/1/21		275			275
	Caterpillar Financial Services Corp.	2.400%	6/6/22		1,900			1,921
	Caterpillar Financial Services Corp.	1.900%	9/6/22		3,322			3,325
	Caterpillar Financial Services Corp.	2.550%	11/29/22		600			611
	Caterpillar Financial Services Corp.	3.300%	6/9/24		545			573
5	CFX Escrow Corp.	6.000%	2/15/24		200			213
5	Clean Harbors Inc.	4.875%	7/15/27		40			42
	CNH Industrial Capital LLC	4.875%	4/1/21		95			98
	CNH Industrial Capital LLC	3.875%	10/15/21		230			236
	CNH Industrial Capital LLC	4.375%	4/5/22		750			782
	CNH Industrial NV	4.500%	8/15/23		1,105			1,177
	Embraer Netherlands Finance BV	5.050%	6/15/25		200			220
	Embraer Overseas Ltd.	5.696%	9/16/23		37			41
	Embraer SA	5.150%	6/15/22		610			643
	John Deere Capital Corp.	1.950%	6/13/22		670			670
	Johnson Controls International plc	5.000%	3/30/20		550			554
	Johnson Controls International plc	3.750%	12/1/21		25			26
	Johnson Controls International plc	3.625%	7/2/24		303			314
5	L3Harris Technologies Inc.	4.950%	2/15/21		710			727
5	L3Harris Technologies Inc.	3.850%	6/15/23		640			674
5	L3Harris Technologies Inc.	3.950%	5/28/24		390			414
5	Mueller Water Products Inc.	5.500%	6/15/26		50			53
	Northrop Grumman Corp.	2.550%	10/15/22		2,543			2,580
	Northrop Grumman Corp.	2.930%	1/15/25		200			206
	Parker-Hannifin Corp.	3.500%	9/15/22		200			207
	Precision Castparts Corp.	2.500%	1/15/23		2,675			2,722
	Raytheon Co.	4.400%	2/15/20		55			55
	Raytheon Co.	2.500%	12/15/22		400			408
	Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu	5.750%	10/15/20		133			133
4,5	Reynolds Group Issuer Inc. / Reynolds Group Issuer LLC / Reynolds Group Issuer Lu, 3M USD LIBOR + 3.500%	5.501%	7/15/21		502			503
	Rockwell Collins Inc.	2.800%	3/15/22		2,730			2,777
	Rockwell Collins Inc.	3.200%	3/15/24		400			416
5	Sealed Air Corp.	4.000%	12/1/27		20			20
5	Silgan Holdings Inc.	4.125%	2/1/28		20			20
	Stanley Black & Decker Inc.	2.900%	11/1/22		1,200			1,229
6	Thales SA	0.000%	5/31/22		600			673
	TransDigm Inc.	6.500%	5/15/25		40			42
5	TransDigm Inc.	6.250%	3/15/26		100			108
5	Trivium Packaging Finance BV	5.500%	8/15/26		10			11
5	Trivium Packaging Finance BV	8.500%	8/15/27		10			11
	United Rentals North America Inc.	4.625%	10/15/25		345			355
	United Rentals North America Inc.	6.500%	12/15/26		60			66
	United Rentals North America Inc.	3.875%	11/15/27		120			122
	United Technologies Corp.	3.350%	8/16/21		205			210
	United Technologies Corp.	1.950%	11/1/21		509			510
6	United Technologies Corp.	1.125%	12/15/21		450			514
	United Technologies Corp.	2.300%	5/4/22		2,307			2,325
	United Technologies Corp.	3.100%	6/1/22		2,367			2,430
	United Technologies Corp.	3.650%	8/16/23		9,025			9,507
	Communication (3.5%)
	America Movil SAB de CV	5.000%	3/30/20		503			506
	American Tower Corp.	3.450%	9/15/21		184			188
	American Tower Corp.	5.900%	11/1/21		495			529
	American Tower Corp.	3.000%	6/15/23		179			183
	AT&T Inc.	2.800%	2/17/21		200			202
	AT&T Inc.	4.450%	5/15/21		400			414
6	AT&T Inc.	2.650%	12/17/21		450			527
	AT&T Inc.	4.000%	1/15/22		600			622
	AT&T Inc.	3.200%	3/1/22		316			324
	AT&T Inc.	3.800%	3/15/22		1,701			1,765
	AT&T Inc.	3.000%	6/30/22		1,166			1,192
	AT&T Inc.	2.625%	12/1/22		200			203
	AT&T Inc.	3.600%	2/17/23		2,968			3,097

308

Short-Term Investment-Grade Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
	CC Holdings GS V LLC / Crown Castle GS III Corp.	3.849%	4/15/23		662			693
5	CCO Holdings LLC / CCO Holdings Capital Corp.	4.750%	3/1/30		40			41
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.464%	7/23/22		5,652			5,940
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.500%	2/1/24		1,260			1,355
	Comcast Corp.	3.450%	10/1/21		545			560
	Comcast Corp.	3.125%	7/15/22		500			515
	Comcast Corp.	2.850%	1/15/23		275			282
	Comcast Corp.	2.750%	3/1/23		300			307
	Comcast Corp.	3.700%	4/15/24		555			590
5	Connect Finco SARL / Connect US Finco LLC	6.750%	10/1/26		20			21
5	Cox Communications Inc.	3.150%	8/15/24		725			745
	Crown Castle International Corp.	3.400%	2/15/21		1,470			1,492
	Crown Castle International Corp.	4.875%	4/15/22		400			423
	Crown Castle International Corp.	5.250%	1/15/23		1,978			2,144
	Crown Castle International Corp.	3.150%	7/15/23		1,202			1,233
	Crown Castle International Corp.	3.200%	9/1/24		1,730			1,781
	CSC Holdings LLC	6.750%	11/15/21		150			161
5	CSC Holdings LLC	5.375%	2/1/28		90			96
5	CSC Holdings LLC	7.500%	4/1/28		30			34
5	Deutsche Telekom International Finance BV	1.950%	9/19/21		600			600
5	Deutsche Telekom International Finance BV	2.820%	1/19/22		1,887			1,914
	Discovery Communications LLC	4.375%	6/15/21		195			201
	Discovery Communications LLC	3.300%	5/15/22		420			431
	Discovery Communications LLC	3.500%	6/15/22		485			498
	Discovery Communications LLC	2.950%	3/20/23		2,938			2,992
	Discovery Communications LLC	3.250%	4/1/23		300			308
	Discovery Communications LLC	3.800%	3/13/24		555			584
	Discovery Communications LLC	3.900%	11/15/24		852			904
5	Fox Corp.	3.666%	1/25/22		930			960
	Interpublic Group of Cos. Inc.	3.500%	10/1/20		440			444
	Interpublic Group of Cos. Inc.	3.750%	10/1/21		1,810			1,857
	Interpublic Group of Cos. Inc.	4.200%	4/15/24		200			215
5	Level 3 Financing Inc.	3.400%	3/1/27		50			50
5	Level 3 Financing Inc.	4.625%	9/15/27		60			61
	NBCUniversal Media LLC	4.375%	4/1/21		700			722
	NBCUniversal Media LLC	2.875%	1/15/23		2,142			2,198
	Netflix Inc.	4.375%	11/15/26		30			31
	Netflix Inc.	4.875%	4/15/28		15			16
5	Nexstar Escrow Inc.	5.625%	7/15/27		40			42
	Omnicom Group Inc. / Omnicom Capital Inc.	3.625%	5/1/22		3,435			3,552
	Qwest Corp.	6.750%	12/1/21		1,100			1,183
5	Sirius XM Radio Inc.	4.625%	7/15/24		240			251
5	Sirius XM Radio Inc.	5.000%	8/1/27		20			21
6	Sky Ltd.	1.500%	9/15/21		395			455
5	Sky Ltd.	3.750%	9/16/24		1,315			1,407
5	Sky plc	3.125%	11/26/22		1,560			1,599
	T-Mobile USA Inc.	6.000%	3/1/23		640			650
	T-Mobile USA Inc.	6.500%	1/15/24		290			298
	T-Mobile USA Inc.	4.500%	2/1/26		250			257
	Telefonica Emisiones SAU	5.462%	2/16/21		406			421
7	Telstra Corp. Ltd.	7.750%	7/15/20		400			290
	Time Warner Entertainment Co. LP	8.375%	3/15/23		270			319
	Verizon Communications Inc.	2.450%	11/1/22		100			101
	Verizon Communications Inc.	4.150%	3/15/24		300			323
4,7	Verizon Communications Inc., 3M Australian Bank Bill Rate +1.220%	2.122%	2/17/23		1,030			727
	ViacomCBS Inc.	4.300%	2/15/21		220			224
	ViacomCBS Inc.	4.500%	3/1/21		425			436
	ViacomCBS Inc.	3.875%	12/15/21		1,297			1,342
	ViacomCBS Inc.	3.375%	3/1/22		400			409
	ViacomCBS Inc.	2.500%	2/15/23		418			422
	ViacomCBS Inc.	2.900%	6/1/23		211			215
	ViacomCBS Inc.	4.250%	9/1/23		3,475			3,699
	Vodafone Group plc	3.750%	1/16/24		3,540			3,733
4,7	Vodafone Group plc, 3M Australian Bank Bill Rate +1.050%	1.946%	12/13/22		140			98
	Walt Disney Co.	3.000%	9/15/22		1,000			1,030
	Walt Disney Co.	2.350%	12/1/22		200			203
	Consumer Cyclical (2.8%)
5	1011778 BC ULC / New Red Finance Inc.	5.000%	10/15/25		250			259
5	1011778 BC ULC / New Red Finance Inc.	3.875%	1/15/28		50			50
5	1011778 BC ULC / New Red Finance Inc.	4.375%	1/15/28		30			30
5	Alimentation Couche-Tard Inc.	2.700%	7/26/22		3,675			3,717
5	Allison Transmission Inc.	4.750%	10/1/27		50			52
	American Axle & Manufacturing Inc.	6.625%	10/15/22		160			162
	American Honda Finance Corp.	1.650%	7/12/21		265			264
	American Honda Finance Corp.	3.375%	12/10/21		2,900			2,987
6	American Honda Finance Corp.	0.350%	8/26/22		960			1,087
	American Honda Finance Corp.	2.050%	1/10/23		100			100
	American Honda Finance Corp.	3.450%	7/14/23		720			753
	American Honda Finance Corp.	3.625%	10/10/23		3,000			3,165
	AutoZone Inc.	2.875%	1/15/23		115			117
6	BMW Finance NV	0.125%	1/12/21		445			501
5	Boyd Gaming Corp.	4.750%	12/1/27		60			62
5	Churchill Downs Inc.	5.500%	4/1/27		150			159
7	Ford Motor Credit Co. LLC	3.588%	6/2/20		856			604
	Ford Motor Credit Co. LLC	2.979%	8/3/22		220			220
	Ford Motor Credit Co. LLC	3.350%	11/1/22		1,700			1,716
	Ford Motor Credit Co. LLC	3.810%	1/9/24		200			203
	Ford Motor Credit Co. LLC	5.584%	3/18/24		1,300			1,402
	General Motors Co.	4.875%	10/2/23		640			687
	General Motors Financial Co. Inc.	2.450%	11/6/20		150			150
	General Motors Financial Co. Inc.	3.700%	11/24/20		1,720			1,740
	General Motors Financial Co. Inc.	4.200%	3/1/21		1,095			1,118
	General Motors Financial Co. Inc.	3.200%	7/6/21		1,695			1,716
	General Motors Financial Co. Inc.	4.375%	9/25/21		1,660			1,719
	General Motors Financial Co. Inc.	4.200%	11/6/21		1,200			1,241
	General Motors Financial Co. Inc.	3.450%	4/10/22		350			358
	General Motors Financial Co. Inc.	3.150%	6/30/22		100			102
	General Motors Financial Co. Inc.	3.250%	1/5/23		490			500
7	General Motors Financial Co. Inc.	3.850%	2/21/23		160			117
	General Motors Financial Co. Inc.	3.700%	5/9/23		475			490
	General Motors Financial Co. Inc.	4.250%	5/15/23		200			211
	General Motors Financial Co. Inc.	4.150%	6/19/23		100			105
	General Motors Financial Co. Inc.	5.100%	1/17/24		850			922
	General Motors Financial Co. Inc.	3.950%	4/13/24		650			679
	General Motors Financial Co. Inc.	3.500%	11/7/24		1,800			1,852
	General Motors Financial Co. Inc.	4.350%	4/9/25		250			268
	Goodyear Tire & Rubber Co.	4.875%	3/15/27		38			39
5	Harley-Davidson Financial Services Inc.	2.150%	2/26/20		2,080			2,080
5	Harley-Davidson Financial Services Inc.	2.400%	6/15/20		1,745			1,744
5	Harley-Davidson Financial Services Inc.	2.850%	1/15/21		155			156
5	Harley-Davidson Financial Services Inc.	2.550%	6/9/22		955			958
	Hilton Domestic Operating Co. Inc.	5.125%	5/1/26		60			63
	Lennar Corp.	5.375%	10/1/22		80			85
	Lennar Corp.	5.250%	6/1/26		20			22
5	Live Nation Entertainment Inc.	4.750%	10/15/27		70			72
	Lowe’s Cos. Inc.	4.625%	4/15/20		360			361
	Macy’s Retail Holdings Inc.	3.450%	1/15/21		360			363
	MGM Growth Properties Operating
	Partnership LP / MGP Finance Co-Issuer Inc.	5.625%	5/1/24		170			186
	MGM Growth Properties Operating Partnership LP / MGP Finance Co-Issuer Inc.	4.500%	9/1/26		20			21
	MGM Resorts International	4.625%	9/1/26		30			32
5	NCL Corp. Ltd.	3.625%	12/15/24		70			71
5	Nissan Motor Acceptance Corp.	2.550%	3/8/21		345			346

309

Short-Term Investment-Grade Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
5	Nissan Motor Acceptance Corp.	1.900%	9/14/21	355		352
5	Nissan Motor Acceptance Corp.	3.650%	9/21/21	750		765
5	Nissan Motor Acceptance Corp.	2.600%	9/28/22	210		210
5	Nissan Motor Acceptance Corp.	3.875%	9/21/23	1,725		1,795
5	Panther BF Aggregator 2 LP / Panther Finance Co. Inc.	6.250%	5/15/26	50		54
	PulteGroup Inc.	5.500%	3/1/26	50		56
5	Scientific Games International Inc.	7.000%	5/15/28	20		21
	TJX Cos. Inc.	2.750%	6/15/21	290		294
	Toyota Motor Corp.	3.183%	7/20/21	1,400		1,428
	Toyota Motor Credit Corp.	4.500%	6/17/20	400		405
6	Toyota Motor Credit Corp.	1.000%	3/9/21	445		506
	Toyota Motor Credit Corp.	1.900%	4/8/21	90		90
	Toyota Motor Credit Corp.	2.750%	5/17/21	415		420
	Toyota Motor Credit Corp.	2.700%	1/11/23	100		102
	Toyota Motor Credit Corp.	3.450%	9/20/23	2,745		2,889
7	Volkswagen Financial Services Australia Pty Ltd.	3.100%	4/17/23	250		180
5	Volkswagen Group of America Finance LLC	3.875%	11/13/20	1,855		1,885
5	Volkswagen Group of America Finance LLC	2.500%	9/24/21	1,200		1,209
5	Volkswagen Group of America Finance LLC	4.000%	11/12/21	1,285		1,328
5	Volkswagen Group of America Finance LLC	2.700%	9/26/22	1,200		1,213
	Walmart Inc.	2.550%	4/11/23	200		204
	Walmart Inc.	3.400%	6/26/23	275		289
	Consumer Noncyclical (10.1%)
	AbbVie Inc.	2.300%	5/14/21	2,830		2,838
	AbbVie Inc.	3.375%	11/14/21	675		692
5	AbbVie Inc.	2.150%	11/19/21	7,000		7,018
	AbbVie Inc.	2.900%	11/6/22	2,680		2,733
	AbbVie Inc.	3.200%	11/6/22	2,058		2,116
5	AbbVie Inc.	2.300%	11/21/22	8,000		8,030
	AbbVie Inc.	2.850%	5/14/23	100		102
	AbbVie Inc.	3.750%	11/14/23	725		763
5	AbbVie Inc.	2.600%	11/21/24	4,700		4,732
	Actavis Inc.	3.250%	10/1/22	416		425
	Allergan Funding SCS	3.450%	3/15/22	1,345		1,376
	Allergan Funding SCS	3.850%	6/15/24	1,914		2,005
	Allergan Inc.	2.800%	3/15/23	200		201
5	Allergan Sales LLC	5.000%	12/15/21	800		836
	Altria Group Inc.	3.490%	2/14/22	4,250		4,372
	Altria Group Inc.	2.850%	8/9/22	740		754
	AmerisourceBergen Corp.	3.500%	11/15/21	300		307
	Amgen Inc.	2.700%	5/1/22	465		471
	Amgen Inc.	2.650%	5/11/22	910		923
	Amgen Inc.	3.625%	5/15/22	149		154
	Anheuser-Busch InBev Finance Inc.	3.300%	2/1/23	979		1,013
	Anheuser-Busch InBev Worldwide Inc.	2.500%	7/15/22	70		71
	Anheuser-Busch InBev Worldwide Inc.	4.150%	1/23/25	2,750		2,992
5	Aramark Services Inc.	5.000%	2/1/28	30		32
	AstraZeneca plc	3.500%	8/17/23	290		303
	BAT Capital Corp.	2.764%	8/15/22	3,035		3,077
	BAT Capital Corp.	3.222%	8/15/24	1,500		1,532
6	BAT International Finance plc	4.875%	2/24/21	360		426
8	BAT International Finance plc	1.750%	7/5/21	420		561
5	BAT International Finance plc	3.250%	6/7/22	735		751
5	Bausch Health Cos Inc.	6.500%	3/15/22	80		82
5	Bausch Health Cos. Inc.	7.000%	3/15/24	250		260
5	Bausch Health Cos. Inc.	7.000%	1/15/28	30		33
5	Bausch Health Cos. Inc.	5.000%	1/30/28	70		72
5	Bausch Health Cos. Inc.	5.250%	1/30/30	55		57
	Baxalta Inc.	3.600%	6/23/22	100		103
	Baxter International Inc.	1.700%	8/15/21	600		599
	Becton Dickinson & Co.	3.125%	11/8/21	900		917
	Becton Dickinson & Co.	2.894%	6/6/22	400		406
	Becton Dickinson & Co.	3.363%	6/6/24	1,110		1,154
6	Becton Dickinson Euro Finance Sarl	0.174%	6/4/21	2,085		2,345
	Biogen Inc.	3.625%	9/15/22	1,245		1,295
	Boston Scientific Corp.	3.450%	3/1/24	835		873
5	Bristol-Myers Squibb Co.	2.550%	5/14/21	3,315		3,347
5	Bristol-Myers Squibb Co.	2.250%	8/15/21	300		302
5	Bristol-Myers Squibb Co.	2.600%	5/16/22	5,765		5,856
5	Bristol-Myers Squibb Co.	3.250%	8/15/22	1,665		1,716
5	Bristol-Myers Squibb Co.	3.550%	8/15/22	1,228		1,269
5	Bristol-Myers Squibb Co.	2.750%	2/15/23	1,500		1,524
5	Bristol-Myers Squibb Co.	3.250%	2/20/23	625		642
5	Bristol-Myers Squibb Co.	3.625%	5/15/24	400		421
	Campbell Soup Co.	3.650%	3/15/23	250		260
5	Cigna Corp.	4.750%	11/15/21	814		853
5	Cigna Corp.	3.900%	2/15/22	965		996
5	Cigna Corp.	3.050%	11/30/22	1,350		1,373
5	Cigna Corp.	3.000%	7/15/23	1,600		1,622
	Cigna Corp.	3.750%	7/15/23	1,300		1,356
5	Cigna Corp.	3.500%	6/15/24	1,000		1,041
6	Coca-Cola Co.	0.125%	9/22/22	300		339
6	Coca-Cola Co.	1.125%	9/22/22	900		1,043
	Coca-Cola Co.	1.750%	9/6/24	1,000		997
	CommonSpirit Health	4.200%	8/1/23	100		105
	CommonSpirit Health	2.760%	10/1/24	985		991
	Conagra Brands Inc.	4.950%	8/15/20	61		62
	Conagra Brands Inc.	4.300%	5/1/24	350		376
	Constellation Brands Inc.	2.650%	11/7/22	200		203
	Constellation Brands Inc.	4.250%	5/1/23	2,000		2,118
	CVS Health Corp.	3.350%	3/9/21	4,400		4,465
	CVS Health Corp.	2.125%	6/1/21	1,525		1,525
	CVS Health Corp.	3.500%	7/20/22	1,000		1,032
	CVS Health Corp.	2.750%	12/1/22	1,200		1,219
	CVS Health Corp.	3.700%	3/9/23	8,470		8,815
	CVS Health Corp.	4.000%	12/5/23	1,000		1,058
	CVS Health Corp.	2.625%	8/15/24	2,200		2,220
	DaVita Inc.	5.000%	5/1/25	10		10
	DH Europe Finance II Sarl	2.050%	11/15/22	2,400		2,397
	DH Europe Finance II Sarl	2.200%	11/15/24	700		698
6	DH Europe Finance SA	1.700%	1/4/22	300		348
6	Diageo Finance plc	0.250%	10/22/21	1,400		1,581
	Encompass Health Corp.	4.500%	2/1/28	20		21
	Estee Lauder Cos. Inc.	2.000%	12/1/24	500		501
	Express Scripts Holding Co.	2.600%	11/30/20	700		703
7	FBG Finance Pty Ltd.	3.750%	8/7/20	510		362
	General Mills Inc.	3.200%	4/16/21	715		726
	General Mills Inc.	2.600%	10/12/22	600		609
	Gilead Sciences Inc.	3.250%	9/1/22	707		730
	Gilead Sciences Inc.	2.500%	9/1/23	425		431
	Gilead Sciences Inc.	3.700%	4/1/24	600		637
	GlaxoSmithKline Capital plc	2.875%	6/1/22	6,800		6,945
	Grupo Bimbo SAB de CV	4.500%	1/25/22	265		275
5	Grupo Bimbo SAB de CV	4.500%	1/25/22	300		312
	HCA Inc.	5.000%	3/15/24	2,170		2,368
	HCA Inc.	5.375%	2/1/25	40		44
	HCA Inc.	5.375%	9/1/26	80		89
5	Hill-Rom Holdings Inc.	4.375%	9/15/27	20		21
5	Hologic Inc.	4.375%	10/15/25	350		361
6	Johnson & Johnson	0.250%	1/20/22	445		504
	Kellogg Co.	3.125%	5/17/22	100		102
	Keurig Dr Pepper Inc.	3.551%	5/25/21	4,079		4,163
	Keurig Dr Pepper Inc.	4.057%	5/25/23	2,600		2,741
	Keurig Dr Pepper Inc.	3.130%	12/15/23	300		308
5	Kraft Heinz Foods Co.	4.875%	2/15/25	1,913		1,966
	Kroger Co.	6.150%	1/15/20	350		350
	Kroger Co.	2.600%	2/1/21	950		956
	Kroger Co.	2.950%	11/1/21	1,090		1,106
	Kroger Co.	2.800%	8/1/22	700		713
	Kroger Co.	3.850%	8/1/23	200		211
	Kroger Co.	4.000%	2/1/24	409		434
	Laboratory Corp. of America Holdings	3.750%	8/23/22	700		726
5	Lamb Weston Holdings Inc.	4.625%	11/1/24	147		156
5	Lamb Weston Holdings Inc.	4.875%	11/1/26	70		74
	McCormick & Co. Inc.	2.700%	8/15/22	100		102

310

Short-Term Investment-Grade Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	McCormick & Co. Inc.	3.150%	8/15/24	100		104
	McKesson Corp.	2.700%	12/15/22	1,700		1,720
	McKesson Corp.	2.850%	3/15/23	550		558
	McKesson Corp.	3.796%	3/15/24	500		526
6	Medtronic Global Holdings SCA	0.000%	3/7/21	3,900		4,385
6	Merck & Co. Inc.	1.125%	10/15/21	890		1,015
5	Mondelez International Holdings Netherlands BV	2.250%	9/19/24	200		200
5	Mylan Inc.	3.125%	1/15/23	865		876
	Mylan NV	3.150%	6/15/21	1,500		1,515
6	Mylan NV	2.250%	11/22/24	220		262
	Novartis Capital Corp.	2.400%	9/21/22	294		298
5	Performance Food Group Inc.	5.500%	6/1/24	99		101
5	Performance Food Group Inc.	5.500%	10/15/27	50		53
5	Pernod Ricard SA	5.750%	4/7/21	679		711
5	Pernod Ricard SA	4.450%	1/15/22	365		382
5	Pernod Ricard SA	4.250%	7/15/22	285		300
	Philip Morris International Inc.	2.500%	8/22/22	600		606
	Philip Morris International Inc.	2.500%	11/2/22	735		746
	Philip Morris International Inc.	2.625%	3/6/23	225		229
	Philip Morris International Inc.	2.125%	5/10/23	400		400
5	Post Holdings Inc.	5.750%	3/1/27	20		21
5	Reckitt Benckiser Treasury Services plc	2.375%	6/24/22	5,840		5,864
5	Reckitt Benckiser Treasury Services plc	2.750%	6/26/24	3,450		3,507
	Reynolds American Inc.	4.000%	6/12/22	1,458		1,517
	Shire Acquisitions Investments Ireland DAC	2.400%	9/23/21	5,175		5,201
	Shire Acquisitions Investments Ireland DAC	2.875%	9/23/23	2,300		2,341
	SSM Health Care Corp.	3.688%	6/1/23	750		780
	Takeda Pharmaceutical Co. Ltd.	4.000%	11/26/21	4,965		5,128
5	Takeda Pharmaceutical Co. Ltd.	2.450%	1/18/22	600		602
	Takeda Pharmaceutical Co. Ltd.	4.400%	11/26/23	1,457		1,562
5	Tenet Healthcare Corp.	4.625%	9/1/24	50		52
5	Tenet Healthcare Corp.	4.875%	1/1/26	165		173
	Thermo Fisher Scientific Inc.	3.000%	4/15/23	500		514
	Tyson Foods Inc.	4.500%	6/15/22	300		316
	Tyson Foods Inc.	3.900%	9/28/23	1,000		1,060
	Tyson Foods Inc.	3.950%	8/15/24	900		962
	Unilever Capital Corp.	2.600%	5/5/24	1,000		1,022
	Zimmer Biomet Holdings Inc.	2.700%	4/1/20	2,100		2,102
	Zimmer Biomet Holdings Inc.	3.150%	4/1/22	655		669
	Zoetis Inc.	3.250%	2/1/23	200		206
	Energy (6.5%)
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	2.773%	12/15/22	1,023		1,043
	BP Capital Markets America Inc.	4.742%	3/11/21	1,215		1,256
	BP Capital Markets America Inc.	3.245%	5/6/22	1,165		1,202
	BP Capital Markets America Inc.	2.520%	9/19/22	1,455		1,477
	BP Capital Markets America Inc.	2.750%	5/10/23	1,745		1,784
	BP Capital Markets America Inc.	3.216%	11/28/23	3,370		3,502
	BP Capital Markets America Inc.	3.790%	2/6/24	1,685		1,792
	BP Capital Markets America Inc.	3.224%	4/14/24	620		647
	BP Capital Markets plc	2.500%	11/6/22	620		631
	Buckeye Partners LP	4.150%	7/1/23	95		95
	Buckeye Partners LP	3.950%	12/1/26	20		19
	Canadian Natural Resources Ltd.	2.950%	1/15/23	2,135		2,175
	Canadian Natural Resources Ltd.	3.800%	4/15/24	535		559
	Cenovus Energy Inc.	3.000%	8/15/22	500		506
	Cenovus Energy Inc.	3.800%	9/15/23	355		368
	Cheniere Corpus Christi Holdings LLC	7.000%	6/30/24	1,810		2,086
	Cheniere Corpus Christi Holdings LLC	5.875%	3/31/25	1,620		1,822
	Cimarex Energy Co.	4.375%	6/1/24	295		311
	Concho Resources Inc.	4.375%	1/15/25	1,380		1,426
	ConocoPhillips Co.	2.400%	12/15/22	710		716
	Continental Resources Inc.	5.000%	9/15/22	1,057		1,064
	Continental Resources Inc.	4.500%	4/15/23	165		173
	Continental Resources Inc.	3.800%	6/1/24	820		848
	Diamondback Energy Inc.	2.875%	12/1/24	1,480		1,494
	Dominion Energy Gas Holdings LLC	3.550%	11/1/23	300		310
	Enbridge Energy Partners LP	5.875%	10/15/25	320		373
	Enbridge Inc.	4.000%	10/1/23	900		950
	Enbridge Inc.	2.500%	1/15/25	1,075		1,082
	Encana Corp.	3.900%	11/15/21	140		143
	Energy Transfer Operating LP	4.150%	10/1/20	1,366		1,380
	Energy Transfer Operating LP	4.650%	6/1/21	400		410
	Energy Transfer Operating LP	5.200%	2/1/22	1,085		1,137
	Energy Transfer Operating LP	4.250%	3/15/23	434		453
	Energy Transfer Operating LP	4.200%	9/15/23	1,174		1,231
	Energy Transfer Operating LP	5.875%	1/15/24	60		66
	Energy Transfer Operating LP	4.900%	2/1/24	1,210		1,292
	Energy Transfer Operating LP	4.500%	4/15/24	510		541
5	Eni SPA	4.000%	9/12/23	1,845		1,943
	Enterprise Products Operating LLC	3.500%	2/1/22	1,820		1,874
	Enterprise Products Operating LLC	3.900%	2/15/24	875		929
	EQT Corp.	2.500%	10/1/20	700		699
	EQT Corp.	4.875%	11/15/21	2,005		2,059
	EQT Corp.	3.000%	10/1/22	110		108
	Exxon Mobil Corp.	2.019%	8/16/24	1,795		1,799
	Husky Energy Inc.	3.950%	4/15/22	40		41
	Husky Energy Inc.	4.000%	4/15/24	95		100
	Kinder Morgan Energy Partners LP	5.800%	3/1/21	145		151
	Kinder Morgan Energy Partners LP	5.000%	10/1/21	360		375
	Kinder Morgan Energy Partners LP	4.150%	3/1/22	115		120
	Kinder Morgan Energy Partners LP	3.950%	9/1/22	2,300		2,396
	Kinder Morgan Energy Partners LP	3.450%	2/15/23	1,005		1,035
	Kinder Morgan Energy Partners LP	3.500%	9/1/23	390		404
	Kinder Morgan Energy Partners LP	4.300%	5/1/24	295		315
5	Kinder Morgan Inc.	5.000%	2/15/21	825		849
	Kinder Morgan Inc.	3.150%	1/15/23	2,155		2,203
5	Kinder Morgan Inc.	5.625%	11/15/23	1,000		1,107
	Marathon Oil Corp.	2.800%	11/1/22	2,510		2,548
	Marathon Petroleum Corp.	3.400%	12/15/20	715		723
	Marathon Petroleum Corp.	5.125%	3/1/21	900		931
	Marathon Petroleum Corp.	4.750%	12/15/23	1,120		1,216
	Marathon Petroleum Corp.	3.625%	9/15/24	480		503
5	MEG Energy Corp.	6.500%	1/15/25	107		112
5	Midwest Connector Capital Co. LLC	3.625%	4/1/22	1,600		1,640
5	Midwest Connector Capital Co. LLC	3.900%	4/1/24	1,175		1,234
5	MPLX LP	3.500%	12/1/22	953		981
	MPLX LP	3.375%	3/15/23	625		641
	MPLX LP	4.500%	7/15/23	70		74
	MPLX LP	4.875%	12/1/24	920		998
	Newfield Exploration Co.	5.750%	1/30/22	1,750		1,859
	Newfield Exploration Co.	5.625%	7/1/24	820		902
	Noble Energy Inc.	3.900%	11/15/24	600		634
	Occidental Petroleum Corp.	4.850%	3/15/21	300		309
	Occidental Petroleum Corp.	2.600%	8/13/21	2,220		2,233
	Occidental Petroleum Corp.	3.125%	2/15/22	1,240		1,260
	Occidental Petroleum Corp.	2.600%	4/15/22	75		76
	Occidental Petroleum Corp.	2.700%	8/15/22	4,325		4,372
	Occidental Petroleum Corp.	2.900%	8/15/24	1,050		1,067
	ONEOK Inc.	2.750%	9/1/24	955		960
	ONEOK Partners LP	3.375%	10/1/22	145		149
	ONEOK Partners LP	5.000%	9/15/23	610		661
5	Parsley Energy LLC / Parsley Finance Corp.	5.375%	1/15/25	50		51
	Phillips 66	4.300%	4/1/22	1,535		1,610
	Pioneer Natural Resources Co.	3.950%	7/15/22	35		36
	Plains All American Pipeline LP / PAA Finance Corp.	5.000%	2/1/21	615		629
	Plains All American Pipeline LP / PAA Finance Corp.	3.650%	6/1/22	885		908
	Plains All American Pipeline LP / PAA Finance Corp.	3.850%	10/15/23	300		311
	Plains All American Pipeline LP / PAA Finance Corp.	4.650%	10/15/25	350		374
	Regency Energy Partners LP / Regency Energy Finance Corp.	5.875%	3/1/22	1,890		2,007
	Regency Energy Partners LP / Regency Energy Finance Corp.	5.000%	10/1/22	1,555		1,646

311

Short-Term Investment-Grade Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Regency Energy Partners LP / Regency Energy Finance Corp.	4.500%	11/1/23	1,180		1,248
	Sabine Pass Liquefaction LLC	5.625%	2/1/21	1,660		1,706
	Sabine Pass Liquefaction LLC	6.250%	3/15/22	550		591
	Sabine Pass Liquefaction LLC	5.625%	4/15/23	2,295		2,496
	Sabine Pass Liquefaction LLC	5.750%	5/15/24	1,355		1,512
	Sabine Pass Liquefaction LLC	5.625%	3/1/25	1,405		1,579
	Shell International Finance BV	1.875%	5/10/21	1,295		1,294
	Shell International Finance BV	2.250%	1/6/23	3,305		3,331
	Shell International Finance BV	3.400%	8/12/23	120		126
	Shell International Finance BV	2.000%	11/7/24	3,895		3,889
	SM Energy Co.	6.125%	11/15/22	20		20
	Southern Natural Gas Co. LLC / Southern Natural Issuing Corp.	4.400%	6/15/21	155		159
	Spectra Energy Partners LP	3.500%	3/15/25	40		42
	Sunoco Logistics Partners Operations LP	4.400%	4/1/21	1,480		1,515
	Sunoco Logistics Partners Operations LP	3.450%	1/15/23	485		495
	Sunoco Logistics Partners Operations LP	4.250%	4/1/24	1,035		1,086
	Targa Resources Partners LP / Targa Resources Partners Finance Corp.	6.750%	3/15/24	90		93
5	Targa Resources Partners LP / Targa Resources Partners Finance Corp.	6.500%	7/15/27	30		33
	Total Capital Canada Ltd.	2.750%	7/15/23	1,325		1,356
	Total Capital International SA	2.875%	2/17/22	825		842
	Total Capital International SA	2.700%	1/25/23	275		281
	Total Capital International SA	2.434%	1/10/25	1,580		1,598
	Total Capital SA	4.250%	12/15/21	475		496
	TransCanada PipeLines Ltd.	2.500%	8/1/22	1,895		1,904
	TransCanada PipeLines Ltd.	3.750%	10/16/23	710		744
	Western Midstream Operating LP	5.375%	6/1/21	60		62
	Western Midstream Operating LP	4.000%	7/1/22	245		250
	Williams Cos. Inc.	5.250%	3/15/20	1,179		1,186
	Williams Cos. Inc.	4.125%	11/15/20	1,025		1,037
	Williams Cos. Inc.	7.875%	9/1/21	120		131
	Williams Cos. Inc.	4.000%	11/15/21	395		406
	Williams Cos. Inc.	3.600%	3/15/22	1,145		1,177
	Williams Cos. Inc.	3.350%	8/15/22	270		277
	Williams Cos. Inc.	3.700%	1/15/23	680		702
	Williams Cos. Inc.	4.300%	3/4/24	495		526
	Williams Cos. Inc.	4.550%	6/24/24	695		749
	WPX Energy Inc.	5.250%	10/15/27	20		21
	Other Industrial (0.1%)
5	CK Hutchison International 17 II Ltd.	2.250%	9/29/20	2,365		2,365
	Technology (3.3%)
	Apple Inc.	2.400%	1/13/23	100		101
	Apple Inc.	2.850%	2/23/23	100		103
	Apple Inc.	2.400%	5/3/23	555		564
	Apple Inc.	3.000%	2/9/24	379		392
	Apple Inc.	3.450%	5/6/24	1,870		1,987
	Apple Inc.	2.850%	5/11/24	3,091		3,194
	Apple Inc.	2.750%	1/13/25	1,175		1,213
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	2.200%	1/15/21	280		280
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.000%	1/15/22	3,580		3,636
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	2.650%	1/15/23	950		955
5	Broadcom Inc.	3.125%	4/15/21	1,300		1,315
5	Broadcom Inc.	3.125%	10/15/22	1,350		1,373
	CDK Global Inc.	4.875%	6/1/27	15		16
	CDW LLC / CDW Finance Corp.	4.250%	4/1/28	30		32
5	CommScope Finance LLC	5.500%	3/1/24	90		94
5	Dell International LLC / EMC Corp.	4.420%	6/15/21	3,780		3,885
5	Dell International LLC / EMC Corp.	4.000%	7/15/24	275		288
	Equifax Inc.	2.600%	12/1/24	406		408
6	Fidelity National Information Services Inc.	0.125%	5/21/21	600		675
6	Fidelity National Information Services Inc.	0.125%	12/3/22	1,000		1,123
	Fiserv Inc.	2.750%	7/1/24	4,330		4,405
	Hewlett Packard Enterprise Co.	4.400%	10/15/22	1,150		1,214
	International Business Machines Corp.	2.800%	5/13/21	1,250		1,267
6	International Business Machines Corp.	0.500%	9/7/21	450		510
	International Business Machines Corp.	2.500%	1/27/22	1,000		1,012
	International Business Machines Corp.	2.850%	5/13/22	6,310		6,446
	International Business Machines Corp.	1.875%	8/1/22	355		355
	International Business Machines Corp.	3.000%	5/15/24	1,445		1,496
	Marvell Technology Group Ltd.	4.200%	6/22/23	750		788
5	MSCI Inc.	5.250%	11/15/24	162		167
5	NXP BV / NXP Funding LLC	3.875%	9/1/22	2,600		2,699
5	NXP BV / NXP Funding LLC	4.625%	6/1/23	500		534
5	NXP BV / NXP Funding LLC	4.875%	3/1/24	1,250		1,358
	Oracle Corp.	2.500%	10/15/22	200		203
	Oracle Corp.	2.625%	2/15/23	1,348		1,374
	Oracle Corp.	3.625%	7/15/23	200		211
	Oracle Corp.	2.400%	9/15/23	2,477		2,517
	Oracle Corp.	2.950%	11/15/24	1,745		1,809
	PayPal Holdings Inc.	2.200%	9/26/22	2,900		2,916
5	Qorvo Inc.	4.375%	10/15/29	70		73
	QUALCOMM Inc.	2.600%	1/30/23	2,985		3,037
	QUALCOMM Inc.	2.900%	5/20/24	500		515
5	SS&C Technologies Inc.	5.500%	9/30/27	20		21
	Total System Services Inc.	3.800%	4/1/21	1,500		1,528
	Tyco Electronics Group SA	4.875%	1/15/21	380		391
	Tyco Electronics Group SA	3.500%	2/3/22	375		386
	Tyco Electronics Group SA	3.450%	8/1/24	430		448
	Verisk Analytics Inc.	5.800%	5/1/21	315		330
	Verisk Analytics Inc.	4.125%	9/12/22	450		470
	VMware Inc.	2.300%	8/21/20	650		651
	VMware Inc.	2.950%	8/21/22	1,090		1,110
	Western Digital Corp.	4.750%	2/15/26	30		31
	Transportation (1.6%)
5	Air Canada	7.750%	4/15/21	1,692		1,796
2,5	Air Canada 2013-1 Class B Pass Through Trust	5.375%	5/15/21	593		609
7	Aurizon Network Pty Ltd.	5.750%	10/28/20	640		464
7	Aurizon Network Pty Ltd.	4.000%	6/21/24	240		179
	Burlington Northern Santa Fe LLC	3.050%	3/15/22	200		204
	Canadian National Railway Co.	2.850%	12/15/21	200		203
2	Continental Airlines 2000-1 Class A-1 Pass Through Trust	8.048%	11/1/20	45		46
2	Continental Airlines 2005-ERJ1 Pass Through Trust	9.798%	10/1/22	163		168
2	Continental Airlines 2010-1 Class A Pass Through Trust	4.750%	7/12/22	64		65
2	Continental Airlines 2012-2 Class B Pass Through Trust	5.500%	4/29/22	102		104
	CSX Corp.	3.400%	8/1/24	1,065		1,121
2	CSX Transportation Inc.	6.251%	1/15/23	89		97
2	Delta Air Lines 2007-1 Class B Pass Through Trust	8.021%	8/10/22	138		152
2	Delta Air Lines 2012-1 Class A Pass Through Trust	4.750%	11/7/21	116		117
	Delta Air Lines Inc.	3.400%	4/19/21	2,845		2,879
	Delta Air Lines Inc.	3.800%	4/19/23	1,725		1,789
	Delta Air Lines Inc.	2.900%	10/28/24	595		596
5	ERAC USA Finance LLC	2.600%	12/1/21	300		302
5	ERAC USA Finance LLC	3.300%	10/15/22	1,000		1,029
5	ERAC USA Finance LLC	2.700%	11/1/23	700		709
	FedEx Corp.	3.400%	1/14/22	645		662
2,5	Heathrow Funding Ltd.	4.875%	7/15/23	1,265		1,309
	Norfolk Southern Corp.	3.250%	12/1/21	100		102
	Norfolk Southern Corp.	2.903%	2/15/23	165		169
5	Penske Truck Leasing Co. LP / PTL Finance Corp.	3.200%	7/15/20	150		151

312

Short-Term Investment-Grade Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
5	Penske Truck Leasing Co. LP / PTL Finance Corp.	3.300%	4/1/21	1,100		1,115
7	Qantas Airways Ltd.	7.500%	6/11/21	1,300		986
7	Qantas Airways Ltd.	7.750%	5/19/22	780		620
	Ryder System Inc.	2.875%	6/1/22	1,350		1,374
	Ryder System Inc.	2.500%	9/1/22	300		302
	Ryder System Inc.	3.650%	3/18/24	2,105		2,210
	Southwest Airlines Co.	2.750%	11/16/22	1,000		1,014
2	Southwest Airlines Co. 2007-1 Pass Through Trust	6.150%	2/1/24	72		76
2	Spirit Airlines Pass Through Trust 2017-1B	3.800%	2/15/26	318		319
2	UAL 2007-1 Pass Through Trust	6.636%	7/2/22	505		537
	Union Pacific Corp.	3.200%	6/8/21	350		356
	Union Pacific Corp.	2.950%	3/1/22	2,319		2,368
	Union Pacific Corp.	4.163%	7/15/22	250		263
	Union Pacific Corp.	2.950%	1/15/23	797		817
	Union Pacific Corp.	3.500%	6/8/23	90		94
	Union Pacific Corp.	3.150%	3/1/24	1,440		1,496
	United Parcel Service Inc.	2.350%	5/16/22	230		232
	United Parcel Service Inc.	2.450%	10/1/22	1,000		1,016
2	US Airways 2001-1C Pass Through Trust	7.346%	9/20/23	130		140
7	WSO Finance Pty Ltd.	3.500%	7/14/23	310		228
						598,734
Utilities (4.0%)
	Electric (3.9%)
	AEP Texas Inc.	2.400%	10/1/22	700		705
	Ameren Corp.	2.500%	9/15/24	1,060		1,068
	Ameren Illinois Co.	2.700%	9/1/22	215		219
	Baltimore Gas & Electric Co.	3.500%	11/15/21	230		236
	Baltimore Gas & Electric Co.	2.800%	8/15/22	600		610
	Baltimore Gas & Electric Co.	3.350%	7/1/23	320		332
	Berkshire Hathaway Energy Co.	2.375%	1/15/21	655		657
	Berkshire Hathaway Energy Co.	2.800%	1/15/23	1,765		1,800
	Berkshire Hathaway Energy Co.	3.750%	11/15/23	635		670
5	Calpine Corp.	4.500%	2/15/28	165		167
5	Calpine Corp.	5.125%	3/15/28	105		107
	CenterPoint Energy Inc.	3.600%	11/1/21	1,115		1,141
	CenterPoint Energy Inc.	2.500%	9/1/22	1,470		1,481
	CenterPoint Energy Inc.	3.850%	2/1/24	65		68
	Connecticut Light & Power Co.	2.500%	1/15/23	810		820
	Dominion Energy Inc.	2.750%	9/15/22	945		956
4,5	Dominion Energy Inc., 3M USD LIBOR + 0.400%	2.307%	12/1/20	4,840		4,846
	DTE Electric Co.	3.900%	6/1/21	420		430
	DTE Electric Co.	2.650%	6/15/22	30		31
	DTE Energy Co.	2.600%	6/15/22	1,170		1,176
	DTE Energy Co.	3.300%	6/15/22	1,000		1,023
	DTE Energy Co.	2.250%	11/1/22	2,495		2,495
	DTE Energy Co.	3.700%	8/1/23	1,995		2,077
	DTE Energy Co.	3.850%	12/1/23	130		136
	Duke Energy Corp.	3.227%	3/11/22	8,375		8,639
	Duke Energy Corp.	3.950%	10/15/23	390		412
	Duke Energy Corp.	3.750%	4/15/24	200		212
5	EDP Finance BV	4.125%	1/15/20	1,558		1,558
5	EDP Finance BV	5.250%	1/14/21	2,070		2,128
	Entergy Arkansas Inc.	3.750%	2/15/21	250		254
	Entergy Arkansas Inc.	3.050%	6/1/23	220		225
	Entergy Corp.	4.000%	7/15/22	1,260		1,312
	Entergy Louisiana LLC	4.800%	5/1/21	365		375
	Entergy Louisiana LLC	3.300%	12/1/22	205		211
	Entergy Louisiana LLC	4.050%	9/1/23	285		303
	Evergy Inc.	2.450%	9/15/24	1,500		1,507
	Exelon Corp.	2.450%	4/15/21	215		216
	Exelon Corp.	3.497%	6/1/22	246		252
	Exelon Generation Co. LLC	3.400%	3/15/22	222		227
	FirstEnergy Corp.	2.850%	7/15/22	2,570		2,608
	FirstEnergy Corp.	4.250%	3/15/23	1,979		2,086
5	FirstEnergy Transmission LLC	4.350%	1/15/25	493		528
	Georgia Power Co.	2.400%	4/1/21	1,245		1,250
6	innogy Finance BV	6.500%	8/10/21	400		496
	ITC Holdings Corp.	2.700%	11/15/22	750		759
	LG&E & KU Energy LLC	4.375%	10/1/21	280		289
	MidAmerican Energy Co.	3.700%	9/15/23	165		173
	National Rural Utilities Cooperative Finance Corp.	2.700%	2/15/23	280		285
	NextEra Energy Capital Holdings Inc.	2.900%	4/1/22	2,430		2,470
	NextEra Energy Capital Holdings Inc.	3.300%	8/15/22	9,580		9,864
	NRG Energy Inc.	7.250%	5/15/26	448		490
	NSTAR Electric Co.	3.500%	9/15/21	470		479
	NSTAR Electric Co.	2.375%	10/15/22	225		227
	NV Energy Inc.	6.250%	11/15/20	200		207
	Oncor Electric Delivery Co. LLC	4.100%	6/1/22	120		125
	Oncor Electric Delivery Co. LLC	2.750%	6/1/24	1,455		1,478
	PECO Energy Co.	3.150%	10/15/25	115		120
	PPL Capital Funding Inc.	4.200%	6/15/22	50		52
	PPL Capital Funding Inc.	3.500%	12/1/22	225		232
	Progress Energy Inc.	4.400%	1/15/21	1,685		1,714
	Progress Energy Inc.	3.150%	4/1/22	520		530
	Public Service Enterprise Group Inc.	2.875%	6/15/24	1,665		1,696
	Puget Energy Inc.	6.500%	12/15/20	625		651
	Puget Energy Inc.	6.000%	9/1/21	100		106
	Puget Energy Inc.	5.625%	7/15/22	1,175		1,260
	Southern Co.	2.350%	7/1/21	1,645		1,651
	Southwestern Electric Power Co.	3.550%	2/15/22	490		502
	Tampa Electric Co.	5.400%	5/15/21	370		386
4,7	Victoria Power Networks Finance Pty Ltd., 3M Australian Bank Bill Rate +0.280%	1.128%	1/15/22	220		152
	Virginia Electric & Power Co.	3.450%	9/1/22	715		739
	Virginia Electric & Power Co.	2.750%	3/15/23	145		147
	Virginia Electric & Power Co.	3.450%	2/15/24	350		365
5	Vistra Operations Co. LLC	5.000%	7/31/27	20		21
	Natural Gas (0.1%)
5	Engie SA	2.875%	10/10/22	175		178
	Sempra Energy	2.400%	2/1/20	1,470		1,470
	Sempra Energy	2.400%	3/15/20	235		235
	Sempra Energy	2.900%	2/1/23	415		421
	Southern Co. Gas Capital Corp.	2.450%	10/1/23	155		156
	Other Utility (0.0%)
7	Energy Partnership Gas Pty Ltd.	4.250%	6/15/20	80		56
						77,736
Total Corporate Bonds (Cost $1,158,561)						1,177,499
Sovereign Bonds (4.7%)
5	Arab Petroleum Investments Corp.	4.125%	9/18/23	442		470
	Arab Petroleum Investments Corp.	4.125%	9/18/23	200		212
	Arab Republic of Egypt	8.700%	3/1/49	200		224
6	Argentine Republic	3.875%	1/15/22	600		320
6	Argentine Republic	3.375%	1/15/23	506		256
	Argentine Republic	5.875%	1/11/28	567		266
5	Avi Funding Co. Ltd.	2.850%	9/16/20	275		276
	Avi Funding Co. Ltd.	2.850%	9/16/20	225		226
5	Banque Ouest Africaine de Developpement	5.500%	5/6/21	200		207
5	Banque Ouest Africaine de Developpement	5.000%	7/27/27	430		457
5	Bermuda	4.138%	1/3/23	200		209
5	BNG Bank NV	2.125%	12/14/20	866		868
5	BOC Aviation Ltd.	2.375%	9/15/21	790		787
	CCBL Cayman Corp. Ltd.	3.250%	7/28/20	500		502
5	CDP Financial Inc.	3.150%	7/24/24	670		699
	Centrais Eletricas Brasileiras SA	5.750%	10/27/21	200		209
	CNOOC Finance 2015 Australia Pty Ltd.	2.625%	5/5/20	200		200
	CNOOC Finance 2015 USA LLC	3.500%	5/5/25	837		875
	CNOOC Nexen Finance 2014 ULC	4.250%	4/30/24	710		758
	Corp Financiera de Desarrollo SA	4.750%	7/15/25	535		585
	Corp. Andina de Fomento	2.200%	7/18/20	937		937
	Corp. Andina de Fomento	4.375%	6/15/22	413		432

313

Short-Term Investment-Grade Portfolio

					Face		Market
				Maturity	Amount		Value•
			Coupon	Date	($000	)	($000	)
5		Corp. Financiera de Desarrollo SA	4.750%	2/8/22	150		157
		Corp. Financiera de Desarrollo SA	4.750%	2/8/22	200		209
		Development Bank of Kazakhstan JSC	4.125%	12/10/22	240		250
5,10		Dexia Credit Local SA	2.500%	1/25/21	2,450		2,462
5,10		Dexia Credit Local SA	1.875%	9/15/21	235		235
5,10		Dexia Credit Local SA	2.375%	9/20/22	250		253
		Dominican Republic	6.600%	1/28/24	185		206
5		Electricite de France SA	4.500%	9/21/28	200		222
5		Emirate of Abu Dhabi	2.125%	9/30/24	6,450		6,433
		Empresa Nacional del Petroleo	4.375%	10/30/24	400		423
		Empresa Nacional del Petroleo	3.750%	8/5/26	255		261
2		Empresa Nacional del Petroleo	5.250%	11/6/29	400		448
		Export-Import Bank of India	2.750%	4/1/20	200		200
		Export-Import Bank of India	2.750%	8/12/20	200		200
		Export-Import Bank of Korea	5.125%	6/29/20	500		507
2		Federative Republic of Brazil	4.625%	1/13/28	1,300		1,396
		Fondo MIVIVIENDA SA	3.500%	1/31/23	630		645
		Gazprom OAO Via Gaz Capital SA	6.510%	3/7/22	270		292
		Harvest Operations Corp.	3.000%	9/21/22	200		204
		ICBCIL Finance Co. Ltd.	3.250%	3/17/20	200		200
		ICBCIL Finance Co. Ltd.	3.000%	4/5/20	560		561
5		Indonesia Asahan Aluminium Persero PT	5.230%	11/15/21	425		446
		Industrial & Commercial Bank of China Ltd.	2.905%	11/13/20	250		251
4		Industrial & Commercial Bank of China Ltd., 3M USD LIBOR + 0.750%	2.654%	11/8/20	500		500
4,11		Japan Bank for International Cooperation, 3M USD LIBOR + 0.390%	2.356%	7/21/20	144		144
11		Japan Finance Organization for Municipalities	4.000%	1/13/21	250		255
5		KazMunayGas National Co. JSC	6.375%	10/24/48	400		516
		Kingdom of Saudi Arabia	2.375%	10/26/21	1,660		1,667
		Korea Development Bank	3.250%	2/19/24	295		307
		Korea Hydro & Nuclear Power Co. Ltd.	3.000%	9/19/22	200		205
		Korea Midland Power Co. Ltd.	2.500%	7/21/21	200		201
		Korea Midland Power Co. Ltd.	3.375%	1/22/22	937		959
5		Korea National Oil Corp.	2.875%	3/27/22	400		406
		Korea Western Power Co. Ltd.	2.375%	7/22/22	304		306
		KSA Sukuk Ltd.	2.894%	4/20/22	869		883
12		KSA Sukuk Ltd.	3.628%	4/20/27	1,390		1,475
5		Ontario Teachers’ Cadillac Fairview Properties Trust	3.125%	3/20/22	1,326		1,352
5		Ontario Teachers’ Cadillac Fairview Properties Trust	3.875%	3/20/27	200		213
		Perusahaan Listrik Negara PT	5.500%	11/22/21	400		424
		Perusahaan Penerbit SBSN Indonesia III	3.400%	3/29/21	225		228
		Perusahaan Penerbit SBSN Indonesia III	3.400%	3/29/22	661		670
		Perusahaan Penerbit SBSN Indonesia III	3.300%	11/21/22	200		205
		Perusahaan Penerbit SBSN Indonesia III	4.350%	9/10/24	439		469
		Petroleos Mexicanos	4.625%	9/21/23	1		1
		Petroleos Mexicanos	6.875%	8/4/26	1,195		1,311
5		Petroleos Mexicanos	6.490%	1/23/27	913		969
		Petroleos Mexicanos	6.500%	3/13/27	455		481
		Petronas Capital Ltd.	3.125%	3/18/22	380		387
		Petronas Global Sukuk Ltd.	2.707%	3/18/20	200		200
5		Province of Alberta	1.750%	8/26/20	3,734		3,734
		Province of Nova Scotia	8.250%	7/30/22	315		361
		Province of Ontario	4.400%	4/14/20	629		634
		Province of Ontario	1.875%	5/21/20	230		230
		Province of Quebec	2.750%	8/25/21	715		727
2,5		Ras Laffan Liquefied Natural Gas Co. Ltd. II	5.298%	9/30/20	22		23
2		Ras Laffan Liquefied Natural Gas Co. Ltd. II	5.298%	9/30/20	82		84
		Republic of Chile	3.875%	8/5/20	180		181
		Republic of Colombia	4.375%	7/12/21	2,605		2,689
2		Republic of Colombia	2.625%	3/15/23	1,000		1,006
2		Republic of Colombia	4.500%	1/28/26	1,025		1,115
		Republic of Croatia	6.625%	7/14/20	690		705
		Republic of Croatia	6.375%	3/24/21	1,215		1,279
		Republic of Honduras	8.750%	12/16/20	1,010		1,064
		Republic of Hungary	6.375%	3/29/21	3,762		3,969
		Republic of Hungary	5.375%	2/21/23	2,255		2,472
		Republic of Hungary	5.750%	11/22/23	711		802
5		Republic of Indonesia	3.700%	1/8/22	400		411
		Republic of Indonesia	3.750%	4/25/22	1,612		1,664
		Republic of Indonesia	5.875%	1/15/24	820		928
		Republic of Indonesia	4.125%	1/15/25	755		810
6		Republic of Italy	3.850%	9/1/49	120		174
		Republic of Lithuania	7.375%	2/11/20	3,570		3,591
		Republic of Lithuania	6.125%	3/9/21	1,375		1,441
5		Republic of Lithuania	6.125%	3/9/21	195		204
		Republic of Lithuania	6.625%	2/1/22	300		329
		Republic of Panama	5.200%	1/30/20	1,270		1,273
2		Republic of Panama	4.000%	9/22/24	200		214
		Republic of Panama	7.125%	1/29/26	280		351
		Republic of Poland	5.125%	4/21/21	520		541
		Republic of Poland	5.000%	3/23/22	1,020		1,089
		Republic of Romania	4.375%	8/22/23	250		268
6		Republic of Romania	2.000%	12/8/26	1,574		1,891
		Republic of Serbia	7.250%	9/28/21	767		836
		Republic of Slovenia	5.500%	10/26/22	280		307
5		Republic of Slovenia	5.250%	2/18/24	300		338
		Republic of South Africa	5.500%	3/9/20	100		101
		Republic of South Africa	5.875%	9/16/25	695		764
		Sinopec Group Overseas Development 2013 Ltd.	4.375%	10/17/23	1,140		1,220
5		Sinopec Group Overseas Development 2013 Ltd.	4.375%	10/17/23	800		856
		Sinopec Group Overseas Development 2015 Ltd.	2.500%	4/28/20	200		200
5		Sinopec Group Overseas Development 2017 Ltd.	2.375%	4/12/20	785		785
		Sinopec Group Overseas Development 2017 Ltd.	2.500%	9/13/22	200		201
		Socialist Republic of Vietnam	6.750%	1/29/20	726		729
4		State Bank of India/London, 3M Australian Bank Bill Rate +0.950%	2.993%	4/6/20	1,100		1,102
		State Grid Overseas Investment 2014 Ltd.	4.125%	5/7/24	250		267
		State Grid Overseas Investment 2016 Ltd.	3.750%	5/2/23	310		323
		State of Israel	3.150%	6/30/23	525		546
6		State of Israel	1.500%	1/18/27	115		140
6		State of Israel	1.500%	1/16/29	450		551
		State of Kuwait	2.750%	3/20/22	1,148		1,166
		State of Qatar	4.500%	1/20/22	445		466
		United Mexican States	4.125%	1/21/26	375		399
6		United Mexican States	1.625%	4/8/26	459		537
Total Sovereign Bonds (Cost $88,366)							89,258
Taxable Municipal Bonds (0.1%)
13		New Jersey Economic Development Authority Revenue (State Pension Funding)	7.425%	2/15/29	770		966
Total Taxable Municipal Bonds (Cost $986)							966
					Shares
Temporary Cash Investments (7.2%)
Money Market Fund (1.8%)
14		Vanguard Market Liquidity Fund	1.816%		335,783		33,582
					Face
					Amount
					($000	)
U.S. Government and Agency Obligations (5.4%)
15	United States Treasury Bill		1.541%–1.544%	11/5/20	105,000		103,643
Total Temporary Cash Investments (Cost $137,211)							137,225

314

Short-Term Investment-Grade Portfolio

						Notional
						Amount on
						Underlying		Market
			Expiration	Exercise		Swap		Value•
		Counterparty	Date	Rate		($000	)	($000	)
Options Purchased (0.0%)
Over-the-Counter Swaptions (0.0%)
Call Swaptions
	1-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.608% Semiannually	MSCS	3/4/20	1.608	%	28,280		6
	10-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.130% Semiannually	BNPSW	9/21/20	1.130	%	2,851		7
	10-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.205% Semiannually	JPMC	1/7/20	1.205	%	3,434		—
								13
Put Swaptions
	1-Year Interest Rate Swap, Receives 3M USD LIBOR Quarterly, Pays 1.608% Semiannually	MSCS	3/4/20	1.608	%	28,280		33
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	GSI	1/15/20	0.575	%	3,740		—
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	GSI	1/15/20	0.575	%	3,805		—
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	GSI	2/19/20	0.600	%	5,610		2
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	JPMC	1/15/20	0.600	%	3,740		—
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	JPMC	3/18/20	0.550	%	3,715		3
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	2/19/20	0.525	%	3,740		3
	5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	3/18/20	0.550	%	5,610		5
								46
Total Options Purchased (Cost $130)								59
Total Investments (99.4%) (Cost $1,865,664)								1,894,959

	Amount
	($000	)
Other Assets and Liabilities (0.6%)
Other Assets
Investment in Vanguard	85
Receivables for Investment Securities Sold	6
Receivables for Accrued Income	12,315
Receivables for Capital Shares Issued	638
Variation Margin Receivable—Futures Contracts	101
Variation Margin Receivable—CC Swap Contracts	19
Unrealized Appreciation—Forward Currency Contracts	42
Unrealized Appreciation—OTC Swap Contracts	66
Other Assets	551
Total Other Assets	13,823
Liabilities
Payables for Investment Securities Purchased	(27	)
Payables for Capital Shares Redeemed	(563	)
Payables to Vanguard	(627	)
Variation Margin Payable—Futures Contracts	(36	)
Variation Margin Payable—CC Swap Contracts	(5	)
Unrealized Depreciation—Forward Currency Contracts	(426	)
Unrealized Depreciation—OTC Swap Contracts	(327	)
Options Written, at Value16	(153	)
Total Liabilities	(2,164	)
Net Assets (100%)
Applicable to 175,824,761 outstanding $.001 par value shares of
beneficial interest (unlimited authorization)	1,906,618
Net Asset Value Per Share	$10.84

315

Short-Term Investment-Grade Portfolio

At December 31, 2019, net assets consisted of:

	Amount
	($000	)
Paid-in Capital	1,842,594
Total Distributable Earnings (Loss)	64,024
Net Assets	1,906,618

^• See Note A in Notes to Financial Statements.

§ Security value determined using significant unobservable inputs.

1 Securities with a value of $505,000 have been segregated as initial margin for open futures contracts.

2 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.

3 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.

4 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.

5 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $349,685,000, representing 18.3% of net assets.

6 Face amount denominated in euro.

7 Face amount denominated in Australian dollars.

8 Face amount denominated in British pounds.

9 Non-income-producing security—security in default.

10 Guaranteed by multiple countries.

11 Guaranteed by the Government of Japan.

12 Guaranteed by the Kingdom of Saudi Arabia.

13 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.

14 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

15 Securities with a value of $790,000 have been segregated as initial margin for open centrally cleared swap contracts.

16 Includes premiums received of $154,000.

BNPSW—BNP Paribas.

CC—Centrally Cleared.

CMT—Constant Maturing Treasury Rate.

GSI—Goldman Sachs International.

JPMC—JPMorgan Chase Bank, N.A.

LIBOR—London Interbank Offered Rate.

MSCS—Morgan Stanley Capital Services LLC.

OTC—Over-the-Counter.

REMICS—Real Estate Mortgage Investment Conduits.

316

Short-Term Investment-Grade Portfolio

Derivative Financial Instruments Outstanding as of Period End

Options Written

					Notinal
					Amount on
					Underlying			Market
		Expiration	Exercise		Swap			Value
	Counterparty	Date	Rate		($000		)	($000		)
Over-the-Counter Swaptions
Call Swaptions
2-Year Interest Rate Swap, Receives 3M USD LIBOR Quarterly, Pays 1.528% Semiannually	MSCS	3/4/20		1.528%		14,140			(10	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	GSI	1/15/20		0.525%		3,740			(12	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	GSI	1/15/20		0.525%		3,805			(13	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	GSI	2/19/20		0.525%		5,610			(19	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	JPMC	1/15/20		0.550%		3,740			(17	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	2/19/20		0.475%		3,740			(6	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Sold, Receives 1.000% Quarterly	MSCS	3/18/20		0.500%		5,610			(14	)
									(91	)
Put Swaptions
2-Year Interest Rate Swap, Pays 3M USD LIBOR Quarterly, Receives 1.528% Semiannually	MSCS	3/4/20		1.528%		14,140			(44	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Purchased, Pays 1.000% Quarterly	GSI	1/15/20		0.525%		3,740			(1	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Purchased, Pays 1.000% Quarterly	GSI	1/15/20		0.525%		3,805			(1	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Purchased, Pays 1.000% Quarterly	GSI	2/19/20		0.525%		5,610			(4	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Purchased, Pays 1.000% Quarterly	JPMC	1/15/20		0.550%		3,740			—
5-Year CDX-NA-IG-S33-V1, Credit Protection Purchased, Pays 1.000% Quarterly	MSCS	2/19/20		0.475%		3,740			(4	)
5-Year CDX-NA-IG-S33-V1, Credit Protection Purchased, Pays 1.000% Quarterly	MSCS	3/18/20		0.500%		5,610			(8	)
									(62	)
Total Options Written (Premiums Received $154)									(153	)

GSI—Goldman Sachs International.

JPMC—JPMorgan Chase Bank, N.A.

MSCS—Morgan Stanley Capital Services LLC.

317

Short-Term Investment-Grade Portfolio

Futures Contracts
						($000	)
						Value and
		Number of				Unrealized
		Long (Short	)	Notional		Appreciation
	Expiration	Contracts		Amount		(Depreciation	)
Long Futures Contracts
5-Year U.S. Treasury Note	March 2020	248		29,415		14
Long Gilt	March 2020	15		2,610		(12	)
30-Year U.S. Treasury Bond	March 2020	3		468		(12	)
10-Year U.S. Treasury Note	March 2020	1		128		1
						(9	)
Short Futures Contracts
Euro-Schatz	March 2020	(139	)	(17,448	)	7
Euro-Bund	March 2020	(34	)	(6,502	)	63
Ultra 10-Year U.S. Treasury Note	March 2020	(27	)	(3,799	)	9
Euro-Bobl	March 2020	(20	)	(2,998	)	9
AUD 3-Year Treasury Bond	March 2020	(31	)	(2,502	)	16
2-Year U.S. Treasury Note	March 2020	(8	)	(1,724	)	(2	)
AUD 10-Year Treasury Bond	March 2020	(8	)	(803	)	16
Euro-BTP	March 2020	(3	)	(479	)	(2	)
Ultra Long U.S. Treasury Bond	March 2020	(2	)	(363	)	—
						116
						107

Forward Currency Contracts
	Contract								Unrealized			Unrealized
	Settlement	Contract Amount (000						)	Appreciation			(Depreciation		)
Counterparty	Date		Receive			Deliver			($000		)	($000		)
HSBC Bank USA, N.A.	3/18/20	USD		17,104	EUR		15,190			—			(19	)
Toronto-Dominion Bank	3/18/20	USD		16,798	AUD		24,327			—			(307	)
Morgan Stanley Capital Services LLC	3/18/20	USD		8,523	EUR		7,580			—			(22	)
Royal Bank of Canada	3/18/20	USD		6,652	EUR		5,965			—			(72	)
Royal Bank of Canada	3/18/20	USD		6,192	GBP		4,633			42			—
Bank of America, N.A.	3/18/20	USD		724	GBP		550			—			(6	)
Bank of America, N.A.	3/18/20	USD		169	EUR		150			—			—
HSBC Bank USA, N.A.	3/18/20	USD		4	JPY		471			—			—
										42			(426	)

AUD—Australian dollar.

EUR—euro.

GBP—British pound.

JPY—Japanese yen.

USD—U.S. dollar.

318

Short-Term Investment-Grade Portfolio

Centrally Cleared Credit Default Swaps
						Periodic
						Premium						Unrealized
						Received						Appreciation
	Termination	Notional	Amount			(Paid		)1	Value			(Depreciation		)
Reference Entity	Date		(000		)	(%		)	($000		)	($000		)
Credit Protection Sold
CDX-NA-IG-S33-V1	12/20/24	USD		5,496			1.000			142			3
CDX-NA-IG-S33-V1	12/20/29	USD		1,995			1.000			16			34
													37
Credit Protection Purchased
CDX-NA-HY-S33-V2	12/20/24	USD		921			(5.000	)		(89	)		(2	)
CDX-NA-IG-S33-V1	12/20/22	USD		5,705			(1.000	)		(129	)		(11	)
iTraxx Europe-S32-V1	12/20/24	EUR		3,810			(1.000	)		(119	)		(13	)
													(26	)
													11

1 Periodic premium received/paid quarterly.

EUR—euro.

USD—U.S. dollar.

Over-the-Counter Credit Default Swaps
											Remaining
								Periodic						Up-Front
								Premium						Premium
					Notional			Received						Received			Unrealized			Unrealized
Reference	Termination				Amount			(Paid		)2	Value			(Paid		)	Appreciation			(Depreciation		)
Entity	Date		Counterparty		($000		)	(%		)	($000		)	($000		)	($000		)	($000		)
Credit Protection Sold/Moody’s Rating
Berkshire Hathaway Inc./Aa2		6/20/22		BARC		835			1.000			16			(7	)		9			—
Berkshire Hathaway Inc./Aa2		12/20/22		BARC		415			1.000			9			(4	)		5			—
Boeing Co./A2		6/20/24		GSI		635			1.000			14			(14	)		—			—
Metlife Inc./A3		12/20/20		GSCM		350			1.000			3			—			3			—
Metlife Inc./A3		12/20/21		BARC		160			1.000			2			—			2			—
People’s Republic of China/A3		6/20/22		BNPSW		665			1.000			15			(3	)		12			—
People’s Republic of China/A3		6/20/24		GSI		295			1.000			9			(6	)		3			—
Republic of Turkey/Ba2		12/20/24		HSBCC		210			1.000			(17	)		28			11			—
Verizon Communications Inc./Baa1		12/20/22		GSI		835			1.000			17			(8	)		9			—
												68			(14	)		54			—
Credit Protection Purchased
American International Group Inc.		6/20/20		BOANA		280			(1.000	)		(1	)		—			—			(1	)
American International Group Inc.		6/20/20		BOANA		280			(1.000	)		(1	)		—			—			(1	)
American International Group Inc.		12/20/20		GSCM		350			(1.000	)		(3	)		1			—			(2	)
American International Group Inc.		12/20/20		GSCM		175			(1.000	)		(2	)		—			—			(2	)

319

Short-Term Investment-Grade Portfolio

Over-the-Counter Credit Default Swaps (continued)
									Remaining
						Periodic						Up-Front
						Premium						Premium
			Notional			Received						Received			Unrealized			Unrealized
Reference	Termination		Amount			(Paid		)2	Value			(Paid		)	Appreciation			(Depreciation		)
Entity	Date	Counterparty	($000		)	(%		)	($000		)	($000		)	($000		)	($000		)
Autozone Inc.	12/20/20	GSCM		240			(1.000	)		(2	)		1			—			(1	)
Bank of America Corp.	3/20/20	GSCM		520			(1.000	)		(1	)		—			—			(1	)
Bank of China Ltd.	12/20/21	BNPSW		300			(1.000	)		(6	)		—			—			(6	)
Bank of China Ltd.	6/20/22	BNPSW		665			(1.000	)		(15	)		—			—			(15	)
Bank of China Ltd.	6/20/23	BNPSW		515			(1.000	)		(15	)		6			—			(9	)
Commerzbank AG	6/20/21	BOANA		590			(1.000	)		(7	)		(2	)		—			(9	)
CVS Health Corp.	12/20/20	BOANA		240			(1.000	)		(2	)		1			—			(1	)
CVS Health Corp.	12/20/20	BOANA		240			(1.000	)		(2	)		2			—			—
CVS Health Corp.	12/20/20	BOANA		120			(1.000	)		(1	)		1			—			—
CVS Health Corp.	12/20/20	BOANA		120			(1.000	)		(1	)		1			—			—
CVS Health Corp.	12/20/21	BARC		465			(1.000	)		(8	)		6			—			(2	)
CVS Health Corp.	12/20/21	BARC		160			(1.000	)		(3	)		2			—			(1	)
CVS Health Corp.	12/20/21	JPMC		700			(1.000	)		(12	)		8			—			(4	)
Deutsche Bank AG	12/20/22	JPMC		830			(1.000	)		1			2			3			—
Deutsche Bank AG	12/20/24	GSI		225	1		(1.000	)		3			(6	)		—			(3	)
Dominion Energy Inc.	12/20/20	JPMC		2,420			(1.000	)		(23	)		17			—			(6	)
Dominion Energy Inc.	12/20/20	JPMC		2,420			(1.000	)		(23	)		16			—			(7	)
Federation of Malaysia	12/20/24	BNPSW		405			(1.000	)		(13	)		10			—			(3	)
Federative Republic of Brazil	12/20/24	GSI		1,536			(1.000	)		(2	)		(15	)		—			(17	)
Federative Republic of Brazil	12/20/24	MSCS		400			(1.000	)		—			(4	)		—			(4	)
Federative Republic of Brazil	12/20/25	BOANA		578			(1.000	)		5			(99	)		—			(94	)
Federative Republic of Brazil	12/20/25	GSCM		275			(1.000	)		2			(44	)		—			(42	)
Lincoln National Corp.	6/20/21	BARC		80			(1.000	)		(1	)		(1	)		—			(2	)
Lincoln National Corp.	6/20/21	BARC		80			(1.000	)		(1	)		1			—			—
Lincoln National Corp.	12/20/21	BARC		160			(1.000	)		(3	)		—			—			(3	)
McDonald’s Corp.	6/20/22	GSI		675			(1.000	)		(15	)		11			—			(4	)
Raytheon Co.	12/20/21	GSI		585			(1.000	)		(11	)		8			—			(3	)
Raytheon Co.	12/20/21	GSI		580			(1.000	)		(11	)		8			—			(3	)
Republic of Chile	12/20/24	GSI		290			(1.000	)		(8	)		8			—			—
Republic of Colombia	12/20/24	GSI		283			(1.000	)		(4	)		3			—			(1	)
Republic of Colombia	12/20/24	MSCS		945			(1.000	)		(13	)		4			—			(9	)
Republic of Indonesia	12/20/24	BARC		800			(1.000	)		(16	)		4			—			(12	)
Republic of South Africa	12/20/24	JPMC		575			(1.000	)		15			(23	)		—			(8	)

320

Short-Term Investment-Grade Portfolio

Over-the-Counter Credit Default Swaps (continued)
									Remaining
						Periodic			Up-Front
						Premium			Premium
			Notional			Received			Received						Unrealized			Unrealized
Reference	Termination		Amount			(Paid		)2	Value			(Paid		)	Appreciation			(Depreciation		)
Entity	Date	Counterparty	($000		)	(%		)	($000		)	($000		)	($000		)	($000		)
Republic of South Africa	12/20/24	MSCS		200			(1.000	)		5			(8	)		—			(3	)
Republic of Turkey	12/20/22	HSBCC		300			(1.000	)		10			(22	)		—			(12	)
Republic of Turkey	6/20/23	BNPSW		660			(1.000	)		29			(20	)		9			—
Republic of Turkey	12/20/24	MSCS		337			(1.000	)		28			(41	)		—			(13	)
Societe Generale SA	12/20/21	JPMC		235			(1.000	)		(4	)		1			—			(3	)
Standard Chartered Bank	12/20/21	JPMC		395			(1.000	)		(7	)		—			—			(7	)
State of Qatar	6/20/22	CITNA		50			(1.000	)		(1	)		—			—			(1	)
United Mexican States	12/20/24	CITNA		345			(1.000	)		(4	)		(2	)		—			(6	)
United Mexican States	12/20/24	GSI		470			(1.000	)		(5	)		2			—			(3	)
United Mexican States	12/20/24	GSI		225			(1.000	)		(2	)		1			—			(1	)
UnitedHealth Group Inc.	6/20/20	CSFBI		470			(1.000	)		(2	)		2			—			—
Wells Fargo & Co.	9/20/20	BOANA		620			(1.000	)		(4	)		2			—			(2	)
										(157	)		(158	)		12			(327	)
										(89	)		(172	)		66			(327	)

The notional amount represents the maximum potential amount the portfolio could be required to pay as a seller of credit protection if the reference entity was subject to a credit event.

1 Notional amount denominated in euro.

2 Periodic premium received/paid quarterly.

BARC—Barclays Bank plc.

BNPSW—BNP Paribas.

BOANA—Bank of America,N.A.

CITNA—Citibank, N.A.

CSFBI—Credit Suisse First Boston International.

GSCM—Goldman Sachs Bank USA.

GSI—Goldman Sachs International.

HSBCC—HSBC Bank USA, N.A.

JPMC—JPMorgan Chase Bank, N.A.

MSCS—Morgan Stanley Capital Services LLC.

321

Short-Term Investment-Grade Portfolio

Centrally Cleared Interest Rate Swaps
					Fixed			Floating
					Interest			Interest
					Rate			Rate						Unrealized
	Future	Notional			Received			Received						Appreciation
	Effective	Amount			(Paid		)2	(Paid		)3	Value			(Depreciation		)
Termination Date	Date1	($000		)	(%		)	(%		)	($000		)	($000		)
3/18/21	3/18/20		7,332			1.750			(0.000	)		3			(4	)
3/18/22	3/18/20		3,470			(1.750	)		0.000			(7	)		4
3/20/23	3/18/20		10,043			(1.750	)		0.000			(25	)		23
3/18/24	3/18/20		8,294			(1.750	)		0.000			(19	)		29
3/18/25	3/18/20		8,199			(1.750	)		0.000			(11	)		38
3/18/27	3/18/20		3,968			(2.000	)		0.000			(53	)		31
												(112	)		121

1 Forward interest rate swap. In a forward interest rate swap, the portfolio and the counterparty agree to make periodic net payments beginning on a specified future effective date.

2 Fixed interest payment received/paid semiannually.

3 Based on 3-month LIBOR as of the most recent payment date. Floating interest payment received/paid quarterly.

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

322

Short-Term Investment-Grade Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000		)
Investment Income
Income
Interest1		53,906
Total Income		53,906
Expenses
The Vanguard Group—Note B
Investment Advisory Services		246
Management and Administrative		1,971
Marketing and Distribution		209
Custodian Fees		57
Auditing Fees		40
Shareholders’ Reports		15
Trustees’ Fees and Expenses		1
Total Expenses		2,539
Net Investment Income		51,367
Realized Net Gain (Loss)
Investment Securities Sold1		7,695
Futures Contracts		(3,592	)
Options Purchased		49
Options Written		758
Swap Contracts		(2,694	)
Forward Currency Contracts		819
Foreign Currencies		(210	)
Realized Net Gain (Loss)		2,825
Change in Unrealized Appreciation (Depreciation)
Investment Securities1		45,408
Futures Contracts		327
Options Purchased		(69	)
Options Written		89
Swap Contracts		162
Forward Currency Contracts		(99	)
Foreign Currencies		15
Change in Unrealized Appreciation (Depreciation)		45,833
Net Increase (Decrease) in Net Assets Resulting from Operations		100,025

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the portfolio were $1,161,000, $13,000, and ($2,000), respectively. Purchases and sales are for temporary cash investment purposes.

Statement of Changes in Net Assets

	Year Ended December 31,
	2019			2018
	($000		)	($000		)
Increase (Decrease) in Net Assets
Operations
Net Investment Income		51,367			44,595
Realized Net Gain (Loss)		2,825			(14,885	)
Change in Unrealized Appreciation (Depreciation)		45,833			(13,562	)
Net Increase (Decrease) in Net Assets Resulting from Operations		100,025			16,148
Distributions
Net Investment Income		(46,758	)		(28,556	)
Realized Capital Gain		—			—
Total Distributions		(46,758	)		(28,556	)
Capital Share Transactions
Issued		444,226			405,970
Issued in Lieu of Cash Distributions		46,758			28,556
Redeemed		(320,964	)		(342,930	)
Net Increase (Decrease) from Capital Share Transactions		170,020			91,596
Total Increase (Decrease)		223,287			79,188
Net Assets
Beginning of Period		1,683,331			1,604,143
End of Period		1,906,618			1,683,331

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

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Financial Highlights

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$10.54	$10.63	$10.63	$10.55	$10.63
Investment Operations
Net Investment Income	.3021	.2841	.2241	.215	.207
Net Realized and Unrealized Gain (Loss) on Investments	.287	(.187)	.005	.068	(.088)
Total from Investment Operations	.589	.097	.229	.283	.119
Distributions
Dividends from Net Investment Income	(.289)	(.187)	(.211)	(.203)	(.197)
Distributions from Realized Capital Gains	—	—	(.018)	—	(.002)
Total Distributions	(.289)	(.187)	(.229)	(.203)	(.199)
Net Asset Value, End of Period	$10.84	$10.54	$10.63	$10.63	$10.55
Total Return	5.69%	0.94%	2.19%	2.72%	1.12%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$1,907	$1,683	$1,604	$1,372	$1,303
Ratio of Total Expenses to Average Net Assets	0.14%	0.14%	0.16%	0.16%	0.16%
Ratio of Net Investment Income to Average Net Assets	2.83%	2.72%	2.11%	2.05%	1.94%
Portfolio Turnover Rate	67%2	78%	83%	65%	74%

1  Calculated based on average shares outstanding.

2  Includes 1% attributable to mortgage-dollar-roll activity.

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

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Short-Term Investment-Grade Portfolio

Notes to Financial Statements

The Short-Term Investment-Grade Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts. Certain of the portfolio’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries.

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

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. 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 portfolio’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the portfolio’s pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio to calculate its net asset value may differ from quoted or published prices for the same securities.

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

3. Futures Contracts: The portfolio 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 portfolio 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 portfolio 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 portfolio’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).

During the year ended December 31, 2019, the portfolio’s average investments in long and short futures contracts represented 6% and 3% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

4. Forward Currency Contracts: The portfolio enters into forward currency contracts to protect the value of securities and related receivables and payables against changes in future foreign exchange rates. The portfolio’s risks in using these contracts include movement in the values of the foreign currencies relative to the U.S. dollar and the ability of the counterparties to fulfill their obligations

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under the contracts. The portfolio mitigates its counterparty risk by entering into forward currency contracts only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold, or rehypothecated. The master netting arrangements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate the forward currency contracts, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the portfolio under the master netting arrangements. The forward currency contracts contain provisions whereby a counterparty may terminate open contracts if the portfolio’s net assets decline below a certain level, triggering a payment by the portfolio if the portfolio is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the portfolio has pledged. Any assets pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the forward currency contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

Forward currency contracts are valued at their quoted daily prices obtained from an independent third party, adjusted for currency risk based on the expiration date of each contract. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 forward currency contract gains (losses).

During the year ended December 31, 2019, the portfolio’s average investment in forward currency contracts represented 3% of net assets, based on the average of notional amounts at each quarter-end during the period.

5. Swap Contracts: The portfolio invests in credit default swaps to adjust the overall credit risk of the portfolio or to actively overweight or underweight credit risk to a specific issuer or group of issuers. The portfolio may sell credit protection through credit default swaps to simulate investments in long positions that are either unavailable or considered to be less attractively priced in the bond market. The portfolio may purchase credit protection through credit default swaps to reduce credit exposure to a given issuer or issuers. Under the terms of the swaps, an up-front payment may be exchanged between the seller and buyer. In addition, the seller of the credit protection receives a periodic payment of premium from the buyer that is a fixed percentage applied to a notional amount. If, for example, the reference entity is subject to a credit event (such as bankruptcy, failure to pay, or obligation acceleration) during the term of the swap, the seller agrees to either physically settle or cash settle the swap contract. If the swap is physically settled, the seller agrees to pay the buyer an amount equal to the notional amount and take delivery of a debt instrument of the reference issuer with a par amount equal to such notional amount. If the swap is cash settled, the seller agrees to pay the buyer the difference between the notional amount and the final price for the relevant debt instrument, as determined either in a market auction or pursuant to a pre-agreed-upon valuation procedure.

The portfolio enters into interest rate swap transactions to adjust the portfolio’s sensitivity to changes in interest rates and maintain the ability to generate income at prevailing market rates. Under the terms of the swaps, one party pays the other an amount that is a fixed percentage rate applied to a notional amount. In return, the counterparty agrees to pay a floating rate, which is reset periodically based on short-term interest rates, applied to the same notional amount.

The notional amounts of swap contracts are not recorded in the Statement of Net Assets. Swaps are valued daily based on market quotations received from independent pricing services or recognized dealers and the change in value is recorded in the Statement of Net Assets as an asset (liability) and in the Statement of Operations as unrealized appreciation (depreciation) until the seller of credit protection is required to take delivery (or, in a cash settled swap, pay the settlement amount determined) upon occurrence of a credit event, periodic payments are made, or the swap terminates, at which time realized gain (loss) is recorded. The net premium to be received or paid by the portfolio under swap contracts is accrued daily and recorded as realized gain (loss) over the life of the contract.

The primary risk associated with selling credit protection is that, upon the occurrence of a defined credit event, the market value of the debt instrument received by the portfolio (or, in a cash settled swap, the debt instruments used to determine the settlement payment by the portfolio) will be significantly less than the amount paid by the portfolio and, in a physically settled swap, the portfolio may receive an illiquid debt instrument. A risk associated with all types of swaps is the possibility that a counterparty may default on its obligation to pay net amounts due to the portfolio. The portfolio’s maximum amount

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subject to counterparty risk is the unrealized appreciation on the swap contract. The portfolio mitigates its counterparty risk by entering into swaps only with a diverse group of prequalified counterparties, monitoring their financial strength, entering into master netting arrangements with its counterparties, and requiring its counterparties to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold, or rehypothecated. In the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any swap contracts with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the portfolio under the master netting arrangements. The swap contracts contain provisions whereby a counterparty may terminate open contracts if the portfolio’s net assets decline below a certain level, triggering a payment by the portfolio if the portfolio is in a net liability position at the time of the termination. The payment amount would be reduced by any collateral the portfolio has pledged. Any securities pledged as collateral for open contracts are noted in the Statement of Net Assets. The value of collateral received or pledged is compared daily to the value of the swap contracts exposure with each counterparty, and any difference, if in excess of a specified minimum transfer amount, is adjusted and settled within two business days.

The portfolio enters into centrally cleared interest rate and credit default swaps to achieve the same objectives specified with respect to the equivalent over-the-counter swaps but with less counterparty risk because a regulated clearinghouse is the counterparty instead of the clearing broker or executing broker. The clearinghouse imposes initial margin requirements to secure the portfolio’s performance, and requires daily settlement of variation margin representing changes in the market value of each contract. To further mitigate counterparty risk, the portfolio trades with a diverse group of prequalified executing brokers; monitors the financial strength of its clearing brokers, executing brokers, and clearinghouse; and has entered into agreements with its clearing brokers and executing brokers.

During the year ended December 31, 2019, the portfolio’s average amounts of investments in credit protection sold and credit protection purchased represented 1% and 2% of net assets, respectively, based on the average of notional amounts at each quarter-end during the period. The average amount of investments in interest rate swaps represented 2% of net assets, based on the average of notional amounts at each quarter-end during the period.

6. Options: The portfolio invests in options contracts on futures and swaps to adjust its exposure to the underlying investments. The primary risk associated with purchasing options is that the value of the underlying investments may move in such a way that the option is out-of-the-money (the exercise price of the option exceeds the value of the underlying investment), the position is worthless at expiration, and the portfolio loses the premium paid. The primary risk associated with selling options is that the value of the underlying investments may move in such a way that the option is in-the-money (the exercise price of the option exceeds the value of the underlying investment), the counterparty exercises the option, and the portfolio loses an amount equal to the market value of the option written less the premium received.

The portfolio invests in options on futures, which are exchange-traded. Counterparty risk involving exchange-traded options on futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the portfolio trades options on futures on an exchange, monitors the financial strength of its clearing brokers and clearinghouses, and has entered into clearing agreements with its clearing brokers.

The portfolio invests in options on swaps (swaptions), which are transacted over-the-counter (OTC) and not on an exchange. A receiver swaption gives the owner the right to receive the total return of a specified asset, reference rate, or index. A payer swaption gives the owner the right to pay the total return of a specified asset, reference rate, or index. Swaptions also include options that allow an existing swap to be terminated or extended by one of the counterparties. Unlike exchange-traded options, which are standardized with respect to the underlying instrument, expiration date, contract size, and strike price, the terms of OTC options generally are established through negotiation with the other party to the option contract. Although this type of arrangement allows the purchaser or writer greater flexibility to tailor an option to its needs, OTC options generally involve greater credit risk than exchange-traded options. Credit risk involves the possibility that a counterparty may default on its obligation to pay net amounts due to the portfolio. The portfolio mitigates its counterparty risk by entering into swaptions with a diverse group of prequalified counterparties and monitoring their financial strength.

Options on futures contracts are valued at their quoted daily settlement prices. Swaptions are valued daily based on market quotations received from independent pricing services or recognized dealers. The premium paid for a purchased option is recorded in the Statement of Net Assets as an asset that

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is subsequently adjusted daily to the current market value of the option purchased. The premium received for a written option is recorded in the Statement of Net Assets as an asset with an equal liability that is subsequently adjusted daily to the current market value of the option written. Fluctuations in the value of the options are recorded in the Statement of Operations as unrealized appreciation (depreciation) until expired, closed, or exercised, at which time realized gains (losses) are recognized.

During the year ended December 31, 2019, the portfolio’s average value of investments in options purchased and options written each represented less than 1% of net assets, based on the average market values at each quarter-end during the period.

7. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The portfolio may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the portfolio is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The portfolio mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The portfolio may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the portfolio may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the portfolio under the master netting arrangements.

8. Mortgage Dollar Rolls: The portfolio enters into mortgage-dollar-roll transactions, in which the portfolio sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The portfolio forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The portfolio accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the portfolio’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Net Assets.

9. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

11. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

12. 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

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certain callable debt securities that are amortized to the earliest call date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $85,000, representing less than 0.01%of the portfolio’s net assets and 0.03% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the portfolio’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:

	Level 1			Level 2			Level 3
Investments	($000		)	($000		)	($000		)
U.S. Government and Agency Obligations		—			78,279			—
Asset-Backed/Commercial Mortgage-Backed Securities		—			411,673			—
Corporate Bonds		—			1,177,499			—
Sovereign Bonds		—			89,258			—
Taxable Municipal Bonds		—			966			—
Temporary Cash Investments		33,582			103,643			—
Options Purchased		—			59			—
Options Written		—			(153	)		—
Futures Contracts—Assets1		101			—			—
Futures Contracts—Liabilities1		(36	)		—			—
Forward Currency Contracts—Assets		—			42			—
Forward Currency Contracts—Liabilities		—			(426	)		—
Swap Contracts—Assets		19	1		66			—
Swap Contracts—Liabilities		(5	)1		(327	)		—
Total		33,661			1,860,579			—

1 Represents variation margin on the last day of the reporting period.

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Short-Term Investment-Grade Portfolio

D.  At December 31, 2019, the fair values of derivatives were reflected in the Statement of Net Assets as follows:

	Interest Rate			Currency			Credit
	Contracts			Contracts			Contracts			Total
Statement of Net Assets Caption	($000		)	($000		)	($000		)	($000		)
Options Purchased		46			—			13			59
Variation Margin Receivable—Futures Contracts		101			—			—			101
Variation Margin Receivable— CC Swap Contracts		17			—			2			19
Unrealized Appreciation—Forward Currency Contracts		—			42			—			42
Unrealized Appreciation—OTC Swap Contracts		—			—			66			66
Total Assets		164			42			81			287
Options Written		(54	)		—			(99	)		(153	)
Variation Margin Payable—Futures Contracts		(36	)		—			—			(36	)
Variation Margin Payable—CC Swap Contracts		(1	)		—			(4	)		(5	)
Unrealized Depreciation—Forward Currency Contracts		—			(426	)		—			(426	)
Unrealized Depreciation—OTC Swap Contracts		—			—			(327	)		(327	)
Total Liabilities		(91	)		(426	)		(430	)		(947	)

Realized net gain (loss) and the change in unrealized appreciation (depreciation) on derivatives for the year ended December 31, 2019, were:

	Interest Rate			Currency			Credit
	Contracts			Contracts			Contracts			Total
Realized Net Gain (Loss) on Derivatives	($000		)	($000		)	($000		)	($000		)
Futures Contracts		(3,592	)		—			—			(3,592	)
Options Purchased		100			—			(51	)		49
Options Written		512			—			246			758
Forward Currency Contracts		—			819			—			819
Swap Contracts		(2,202	)		—			(492	)		(2,694	)
Realized Net Gain (Loss) on Derivatives		(5,182	)		819			(297	)		(4,660	)
Change in Unrealized Appreciation (Depreciation) on Derivatives
Futures Contracts		327			—			—			327
Options Purchased		(53	)		—			(16	)		(69	)
Options Written		101			—			(12	)		89
Forward Currency Contracts		—			(99	)		—			(99	)
Swap Contracts		359			—			(197	)		162
Change in Unrealized Appreciation (Depreciation) on Derivatives		734			(99	)		(225	)		410

E.  Permanent differences between book-basis and tax-basis components of net assets are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share. As of period end, permanent differences primarily attributable to the accounting for foreign currency transactions and swap agreements were reclassified between the individual components of total distributable earnings (loss).

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

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Short-Term Investment-Grade Portfolio

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles; the realization of unrealized gains or losses on certain futures contracts and forward currency contracts; and the tax recognition of gain or loss from foreign currency hedges. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000		)
Undistributed Ordinary Income		49,552
Undistributed Long-Term Gains		—
Capital Loss Carryforwards (Non-expiring)*		(13,376	)
Net Unrealized Gains (Losses)		28,338

* The fund used capital loss carryforwards of $3,881,000 to offset taxable capital gains realized during the year ended December 31, 2019.

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000		)
Tax Cost		1,866,574
Gross Unrealized Appreciation		31,623
Gross Unrealized Depreciation		(3,288	)
Net Unrealized Appreciation (Depreciation)		28,335

F.  During the year ended December 31, 2019, the portfolio purchased $1,083,716,000 of investment securities and sold $854,143,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $166,779,000 and $290,111,000, respectively.

The portfolio purchased securities from and sold securities to other Vanguard funds or accounts managed by Vanguard or its affiliates, in accordance with procedures adopted by the board of trustees in compliance with Rule 17a-7 of the Investment Company Act of 1940. For the year ended December 31, 2019, such purchases and sales were $133,484,000 and $46,953,000, respectively; these amounts are included in the purchases and sales of investment securities noted above.

G.  Capital shares issued and redeemed were:

	Year Ended December 31,
	2019			2018
	Shares			Shares
	(000		)	(000		)
Issued		41,665			38,802
Issued in Lieu of Cash Distributions		4,483			2,756
Redeemed		(30,064	)		(32,778	)
Net Increase (Decrease) in Shares Outstanding		16,084			8,780

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 54% of the portfolio’s net assets. If this shareholder were to redeem its investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

H.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

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Short-Term Investment-Grade Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Short-Term Investment-Grade Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Short-Term Investment-Grade Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

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Short-Term Investment-Grade Portfolio

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333

Small Company Growth Portfolio

Your Portfolio’s Performance at a Glance

• For the 12 months ended December 31, 2019, the Small Company Growth Portfolio of Vanguard Variable Insurance Fund returned 28.05%. It lagged the 32.65% return of its benchmark, the Russell 2500 Growth Index.

•Stocks and bonds recorded their best results in years. Stocks benefited from accommodative monetary policies implemented by the Federal Reserve and other major central banks. Safer assets such as bonds also attracted investors as the U.S.-China trade conflict fueled global economic growth concerns.

•Both allocation and selection detracted from performance. Selection in information technology, health care, and communication services weighed on returns. In information technology, selection in the software industry hurt the most. An overweight allocation to consumer discretionary and an underweighting of information technology also modestly dragged on performance. Selection in consumer discretionary boosted returns.

• Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer
		Average Annual Total Returns
	Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

334

Small Company Growth Portfolio

Advisors’ Report

The Small Company Growth Portfolio returned 28.05% for the 12 months ended December 31, 2019. It lagged the 32.65% return of its benchmark, the Russell 2500 Growth Index.

The portfolio is managed by two independent advisors, a strategy that enhances diversification by providing exposure to distinct yet complementary investment approaches. It is not uncommon for different advisors to have different views about individual securities or the broader investment environment.

The advisors, the amount and percentage of the portfolio’s assets each manages, and brief descriptions of their investment strategies are presented in the accompanying table. Each advisor has also prepared a discussion of the investment environment that existed during the 12 months and its effect on the portfolio’s positioning. These comments were prepared on January 23, 2020.

Vanguard Quantitative Equity Group

Portfolio Managers:

James P. Stetler

Binbin Guo, Principal, Head of Alpha Equity Investments

The investment environment

Stocks in the United States surged in 2019, outperforming their international counterparts. The S&P 500 Index returned 31.49%, while the FTSE Global All Cap ex US Index returned 21.80%. The primary catalysts for the strong results were accommodative monetary policy by the U.S. Federal Reserve, corporate earnings, and an easing of geopolitical tensions near the end of the year.

The 12 months began with concerns about moderating economic growth, tightening fiscal policy, and geopolitical tensions. However, the market quickly pivoted and produced strong results in the first quarter of 2019 because of more supportive rhetoric from the Fed, the perception of easing tensions between the U.S. and China, and solid corporate earnings. Concerns grew about corporate earnings and geopolitical risks midyear. But the combination of stabilizing economic data, accommodative central banks, and the announcement of a U.S.-China “phase one” trade deal boosted equities later.

The Federal Reserve ended the fiscal year by reversing course from the previous year and pursuing a pro-market policy. After raising interest rates by 25 basis points in December 2018, the Fed cut them three times by a combined 0.75% over the course of 2019. The reaching of the U.S.-China trade deal provided more certainty and helped produce a more supportive environment. Corporate earnings for the 12 months remained resilient, if not spectacular.

The broad fixed income markets generated positive returns, primarily because of stronger-than-expected growth, tame inflation, and continued central bank monetary support. Against this backdrop, U.S. Treasury yields fell and the Bloomberg Barclays U.S. Aggregate Float Adjusted Index returned 8.87% for the year. Sovereign yields also declined in most markets following the injection of monetary stimulus by the Fed and the European Central Bank. The Bloomberg Barclays Global Aggregate ex-USD Float Adjusted RIC Capped Index Hedged returned 8.06%.

Investment objective and strategy

Although our overall performance is affected by the macroeconomic factors we’ve described, our approach to investing focuses on specific stock fundamentals that we believe are more likely to produce outperformance over the long run. Those fundamentals include high quality, management decisions, consistent earnings growth, strong market sentiment, and reasonable valuation.

Using these five themes, we generate a composite stock ranking, seeking to capitalize on investor biases. We then monitor our portfolio based on those rankings and adjust when appropriate to maximize expected return while minimizing exposure to risks that our research indicates do not improve returns (such as industry selection and other risks relative to our benchmark).

Our successes and shortfalls

Over the 12 months, our quality, growth, and management decisions models detracted from performance. Our sentiment model produced gains. Results lagged the benchmark in all 11 industry sectors. Health care, consumer discretionary, and communication services detracted the most from relative performance.

At the individual stock level, the greatest shortfalls came from underweighting Dexcom and overweighting Acorda Therapeutics, Boingo Wireless, PagerDuty, and Tailored Brands. The strongest results came from underweighting Grubhub and overweighting Arrowhead Pharmaceuticals, Lattice Semiconductor, Array BioPharma, and Generac Holdings.

We continue to believe that a portfolio focused on fundamentals will benefit investors over the long term, although we recognize that the market can reward or punish us in the near term. We believe our portfolio offers a strong mix of stocks with attractive growth, sentiment, and value characteristics.

ArrowMark Partners

Portfolio Managers:

Chad Meade, Partner

Brian Schaub, CFA, Partner

The investment environment

U.S. equity markets delivered solid performance during the fourth quarter, ending a strong year in which all major indexes appreciated by more than 20%. Despite the positive returns, trade disruptions, a contraction in manufacturing, and geopolitical risks weighed on U.S. and global economic growth.

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Small Company Growth Portfolio

Balancing these economic concerns, strong employment numbers and benign inflation boosted the economy. During the year, Federal Reserve policymakers responded to heightened global economic risks by cutting the federal funds rate three times, in August, September, and October, for a total reduction of 75 basis points. Equity valuations expanded in many sectors, affording fewer opportunities to find companies that meet our strict investment criteria.

Investment objective

Our investment process prioritizes the management of risk over the opportunity for return. Our goal is to build an all-weather portfolio that can perform in a variety of market conditions, mitigating capital losses on the downside and participating 100% in market recoveries.

Portfolio results

Industrial holdings delivered the largest positive contribution to returns for the year. We maintained an overweight position, specifically in the professional and commercial services segment. This area typically contains companies with attractive business models, recurring revenues, and less economic sensitivity than the broader sector.

In the subsector, long-term holding Clean Harbors, a leading hazardous waste treatment, storage, and disposal management company, delivered strong performance. We have always liked the company’s hazardous waste incinerators, which are nearly impossible to replicate. The stock rallied during the year on news of solid financial results.

Consumer discretionary holdings including Skechers USA, which designs and sells lifestyle and athletic footwear, also contributed. The third-largest footwear manufacturer in the U.S., it has a strong and growing international presence. In our view, the market does not fully recognize the growth opportunity represented by this international business. The stock soared after the company reported significantly higher margins and strong organic growth.

Information technology and health care detracted from relative returns. In information technology, an underweight to this top-performing sector and our individual holdings hurt performance.

The largest detractor in the sector was 2U, an educational technology firm that partners with leading nonprofit colleges and universities to offer online degree programs. The company has many of the qualities that we believe define a good business. These include long-term contracts and recurring revenue, attractive unit economics that should deliver strong EBITDA margins at scale, and brand recognition with marquee university partners to drive growth.

During the fiscal year, however, 2U reported disappointing financial results. Enrollment declined in some of its legacy programs, and competition in online education increased. Our longer-term outlook for the company remains positive. We believe it will continue to grow its core graduate program business at a rate in the mid-to-high teens and that newly launched initiatives will become increasingly profitable over the next year.

Health care lagged partly because of underperformance from biotechnology company Spectrum Pharmaceuticals. The firm announced disappointing clinical trial results for one of its lead drug candidates for the treatment of non-small cell lung cancer.

As always, we will continue to look for opportunities that can perform in a variety of market conditions and mitigate capital losses.

Small Company Growth Portfolio Investment Advisors
	Portfolio Assets Managed
Investment Advisor		%	$ Million	Investment Strategy
Vanguard Quantitative Equity Group		50	1,048	Employs a quantitative approach that focuses on fundamental factors, using models that assess valuation, growth prospects, management decisions, market sentiment, and earnings and balance-sheet quality of companies as compared with their peers.
ArrowMark Partners		48	1,024	The firm uses in-depth fundamental research to uncover companies that, in its opinion, can control their own economic destiny. It starts by identifying businesses with strong competitive advantages in industries with high barriers to entry, then narrows the focus to companies with large potential markets and high-quality business models focused on the future. Finally, considerations are made for potential downside risk, resulting in a diversified portfolio of between 75 and 100 stocks.
Cash Investments		2	39	These short-term reserves are invested by Vanguard in equity index products to simulate investment in stocks. Each advisor may also maintain a modest cash position.

336

Small Company Growth Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 table below illustrates your portfolio’s costs in two ways:

•    Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•    Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Small Company Growth Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,071.00	$1.67
Based on Hypothetical 5% Yearly Return	1,000.00	1,023.59	1.63

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.32%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

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Small Company Growth Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost.The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019 Initial

Investment of $10,000

		Average Annual Total Returns			Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	Small Company Growth Portfolio	28.05%	10.39%	14.29%	$38,040
	Russell 2500 Growth Index	32.65	10.84	14.01	37,108
	Dow Jones U.S. Total Stock Market Float Adjusted Index	30.90	11.18	13.43	35,251

See Financial Highlights for dividend and capital gains information.

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Small Company Growth Portfolio

Sector Diversification

As of December 31, 2019

Communication Services	3.5%
Consumer Discretionary	15.7
Consumer Staples	1.1
Energy	0.3
Financials	4.3
Health Care	23.1
Industrials	21.7
Information Technology	25.6
Materials	2.3
Other	0.0
Real Estate	2.1
Utilities	0.3

The table reflects the portfolio’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

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Small Company Growth Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Market
				Value•
		Shares		($000		)
Common Stocks (96.4%)1
Communication Services (3.4%)
	Cinemark Holdings Inc.		561,185		18,996
	National CineMedia Inc.		1,148,841		8,375
*	Pinterest Inc. Class A		422,708		7,879
*	Cargurus Inc.		177,095		6,230
*,^	Match Group Inc.		67,039		5,504
*	Zynga Inc. Class A		883,924		5,410
*	Boingo Wireless Inc.		338,784		3,710
*	Liberty TripAdvisor Holdings Inc. Class A		400,985		2,947
*	TechTarget Inc.		110,718		2,890
*	Glu Mobile Inc.		428,694		2,594
*	EverQuote Inc. Class A		48,285		1,659
*	Bandwidth Inc. Class A		21,891		1,402
*	Roku Inc.		8,808		1,179
*	Meet Group Inc.		233,119		1,168
	New York Times Co. Class A		31,654		1,018
	Meredith Corp.		22,378		727
					71,688
Consumer Discretionary (15.2%)
*	Skechers U.S.A. Inc. Class A		718,354		31,026
	Hanesbrands Inc.		1,933,709		28,716
*	Sally Beauty Holdings Inc.		1,487,674		27,150
*	frontdoor Inc.		377,941		17,922
	Polaris Inc.		171,674		17,459
	Carter’s Inc.		136,576		14,933
*	Shutterstock Inc.		324,399		13,910
*	Grand Canyon Education Inc.		110,268		10,563
*	NVR Inc.		2,661		10,134
*	Planet Fitness Inc. Class A		119,953		8,958
*	Under Armour Inc. Class C		457,903		8,783
	Wolverine World Wide Inc.		243,164		8,204
*	RH		33,739		7,203
*	SeaWorld Entertainment Inc.		214,125		6,790
	Wingstop Inc.		78,607		6,778
*	Etsy Inc.		151,219		6,699
	Rent-A-Center Inc.		232,063		6,693
	PulteGroup Inc.		153,745		5,965
	Domino’s Pizza Inc.		17,707		5,202
	H&R Block Inc.		220,376		5,174
	Lithia Motors Inc. Class A		34,128		5,017
*	Everi Holdings Inc.		355,083		4,769
*	Fox Factory Holding Corp.		66,599		4,633
*	TopBuild Corp.		44,570		4,594
*	Chewy Inc.		154,770		4,488
*,^	YETI Holdings Inc.		91,605		3,186
	Dine Brands Global Inc.		37,308		3,116
	Brinker International Inc.		70,474		2,960
	Gentex Corp.		97,163		2,816
*	Mattel Inc.		206,070		2,792
*	Murphy USA Inc.		22,529		2,636
*	Skyline Champion Corp.		76,701		2,431
	Kontoor Brands Inc.		55,552		2,333
*	Boot Barn Holdings Inc.		51,070		2,274
*	Denny’s Corp.		110,868		2,204
	Aaron’s Inc.		36,499		2,085
	Core-Mark Holding Co. Inc.		73,839		2,008
*	Career Education Corp.		104,840		1,928
*	Burlington Stores Inc.		8,377		1,910
*	Deckers Outdoor Corp.		11,100		1,874
*	Stoneridge Inc.		61,905		1,815
*	Taylor Morrison Home Corp. Class A		74,656		1,632
*	K12 Inc.		75,625		1,539
*	1-800-Flowers.com Inc. Class A		80,552		1,168
	Dave & Buster’s Entertainment Inc.		26,652		1,071
*	Gentherm Inc.		22,238		987
	Wendy’s Co.		40,201		893
*	Zumiez Inc.		22,632		782
*	Conn’s Inc.		59,774		741
*	Funko Inc. Class A		34,162		586
	Lear Corp.		3,945		541
					320,071
Consumer Staples (1.0%)
	Coca-Cola Consolidated Inc.		22,006		6,251
	Casey’s General Stores Inc.		22,352		3,554
	John B Sanfilippo & Son Inc.		37,730		3,444
^	B&G Foods Inc.		170,758		3,062
*	Post Holdings Inc.		17,261		1,883
	Medifast Inc.		13,789		1,511
*	Herbalife Nutrition Ltd.		27,668		1,319
*	Pilgrim’s Pride Corp.		28,071		918
					21,942
Energy (0.3%)
*	W&T Offshore Inc.		408,272		2,270
*	RigNet Inc.		243,387		1,606
^	DMC Global Inc.		26,582		1,194
*	CONSOL Energy Inc.		46,768		679
	Delek US Holdings Inc.		19,555		656
					6,405
Financials (4.1%)
	LPL Financial Holdings Inc.		194,653		17,957
	WisdomTree Investments Inc.		1,747,561		8,458
	Primerica Inc.		60,148		7,853
	Walker & Dunlop Inc.		84,950		5,495
	OneMain Holdings Inc.		123,821		5,219
	CIT Group Inc.		110,921		5,061
	Voya Financial Inc.		61,670		3,761
	Bank OZK		120,268		3,669
*	NMI Holdings Inc. Class A		103,235		3,425
*	Enova International Inc.		134,508		3,236
	Virtus Investment Partners Inc.		25,498		3,104
	Bank of NT Butterfield & Son Ltd.		78,347		2,900
	MSCI Inc. Class A		9,788		2,527
*,^	Health Insurance Innovations Inc. Class A		101,042		1,949
*	Cowen Inc. Class A		108,618		1,711
	Universal Insurance Holdings Inc.		51,576		1,444
*	Palomar Holdings Inc. Class A		28,015		1,414
	Artisan Partners Asset Management Inc. Class A		40,995		1,325
*	Alleghany Corp.		1,572		1,257
	National General Holdings Corp.		53,735		1,188
	Brightsphere Investment Group Inc.		104,544		1,068
	MarketAxess Holdings Inc.		2,418		917
*	Curo Group Holdings Corp.		69,224		843
*	Mr Cooper Group Inc.		51,815		648
	Piper Jaffray Cos.		6,883		550
	Erie Indemnity Co. Class A		2,254		374
					87,353
Health Care (22.2%)
	STERIS plc		153,314		23,368
*	Syneos Health Inc.		334,300		19,882
*	MEDNAX Inc.		713,427		19,826
*	BioTelemetry Inc.		380,105		17,599
*	Merit Medical Systems Inc.		507,345		15,839
*	Quidel Corp.		188,714		14,159
*	Arrowhead Pharmaceuticals Inc.		161,624		10,252
*	Axogen Inc.		553,228		9,897
*	Deciphera Pharmaceuticals Inc.		157,667		9,813
*	Immunomedics Inc.		456,877		9,668
	Chemed Corp.		21,406		9,403
*	Integra LifeSciences Holdings Corp.		160,031		9,327
*	Novocure Ltd.		110,108		9,279
*	Agios Pharmaceuticals Inc.		188,232		8,988
*	PRA Health Sciences Inc.		80,465		8,944
*,^	Esperion Therapeutics Inc.		149,357		8,906
*	Heron Therapeutics Inc.		374,001		8,789
	Bruker Corp.		165,425		8,432
*	Ironwood Pharmaceuticals Inc. Class A		621,153		8,268
*	Revance Therapeutics Inc.		503,506		8,172
*	Charles River Laboratories International Inc.		51,992		7,942
	Encompass Health Corp.		108,122		7,490
*	Prestige Consumer Healthcare Inc.		178,892		7,245
*	Kodiak Sciences Inc.		97,315		7,002
*	Medpace Holdings Inc.		82,648		6,947
*	Integer Holdings Corp.		84,295		6,780
*	Tenet Healthcare Corp.		175,898		6,689
*	Neurocrine Biosciences Inc.		61,359		6,595
*	ABIOMED Inc.		38,239		6,523
*,^	Viking Therapeutics Inc.		810,201		6,498
*	Masimo Corp.		40,905		6,465
*	Nevro Corp.		54,641		6,423
	Cooper Cos. Inc.		19,430		6,243
*	CorVel Corp.		62,818		5,488
*	Veeva Systems Inc. Class A		37,025		5,208
*	Ionis Pharmaceuticals Inc.		85,334		5,155
*	DBV Technologies SA ADR		442,340		4,733
*	Mettler-Toledo International Inc.		5,291		4,197
*	Puma Biotechnology Inc.		477,376		4,177
*	ImmunoGen Inc.		779,212		3,978
*	STAAR Surgical Co.		112,947		3,972
	Hill-Rom Holdings Inc.		34,040		3,865
*	NuVasive Inc.		45,536		3,522
	PerkinElmer Inc.		35,652		3,462
*	IQVIA Holdings Inc.		22,260		3,439
*	Halozyme Therapeutics Inc.		184,698		3,275

340

Small Company Growth Portfolio

				Market
				Value•
		Shares		($000		)
*	Vanda Pharmaceuticals Inc.		185,523		3,044
*	Alkermes plc		145,887		2,976
*,^	Intrexon Corp.		538,831		2,953
	Mesa Laboratories Inc.		11,548		2,880
*	Molina Healthcare Inc.		19,674		2,670
*,^	SmileDirectClub Inc.		305,343		2,669
*	Retrophin Inc.		181,556		2,578
*	Voyager Therapeutics Inc.		180,587		2,519
*	Natera Inc.		71,731		2,417
*	Surmodics Inc.		57,902		2,399
*	Epizyme Inc.		97,028		2,387
*	Horizon Therapeutics plc		65,347		2,366
*	Enanta Pharmaceuticals Inc.		37,745		2,332
*	HMS Holdings Corp.		72,528		2,147
*	Spectrum Pharmaceuticals Inc.		577,240		2,101
*	DexCom Inc.		9,295		2,033
*	MacroGenics Inc.		183,847		2,000
*	ICU Medical Inc.		10,617		1,987
*	Align Technology Inc.		6,677		1,863
*	Silk Road Medical Inc.		45,725		1,846
*	Catalent Inc.		31,226		1,758
	LeMaitre Vascular Inc.		45,977		1,653
*	Precision BioSciences Inc.		118,241		1,642
*	Global Blood Therapeutics Inc.		20,648		1,641
*	NanoString Technologies Inc.		58,572		1,629
*	Lantheus Holdings Inc.		78,815		1,617
*	Inovalon Holdings Inc. Class A		84,043		1,582
*	Haemonetics Corp.		13,681		1,572
	US Physical Therapy Inc.		13,305		1,521
*	Exact Sciences Corp.		15,289		1,414
	Luminex Corp.		60,247		1,395
*	Myriad Genetics Inc.		49,499		1,348
*	Endo International plc		259,857		1,219
*	Veracyte Inc.		42,316		1,181
*	Fluidigm Corp.		329,894		1,148
*	FibroGen Inc.		25,916		1,112
*	Jounce Therapeutics Inc.		126,213		1,102
*	Iovance Biotherapeutics Inc.		37,478		1,037
*,^	Eidos Therapeutics Inc.		15,517		891
*	Pieris Pharmaceuticals Inc.		243,036		880
*	Pennant Group Inc.		26,553		878
*,^	Clovis Oncology Inc.		83,792		874
	Atrion Corp.		1,109		833
	Phibro Animal Health Corp. Class A		32,100		797
*	Acorda Therapeutics Inc.		367,609		750
*	ACADIA Pharmaceuticals Inc.		17,221		737
*	Endologix Inc.		462,140		730
*	Natus Medical Inc.		20,851		688
*	Assertio Therapeutics Inc.		528,241		660
*	Akorn Inc.		410,955		616
*	Avantor Inc.		33,587		610
*	Apellis Pharmaceuticals Inc.		19,358		593
*	CryoLife Inc.		21,279		576
*	Radius Health Inc.		27,422		553
*	Seattle Genetics Inc.		4,692		536
*	Orthofix Medical Inc.		10,615		490
*,^	Inovio Pharmaceuticals Inc.		125,905		415
*,^	Novavax Inc.		31,922		127
*	Cyclerion Therapeutics Inc.		37,118		101
					469,197
Industrials (20.9%)
*	Sensata Technologies Holding plc		476,418		25,665
*	Clean Harbors Inc.		291,127		24,964
*	TriNet Group Inc.		430,453		24,368
	ABM Industries Inc.		565,249		21,316
	Cimpress NV		134,502		16,916
	Ritchie Bros Auctioneers Inc. (XNYS)		384,778		16,526
	Tennant Co.		205,399		16,005
*	Middleby Corp.		137,612		15,071
	John Bean Technologies Corp.		133,640		15,056
*	Kirby Corp.		150,604		13,484
	Heartland Express Inc.		579,928		12,207
	Woodward Inc.		89,015		10,543
	CH Robinson Worldwide Inc.		132,831		10,387
	Matson Inc.		214,145		8,737
	Allison Transmission Holdings Inc.		178,897		8,644
	Spirit AeroSystems Holdings Inc. Class A		113,749		8,290
	Armstrong World Industries Inc.		83,662		7,862
	Forward Air Corp.		109,786		7,680
*	Builders FirstSource Inc.		299,973		7,622
*	MasTec Inc.		118,183		7,583
	EMCOR Group Inc.		82,127		7,088
*	Atkore International Group Inc.		168,766		6,828
	MSC Industrial Direct Co. Inc. Class A		83,873		6,581
	Korn Ferry		150,749		6,392
	Kforce Inc.		152,932		6,071
	Westinghouse Air Brake Technologies Corp.		75,873		5,903
*	Proto Labs Inc.		56,916		5,780
	Landstar System Inc.		50,560		5,757
*	Aerojet Rocketdyne Holdings Inc.		126,008		5,754
*	GMS Inc.		199,252		5,396
	Acuity Brands Inc.		37,785		5,214
	Kennametal Inc.		141,312		5,213
	HEICO Corp. Class A		55,489		4,968
*	Meritor Inc.		189,456		4,962
	Robert Half International Inc.		76,616		4,838
	Albany International Corp. Class A		61,131		4,641
*	HD Supply Holdings Inc.		105,093		4,227
	IDEX Corp.		22,626		3,892
*	Foundation Building Materials Inc.		193,569		3,746
*	Generac Holdings Inc.		35,609		3,582
*	American Woodmark Corp.		32,643		3,411
	Huntington Ingalls Industries Inc.		13,094		3,285
	MSA Safety Inc.		25,464		3,218
*	Hub Group Inc. Class A		59,244		3,039
*	Great Lakes Dredge & Dock Corp.		265,777		3,011
*	TrueBlue Inc.		111,653		2,686
	Covanta Holding Corp.		180,729		2,682
	Hillenbrand Inc.		76,659		2,553
	Triumph Group Inc.		96,450		2,437
	Tetra Tech Inc.		28,174		2,427
*	Astronics Corp.		86,268		2,411
	Barrett Business Services Inc.		20,901		1,891
	Terex Corp.		62,928		1,874
	Mobile Mini Inc.		48,865		1,852
*	Avis Budget Group Inc.		49,917		1,609
	McGrath RentCorp		20,738		1,587
	ArcBest Corp.		56,261		1,553
*	Herc Holdings Inc.		28,699		1,405
	Kimball International Inc. Class B		64,327		1,330
	Lennox International Inc.		5,197		1,268
*	JetBlue Airways Corp.		59,781		1,119
	Mueller Industries Inc.		34,495		1,095
	Brady Corp. Class A		19,024		1,089
	Allegiant Travel Co. Class A		5,460		950
*	SPX Corp.		16,225		826
*	FTI Consulting Inc.		6,983		773
	KAR Auction Services Inc.		32,673		712
	National Presto Industries Inc.		6,597		583
	Fortune Brands Home & Security Inc.		8,872		580
	EnPro Industries Inc.		7,935		531
	Steelcase Inc. Class A		22,284		456
*	Echo Global Logistics Inc.		20,938		433
	Knoll Inc.		16,155		408
					440,843
Information Technology (24.7%)
	LogMeIn Inc.		452,269		38,778
	j2 Global Inc.		313,436		29,372
*	ON Semiconductor Corp.		859,827		20,963
*	Cornerstone OnDemand Inc.		337,741		19,775
*	SolarWinds Corp.		1,027,530		19,061
	Belden Inc.		313,650		17,251
	SS&C Technologies Holdings Inc.		279,657		17,171
*	2U Inc.		567,446		13,613
*	Nuance Communications Inc.		744,287		13,271
*	Paycom Software Inc.		47,528		12,583
*	FireEye Inc.		671,977		11,108
*	Fair Isaac Corp.		29,572		11,080
	Booz Allen Hamilton Holding Corp. Class A		148,137		10,537
	Switch Inc.		704,734		10,444
*	Trimble Inc.		244,388		10,189
*	Euronet Worldwide Inc.		62,877		9,907
*	Gartner Inc.		61,410		9,463
*	New Relic Inc.		127,408		8,372
*	Five9 Inc.		125,263		8,215
*	Proofpoint Inc.		69,693		7,999
*	Cardtronics plc Class A		174,421		7,788
*	Manhattan Associates Inc.		97,261		7,757
	MAXIMUS Inc.		92,411		6,874
*	Zebra Technologies Corp.		26,224		6,699
*	Diodes Inc.		118,487		6,679
*	Verint Systems Inc.		119,332		6,606
*	Lattice Semiconductor Corp.		343,934		6,583
*	Fortinet Inc.		61,439		6,559
	Jabil Inc.		155,570		6,430
*	Pluralsight Inc. Class A		369,932		6,367
	CDW Corp.		44,070		6,295
*	Cadence Design Systems Inc.		87,487		6,068
*,^	Enphase Energy Inc.		232,226		6,068
	Sabre Corp.		268,645		6,028
*	HubSpot Inc.		37,628		5,964
*	Teradata Corp.		220,088		5,892
*	Workiva Inc. Class A		139,082		5,848
*	Anaplan Inc.		109,272		5,726
*	RingCentral Inc. Class A		33,419		5,637
*	Atlassian Corp. plc Class A		42,771		5,147
*	Box Inc.		297,997		5,000
*	Ceridian HCM Holding Inc.		70,436		4,781
*	RealPage Inc.		79,507		4,273
*	NCR Corp.		120,417		4,234
*	EPAM Systems Inc.		19,212		4,076

341

Small Company Growth Portfolio

					Market
					Value•
		Shares			($000		)
*	Trade Desk Inc. Class A		14,631			3,801
*	Cirrus Logic Inc.		41,396			3,411
*	Alteryx Inc. Class A		31,903			3,193
*	ChannelAdvisor Corp.		342,626			3,097
*	Extreme Networks Inc.		403,292			2,972
*	Synaptics Inc.		44,571			2,931
*	SPS Commerce Inc.		52,608			2,916
*	OSI Systems Inc.		28,520			2,873
*	Unisys Corp.		223,141			2,646
*	Everbridge Inc.		31,650			2,471
	TTEC Holdings Inc.		62,344			2,470
*	Insight Enterprises Inc.		31,157			2,190
*	Itron Inc.		25,877			2,172
*	PagerDuty Inc.		91,058			2,130
	CSG Systems International Inc.		40,732			2,109
*	eGain Corp.		261,786			2,073
*	Cerence Inc.		82,612			1,869
*	Domo Inc.		82,029			1,782
*	Model N Inc.		48,881			1,714
*	Inphi Corp.		21,672			1,604
	EVERTEC Inc.		44,889			1,528
*	Nutanix Inc.		45,574			1,425
*	SunPower Corp.		178,615			1,393
*	Diebold Nixdorf Inc.		131,737			1,391
	Perspecta Inc.		52,368			1,385
*	Endurance International Group Holdings Inc.		280,425			1,318
	Teradyne Inc.		19,292			1,316
*,^	Paysign Inc.		123,816			1,257
*	PAR Technology Corp.		35,476			1,091
*	Avid Technology Inc.		114,851			985
*	Perficient Inc.		20,799			958
*	FormFactor Inc.		36,541			949
*	Virtusa Corp.		19,760			896
*	MicroStrategy Inc. Class A		5,311			757
*	MobileIron Inc.		154,871			753
*	Okta Inc.		6,522			752
*	MaxLinear Inc.		32,546			691
*	A10 Networks Inc.		98,231			675
*	ePlus Inc.		6,264			528
*	Altair Engineering Inc. Class A		13,722			493
	Xperi Corp.		22,959			425
*	Alarm.com Holdings Inc.		8,923			383
*	PFSweb Inc.		73,268			280
*	DSP Group Inc.		15,480			244
						520,828
Materials (2.2%)		��
	Graphic Packaging Holding Co.		490,823			8,172
	Scotts Miracle-Gro Co.		67,805			7,200
*	Element Solutions Inc.		554,422			6,476
	Sealed Air Corp.		125,164			4,985
	Huntsman Corp.		154,018			3,721
	Myers Industries Inc.		184,305			3,074
	CF Industries Holdings Inc.		62,831			3,000
	Royal Gold Inc.		20,664			2,526
*	Kraton Corp.		57,610			1,459
*	Verso Corp.		67,349			1,214
	Avery Dennison Corp.		8,259			1,080
	Boise Cascade Co.		24,197			884
*	Koppers Holdings Inc.		21,032			804
*	Novagold Resources Inc.		76,537			686
	Packaging Corp. of America		4,558			510
*	AdvanSix Inc.		20,190			403
						46,194
Other (0.0%)
*,§	NuPathe Inc. CVR		345,900			—
Real Estate (2.1%)
	GEO Group Inc.		465,614			7,734
	EastGroup Properties Inc.		52,423			6,955
	National Health Investors Inc.		77,163			6,287
	Hannon Armstrong Sustainable Infrastructure Capital Inc.		187,114			6,021
	PS Business Parks Inc.		23,902			3,941
^	Tanger Factory Outlet Centers Inc.		184,729			2,721
	Universal Health Realty Income Trust		20,778			2,438
	Kennedy-Wilson Holdings Inc.		104,723			2,335
	American Finance Trust Inc.		105,927			1,405
^	Pennsylvania REIT		255,865			1,364
	iStar Inc.		62,304			904
	Alexander’s Inc.		1,907			630
	Equity LifeStyle Properties Inc.		6,800			479
						43,214
Utilities (0.3%)
	NRG Energy Inc.		135,290			5,378
	TerraForm Power Inc.Class A		61,943			953
						6,331
Total Common Stocks (Cost $1,883,987)						2,034,066
Temporary Cash Investments (5.2%)1
Money Market Fund (5.1%)
2,3	Vanguard Market Liquidity Fund, 1.816%		1,086,909			108,702
			Face
			Amount
			($000	)
U.S. Government and Agency Obligations (0.1%)
4	United States Treasury Bill, 1.547%, 1/30/20		200			200
	United States Treasury Bill, 1.527%, 4/30/20		1,700			1,691
						1,891
Total Temporary Cash Investments (Cost $110,601)						110,593
Total Investments (101.6%) (Cost $1,994,588)						2,144,659
Other Assets and Liabilities (-1.6%)
Other Assets4						3,015
Liabilities3						(36,548	)
						(33,533	)
Net Assets (100%)
Applicable to 91,475,185 outstanding $.001 par value shares of beneficial interest (unlimited authorization)						2,111,126
Net Asset Value Per Share						$23.08

	Amount
	($000		)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value
Unaffiliated Issuers		2,035,957
Affiliated Issuers		108,702
Total Investments in Securities		2,144,659
Investment in Vanguard		94
Receivables for Investment Securities Sold		248
Receivables for Accrued Income		903
Receivables for Capital Shares Issued		275
Variation Margin Receivables—Futures Contracts		61
Other Assets4		1,434
Total Assets		2,147,674
Liabilities
Payables for Investment Securities Purchased		406
Collateral for Securities on Loan		33,084
Payable to Investment Advisor		524
Payables for Capital Shares Redeemed		1,485
Payables to Vanguard		1,049
Total Liabilities		36,548
Net Assets		2,111,126

At December 31, 2019, net assets consisted of:
	Amount
	($000	)
Paid-in Capital	1,774,959
Total Distributable Earnings (Loss)	336,167
Net Assets	2,111,126

• See Note A in Notes to Financial Statements.

* Non-income-producing security.

^	Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $31,740,000.
§	Security value determined using significant unobservable inputs.

1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the portfolio’s effective common stock and temporary cash investment positions represent 98.5% and 3.1%, respectively, of net assets.

2 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

3 Collateral of $33,084,000 was received for securities on loan.

4 Securities with a value of $200,000 and cash of $1,434,000 have been segregated as initial margin for open futures contracts.

ADR—American Depositary Receipt.

CVR—Contingent Value Rights.

REIT—Real Estate Investment Trust.

342

Small Company Growth Portfolio

Derivative Financial Instruments Outstanding as of Period End    

Futures Contracts        

					($000	)
					Value and
		Number of			Unrealized
		Long (Short	)	Notional	Appreciation
	Expiration	Contracts		Amount	(Depreciation	)
Long Futures Contracts
E-mini Russell 2000 Index	March 2020	528		44,104	677

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

343

Small Company Growth Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
		($000	)
Investment Income
Income
Dividends		14,704
Interest1		2,096
Securities Lending—Net		1,834
Total Income		18,634
Expenses
Investment Advisory Fees—Note B
Basic Fee		2,825
Performance Adjustment		122
The Vanguard Group—Note C
Management and Administrative		3,273
Marketing and Distribution		253
Custodian Fees		24
Auditing Fees		34
Shareholders’ Reports		39
Trustees’ Fees and Expenses		2
Total Expenses		6,572
Net Investment Income		12,062
Realized Net Gain (Loss)
Investment Securities Sold1		171,067
Futures Contracts		3,457
Realized Net Gain (Loss)		174,524
Change in Unrealized Appreciation (Depreciation)
Investment Securities1		299,972
Futures Contracts		2,604
Change in Unrealized Appreciation (Depreciation)		302,576
Net Increase (Decrease) in Net Assets Resulting from Operations		489,162

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the portfolio were $1,876,000, $11,000, and ($1,000), respectively.

Statement of Changes in Net Assets

	Year Ended December 31,
	2019		2018
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	12,062		10,278
Realized Net Gain (Loss)	174,524		225,393
Change in Unrealized Appreciation (Depreciation)	302,576		(409,764	)
Net Increase (Decrease) in Net Assets Resulting from Operations	489,162		(174,093	)
Distributions
Net Investment Income	(10,333	)	(7,284	)
Realized Capital Gain1	(224,554	)	(197,105	)
Total Distributions	(234,887	)	(204,389	)
Capital Share Transactions
Issued	241,143		616,100
Issued in Lieu of Cash Distributions	234,887		204,389
Redeemed	(446,197	)	(365,139	)
Net Increase (Decrease) from Capital Share Transactions	29,833		455,350
Total Increase (Decrease)	284,108		76,868
Net Assets
Beginning of Period	1,827,018		1,750,150
End of Period	2,111,126		1,827,018

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $42,828,000 and $49,729,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

344

Small Company Growth Portfolio

Financial Highlights

For a Share Outstanding	Year Ended December 31,
Throughout Each Period		2019			2018			2017			2016			2015
Net Asset Value, Beginning of Period		$20.30			$24.62			$21.50			$20.79			$24.14
Investment Operations
Net Investment Income			.1281			.1231			.1091			.116			.078
Net Realized and Unrealized Gain (Loss) on Investments			5.323			(1.563	)		4.652			2.547			(.577	)
Total from Investment Operations			5.451			(1.440	)		4.761			2.663			(.499	)
Distributions
Dividends from Net Investment Income			(.118	)		(.103	)		(.111	)		(.074	)		(.087	)
Distributions from Realized Capital Gains			(2.553	)		(2.777	)		(1.530	)		(1.879	)		(2.764	)
Total Distributions			(2.671	)		(2.880	)		(1.641	)		(1.953	)		(2.851	)
Net Asset Value, End of Period		$23.08			$20.30			$24.62			$21.50			$20.79
Total Return			28.05%			-7.22%			23.46%			14.94%			-2.75%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)		$2,111			$1,827			$1,750			$1,397			$1,256
Ratio of Total Expenses to Average Net Assets2			0.32%			0.32%			0.34%			0.36%			0.37%
Ratio of Net Investment Income to Average Net Assets			0.59%			0.52%			0.48%			0.58%			0.33%
Portfolio Turnover Rate			58%			66%			93%			91%			57%

1 Calculated based on average shares outstanding.

2 Includes performance-based investment advisory fee increases (decreases) of 0.01%, 0.01%, 0.00%, 0.00%, and (0.01%).

Notes to Financial Statements

The Small Company Growth Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts.

A.       The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The portfolio 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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the portfolio’s pricing time but after the close of the securities’ primary markets, are valued at their fair values calculated according to procedures adopted by the board of trustees. These procedures include obtaining quotations from an independent pricing service, monitoring news to identify significant market- or security-specific events, and evaluating changes in the values of foreign market proxies (for example, ADRs, futures contracts, or exchange-traded funds), between the time the foreign markets close and the portfolio’s pricing time. When fair-value pricing is employed, the prices of securities used by a portfolio to calculate its net asset value may differ from quoted or published prices for the same securities. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. 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.

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2. Futures Contracts: The portfolio uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The portfolio may purchase or sell futures contracts to achieve a desired level of investment, whether to accommodate portfolio turnover or cash flows from capital share transactions. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the portfolio 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 portfolio 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 portfolio’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. 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 futures gains (losses).

During the year ended December 31, 2019, the portfolio’s average investments in long and short futures contracts represented 3% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period.

3. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

5. Securities Lending: To earn additional income, the portfolio lends its securities to qualified institutional borrowers. Security loans are subject to termination by the portfolio at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The portfolio further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties. The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the portfolio may experience delays and costs in recovering the securities loaned. The portfolio invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Assets and Liabilities for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the portfolio is entitled to all distributions made on or in respect of the loaned securities.

6. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement

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Small Company Growth Portfolio

of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

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

B.       The investment advisory firm ArrowMark Colorado Holdings, LLC, provides investment advisory services to a portion of the portfolio for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fee of ArrowMark Colorado Holdings, LLC, is subject to quarterly adjustments based on performance relative to the Russell 2500 Growth Index since March 31, 2016.

Vanguard provides investment advisory services to a portion of the portfolio as described below; the portfolio paid Vanguard advisory fees of $887,000 for the year ended December 31, 2019.

For the year ended December 31, 2019, the aggregate investment advisory fee paid to all advisors represented an effective annual basic rate of 0.14% of the portfolio’s average net assets, before an increase of $122,000 (0.01%) based on performance.

C.       In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $94,000, representing less than 0.01% of the portfolio’s net assets and 0.04% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

D.       Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the portfolio’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:

	Level 1			Level 2			Level 3
Investments	($000		)	($000		)	($000		)
Common Stocks		2,034,066			—			—
Temporary Cash Investments		108,702			1,891			—
Futures Contracts—Assets1		61			—			—
Total		2,142,829			1,891			—

1 Represents variation margin on the last day of the reporting period.

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Small Company Growth Portfolio

E.       Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000		)
Undistributed Ordinary Income		14,264
Undistributed Long-Term Gains		175,000
Capital Loss Carryforwards (Non-expiring)		—
Net Unrealized Gains (Losses)		147,710

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000		)
Tax Cost		1,996,949
Gross Unrealized Appreciation		340,511
Gross Unrealized Depreciation		(192,801	)
Net Unrealized Appreciation (Depreciation)		147,710

F.       During the year ended December 31, 2019, the portfolio purchased $1,135,415,000 of investment securities and sold $1,347,142,000 of investment securities, other than temporary cash investments.

G.       Capital shares issued and redeemed were:

	Year Ended December 31,
	2019			2018
	Shares			Shares
	(000		)	(000		)
Issued		11,011			25,424
Issued in Lieu of Cash Distributions		11,101			8,894
Redeemed		(20,656	)		(15,398	)
Net Increase (Decrease) in Shares Outstanding		1,456			18,920

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 42% of the portfolio’s net assets. If this shareholder were to redeem its investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

H.       Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

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Small Company Growth Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Small Company Growth Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets and statement of assets and liabilities of Small Company Growth Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Vanguard Small Company Growth Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $181,726,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year ..

For corporate shareholders, 80.1% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

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Total Bond Market Index Portfolio

Your Portfolio’s Performance at a Glance

•   With yields falling in 2019, prices rose, contributing to strong bond returns for the 12 months ended December 31, 2019. The Total Bond Market Index Portfolio returned 8.67%, in line with the 8.87% return of its benchmark index after taking into account the cost of running the portfolio.

•   The year was marked by concerns about slowing global growth, escalations in trade disputes, flare-ups in geopolitical tensions, and uncertainty over the United Kingdom’s exit from the European Union. The more challenging outlook prompted the Federal Reserve to cut interest rates three times in 2019; other major central banks adopted more accommodative monetary policies as well. Corporate earnings generally proved more resilient than expected and corporate defaults remained low, helping the average yield spread for corporate bonds versus U.S. Treasuries to narrow significantly.

•   Treasuries, which account for over 40% of the portfolio’s assets, returned 6.86%. Mortgage-backed securities returned a little less than that, while corporate bonds fared even better, returning 14.54%.

•   By credit quality, lower-rated investment-grade bonds bested higher-rated ones. And by maturity, longer-dated bonds significantly outperformed.

•   Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer 

			Average Annual Total Returns
			Periods Ended December 31, 2019
	One Year		Three Years		Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43	%	15.05	%	11.48	%
Russell 2000 Index (Small-caps)	25.53		8.59		8.23
Russell 3000 Index (Broad U.S. market)	31.02		14.57		11.24
FTSE All-World ex US Index (International)	21.81		9.96		5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72	%	4.03	%	3.05	%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54		4.72		3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25		1.65		1.04
CPI
Consumer Price Index	2.29	%	2.10	%	1.82	%

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Total Bond Market Index Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 table below illustrates your portfolio’s costs in two ways:

•   Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•   Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019

	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Total Bond Market Index Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,024.33	$0.71
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.50	0.71

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.14%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

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Total Bond Market Index Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019

Initial Investment of $10,000

 

		Average Annual Total Returns			Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	Total Bond Market Index Portfolio	8.67%	2.92%	3.60%	$14,249
	Bloomberg Barclays U.S. Aggregate Float Adjusted Index	8.87	3.07	3.78	14,486

See Financial Highlights for dividend and capital gains information.

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Total Bond Market Index Portfolio

Sector Diversification

As of December 31, 2019

Asset-Backed/Commercial Mortgage-Backed	2.5	%
Finance	8.5
Foreign	4.2
Government Mortgage-Backed	22.3
Industrial	16.4
Treasury/Agency	43.3
Utilities	2.0
Other	0.8

The table reflects the portfolio’s market exposure. Any holdings in short-term reserves are excluded. The agency and mortgage-backed securities sectors may include issues from government-sponsored enterprises; such issues are generally not backed by the full faith and credit of the U.S. government.

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Total Bond Market Index Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
U.S. Government and Agency Obligations (65.2%)
U.S. Government Securities (42.0%)
	United States Treasury Note/Bond	2.625%	8/31/20		2			2
	United States Treasury Note/Bond	2.750%	9/30/20		2			2
	United States Treasury Note/Bond	1.375%	10/31/20		1			1
	United States Treasury Note/Bond	1.750%	10/31/20		1			1
	United States Treasury Note/Bond	2.000%	11/30/20		5			5
	United States Treasury Note/Bond	2.750%	11/30/20		2			2
	United States Treasury Note/Bond	2.500%	12/31/20		1			1
	United States Treasury Note/Bond	2.000%	1/15/21		942			945
	United States Treasury Note/Bond	2.500%	1/31/21		7,700			7,770
	United States Treasury Note/Bond	2.250%	2/15/21		11,225			11,299
	United States Treasury Note/Bond	3.625%	2/15/21		768			785
	United States Treasury Note/Bond	7.875%	2/15/21		1,180			1,260
	United States Treasury Note/Bond	1.125%	2/28/21		580			577
	United States Treasury Note/Bond	2.000%	2/28/21		4,050			4,067
	United States Treasury Note/Bond	2.500%	2/28/21		11,488			11,601
	United States Treasury Note/Bond	2.375%	3/15/21		13,122			13,233
	United States Treasury Note/Bond	1.250%	3/31/21		9,170			9,127
	United States Treasury Note/Bond	2.250%	3/31/21		21,482			21,643
	United States Treasury Note/Bond	2.375%	4/15/21		8,381			8,461
	United States Treasury Note/Bond	1.375%	4/30/21		650			648
	United States Treasury Note/Bond	2.250%	4/30/21		8,016			8,082
	United States Treasury Note/Bond	2.625%	5/15/21		13,389			13,571
	United States Treasury Note/Bond	3.125%	5/15/21		5,625			5,738
	United States Treasury Note/Bond	1.375%	5/31/21		5,426			5,408
	United States Treasury Note/Bond	2.000%	5/31/21		6,752			6,788
	United States Treasury Note/Bond	2.125%	5/31/21		4,271			4,301
	United States Treasury Note/Bond	2.625%	6/15/21		10,023			10,167
	United States Treasury Note/Bond	1.125%	6/30/21		5,078			5,042
	United States Treasury Note/Bond	1.625%	6/30/21		7,852			7,853
	United States Treasury Note/Bond	2.625%	7/15/21		16,405			16,656
	United States Treasury Note/Bond	1.125%	7/31/21		9,520			9,447
	United States Treasury Note/Bond	1.750%	7/31/21		9,417			9,438
	United States Treasury Note/Bond	2.250%	7/31/21		5,675			5,731
	United States Treasury Note/Bond	2.125%	8/15/21		3,445			3,473
	United States Treasury Note/Bond	2.750%	8/15/21		23,185			23,602
	United States Treasury Note/Bond	1.125%	8/31/21		1,578			1,565
	United States Treasury Note/Bond	1.500%	8/31/21		10,140			10,123
	United States Treasury Note/Bond	2.000%	8/31/21		7,800			7,850
	United States Treasury Note/Bond	2.750%	9/15/21		6,614			6,740
	United States Treasury Note/Bond	1.125%	9/30/21		2,317			2,298
	United States Treasury Note/Bond	1.500%	9/30/21		2,125			2,121
	United States Treasury Note/Bond	2.125%	9/30/21		1,775			1,791
	United States Treasury Note/Bond	2.875%	10/15/21		9,746			9,962
	United States Treasury Note/Bond	1.250%	10/31/21		4,654			4,625
	United States Treasury Note/Bond	1.500%	10/31/21		18,666			18,637
	United States Treasury Note/Bond	2.000%	10/31/21		4,420			4,452
	United States Treasury Note/Bond	2.000%	11/15/21		115			116
	United States Treasury Note/Bond	2.875%	11/15/21		1,233			1,262
	United States Treasury Note/Bond	8.000%	11/15/21		3,400			3,795
	United States Treasury Note/Bond	1.500%	11/30/21		3,253			3,248
	United States Treasury Note/Bond	1.750%	11/30/21		7,492			7,513
	United States Treasury Note/Bond	2.625%	12/15/21		12,401			12,643
	United States Treasury Note/Bond	1.625%	12/31/21		3,645			3,649
	United States Treasury Note/Bond	2.000%	12/31/21		6,670			6,722
	United States Treasury Note/Bond	2.125%	12/31/21		928			937
	United States Treasury Note/Bond	2.500%	1/15/22		16,161			16,446
	United States Treasury Note/Bond	1.500%	1/31/22		2,384			2,380
	United States Treasury Note/Bond	1.875%	1/31/22		8,835			8,885
	United States Treasury Note/Bond	2.000%	2/15/22		135			136
	United States Treasury Note/Bond	2.500%	2/15/22		9,901			10,087
	United States Treasury Note/Bond	1.750%	2/28/22		6,330			6,351
	United States Treasury Note/Bond	1.875%	2/28/22		9,990			10,049
	United States Treasury Note/Bond	2.375%	3/15/22		10,896			11,080
	United States Treasury Note/Bond	1.750%	3/31/22		9,889			9,923
	United States Treasury Note/Bond	1.875%	3/31/22		5,215			5,247
	United States Treasury Note/Bond	2.250%	4/15/22		10,050			10,195
	United States Treasury Note/Bond	1.750%	4/30/22		4,977			4,994
	United States Treasury Note/Bond	1.875%	4/30/22		4,927			4,958
	United States Treasury Note/Bond	1.750%	5/15/22		2,962			2,972
	United States Treasury Note/Bond	2.125%	5/15/22		221			224
	United States Treasury Note/Bond	1.750%	5/31/22		5,115			5,133
	United States Treasury Note/Bond	1.875%	5/31/22		6,650			6,694
	United States Treasury Note/Bond	1.750%	6/15/22		13,281			13,329
	United States Treasury Note/Bond	1.750%	6/30/22		5,500			5,521
	United States Treasury Note/Bond	2.125%	6/30/22		5,235			5,302
	United States Treasury Note/Bond	1.750%	7/15/22		16,792			16,850
	United States Treasury Note/Bond	1.875%	7/31/22		6,417			6,459
	United States Treasury Note/Bond	2.000%	7/31/22		6,025			6,084
	United States Treasury Note/Bond	1.500%	8/15/22		10,098			10,071
	United States Treasury Note/Bond	1.625%	8/15/22		2,169			2,170
	United States Treasury Note/Bond	7.250%	8/15/22		875			1,001
	United States Treasury Note/Bond	1.625%	8/31/22		9,570			9,573
	United States Treasury Note/Bond	1.875%	8/31/22		5,445			5,482
	United States Treasury Note/Bond	1.500%	9/15/22		778			776
	United States Treasury Note/Bond	1.750%	9/30/22		9,437			9,471
	United States Treasury Note/Bond	1.875%	9/30/22		9,975			10,047
	United States Treasury Note/Bond	1.375%	10/15/22		11,286			11,212
	United States Treasury Note/Bond	1.875%	10/31/22		6,520			6,565
	United States Treasury Note/Bond	2.000%	10/31/22		7,947			8,030
	United States Treasury Note/Bond	1.625%	11/15/22		21,235			21,242
	United States Treasury Note/Bond	7.625%	11/15/22		40			47
	United States Treasury Note/Bond	2.000%	11/30/22		20,733			20,953
	United States Treasury Note/Bond	1.625%	12/15/22		23,260			23,271
	United States Treasury Note/Bond	2.125%	12/31/22		12,951			13,141
	United States Treasury Note/Bond	1.750%	1/31/23		7,020			7,046
	United States Treasury Note/Bond	2.375%	1/31/23		2,430			2,485
	United States Treasury Note/Bond	2.000%	2/15/23		798			807
	United States Treasury Note/Bond	7.125%	2/15/23		1,690			1,973
	United States Treasury Note/Bond	1.500%	2/28/23		2,889			2,877
	United States Treasury Note/Bond	2.625%	2/28/23		1,261			1,299
	United States Treasury Note/Bond	1.500%	3/31/23		7,005			6,977
	United States Treasury Note/Bond	2.500%	3/31/23		6,770			6,954
	United States Treasury Note/Bond	1.625%	4/30/23		215			215
	United States Treasury Note/Bond	2.750%	4/30/23		3,500			3,625
	United States Treasury Note/Bond	1.750%	5/15/23		7,400			7,424
	United States Treasury Note/Bond	1.625%	5/31/23		7,175			7,172
	United States Treasury Note/Bond	2.750%	5/31/23		5,850			6,062
	United States Treasury Note/Bond	1.375%	6/30/23		5,050			5,004
	United States Treasury Note/Bond	2.625%	6/30/23		5,398			5,577
	United States Treasury Note/Bond	1.250%	7/31/23		2,630			2,593
	United States Treasury Note/Bond	2.750%	7/31/23		3,555			3,690
	United States Treasury Note/Bond	2.500%	8/15/23		5,460			5,621
	United States Treasury Note/Bond	6.250%	8/15/23		6,565			7,621
	United States Treasury Note/Bond	1.375%	8/31/23		10,235			10,136
	United States Treasury Note/Bond	2.750%	8/31/23		8,235			8,553
	United States Treasury Note/Bond	1.375%	9/30/23		2,315			2,291
	United States Treasury Note/Bond	2.875%	9/30/23		4,309			4,498
	United States Treasury Note/Bond	1.625%	10/31/23		3,750			3,744
	United States Treasury Note/Bond	2.875%	10/31/23		11,203			11,702

354

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date	($000		)	($000		)
United States Treasury Note/Bond	2.750%	11/15/23		4,261			4,432
United States Treasury Note/Bond	2.125%	11/30/23		6,150			6,256
United States Treasury Note/Bond	2.875%	11/30/23		344			360
United States Treasury Note/Bond	2.250%	12/31/23		2,267			2,318
United States Treasury Note/Bond	2.625%	12/31/23		7,337			7,606
United States Treasury Note/Bond	2.250%	1/31/24		3,215			3,287
United States Treasury Note/Bond	2.500%	1/31/24		9,419			9,725
United States Treasury Note/Bond	2.750%	2/15/24		10,710			11,165
United States Treasury Note/Bond	2.125%	2/29/24		11,700			11,908
United States Treasury Note/Bond	2.375%	2/29/24		6,712			6,899
United States Treasury Note/Bond	2.125%	3/31/24		18,446			18,780
United States Treasury Note/Bond	2.000%	4/30/24		1,260			1,277
United States Treasury Note/Bond	2.250%	4/30/24		10,559			10,806
United States Treasury Note/Bond	2.500%	5/15/24		9,960			10,299
United States Treasury Note/Bond	2.000%	5/31/24		11,548			11,699
United States Treasury Note/Bond	1.750%	6/30/24		8,060			8,080
United States Treasury Note/Bond	2.000%	6/30/24		10,955			11,099
United States Treasury Note/Bond	1.750%	7/31/24		9,127			9,151
United States Treasury Note/Bond	2.125%	7/31/24		9,736			9,918
United States Treasury Note/Bond	2.375%	8/15/24		11,564			11,909
United States Treasury Note/Bond	1.250%	8/31/24		10,125			9,926
United States Treasury Note/Bond	1.875%	8/31/24		4,655			4,692
United States Treasury Note/Bond	1.500%	9/30/24		785			778
United States Treasury Note/Bond	2.125%	9/30/24		3,394			3,460
United States Treasury Note/Bond	1.500%	10/31/24		9,070			8,991
United States Treasury Note/Bond	2.250%	10/31/24		5,980			6,133
United States Treasury Note/Bond	2.250%	11/15/24		12,681			13,004
United States Treasury Note/Bond	7.500%	11/15/24		25			32
United States Treasury Note/Bond	1.500%	11/30/24		14,847			14,719
United States Treasury Note/Bond	2.125%	11/30/24		10,055			10,252
United States Treasury Note/Bond	1.750%	12/31/24		8,205			8,227
United States Treasury Note/Bond	2.250%	12/31/24		1,645			1,688
United States Treasury Note/Bond	2.500%	1/31/25		6,340			6,584
United States Treasury Note/Bond	2.000%	2/15/25		8,625			8,746
United States Treasury Note/Bond	2.750%	2/28/25		2,513			2,641
United States Treasury Note/Bond	2.625%	3/31/25		8,961			9,366
United States Treasury Note/Bond	2.875%	4/30/25		4,060			4,296
United States Treasury Note/Bond	2.125%	5/15/25		12,735			12,986
United States Treasury Note/Bond	2.875%	5/31/25		6,350			6,721
United States Treasury Note/Bond	2.750%	6/30/25		4,880			5,137
United States Treasury Note/Bond	2.875%	7/31/25		5,105			5,410
United States Treasury Note/Bond	2.000%	8/15/25		14,581			14,767
United States Treasury Note/Bond	6.875%	8/15/25		2,085			2,655
United States Treasury Note/Bond	2.750%	8/31/25		9,260			9,755
United States Treasury Note/Bond	3.000%	9/30/25		5,041			5,381
United States Treasury Note/Bond	3.000%	10/31/25		4,015			4,288
United States Treasury Note/Bond	2.250%	11/15/25		10,421			10,696
United States Treasury Note/Bond	2.875%	11/30/25		6,285			6,672
United States Treasury Note/Bond	2.625%	12/31/25		9,165			9,605
United States Treasury Note/Bond	2.625%	1/31/26		7,459			7,818
United States Treasury Note/Bond	1.625%	2/15/26		16,476			16,311
United States Treasury Note/Bond	6.000%	2/15/26		3,600			4,477
United States Treasury Note/Bond	2.500%	2/28/26		7,770			8,089
United States Treasury Note/Bond	2.250%	3/31/26		6,250			6,418
United States Treasury Note/Bond	2.375%	4/30/26		405			419
United States Treasury Note/Bond	1.625%	5/15/26		10,789			10,669
United States Treasury Note/Bond	2.125%	5/31/26		6,595			6,722
United States Treasury Note/Bond	1.875%	6/30/26		9,335			9,371
United States Treasury Note/Bond	1.875%	7/31/26		11,866			11,907
United States Treasury Note/Bond	1.500%	8/15/26		10,069			9,864
United States Treasury Note/Bond	6.750%	8/15/26		630			824
United States Treasury Note/Bond	1.375%	8/31/26		9,309			9,047
United States Treasury Note/Bond	1.625%	9/30/26		5,215			5,149
United States Treasury Note/Bond	1.625%	10/31/26		7,825			7,720
United States Treasury Note/Bond	2.000%	11/15/26		19,605			19,813
United States Treasury Note/Bond	6.500%	11/15/26		765			997
United States Treasury Note/Bond	1.625%	11/30/26		10,545			10,403
United States Treasury Note/Bond	1.750%	12/31/26		5,575			5,544
United States Treasury Note/Bond	2.250%	2/15/27		6,372			6,545
United States Treasury Note/Bond	6.625%	2/15/27		1,065			1,406
United States Treasury Note/Bond	2.375%	5/15/27		9,832			10,189
United States Treasury Note/Bond	2.250%	8/15/27		7,822			8,037
United States Treasury Note/Bond	6.375%	8/15/27		185			245
United States Treasury Note/Bond	2.250%	11/15/27		11,502			11,822
United States Treasury Note/Bond	6.125%	11/15/27		1,839			2,414
United States Treasury Note/Bond	2.750%	2/15/28		7,480			7,971
United States Treasury Note/Bond	2.875%	5/15/28		12,080			13,001
United States Treasury Note/Bond	2.875%	8/15/28		13,082			14,098
United States Treasury Note/Bond	5.500%	8/15/28		2,745			3,531
United States Treasury Note/Bond	3.125%	11/15/28		8,828			9,705
United States Treasury Note/Bond	5.250%	11/15/28		3,155			4,015
United States Treasury Note/Bond	2.625%	2/15/29		12,045			12,764
United States Treasury Note/Bond	5.250%	2/15/29		600			767
United States Treasury Note/Bond	2.375%	5/15/29		11,878			12,345
United States Treasury Note/Bond	1.625%	8/15/29		12,565			12,239
United States Treasury Note/Bond	6.125%	8/15/29		1,530			2,096
United States Treasury Note/Bond	1.750%	11/15/29		11,231			11,061
United States Treasury Note/Bond	6.250%	5/15/30		2,350			3,303
United States Treasury Note/Bond	5.375%	2/15/31		7,275			9,760
United States Treasury Note/Bond	4.500%	2/15/36		3,047			4,041
United States Treasury Note/Bond	4.750%	2/15/37		700			963
United States Treasury Note/Bond	5.000%	5/15/37		150			212
United States Treasury Note/Bond	4.375%	2/15/38		200			266
United States Treasury Note/Bond	4.500%	5/15/38		2,459			3,323
United States Treasury Note/Bond	3.500%	2/15/39		2,470			2,960
United States Treasury Note/Bond	4.250%	5/15/39		2,247			2,957
United States Treasury Note/Bond	4.500%	8/15/39		2,516			3,414
United States Treasury Note/Bond	4.375%	11/15/39		2,817			3,769
United States Treasury Note/Bond	4.625%	2/15/40		4,250			5,876
United States Treasury Note/Bond	4.375%	5/15/40		3,735			5,015
United States Treasury Note/Bond	3.875%	8/15/40		3,075			3,876
United States Treasury Note/Bond	4.250%	11/15/40		2,395			3,171
United States Treasury Note/Bond	4.750%	2/15/41		3,956			5,582
United States Treasury Note/Bond	4.375%	5/15/41		1,840			2,481
United States Treasury Note/Bond	3.750%	8/15/41		4,425			5,494
United States Treasury Note/Bond	3.125%	11/15/41		2,701			3,064
United States Treasury Note/Bond	3.125%	2/15/42		3,631			4,119
United States Treasury Note/Bond	3.000%	5/15/42		7,620			8,480
United States Treasury Note/Bond	2.750%	8/15/42		6,740			7,198
United States Treasury Note/Bond	2.750%	11/15/42		5,446			5,814
United States Treasury Note/Bond	3.125%	2/15/43		5,850			6,636
United States Treasury Note/Bond	2.875%	5/15/43		8,753			9,541
United States Treasury Note/Bond	3.625%	8/15/43		7,405			9,084
United States Treasury Note/Bond	3.750%	11/15/43		8,693			10,876
United States Treasury Note/Bond	3.625%	2/15/44		8,402			10,331
United States Treasury Note/Bond	3.375%	5/15/44		8,604			10,187
United States Treasury Note/Bond	3.125%	8/15/44		8,606			9,795
United States Treasury Note/Bond	3.000%	11/15/44		9,337			10,414
United States Treasury Note/Bond	2.500%	2/15/45		7,020			7,168
United States Treasury Note/Bond	3.000%	5/15/45		6,917			7,728
United States Treasury Note/Bond	2.875%	8/15/45		8,878			9,707
United States Treasury Note/Bond	3.000%	11/15/45		4,974			5,564
United States Treasury Note/Bond	2.500%	2/15/46		8,128			8,301
United States Treasury Note/Bond	2.500%	5/15/46		8,981			9,170
United States Treasury Note/Bond	2.250%	8/15/46		5,756			5,595
United States Treasury Note/Bond	2.875%	11/15/46		12,500			13,713
United States Treasury Note/Bond	3.000%	2/15/47		1,662			1,868
United States Treasury Note/Bond	3.000%	5/15/47		7,293			8,193
United States Treasury Note/Bond	2.750%	8/15/47		6,713			7,200
United States Treasury Note/Bond	2.750%	11/15/47		10,171			10,907
United States Treasury Note/Bond	3.000%	2/15/48		8,479			9,531
United States Treasury Note/Bond	3.125%	5/15/48		8,985			10,343
United States Treasury Note/Bond	3.000%	8/15/48		9,510			10,712
United States Treasury Note/Bond	3.375%	11/15/48		5,907			7,126
United States Treasury Note/Bond	3.000%	2/15/49		11,044			12,459
United States Treasury Note/Bond	2.875%	5/15/49		10,723			11,823
United States Treasury Note/Bond	2.250%	8/15/49		11,636			11,292
United States Treasury Note/Bond	2.375%	11/15/49		9,660			9,631
							1,805,501

355

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
Agency Bonds and Notes (0.9%)
1	AID-Iraq	2.149%	1/18/22		100			101
1	AID-Israel	5.500%	12/4/23		50			57
1	AID-Israel	5.500%	4/26/24		475			547
1	AID-Jordan	2.578%	6/30/22		200			204
1	AID-Jordan	3.000%	6/30/25		200			208
1	AID-Ukraine	1.471%	9/29/21		175			174
	Federal Farm Credit Banks	2.550%	3/11/21		350			354
	Federal Farm Credit Banks	2.230%	4/5/21		350			353
	Federal Farm Credit Banks	3.050%	11/15/21		100			103
	Federal Farm Credit Banks	1.600%	12/28/21		225			225
	Federal Farm Credit Banks	1.770%	6/26/23		150			151
	Federal Farm Credit Banks	3.500%	12/20/23		75			80
	Federal Home Loan Banks	1.375%	2/18/21		450			449
	Federal Home Loan Banks	5.625%	6/11/21		35			37
	Federal Home Loan Banks	1.875%	7/7/21		1,350			1,355
	Federal Home Loan Banks	1.125%	7/14/21		525			521
	Federal Home Loan Banks	3.000%	10/12/21		1,500			1,536
	Federal Home Loan Banks	1.625%	11/19/21		760			760
	Federal Home Loan Banks	1.875%	11/29/21		500			502
	Federal Home Loan Banks	1.625%	12/20/21		1,300			1,300
	Federal Home Loan Banks	2.125%	6/10/22		175			177
	Federal Home Loan Banks	2.000%	9/9/22		250			252
	Federal Home Loan Banks	2.125%	3/10/23		970			984
	Federal Home Loan Banks	2.500%	2/13/24		535			551
	Federal Home Loan Banks	1.500%	8/15/24		330			326
	Federal Home Loan Banks	3.250%	11/16/28		315			344
	Federal Home Loan Banks	5.500%	7/15/36		1,400			1,966
2	Federal Home Loan Mortgage Corp.	2.375%	2/16/21		1,200			1,210
2	Federal Home Loan Mortgage Corp.	1.125%	8/12/21		1,000			992
2	Federal Home Loan Mortgage Corp.	2.375%	1/13/22		800			812
2	Federal Home Loan Mortgage Corp.	2.750%	6/19/23		500			518
2	Federal Home Loan Mortgage Corp.	6.750%	9/15/29		127			178
2	Federal Home Loan Mortgage Corp.	6.750%	3/15/31		1,525			2,205
2	Federal Home Loan Mortgage Corp.	6.250%	7/15/32		502			721
2	Federal National Mortgage Assn.	1.375%	2/26/21		550			549
2	Federal National Mortgage Assn.	2.500%	4/13/21		500			505
2	Federal National Mortgage Assn.	2.750%	6/22/21		891			905
2	Federal National Mortgage Assn.	1.250%	8/17/21		525			522
2	Federal National Mortgage Assn.	1.375%	10/7/21		1,200			1,195
2	Federal National Mortgage Assn.	2.000%	1/5/22		500			504
2	Federal National Mortgage Assn.	2.625%	1/11/22		216			220
2	Federal National Mortgage Assn.	2.250%	4/12/22		476			483
2	Federal National Mortgage Assn.	1.375%	9/6/22		350			348
2	Federal National Mortgage Assn.	2.000%	10/5/22		850			858
2	Federal National Mortgage Assn.	2.375%	1/19/23		2,394			2,445
2	Federal National Mortgage Assn.	2.875%	9/12/23		400			417
2	Federal National Mortgage Assn.	2.500%	2/5/24		975			1,005
2	Federal National Mortgage Assn.	1.750%	7/2/24		1,028			1,028
2	Federal National Mortgage Assn.	2.625%	9/6/24		160			166
2	Federal National Mortgage Assn.	1.625%	10/15/24		970			964
2	Federal National Mortgage Assn.	2.125%	4/24/26		575			583
2	Federal National Mortgage Assn.	1.875%	9/24/26		500			499
2	Federal National Mortgage Assn.	6.250%	5/15/29		175			236
2	Federal National Mortgage Assn.	7.125%	1/15/30		925			1,335
2	Federal National Mortgage Assn.	7.250%	5/15/30		300			441
2	Federal National Mortgage Assn.	6.625%	11/15/30		300			427
2	Federal National Mortgage Assn.	5.625%	7/15/37		275			395
	Private Export Funding Corp.	4.300%	12/15/21		100			105
	Private Export Funding Corp.	2.800%	5/15/22		125			128
	Private Export Funding Corp.	2.050%	11/15/22		1,075			1,080
	Private Export Funding Corp.	3.550%	1/15/24		100			106
	Private Export Funding Corp.	2.450%	7/15/24		100			102
	Private Export Funding Corp.	1.750%	11/15/24		75			75
	Private Export Funding Corp.	3.250%	6/15/25		50			53
	Tennessee Valley Authority	3.875%	2/15/21		250			256
	Tennessee Valley Authority	1.875%	8/15/22		175			175
	Tennessee Valley Authority	2.875%	9/15/24		191			200
	Tennessee Valley Authority	6.750%	11/1/25		134			169
	Tennessee Valley Authority	7.125%	5/1/30		1,000			1,441
	Tennessee Valley Authority	4.650%	6/15/35		175			216
	Tennessee Valley Authority	5.880%	4/1/36		250			352
	Tennessee Valley Authority	5.500%	6/15/38		100			139
	Tennessee Valley Authority	5.250%	9/15/39		412			564
	Tennessee Valley Authority	4.875%	1/15/48		100			137
	Tennessee Valley Authority	5.375%	4/1/56		50			76
	Tennessee Valley Authority	4.625%	9/15/60		180			246
	Tennessee Valley Authority	4.250%	9/15/65		200			259
								42,162
Conventional Mortgage-Backed Securities (22.2%)
2,3	Fannie Mae Pool	2.000%	11/1/27–11/1/34		1,931			1,926
2,3,4	Fannie Mae Pool	2.500%	1/1/27–1/1/50		23,901			24,126
2,3,4	Fannie Mae Pool	3.000%	11/1/25–12/1/49		82,933			85,015
2,3,4	Fannie Mae Pool	3.500%	10/1/20–9/1/49		105,130			109,506
2,3	Fannie Mae Pool	4.000%	1/1/20–9/1/49		85,138			89,586
2,3,4	Fannie Mae Pool	4.500%	1/1/20–1/1/50		36,954			39,467
2,3,4	Fannie Mae Pool	5.000%	3/1/20–1/1/50		12,277			13,382
2,3	Fannie Mae Pool	5.500%	3/1/20–4/1/40		5,550			6,245
2,3	Fannie Mae Pool	6.000%	12/1/20–5/1/41		3,279			3,740
2,3	Fannie Mae Pool	6.500%	12/1/23–10/1/39		891			1,025
2,3	Fannie Mae Pool	7.000%	6/1/23–11/1/37		246			281
2,3	Fannie Mae Pool	7.500%	11/1/22–2/1/32		26			32
2,3	Fannie Mae Pool	8.000%	6/1/22–11/1/30		13			13
2,3	Fannie Mae Pool	8.500%	7/1/22–4/1/31		6			6
2,3	Fannie Mae Pool	9.500%	2/1/25		1			2
2,3	Freddie Mac Gold Pool	2.000%	8/1/28–12/1/31		660			658
2,3	Freddie Mac Gold Pool	2.500%	4/1/27–2/1/43		13,167			13,344
2,3	Freddie Mac Gold Pool	3.000%	10/1/26–8/1/47		48,850			50,229
2,3	Freddie Mac Gold Pool	3.500%	9/1/25–11/1/48		62,661			65,443
2,3	Freddie Mac Gold Pool	4.000%	1/1/20–11/1/48		39,436			41,634
2,3	Freddie Mac Gold Pool	4.500%	8/1/20–10/1/48		17,755			19,003
2,3	Freddie Mac Gold Pool	5.000%	2/1/20–11/1/48		3,929			4,300
2,3	Freddie Mac Gold Pool	5.500%	7/1/20–6/1/41		2,664			2,968
2,3	Freddie Mac Gold Pool	6.000%	8/1/20–3/1/39		1,979			2,248
2,3	Freddie Mac Gold Pool	6.500%	8/1/23–4/1/39		575			655
2,3	Freddie Mac Gold Pool	7.000%	4/1/23–2/1/37		143			161
2,3	Freddie Mac Gold Pool	7.500%	1/1/23–4/1/28		12			12
2,3	Freddie Mac Gold Pool	8.000%	1/1/22–7/1/30		14			14
2,3	Freddie Mac Gold Pool	8.500%	7/1/24–11/1/30		9			10
2,3	Freddie Mac Gold Pool	9.000%	5/1/27–5/1/30		4			4
2,3	Freddie Mac Pool	4.000%	1/1/49		415			440
2,3	Freddie Mac Pool	4.500%	4/1/49		1,137			1,217

356

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
3	Ginnie Mae I Pool	3.000%	1/15/26–12/15/45		2,949			3,034
3,4	Ginnie Mae I Pool	3.500%	11/15/25–1/1/49		3,159			3,298
3	Ginnie Mae I Pool	4.000%	10/15/24–11/15/47		3,589			3,785
3	Ginnie Mae I Pool	4.500%	5/15/20–3/15/41		3,435			3,707
3	Ginnie Mae I Pool	5.000%	11/15/20–4/15/41		2,321			2,548
3	Ginnie Mae I Pool	5.500%	1/15/32–12/15/40		1,419			1,573
3	Ginnie Mae I Pool	6.000%	1/15/24–3/15/40		1,027			1,150
3	Ginnie Mae I Pool	6.500%	11/15/23–12/15/38		263			287
3	Ginnie Mae I Pool	7.000%	5/15/23–10/15/31		66			76
3	Ginnie Mae I Pool	7.500%	4/15/22–1/15/31		21			24
3	Ginnie Mae I Pool	8.000%	3/15/22–10/15/30		19			19
3	Ginnie Mae I Pool	8.500%	6/15/24–9/15/26		2			2
3	Ginnie Mae I Pool	9.000%	8/15/21–10/15/26		1			1
3,4	Ginnie Mae II Pool	2.500%	6/20/27–1/1/50		8,650			8,681
3,4	Ginnie Mae II Pool	3.000%	2/20/27–1/1/50		61,744			63,674
3,4	Ginnie Mae II Pool	3.500%	9/20/25–9/20/49		91,713			95,454
3	Ginnie Mae II Pool	4.000%	9/20/25–12/1/49		58,284			60,990
3,4	Ginnie Mae II Pool	4.500%	2/20/39–1/1/50		29,226			31,071
3	Ginnie Mae II Pool	5.000%	12/20/32–5/20/49		9,817			10,538
3	Ginnie Mae II Pool	5.500%	6/20/34–9/20/41		1,100			1,224
3	Ginnie Mae II Pool	6.000%	3/20/33–7/20/39		536			613
3	Ginnie Mae II Pool	6.500%	12/20/35–11/20/39		191			222
3	Ginnie Mae II Pool	7.000%	8/20/36–4/20/38		23			28
2,3	UMBS Pool	2.000%	1/1/32		211			209
2,3	UMBS Pool	2.500%	11/1/34–12/1/49		7,106			7,055
2,3	UMBS Pool	3.000%	7/1/30–1/1/50		34,184			34,687
2,3	UMBS Pool	3.500%	7/1/49–10/1/49		14,762			15,280
2,3	UMBS Pool	4.000%	5/1/47–9/1/49		7,783			8,302
2,3	UMBS Pool	4.500%	8/1/48–8/1/49		3,327			3,569
2,3	UMBS Pool	5.000%	3/1/49		1,492			1,636
2,3,4	UMBS TBA	2.500%	1/1/50		3,175			3,139
2,3,4	UMBS TBA	3.000%	11/1/49–1/1/50		3,550			3,600
2,3,4	UMBS TBA	3.500%	9/1/49–1/1/50		1,460			1,501
2,3,4	UMBS TBA	4.000%	1/1/35–1/1/50		6,790			7,066
								954,735
Nonconventional Mortgage-Backed Securities (0.1%)
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.290%	4.034%	12/1/41		23			24
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.310%	3.592%	9/1/37		45			46
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.392%	3.811%	10/1/37		17			17
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.509%	4.082%	7/1/36		7			7
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.553%	2.443%	9/1/43		12			12
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.560%	2.272%	7/1/43		132			133
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.609%	3.642%	12/1/33		6			7
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.623%	4.748%	2/1/36		6			6
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.625%	4.135%	8/1/35		42			45
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.627%	4.752%	3/1/38		5			5
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.635%	3.510%	11/1/36		4			5
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.643%	4.476%	1/1/37		6			7
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.660%	3.910%	9/1/40		7			8
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.665%	4.415%	6/1/36		1			1
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.679%	3.992%	1/1/42		23			24
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.682%	4.167%	10/1/37		18			19
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.690%	3.706%	10/1/39		11			11
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.690%	3.972%	9/1/42		38			40
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.690%	4.622%	5/1/40		13			13
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.695%	4.320%	7/1/39		5			5
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.698%	4.161%	8/1/40		11			11
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.700%	4.364%	12/1/40		14			14
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.701%	3.965%	10/1/42		23			24
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.705%	3.809%	11/1/39		5			6
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.726%	3.956%	9/1/34		5			5
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.734%	3.997%	11/1/39		14			14
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.746%	4.506%	7/1/41		36			38
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.750%	4.213%	10/1/40		9			9
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.767%	4.648%	6/1/41		6			6
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.771%	4.709%	5/1/42		9			10
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.780%	4.905%	2/1/41		6			7
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.793%	3.391%	8/1/42		50			50
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.795%	4.839%	3/1/42		22			23
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.798%	4.358%	3/1/42		21			22
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.804%	3.943%	12/1/39		15			16
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.805%	3.773%	11/1/41		25			27
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.810%	3.685%	10/1/40		15			16

357

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.810%	3.935%	11/1/33–11/1/39		15			15
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.810%	4.810%	12/1/40		10			10
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.813%	3.978%	11/1/41		14			15
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.813%	4.435%	1/1/42		21			22
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.815%	3.690%	11/1/40		5			5
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.815%	3.809%	12/1/40		9			9
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.815%	3.970%	12/1/41		17			18
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.815%	4.693%	5/1/41		17			18
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.815%	4.940%	2/1/41		15			16
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.819%	4.759%	3/1/41		27			28
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.820%	4.168%	12/1/40		7			7
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.822%	4.310%	9/1/40		31			33
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.823%	4.902%	2/1/41		12			12
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.825%	4.825%	3/1/41		14			15
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.830%	3.451%	4/1/41		25			25
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.830%	4.580%	6/1/41		17			18
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.835%	4.723%	1/1/40		15			15
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.840%	4.403%	8/1/39		12			13
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.861%	4.745%	5/1/40		6			6
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.880%	4.406%	11/1/34		10			10
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.909%	4.784%	4/1/37		9			10
2,3,5	Fannie Mae Pool, 12M USD LIBOR + 1.912%	4.787%	5/1/36		3			3
2,3,5	Fannie Mae Pool, 1Y CMT + 2.155%	4.780%	12/1/37		24			25
2,3,5	Fannie Mae Pool, 1Y CMT + 2.238%	4.613%	7/1/38		8			8
2,3,5	Fannie Mae Pool, 1Y CMT + 2.268%	4.415%	12/1/35		10			10
2,3,5	Fannie Mae Pool, 1Y CMT + 2.313%	4.845%	1/1/35		14			15
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.026%	3.206%	4/1/37		13			14
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.476%	2.242%	3/1/43		100			101
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.582%	2.743%	6/1/43		62			62
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.638%	4.339%	8/1/39		26			27
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.657%	4.260%	10/1/42		21			22
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.700%	4.531%	7/1/37		8			9
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.710%	3.371%	9/1/43		49			50
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.723%	4.720%	5/1/42		44			46
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.789%	4.572%	7/1/42		16			17
2,3,5	Fannie Mae Pool, 6M USD LIBOR + 1.840%	4.157%	8/1/37		13			14
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 0.985%	3.235%	10/1/37		2			2
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.564%	4.420%	3/1/37		2			2
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.588%	3.921%	9/1/37		5			5
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.625%	4.625%	1/1/38		2			2
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640%	3.830%	12/1/36		9			9
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.640%	4.515%	5/1/42		4			4
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.660%	3.711%	10/1/37		10			10
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.695%	4.767%	2/1/37		6			6
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.727%	4.738%	1/1/35		2			2
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.743%	3.865%	12/1/36		16			16
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.745%	4.713%	12/1/40		22			23
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.750%	4.625%	5/1/38		1			2
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.765%	3.730%	12/1/36		4			5
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.796%	3.871%	12/1/34		9			9
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.834%	4.220%	12/1/35		11			11
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.864%	4.595%	2/1/42		10			10
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.005%	11/1/40		2			2
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.630%	6/1/40		12			12
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.713%	6/1/41		7			7
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.755%	5/1/40		11			11
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.756%	6/1/40		10			11
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.880%	12/1/40		2			3
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	4.979%	1/1/41		17			18
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.880%	5.005%	3/1/41		6			6
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.889%	4.956%	2/1/42		13			13
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.895%	4.323%	9/1/40		23			24
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900%	3.846%	11/1/40		15			15
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.900%	4.705%	6/1/40		15			16
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910%	4.825%	1/1/41		3			3
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.910%	5.035%	2/1/41		18			19
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 1.977%	4.783%	5/1/37		20			21
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.000%	4.750%	7/1/35		2			2
2,3,5	Freddie Mac Non Gold Pool, 12M USD LIBOR + 2.085%	5.210%	3/1/38		3			3
2,3,5	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.006%	11/1/34		22			23
2,3,5	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.750%	5/1/36		6			6
2,3,5	Freddie Mac Non Gold Pool, 1Y CMT + 2.250%	4.991%	2/1/36		7			7

358

Total Bond Market Index Portfolio

					Face			Market
				Maturity	Amount			Value•
		Coupon		Date	($000		)	($000		)
2,3,5	Freddie Mac Non Gold Pool, 1Y CMT + 2.409%	4.964%	��	10/1/36		12			13
2,3,5	Freddie Mac Non Gold Pool, 6M USD LIBOR + 1.355%	3.438%		6/1/37		7			8
3,5	Ginnie Mae II Pool, 1Y CMT + 1.500%	3.250%		7/20/38–8/20/41		45			46
3,5	Ginnie Mae II Pool, 1Y CMT + 1.500%	3.875%		4/20/41–6/20/43		109			112
3,5	Ginnie Mae II Pool, 1Y CMT + 1.500%	4.000%		1/20/41–3/20/43		122			126
3,5	Ginnie Mae II Pool, 1Y CMT + 1.500%	4.125%		10/20/38–12/20/42		163			167
3,5	Ginnie Mae II Pool, 1Y CMT + 2.000%	4.375%		5/20/41		12			13
3,5	Ginnie Mae II Pool, 1Y CMT + 2.000%	4.625%		11/20/40		1			1
									2,302
Total U.S. Government and Agency Obligations (Cost $2,733,576)									2,804,700
Asset-Backed/Commercial Mortgage-Backed Securities (2.6%)
3	Ally Auto Receivables Trust 2018-1	2.350%		6/15/22		73			73
3	Ally Auto Receivables Trust 2018-1	2.530%		2/15/23		25			25
3	Ally Auto Receivables Trust 2018-3	3.000%		1/17/23		25			25
3	Ally Auto Receivables Trust 2018-3	3.120%		7/17/23		50			51
3	Ally Auto Receivables Trust 2019-2	2.230%		1/16/24		275			276
3	Ally Auto Receivables Trust 2019-2	2.260%		8/15/24		50			50
3	Ally Auto Receivables Trust 2019-4	1.840%		6/17/24		230			230
3	Ally Auto Receivables Trust 2019-4	1.920%		1/15/25		25			25
3	Ally Master Owner Trust Series 2018-1	2.700%		1/17/23		425			428
3	Ally Master Owner Trust Series 2018-2	3.290%		5/15/23		100			102
3	American Express Credit Account Master Trust 2017-1	1.930%		9/15/22		250			250
3	American Express Credit Account Master Trust 2017-3	1.770%		11/15/22		300			300
3	American Express Credit Account Master Trust 2017-6	2.040%		5/15/23		375			376
3	American Express Credit Account Master Trust 2017-7	2.350%		5/15/25		225			228
3	American Express Credit Account Master Trust 2018-1	2.670%		10/17/22		275			275
3	American Express Credit Account Master Trust 2018-2	3.010%		10/15/25		250			258
3	American Express Credit Account Master Trust 2018-4	2.990%		12/15/23		325			330
3	American Express Credit Account Master Trust 2018-8	3.180%		4/15/24		100			102
3	AmeriCredit Automobile Receivables Trust 2017-3	1.900%		3/18/22		38			38
3	AmeriCredit Automobile Receivables Trust 2018-1	3.070%		12/19/22		100			101
3	AmeriCredit Automobile Receivables Trust 2018-1	3.260%		1/18/24		56			57
3	AmeriCredit Automobile Receivables Trust 2018-1	3.500%		1/18/24		50			51
3	AmeriCredit Automobile Receivables Trust 2019-1	2.970%		11/20/23		75			76
3	BA Credit Card Trust 2017-A1	1.950%		8/15/22		250			250
3	BA Credit Card Trust 2018-A1	2.700%		7/17/23		475			480
3	BA Credit Card Trust 2019-A1	1.740%		1/15/25		150			150
3	Banc of America Commercial Mortgage Trust 2015-UBS7	3.429%		9/15/48		50			52
3	Banc of America Commercial Mortgage Trust 2015-UBS7	3.705%		9/15/48		75			80
3	Banc of America Commercial Mortgage Trust 2017-BNK3	3.574%		2/15/50		72			77
3	Banc of America Commercial Mortgage Trust 2017-BNK3	3.748%		2/15/50		28			29
3	BANK 2017 - BNK5	3.390%		6/15/60		150			159
3	BANK 2017 - BNK5	3.624%		6/15/60		100			105
3	BANK 2017 - BNK6	3.518%		7/15/60		404			431
3	BANK 2017 - BNK6	3.741%		7/15/60		404			431
3	BANK 2017 - BNK7	3.175%		9/15/60		100			104
3	BANK 2017 - BNK7	3.435%		9/15/60		75			80
3	BANK 2017 - BNK7	3.748%		9/15/60		75			79
3	BANK 2017 - BNK8	3.488%		11/15/50		150			160
3	BANK 2017 - BNK8	3.731%		11/15/50		25			26
3	BANK 2017 - BNK9	3.279%		11/15/54		150			157
3	BANK 2017 - BNK9	3.538%		11/15/54		150			160
3	BANK 2018 - BN10	3.641%		2/15/61		50			53
3	BANK 2018 - BN10	3.688%		2/15/61		250			270
3	BANK 2018 - BN10	3.898%		2/15/61		50			54
3	BANK 2018 - BN11	4.046%		3/15/61		100			110
3	BANK 2018 - BN12	4.255%		5/15/61		125			140
3	BANK 2018 - BN12	4.359%		5/15/61		50			56
3	BANK 2018 - BN13	4.217%		8/15/61		25			28
3	BANK 2018 - BN14	4.128%		9/15/60		50			53
3	BANK 2018 - BN14	4.231%		9/15/60		100			112
3	BANK 2018 - BN14	4.481%		9/15/60		25			28
3	BANK 2018 - BN15	4.407%		11/15/61		110			125
3	BANK 2019 - BN16	4.005%		2/15/52		125			138
3	BANK 2019 - BN17	3.714%		4/15/52		100			108
3	BANK 2019 - BN17	3.976%		4/15/52		25			27
3	BANK 2019 - BN18	3.584%		5/15/62		375			403
3	BANK 2019 - BN18	3.826%		5/15/62		50			53
3	BANK 2019 - BN19	3.183%		8/15/61		275			287
3	BANK 2019 - BN20	3.011%		9/15/61		170			175
3	BANK 2019 - BN21	2.851%		10/17/52		375			381
3	BANK 2019 - BN21	3.093%		10/17/52		75			75
3	BANK 2019 - BN22	2.978%		11/15/62		290			298
3	BANK 2019 - BN23	2.920%		12/15/52		180			184
3	BANK 2019 - BN23	3.203%		12/15/52		75			76
3	BANK 2019 - BN24	2.960%		11/15/62		150			154
3	BANK 2019 - BN24	3.283%		11/15/62		75			76
3	Bank of America Credit Card Trust 2018-A2	3.000%		9/15/23		400			406
	Bank of Nova Scotia	1.875%		4/26/21		175			175
3	BBCMS Mortgage Trust 2017-C1	3.674%		2/15/50		325			349
3	BBCMS Mortgage Trust 2017-C1	3.898%		2/15/50		100			107
3	BBCMS Mortgage Trust 2018-C2	4.314%		12/15/51		125			141
3	BBCMS Mortgage Trust 2019-C3	3.583%		5/15/52		700			744
3	BBCMS Mortgage Trust 2019-C4	2.919%		8/15/52		275			279
3	BBCMS Mortgage Trust 2019-C4	3.171%		8/15/52		25			25
3	BBCMS Mortgage Trust 2019-C5	3.063%		11/15/52		150			154
3	BBCMS Mortgage Trust 2019-C5	3.366%		11/15/52		100			102
3	Bear Stearns Commercial Mortgage Securities Trust 2007-TOP26	5.450%		1/12/45		27			27
3	BENCHMARK 2018-B1 Mortgage Trust	3.666%		1/15/51		100			108
3	BENCHMARK 2018-B1 Mortgage Trust	3.878%		1/15/51		50			53
3	BENCHMARK 2018-B2 Mortgage Trust	3.662%		2/15/51		125			130
3	BENCHMARK 2018-B2 Mortgage Trust	3.882%		2/15/51		325			353
3	BENCHMARK 2018-B2 Mortgage Trust	4.084%		2/15/51		150			163
3	BENCHMARK 2018-B3 Mortgage Trust	3.848%		4/10/51		100			104
3	BENCHMARK 2018-B3 Mortgage Trust	4.025%		4/10/51		225			248
3	BENCHMARK 2018-B4 Mortgage Trust	4.121%		7/15/51		350			389
3	BENCHMARK 2018-B4 Mortgage Trust	4.311%		7/15/51		75			82
3	BENCHMARK 2018-B5 Mortgage Trust	4.208%		7/15/51		75			84
3	BENCHMARK 2018-B6 Mortgage Trust	4.203%		10/10/51		50			53
3	BENCHMARK 2018-B6 Mortgage Trust	4.261%		10/10/51		50			56
3	BENCHMARK 2018-B6 Mortgage Trust	4.441%		10/10/51		25			28
3	BENCHMARK 2018-B7 Mortgage Trust	4.510%		5/15/53		175			200
3	BENCHMARK 2018-B8 Mortgage Trust	4.232%		1/15/52		125			140
3	BENCHMARK 2018-B8 Mortgage Trust	4.532%		1/15/52		50			56
3	BENCHMARK 2019-B9 Mortgage Trust	4.016%		3/15/52		105			116
3	BENCHMARK 2019-B10 Mortgage Trust	3.717%		3/15/62		80			87
3	BENCHMARK 2019-B10 Mortgage Trust	3.979%		3/15/62		50			54
3	BENCHMARK 2019-B11 Mortgage Trust	3.542%		5/15/52		275			295
3	BENCHMARK 2019-B11 Mortgage Trust	3.784%		5/15/52		75			80
3	BENCHMARK 2019-B13 Mortgage Trust	2.952%		8/15/57		280			286

359

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
3	BENCHMARK 2019-B14 Mortgage Trust	3.049%	12/15/62		225			232
3	BENCHMARK 2019-B15 Mortgage Trust	2.928%	12/15/72		230			233
3	BMW Vehicle Lease Trust 2017-2	2.070%	10/20/20		24			24
3	BMW Vehicle Owner Trust 2018-A	2.350%	4/25/22		125			125
3	BMW Vehicle Owner Trust 2018-A	2.510%	6/25/24		50			50
3	Cantor Commercial Real Estate Lending 2019-CF1	3.786%	5/15/52		125			135
3	Cantor Commercial Real Estate Lending 2019-CF2	2.874%	11/15/52		140			141
3	Cantor Commercial Real Estate Lending 2019-CF3	3.006%	1/15/53		135			138
3	Cantor Commercial Real Estate Lending 2019-CF3	3.298%	1/15/53		60			60
3	Capital One Auto Receivables Trust 2019-1	2.510%	11/15/23		100			101
3	Capital One Auto Receivables Trust 2019-1	2.560%	10/15/24		35			35
3	Capital One Multi-Asset Execution Trust 2015-A2	2.080%	3/15/23		250			250
3	Capital One Multi-Asset Execution Trust 2015-A8	2.050%	8/15/23		150			150
3	Capital One Multi-Asset Execution Trust 2017-A4	1.990%	7/17/23		250			250
3	Capital One Multi-Asset Execution Trust 2017-A6	2.290%	7/15/25		225			228
3	Capital One Multi-Asset Execution Trust 2018-A1	3.010%	2/15/24		125			127
3	Capital One Multi-Asset Execution Trust 2019-A1	2.840%	12/15/24		75			77
3	CarMax Auto Owner Trust 2016-3	1.390%	5/17/21		9			9
3	CarMax Auto Owner Trust 2016-3	1.600%	1/18/22		50			50
3	CarMax Auto Owner Trust 2017-4	2.110%	10/17/22		63			63
3	CarMax Auto Owner Trust 2017-4	2.330%	5/15/23		50			50
3	CarMax Auto Owner Trust 2018-1	2.480%	11/15/22		75			75
3	CarMax Auto Owner Trust 2018-1	2.640%	6/15/23		50			51
3	CarMax Auto Owner Trust 2018-2	2.980%	1/17/23		75			76
3	CarMax Auto Owner Trust 2018-2	3.160%	7/17/23		50			51
3	CarMax Auto Owner Trust 2019-4	2.020%	11/15/24		180			180
3	CarMax Auto Owner Trust 2019-4	2.130%	7/15/25		25			25
3	CD 2016-CD1 Commercial Mortgage Trust	2.724%	8/10/49		150			152
3	CD 2016-CD2 Commercial Mortgage Trust	3.526%	11/10/49		100			106
3	CD 2017-CD3 Commercial Mortgage Trust	3.453%	2/10/50		25			26
3	CD 2017-CD3 Commercial Mortgage Trust	3.631%	2/10/50		144			154
3	CD 2017-CD3 Commercial Mortgage Trust	3.833%	2/10/50		31			33
3	CD 2017-CD6 Commercial Mortgage Trust	3.332%	11/13/50		50			52
3	CD 2017-CD6 Commercial Mortgage Trust	3.456%	11/13/50		125			132
3	CD 2017-CD6 Commercial Mortgage Trust	3.709%	11/13/50		75			79
3	CD 2018-CD7 Commercial Mortgage Trust	4.279%	8/15/51		75			84
3	CD 2019-CD8 Commercial Mortgage Trust	2.912%	8/15/57		175			179
3	CenterPoint Energy Transition Bond Co. IV LLC 2012-1	3.028%	10/15/25		350			358
3	CFCRE Commercial Mortgage Trust 2016-C3	3.865%	1/10/48		125			133
3	CFCRE Commercial Mortgage Trust 2016-C4	3.283%	5/10/58		150			155
3	CFCRE Commercial Mortgage Trust 2016-C4	3.691%	5/10/58		100			104
3	CFCRE Commercial Mortgage Trust 2016-C6	3.217%	11/10/49		250			258
3	CFCRE Commercial Mortgage Trust 2017-C8	3.572%	6/15/50		50			53
3	Chase Issuance Trust 2012-A7	2.160%	9/15/24		313			315
3	Chase Issuance Trust 2014-A2	2.770%	3/15/23		225			227
3	Chase Issuance Trust 2015-A4	1.840%	4/15/22		150			150
3	Chase Issuance Trust 2016-A4	1.490%	7/15/22		200			200
3	Citibank Credit Card Issuance Trust 2014-A1	2.880%	1/23/23		100			101
3	Citibank Credit Card Issuance Trust 2014-A5	2.680%	6/7/23		200			202
3	Citibank Credit Card Issuance Trust 2016-A2	2.190%	11/20/23		200			201
3	Citibank Credit Card Issuance Trust 2018-A1	2.490%	1/20/23		550			554
3	Citibank Credit Card Issuance Trust 2018-A3	3.290%	5/23/25		450			469
3	Citigroup Commercial Mortgage Trust 2012-GC8	3.024%	9/10/45		72			73
3	Citigroup Commercial Mortgage Trust 2013-GC11	3.093%	4/10/46		100			102
3	Citigroup Commercial Mortgage Trust 2013-GC15	4.371%	9/10/46		50			53
3	Citigroup Commercial Mortgage Trust 2013-GC15	4.649%	9/10/46		75			80
3	Citigroup Commercial Mortgage Trust 2014-GC19	3.552%	3/10/47		22			22
3	Citigroup Commercial Mortgage Trust 2014-GC19	4.023%	3/10/47		25			27
3	Citigroup Commercial Mortgage Trust 2014-GC19	4.345%	3/10/47		25			27
3	Citigroup Commercial Mortgage Trust 2014-GC21	3.855%	5/10/47		50			53
3	Citigroup Commercial Mortgage Trust 2014-GC21	4.328%	5/10/47		50			53
3	Citigroup Commercial Mortgage Trust 2014-GC23	3.622%	7/10/47		100			106
3	Citigroup Commercial Mortgage Trust 2014-GC25	3.635%	10/10/47		175			184
3	Citigroup Commercial Mortgage Trust 2015-GC27	3.137%	2/10/48		225			233
3	Citigroup Commercial Mortgage Trust 2015-GC27	3.571%	2/10/48		100			104
3	Citigroup Commercial Mortgage Trust 2015-GC29	2.674%	4/10/48		43			43
3	Citigroup Commercial Mortgage Trust 2015-GC29	3.192%	4/10/48		175			182
3	Citigroup Commercial Mortgage Trust 2015-GC29	3.758%	4/10/48		84			87
3	Citigroup Commercial Mortgage Trust 2015-GC31	3.762%	6/10/48		100			106
3	Citigroup Commercial Mortgage Trust 2015-GC33	3.778%	9/10/58		100			107
3	Citigroup Commercial Mortgage Trust 2016-C1	3.003%	5/10/49		55			56
3	Citigroup Commercial Mortgage Trust 2016-C1	3.209%	5/10/49		125			130
3	Citigroup Commercial Mortgage Trust 2016-GC36	3.616%	2/10/49		225			239
3	Citigroup Commercial Mortgage Trust 2016-P4	2.902%	7/10/49		75			77
3	Citigroup Commercial Mortgage Trust 2017-B1	3.458%	8/15/50		250			264
3	Citigroup Commercial Mortgage Trust 2017-B1	3.711%	8/15/50		50			53
3	Citigroup Commercial Mortgage Trust 2017-C4	3.471%	10/12/50		150			160
3	Citigroup Commercial Mortgage Trust 2017-C4	3.764%	10/12/50		50			53
3	Citigroup Commercial Mortgage Trust 2018-B2	3.788%	3/10/51		50			52

360

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
3	Citigroup Commercial Mortgage Trust 2018-B2	4.009%	3/10/51		275			301
3	Citigroup Commercial Mortgage Trust 2019-GC41	2.869%	8/10/56		225			228
3	Citigroup Commercial Mortgage Trust 2019-GC43	3.038%	11/10/52		275			282
3	COMM 2012-CCRE2 Mortgage Trust	3.147%	8/15/45		58			59
3	COMM 2012-CCRE2 Mortgage Trust	3.791%	8/15/45		65			67
3,6	COMM 2012-CCRE3 Mortgage Trust	3.416%	10/15/45		78			79
3	COMM 2012-CCRE4 Mortgage Trust	2.853%	10/15/45		124			126
3	COMM 2013-CCRE10 Mortgage Trust	4.210%	8/10/46		20			21
3	COMM 2013-CCRE11 Mortgage Trust	3.660%	8/10/50		24			25
3	COMM 2013-CCRE11 Mortgage Trust	3.983%	8/10/50		40			42
3	COMM 2013-CCRE11 Mortgage Trust	4.258%	8/10/50		150			160
3	COMM 2013-CCRE11 Mortgage Trust	4.715%	8/10/50		30			32
3	COMM 2013-CCRE12 Mortgage Trust	2.904%	10/10/46		2			2
3	COMM 2013-CCRE12 Mortgage Trust	3.623%	10/10/46		39			41
3	COMM 2013-CCRE12 Mortgage Trust	3.765%	10/10/46		50			51
3	COMM 2013-CCRE12 Mortgage Trust	4.046%	10/10/46		50			53
3	COMM 2013-CCRE12 Mortgage Trust	4.300%	10/10/46		25			27
3	COMM 2013-CCRE12 Mortgage Trust	4.762%	10/10/46		25			26
3	COMM 2013-CCRE6 Mortgage Trust	3.101%	3/10/46		65			66
3	COMM 2013-CCRE7 Mortgage Trust	3.213%	3/10/46		37			38
3	COMM 2013-CCRE8 Mortgage Trust	3.612%	6/10/46		71			74
3	COMM 2013-CCRE9 Mortgage Trust	4.222%	7/10/45		90			95
3	COMM 2013-LC13 Mortgage Trust	4.205%	8/10/46		40			43
3	COMM 2013-LC6 Mortgage Trust	2.941%	1/10/46		104			106
3	COMM 2013-LC6 Mortgage Trust	3.282%	1/10/46		58			59
3	COMM 2014-CCRE15 Mortgage Trust	2.928%	2/10/47		26			26
3	COMM 2014-CCRE15 Mortgage Trust	3.595%	2/10/47		25			26
3	COMM 2014-CCRE15 Mortgage Trust	4.074%	2/10/47		56			60
3	COMM 2014-CCRE15 Mortgage Trust	4.697%	2/10/47		28			30
3	COMM 2014-CCRE16 Mortgage Trust	3.653%	4/10/47		44			45
3	COMM 2014-CCRE16 Mortgage Trust	4.278%	4/10/47		75			79
3	COMM 2014-CCRE17 Mortgage Trust	3.598%	5/10/47		22			23
3	COMM 2014-CCRE17 Mortgage Trust	3.977%	5/10/47		50			53
3	COMM 2014-CCRE17 Mortgage Trust	4.377%	5/10/47		25			26
3	COMM 2014-CCRE18 Mortgage Trust	3.452%	7/15/47		43			44
3	COMM 2014-CCRE19 Mortgage Trust	3.796%	8/10/47		175			186
3	COMM 2014-CCRE19 Mortgage Trust	4.080%	8/10/47		50			53
3	COMM 2014-CCRE20 Mortgage Trust	3.590%	11/10/47		50			53
3	COMM 2014-CCRE21 Mortgage Trust	3.528%	12/10/47		164			171
3	COMM 2014-LC15 Mortgage Trust	4.006%	4/10/47		150			160
3	COMM 2014-LC17 Mortgage Trust	3.164%	10/10/47		10			10
3	COMM 2014-LC17 Mortgage Trust	3.917%	10/10/47		50			53
3	COMM 2014-UBS2 Mortgage Trust	2.820%	3/10/47		5			5
3	COMM 2014-UBS2 Mortgage Trust	3.472%	3/10/47		18			19
3	COMM 2014-UBS2 Mortgage Trust	3.961%	3/10/47		54			57
3	COMM 2014-UBS2 Mortgage Trust	4.199%	3/10/47		15			16
3	COMM 2014-UBS2 Mortgage Trust	4.701%	3/10/47		10			11
3	COMM 2014-UBS3 Mortgage Trust	3.819%	6/10/47		100			106
3	COMM 2014-UBS4 Mortgage Trust	3.694%	8/10/47		125			132
3	COMM 2014-UBS4 Mortgage Trust	3.968%	8/10/47		44			46
3	COMM 2014-UBS5 Mortgage Trust	3.838%	9/10/47		125			132
3	COMM 2014-UBS6 Mortgage Trust	2.935%	12/10/47		24			24
3	COMM 2014-UBS6 Mortgage Trust	3.387%	12/10/47		125			128
3	COMM 2014-UBS6 Mortgage Trust	3.644%	12/10/47		225			236
3	COMM 2014-UBS6 Mortgage Trust	4.048%	12/10/47		50			53
3	COMM 2015-CCRE22 Mortgage Trust	2.856%	3/10/48		19			19
3	COMM 2015-CCRE22 Mortgage Trust	3.309%	3/10/48		150			157
3	COMM 2015-CCRE22 Mortgage Trust	3.603%	3/10/48		50			52
3	COMM 2015-CCRE23 Mortgage Trust	3.257%	5/10/48		75			77
3	COMM 2015-CCRE23 Mortgage Trust	3.497%	5/10/48		100			105
3	COMM 2015-CCRE23 Mortgage Trust	3.801%	5/10/48		50			53
3	COMM 2015-CCRE25 Mortgage Trust	3.759%	8/10/48		125			133
3	COMM 2015-CCRE26 Mortgage Trust	3.630%	10/10/48		225			238
3	COMM 2015-CCRE27 Mortgage Trust	3.404%	10/10/48		125			129
3	COMM 2015-CCRE27 Mortgage Trust	3.612%	10/10/48		125			132
3	COMM 2015-LC19 Mortgage Trust	3.040%	2/10/48		25			26
3	COMM 2015-LC19 Mortgage Trust	3.183%	2/10/48		125			130
3	COMM 2015-LC19 Mortgage Trust	3.527%	2/10/48		50			52
3	COMM 2016-CCRE28 Mortgage Trust	3.762%	2/10/49		150			160
3	COMM 2016-DC2 Mortgage Trust	3.550%	2/10/49		125			130
3	Comm Mortgage Trust 2019-G44	2.950%	8/15/57		115			117
3	CSAIL 2015-C1 Commercial Mortgage Trust	3.505%	4/15/50		100			105
3	CSAIL 2015-C1 Commercial Mortgage Trust	3.791%	4/15/50		75			79
3	CSAIL 2015-C1 Commercial Mortgage Trust	4.044%	4/15/50		50			52
3	CSAIL 2015-C2 Commercial Mortgage Trust	3.504%	6/15/57		150			157
3	CSAIL 2015-C2 Commercial Mortgage Trust	3.849%	6/15/57		75			78
3	CSAIL 2015-C3 Commercial Mortgage Trust	3.448%	8/15/48		85			88
3	CSAIL 2015-C3 Commercial Mortgage Trust	3.718%	8/15/48		100			106
3	CSAIL 2015-C3 Commercial Mortgage Trust	4.104%	8/15/48		50			52
3	CSAIL 2015-C4 Commercial Mortgage Trust	3.617%	11/15/48		50			52
3	CSAIL 2015-C4 Commercial Mortgage Trust	3.808%	11/15/48		75			80
3	CSAIL 2016-C7 Commercial Mortgage Trust	3.502%	11/15/49		200			210
3	CSAIL 2017-C8 Commercial Mortgage Trust	3.392%	6/15/50		150			158
3	CSAIL 2017-CX10 Commercial Mortgage Trust	3.458%	11/15/50		150			158
3	CSAIL 2017-CX9 Commercial Mortgage Trust	3.446%	9/15/50		50			52
3	CSAIL 2018-CX11 Commercial Mortgage Trust	4.033%	4/15/51		275			302
3	CSAIL 2018-CX12 Commercial Mortgage Trust	4.224%	8/15/51		25			27
3	CSAIL 2019-C15 Commercial Mortgage Trust	4.053%	3/15/52		225			247
3	CSAIL 2019-C16 Commercial Mortgage Trust	3.329%	6/15/52		275			288
3	DBJPM 16-C1 Mortgage Trust	3.276%	5/10/49		75			78
3	DBJPM 16-C3 Mortgage Trust	2.890%	8/10/49		100			102
3	DBJPM 17-C6 Mortgage Trust	3.328%	6/10/50		100			105
3	DBJPM 17-C6 Mortgage Trust	3.561%	6/10/50		50			52
3	Discover Card Execution Note Trust 2015-A2	1.900%	10/17/22		275			275
3	Discover Card Execution Note Trust 2015-A4	2.190%	4/17/23		225			226
3	Discover Card Execution Note Trust 2017-A2	2.390%	7/15/24		150			152
3	Discover Card Execution Note Trust 2018-A1	3.030%	8/15/25		225			231
3	Discover Card Execution Note Trust 2019-A3	1.890%	10/15/24		275			275
3	Drive Auto Receivables Trust 2018-2	3.630%	8/15/24		95			95
2,3	Fannie Mae-Aces 2011-M2	3.764%	4/25/21		100			102
2,3	Fannie Mae-Aces 2011-M4	3.726%	6/25/21		174			177
2,3	Fannie Mae-Aces 2013-M12	2.406%	3/25/23		189			191
2,3	Fannie Mae-Aces 2013-M14	2.651%	4/25/23		83			84
2,3	Fannie Mae-Aces 2013-M14	3.329%	10/25/23		297			309
2,3	Fannie Mae-Aces 2013-M4	2.608%	3/25/22		2			2
2,3	Fannie Mae-Aces 2013-M7	2.280%	12/27/22		66			67
2,3	Fannie Mae-Aces 2014-M1	3.188%	7/25/23		352			364
2,3	Fannie Mae-Aces 2014-M12	2.614%	10/25/21		227			229
2,3	Fannie Mae-Aces 2014-M13	2.566%	8/25/24		10			10
2,3	Fannie Mae-Aces 2014-M13	3.021%	8/25/24		200			205
2,3	Fannie Mae-Aces 2014-M2	3.513%	12/25/23		282			296
2,3	Fannie Mae-Aces 2014-M3	3.480%	1/25/24		136			141
2,3	Fannie Mae-Aces 2014-M4	3.346%	3/25/24		175			182
2,3	Fannie Mae-Aces 2014-M6	2.679%	5/25/21		180			182
2,3	Fannie Mae-Aces 2014-M7	3.275%	6/25/24		263			276
2,3	Fannie Mae-Aces 2014-M8	2.346%	6/25/24		18			18

361

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2,3	Fannie Mae-Aces 2014-M8	3.056%	6/25/24		175			181
2,3	Fannie Mae-Aces 2014-M9	3.103%	7/25/24		200			207
2,3	Fannie Mae-Aces 2015-M1	2.532%	9/25/24		300			303
2,3	Fannie Mae-Aces 2015-M10	3.092%	4/25/27		100			105
2,3	Fannie Mae-Aces 2015-M12	2.796%	5/25/25		225			231
2,3	Fannie Mae-Aces 2015-M15	2.923%	10/25/25		275			284
2,3	Fannie Mae-Aces 2015-M2	2.620%	12/25/24		195			200
2,3	Fannie Mae-Aces 2015-M3	2.723%	10/25/24		100			102
2,3	Fannie Mae-Aces 2015-M4	2.509%	7/25/22		124			125
2,3	Fannie Mae-Aces 2015-M7	2.590%	12/25/24		198			201
2,3	Fannie Mae-Aces 2015-M8	2.344%	1/25/25		80			80
2,3	Fannie Mae-Aces 2015-M8	2.900%	1/25/25		100			103
2,3	Fannie Mae-Aces 2016-M11	2.369%	7/25/26		250			251
2,3	Fannie Mae-Aces 2016-M12	2.444%	9/25/26		250			254
2,3	Fannie Mae-Aces 2016-M2	2.152%	1/25/23		182			182
2,3	Fannie Mae-Aces 2016-M3	2.702%	2/25/26		100			102
2,3	Fannie Mae-Aces 2016-M4	2.576%	3/25/26		100			102
2,3	Fannie Mae-Aces 2016-M5	2.469%	4/25/26		200			201
2,3	Fannie Mae-Aces 2016-M7	2.157%	10/25/23		49			49
2,3	Fannie Mae-Aces 2016-M7	2.499%	9/25/26		75			75
2,3	Fannie Mae-Aces 2016-M9	2.292%	6/25/26		300			298
2,3	Fannie Mae-Aces 2017-M1	2.417%	10/25/26		200			202
2,3	Fannie Mae-Aces 2017-M10	2.561%	7/25/24		110			112
2,3	Fannie Mae-Aces 2017-M12	3.079%	6/25/27		300			312
2,3	Fannie Mae-Aces 2017-M15	3.136%	11/25/27		275			286
2,3	Fannie Mae-Aces 2017-M4	2.586%	12/25/26		200			202
2,3	Fannie Mae-Aces 2017-M7	2.961%	2/25/27		150			156
2,3	Fannie Mae-Aces 2017-M8	3.061%	5/25/27		514			538
2,3	Fannie Mae-Aces 2018-M12	3.640%	8/25/30		50			55
2,3	Fannie Mae-Aces 2018-M14	3.578%	8/25/28		100			108
2,3	Fannie Mae-Aces 2018-M18	2.469%	8/25/29		250			250
2,3	Fannie Mae-Aces 2018-M2	2.902%	1/25/28		425			438
2,3	Fannie Mae-Aces 2018-M4	3.045%	3/25/28		165			171
2,3	Fannie Mae-Aces 2018-M7	3.052%	3/25/28		100			104
2,3	Fannie Mae-Aces 2018-M8	3.610%	2/25/31		300			325
2,3	Fannie Mae-Aces 2019-M1	3.555%	9/25/28		125			135
2,3	Fannie Mae-Aces 2019-M2	3.631%	11/25/28		200			218
2,3	Fannie Mae-Aces 2019-M22	2.522%	8/25/29		375			376
2,3	Fannie Mae-Aces 2019-M5	3.273%	1/25/29		200			212
2,3	Fannie Mae-Aces 2019-M7	3.143%	4/25/29		230			242
2,3	Fannie Mae-Aces 2019-M9	2.937%	4/25/29		325			337
2,3	FHLMC Multifamily Structured Pass Through Certificates K011	4.084%	11/25/20		237			240
2,3	FHLMC Multifamily Structured Pass Through Certificates K014	3.871%	4/25/21		129			131
2,3	FHLMC Multifamily Structured Pass Through Certificates K017	2.873%	12/25/21		326			331
2,3	FHLMC Multifamily Structured Pass Through Certificates K019	2.272%	3/25/22		149			150
2,3	FHLMC Multifamily Structured Pass Through Certificates K020	2.373%	5/25/22		350			353
2,3	FHLMC Multifamily Structured Pass Through Certificates K021	2.396%	6/25/22		225			226
2,3	FHLMC Multifamily Structured Pass Through Certificates K026	2.510%	11/25/22		325			329
2,3	FHLMC Multifamily Structured Pass Through Certificates K027	2.637%	1/25/23		325			330
2,3	FHLMC Multifamily Structured Pass Through Certificates K028	3.111%	2/25/23		475			489
2,3	FHLMC Multifamily Structured Pass Through Certificates K029	3.320%	2/25/23		325			337
2,3	FHLMC Multifamily Structured Pass Through Certificates K030	2.779%	9/25/22		127			128
2,3	FHLMC Multifamily Structured Pass Through Certificates K030	3.250%	4/25/23		325			336
2,3	FHLMC Multifamily Structured Pass Through Certificates K031	3.300%	4/25/23		1,215			1,262
2,3	FHLMC Multifamily Structured Pass Through Certificates K032	3.016%	2/25/23		147			149
2,3	FHLMC Multifamily Structured Pass Through Certificates K032	3.310%	5/25/23		340			353
2,3	FHLMC Multifamily Structured Pass Through Certificates K033	2.871%	2/25/23		170			172
2,3	FHLMC Multifamily Structured Pass Through Certificates K033	3.060%	7/25/23		325			336
2,3	FHLMC Multifamily Structured Pass Through Certificates K034	3.531%	7/25/23		288			302
2,3	FHLMC Multifamily Structured Pass Through Certificates K035	3.458%	8/25/23		400			419
2,3	FHLMC Multifamily Structured Pass Through Certificates K036	3.527%	10/25/23		325			341
2,3	FHLMC Multifamily Structured Pass Through Certificates K038	2.604%	10/25/23		49			50
2,3	FHLMC Multifamily Structured Pass Through Certificates K038	3.389%	3/25/24		400			418
2,3	FHLMC Multifamily Structured Pass Through Certificates K039	2.683%	12/25/23		38			38
2,3	FHLMC Multifamily Structured Pass Through Certificates K039	3.303%	7/25/24		225			236
2,3	FHLMC Multifamily Structured Pass Through Certificates K040	2.768%	4/25/24		71			73
2,3	FHLMC Multifamily Structured Pass Through Certificates K040	3.241%	9/25/24		275			289
2,3	FHLMC Multifamily Structured Pass Through Certificates K041	3.171%	10/25/24		275			287
2,3	FHLMC Multifamily Structured Pass Through Certificates K042	2.267%	6/25/24		35			35
2,3	FHLMC Multifamily Structured Pass Through Certificates K043	2.532%	10/25/23		36			36
2,3	FHLMC Multifamily Structured Pass Through Certificates K043	3.062%	12/25/24		150			156
2,3	FHLMC Multifamily Structured Pass Through Certificates K045	2.493%	11/25/24		97			98
2,3	FHLMC Multifamily Structured Pass Through Certificates K045	3.023%	1/25/25		175			182
2,3	FHLMC Multifamily Structured Pass Through Certificates K046	3.205%	3/25/25		175			184
2,3	FHLMC Multifamily Structured Pass Through Certificates K047	2.827%	12/25/24		76			77
2,3	FHLMC Multifamily Structured Pass Through Certificates K047	3.329%	5/25/25		175			185
2,3	FHLMC Multifamily Structured Pass Through Certificates K048	3.284%	6/25/25		225			238
2,3	FHLMC Multifamily Structured Pass Through Certificates K049	3.010%	7/25/25		125			130
2,3	FHLMC Multifamily Structured Pass Through Certificates K050	3.334%	8/25/25		200			211
2,3	FHLMC Multifamily Structured Pass Through Certificates K052	3.151%	11/25/25		125			131
2,3	FHLMC Multifamily Structured Pass Through Certificates K053	2.995%	12/25/25		75			78
2,3	FHLMC Multifamily Structured Pass Through Certificates K054	2.745%	1/25/26		200			206
2,3	FHLMC Multifamily Structured Pass Through Certificates K056	2.525%	5/25/26		150			152
2,3	FHLMC Multifamily Structured Pass Through Certificates K058	2.653%	8/25/26		100			102
2,3	FHLMC Multifamily Structured Pass Through Certificates K063	3.430%	1/25/27		475			509
2,3	FHLMC Multifamily Structured Pass Through Certificates K064	3.224%	3/25/27		300			317
2,3	FHLMC Multifamily Structured Pass Through Certificates K065	3.243%	4/25/27		433			458
2,3	FHLMC Multifamily Structured Pass Through Certificates K066	3.117%	6/25/27		150			158
2,3	FHLMC Multifamily Structured Pass Through Certificates K068	3.244%	8/25/27		125			133
2,3	FHLMC Multifamily Structured Pass Through Certificates K069	3.187%	9/25/27		200			210
2,3	FHLMC Multifamily Structured Pass Through Certificates K070	3.303%	11/25/27		75			80

362

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
2,3	FHLMC Multifamily Structured Pass Through Certificates K071	3.286%	11/25/27		100			106
2,3	FHLMC Multifamily Structured Pass Through Certificates K072	3.444%	12/25/27		100			107
2,3	FHLMC Multifamily Structured Pass Through Certificates K075	3.650%	2/25/28		150			163
2,3	FHLMC Multifamily Structured Pass Through Certificates K076	3.900%	4/25/28		350			387
2,3	FHLMC Multifamily Structured Pass Through Certificates K081	3.900%	8/25/28		100			110
2,3	FHLMC Multifamily Structured Pass Through Certificates K082	3.920%	9/25/28		75			83
2,3	FHLMC Multifamily Structured Pass Through Certificates K084	3.780%	10/25/28		275			300
2,3	FHLMC Multifamily Structured Pass Through Certificates K085	4.060%	10/25/28		150			168
2,3	FHLMC Multifamily Structured Pass Through Certificates K087	3.591%	10/25/27		97			103
2,3	FHLMC Multifamily Structured Pass Through Certificates K088	3.690%	1/25/29		275			301
2,3	FHLMC Multifamily Structured Pass Through Certificates K089	3.563%	1/25/29		25			27
2,3	FHLMC Multifamily Structured Pass Through Certificates K092	3.298%	4/25/29		225			240
2,3	FHLMC Multifamily Structured Pass Through Certificates K094	2.903%	6/25/29		275			285
2,3	FHLMC Multifamily Structured Pass Through Certificates K095	2.785%	6/25/29		275			283
2,3	FHLMC Multifamily Structured Pass Through Certificates K096	2.519%	7/25/29		225			227
2,3	FHLMC Multifamily Structured Pass Through Certificates K098	2.425%	8/25/29		450			450
2,3	FHLMC Multifamily Structured Pass Through Certificates K099	2.595%	9/25/29		210			211
2,3	FHLMC Multifamily Structured Pass Through Certificates K103	2.651%	11/25/29		300			305
2,3	FHLMC Multifamily Structured Pass Through Certificates K1511	3.470%	3/25/31		100			108
2,3	FHLMC Multifamily Structured Pass Through Certificates K1511	3.542%	3/25/34		225			244
2,3	FHLMC Multifamily Structured Pass Through Certificates K1513	2.797%	8/25/34		210			212
2,3	FHLMC Multifamily Structured Pass Through Certificates K152	3.080%	1/25/31		100			103
2,3	FHLMC Multifamily Structured Pass Through Certificates K155	3.750%	11/25/32		100			110
2,3	FHLMC Multifamily Structured Pass Through Certificates K155	3.750%	4/25/33		200			221
2,3	FHLMC Multifamily Structured Pass Through Certificates K157	3.990%	5/25/33		75			84
2,3	FHLMC Multifamily Structured Pass Through Certificates K157	3.990%	8/25/33		75			85
2,3	FHLMC Multifamily Structured Pass Through Certificates K504	2.566%	9/25/20		38			38
2,3	FHLMC Multifamily Structured Pass Through Certificates K713	2.313%	3/25/20		215			214
2,3	FHLMC Multifamily Structured Pass Through Certificates K714	3.034%	10/25/20		389			390
2,3	FHLMC Multifamily Structured Pass Through Certificates K716	2.413%	1/25/21		3			3
2,3	FHLMC Multifamily Structured Pass Through Certificates K716	3.130%	6/25/21		370			374
2,3	FHLMC Multifamily Structured Pass Through Certificates K717	2.991%	9/25/21		225			227
2,3	FHLMC Multifamily Structured Pass Through Certificates K718	2.375%	9/25/21		79			79
2,3	FHLMC Multifamily Structured Pass Through Certificates K718	2.791%	1/25/22		225			228
2,3	FHLMC Multifamily Structured Pass Through Certificates K731	3.600%	2/25/25		225			238
2,3	FHLMC Multifamily Structured Pass Through Certificates K734	3.208%	2/25/26		375			394
2,3	FHLMC Multifamily Structured Pass Through Certificates KW01	2.853%	1/25/26		200			206
2,3	FHLMC Multifamily Structures Pass Through Certificates K073	3.350%	1/25/28		125			133
2,3	FHLMC Multifamily Structures Pass Through Certificates K074	3.600%	1/25/28		225			244
2,3	FHLMC Multifamily Structures Pass Through Certificates K078	3.854%	6/25/28		100			110
2,3	FHLMC Multifamily Structures Pass Through Certificates K079	3.926%	6/25/28		25			28
2,3	FHLMC Multifamily Structures Pass Through Certificates K080	3.736%	4/25/28		97			104
2,3	FHLMC Multifamily Structures Pass Through Certificates K080	3.926%	7/25/28		175			194
2,3	FHLMC Multifamily Structures Pass Through Certificates K087	3.771%	12/25/28		400			438
2,3	FHLMC Multifamily Structures Pass Through Certificates K087	2.537%	10/25/29		350			354
2,3	FHLMC Multifamily Structures Pass Through Certificates K090	3.422%	2/25/29		200			215
2,3	FHLMC Multifamily Structures Pass Through Certificates K101	2.524%	10/25/29		370			373
2,3	FHLMC Multifamily Structures Pass Through Certificates K15-14	2.859%	10/25/34		225			228
2,3	FHLMC Multifamily Structures Pass Through Certificates K1504	3.459%	11/25/32		50			54
2,3	FHLMC Multifamily Structures Pass Through Certificates K1510	3.718%	1/25/31		75			83
2,3	FHLMC Multifamily Structures Pass Through Certificates K1510	3.794%	1/25/34		125			139
2,3	FHLMC Multifamily Structures Pass Through Certificates K715	2.856%	1/25/21		122			123
2,3	FHLMC Multifamily Structures Pass Through Certificates K720	2.716%	6/25/22		150			152
2,3	FHLMC Multifamily Structures Pass Through Certificates K723	2.454%	8/25/23		125			127
2,3	FHLMC Multifamily Structures Pass Through Certificates K724	3.062%	11/25/23		100			103
2,3	FHLMC Multifamily Structures Pass Through Certificates K725	2.946%	7/25/24		200			206
2,3	FHLMC Multifamily Structures Pass Through Certificates K726	2.905%	4/25/24		200			205
2,3	FHLMC Multifamily Structures Pass Through Certificates K728	3.064%	8/25/24		275			285
2,3	FHLMC Multifamily Structures Pass Through Certificates K730	3.452%	9/25/24		24			25
2,3	FHLMC Multifamily Structures Pass Through Certificates K730	3.590%	1/25/25		275			291
2,3	FHLMC Multifamily Structures Pass Through Certificates K735	2.862%	5/25/26		500			516
2,3	FHLMC Multifamily Structures Pass Through Certificates KC02	3.370%	7/25/25		175			182
2,3	FHLMC Multifamily Structures Pass Through Certificates KC02	3.505%	3/25/29		450			486
2,3	FHLMC Multifamily Structures Pass Through Certificates KC02	2.982%	5/25/29		400			417
3	Fifth Third Auto Trust 2019-1	2.640%	12/15/23		125			126
3	Fifth Third Auto Trust 2019-1	2.690%	11/16/26		50			51
3	Ford Credit Auto Lease Trust 2018-A	2.930%	6/15/21		125			125
3	Ford Credit Auto Lease Trust 2019-A	2.900%	5/15/22		50			50
3	Ford Credit Auto Lease Trust 2019-A	2.980%	6/15/22		25			25
3	Ford Credit Auto Owner Trust 2017-A	1.670%	6/15/21		22			22
3	Ford Credit Auto Owner Trust 2017-A	1.920%	4/15/22		75			75
3	Ford Credit Auto Owner Trust 2017-C	2.010%	3/15/22		251			251
3	Ford Credit Auto Owner Trust 2019-A	2.780%	9/15/23		150			152
3	Ford Credit Auto Owner Trust 2019-A	2.850%	8/15/24		50			51
3	Ford Credit Floorplan Master Owner Trust A Series 2017-2	2.160%	9/15/22		160			160

363

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
3	Ford Credit Floorplan Master Owner Trust A Series 2017-3	2.480%	9/15/24	170		172
3	Ford Credit Floorplan Master Owner Trust A Series 2018-1	2.950%	5/15/23	225		228
3	Ford Credit Floorplan Master Owner Trust A Series 2018-2	3.170%	3/15/25	200		206
3	GM Financial Automobile Leasing Trust 2018-1	2.610%	1/20/21	64		64
3	GM Financial Automobile Leasing Trust 2018-1	2.680%	12/20/21	25		25
3	GM Financial Automobile Leasing Trust 2018-2	3.060%	6/21/21	45		45
3	GM Financial Automobile Leasing Trust 2018-2	3.160%	4/20/22	25		25
3	GM Financial Automobile Leasing Trust 2019-2	2.670%	3/21/22	75		76
3	GM Financial Automobile Leasing Trust 2019-2	2.720%	3/20/23	50		50
3	GM Financial Consumer Automobile 2018-2	2.810%	12/16/22	100		101
3	GM Financial Consumer Automobile 2018-2	3.020%	12/18/23	75		76
3	GS Mortgage Securities Corporation II 2013-GC10	2.943%	2/10/46	92		94
3	GS Mortgage Securities Trust 2011-GC5	3.707%	8/10/44	80		81
3	GS Mortgage Securities Trust 2012-GC6	3.482%	1/10/45	299		304
3	GS Mortgage Securities Trust 2012-GCJ7	3.377%	5/10/45	140		142
3	GS Mortgage Securities Trust 2012-GCJ9	2.773%	11/10/45	123		125
3	GS Mortgage Securities Trust 2013-GC10	3.279%	2/10/46	35		36
3	GS Mortgage Securities Trust 2013-GC13	4.050%	7/10/46	20		21
3	GS Mortgage Securities Trust 2013-GCJ12	3.135%	6/10/46	90		92
3	GS Mortgage Securities Trust 2013-GCJ12	3.375%	6/10/46	39		40
3	GS Mortgage Securities Trust 2013-GCJ14	3.817%	8/10/46	22		22
3	GS Mortgage Securities Trust 2013-GCJ14	4.243%	8/10/46	150		160
3	GS Mortgage Securities Trust 2014-GC18	4.074%	1/10/47	50		53
3	GS Mortgage Securities Trust 2014-GC22	3.467%	6/10/47	45		46
3	GS Mortgage Securities Trust 2014-GC22	3.862%	6/10/47	50		53
3	GS Mortgage Securities Trust 2014-GC24	3.931%	9/10/47	125		133
3	GS Mortgage Securities Trust 2014-GC24	4.511%	9/10/47	25		26
3	GS Mortgage Securities Trust 2014-GC26	3.365%	11/10/47	74		76
3	GS Mortgage Securities Trust 2014-GC26	3.629%	11/10/47	225		238
3	GS Mortgage Securities Trust 2014-GC26	3.964%	11/10/47	50		53
3	GS Mortgage Securities Trust 2014-GC26	4.215%	11/10/47	50		52
3	GS Mortgage Securities Trust 2015-GC28	3.396%	2/10/48	150		157
3	GS Mortgage Securities Trust 2015-GC30	2.726%	5/10/50	86		86
3	GS Mortgage Securities Trust 2015-GC30	3.382%	5/10/50	150		157
3	GS Mortgage Securities Trust 2015-GC32	3.513%	7/10/48	125		130
3	GS Mortgage Securities Trust 2015-GC32	3.764%	7/10/48	50		53
3	GS Mortgage Securities Trust 2015-GC34	3.278%	10/10/48	125		129
3	GS Mortgage Securities Trust 2015-GC34	3.506%	10/10/48	100		105
3	GS Mortgage Securities Trust 2016-GS2	3.050%	5/10/49	75		78
3	GS Mortgage Securities Trust 2016-GS3	2.850%	10/10/49	200		204
3	GS Mortgage Securities Trust 2016-GS4	3.442%	11/10/49	75		79
3	GS Mortgage Securities Trust 2016-GS4	3.645%	11/10/49	50		52
3	GS Mortgage Securities Trust 2017-GS5	3.674%	3/10/50	150		161
3	GS Mortgage Securities Trust 2017-GS5	3.826%	3/10/50	50		53
3	GS Mortgage Securities Trust 2017-GS6	3.433%	5/10/50	150		159
3	GS Mortgage Securities Trust 2017-GS7	3.430%	8/10/50	261		274
3	GS Mortgage Securities Trust 2017-GS7	3.663%	8/10/50	70		74
3	GS Mortgage Securities Trust 2019-GC39	3.567%	5/10/52	100		107
3	GS Mortgage Securities Trust 2019-GC4	3.212%	9/1/52	50		51
3	GS Mortgage Securities Trust 2019-GC40	3.160%	7/10/52	150		156
3	GS Mortgage Securities Trust 2019-GS4	3.001%	9/1/52	275		282
3	GS Mortgage Securities Trust 2019-GSA1	3.048%	11/10/52	125		128
3	Honda Auto Receivables 2017-4 Owner Trust	2.050%	11/22/21	56		56
3	Honda Auto Receivables 2018-1 Owner Trust	2.640%	2/15/22	203		204
3	Honda Auto Receivables 2018-1 Owner Trust	2.830%	5/15/24	75		76
3	Honda Auto Receivables 2018-2 Owner Trust	3.010%	5/18/22	75		76
3	Honda Auto Receivables 2018-2 Owner Trust	3.160%	8/19/24	50		51
3	Honda Auto Receivables 2018-4 Owner Trust	2.520%	6/21/23	150		151
3	Honda Auto Receivables 2018-4 Owner Trust	2.540%	3/21/25	30		30
3	Hyundai Auto Receivables Trust 2016-B	1.290%	4/15/21	8		8
3	Hyundai Auto Receivables Trust 2016-B	1.450%	11/15/22	75		75
3	Hyundai Auto Receivables Trust 2018-A	2.790%	7/15/22	50		50
3	Hyundai Auto Receivables Trust 2018-A	2.940%	6/17/24	75		76
3	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C6	3.507%	5/15/45	161		166
3	JP Morgan Chase Commercial Mortgage Securities Trust 2012-C8	2.829%	10/15/45	116		117
3	JP Morgan Chase Commercial Mortgage Securities Trust 2012-CIBX	3.483%	6/15/45	170		173
3	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10	3.143%	12/15/47	51		53
3	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C10	3.372%	12/15/47	39		40
3	JP Morgan Chase Commercial Mortgage Securities Trust 2013-C16	4.166%	12/15/46	100		107
3	JP Morgan Chase Commercial Mortgage Securities Trust 2013-LC11	2.960%	4/15/46	208		213
3	JP Morgan Chase Commercial Mortgage Securities Trust 2015-JP1	3.914%	1/15/49	75		81
3	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP3	2.870%	8/15/49	250		255

364

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
3	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4	3.648%	12/15/49	100		106
3	JP Morgan Chase Commercial Mortgage Securities Trust 2016-JP4	3.870%	12/15/49	75		80
3	JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6	3.050%	7/15/50	36		36
3	JP Morgan Chase Commercial Mortgage Securities Trust 2017-JP6	3.744%	7/15/50	100		105
3	JP Morgan Chase Commercial Mortgage Securities Trust 2019-COR4	4.029%	3/10/52	300		332
3	JPMBB Commercial Mortgage Securities Trust 2013-C12	3.664%	7/15/45	39		41
3	JPMBB Commercial Mortgage Securities Trust 2013-C12	4.039%	7/15/45	26		27
3	JPMBB Commercial Mortgage Securities Trust 2013-C14	3.761%	8/15/46	29		30
3	JPMBB Commercial Mortgage Securities Trust 2013-C14	4.133%	8/15/46	100		106
3	JPMBB Commercial Mortgage Securities Trust 2013-C14	4.409%	8/15/46	30		32
3	JPMBB Commercial Mortgage Securities Trust 2013-C15	3.659%	11/15/45	7		8
3	JPMBB Commercial Mortgage Securities Trust 2013-C15	4.131%	11/15/45	65		69
3	JPMBB Commercial Mortgage Securities Trust 2013-C15	4.420%	11/15/45	35		37
3	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.079%	2/15/47	127		136
3	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.439%	2/15/47	25		27
3	JPMBB Commercial Mortgage Securities Trust 2014-C18	4.810%	2/15/47	30		32
3	JPMBB Commercial Mortgage Securities Trust 2014-C19	3.669%	4/15/47	50		51
3	JPMBB Commercial Mortgage Securities Trust 2014-C19	3.997%	4/15/47	95		101
3	JPMBB Commercial Mortgage Securities Trust 2014-C19	4.243%	4/15/47	50		53
3	JPMBB Commercial Mortgage Securities Trust 2014-C21	3.428%	8/15/47	26		27
3	JPMBB Commercial Mortgage Securities Trust 2014-C21	3.775%	8/15/47	25		27
3	JPMBB Commercial Mortgage Securities Trust 2014-C22	3.801%	9/15/47	175		186
3	JPMBB Commercial Mortgage Securities Trust 2014-C22	4.110%	9/15/47	50		53
3	JPMBB Commercial Mortgage Securities Trust 2014-C23	3.934%	9/15/47	85		91
3	JPMBB Commercial Mortgage Securities Trust 2014-C23	4.202%	9/15/47	50		53
3	JPMBB Commercial Mortgage Securities Trust 2014-C24	2.940%	11/15/47	12		12
3	JPMBB Commercial Mortgage Securities Trust 2014-C24	3.639%	11/15/47	50		53
3	JPMBB Commercial Mortgage Securities Trust 2014-C24	3.914%	11/15/47	75		79
3	JPMBB Commercial Mortgage Securities Trust 2014-C25	3.672%	11/15/47	200		211
3	JPMBB Commercial Mortgage Securities Trust 2014-C25	4.065%	11/15/47	50		53
3	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.019%	1/15/48	8		8
3	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.494%	1/15/48	175		183
3	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.800%	1/15/48	50		52
3	JPMBB Commercial Mortgage Securities Trust 2014-C26	3.951%	1/15/48	50		52
3	JPMBB Commercial Mortgage Securities Trust 2015-C27	2.734%	2/15/48	13		13
3	JPMBB Commercial Mortgage Securities Trust 2015-C27	3.017%	2/15/48	110		112
3	JPMBB Commercial Mortgage Securities Trust 2015-C27	3.179%	2/15/48	59		61
3	JPMBB Commercial Mortgage Securities Trust 2015-C28	2.773%	10/15/48	49		49
3	JPMBB Commercial Mortgage Securities Trust 2015-C28	3.227%	10/15/48	125		130
3	JPMBB Commercial Mortgage Securities Trust 2015-C28	3.532%	10/15/48	50		52
3	JPMBB Commercial Mortgage Securities Trust 2015-C29	2.921%	5/15/48	68		68
3	JPMBB Commercial Mortgage Securities Trust 2015-C29	3.304%	5/15/48	57		59
3	JPMBB Commercial Mortgage Securities Trust 2015-C29	3.611%	5/15/48	100		106
3	JPMBB Commercial Mortgage Securities Trust 2015-C30	3.559%	7/15/48	125		129
3	JPMBB Commercial Mortgage Securities Trust 2015-C30	3.822%	7/15/48	100		107
3	JPMBB Commercial Mortgage Securities Trust 2015-C30	4.226%	7/15/48	50		54
3	JPMBB Commercial Mortgage Securities Trust 2015-C31	3.540%	8/15/48	53		55
3	JPMBB Commercial Mortgage Securities Trust 2015-C31	3.801%	8/15/48	57		61
3	JPMBB Commercial Mortgage Securities Trust 2015-C32	3.358%	11/15/48	125		129
3	JPMBB Commercial Mortgage Securities Trust 2015-C32	3.598%	11/15/48	125		132
3	JPMBB Commercial Mortgage Securities Trust 2015-C33	3.770%	12/15/48	82		88
3	JPMBB Commercial Mortgage Securities Trust 2016-C1	3.316%	3/15/49	75		77
3	JPMCC Commercial Mortgage Securities Trust 2017-JP5	3.723%	3/15/50	400		430
3	JPMCC Commercial Mortgage Securities Trust 2019-COR5	3.386%	6/13/52	200		210
3	JPMCC Commercial Mortgage Securities Trust 2019-COR5	3.669%	6/13/52	25		26
3	JPMDB Commercial Mortgage Securities Trust 2016-C2	3.144%	6/15/49	75		78
3	JPMDB Commercial Mortgage Securities Trust 2016-C2	3.484%	6/15/49	50		52
3	JPMDB Commercial Mortgage Securities Trust 2017-C7	3.409%	10/15/50	75		79
3	JPMDB Commercial Mortgage Securities Trust 2017-C7	3.713%	10/15/50	50		53
3	JPMDB Commercial Mortgage Securities Trust 2018-C8	4.211%	6/15/51	225		249
3	JPMDB Commercial Mortgage Securities Trust 2018-C8	4.421%	6/15/51	25		28
3	JPMDB Commerical Mortgage Securities Trust 2019-COR6	3.057%	11/13/52	175		178
3	Mercedes-Benz Auto Lease Trust 2018-A	2.410%	2/16/21	39		39
3	Mercedes-Benz Auto Lease Trust 2018-A	2.510%	10/16/23	25		25
3	Morgan Stanley Bank of America Merrill Lynch Trust 2012-C5	3.176%	8/15/45	100		102
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	4.153%	8/15/46	40		42
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C11	4.353%	8/15/46	20		21
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C12	4.259%	10/15/46	100		106
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	2.918%	2/15/46	68		69
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C7	3.214%	2/15/46	14		14

365

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8	3.134%	12/15/48	100		102
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C8	3.376%	12/15/48	50		51
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9	3.102%	5/15/46	50		51
3	Morgan Stanley Bank of America Merrill Lynch Trust 2013-C9	3.456%	5/15/46	50		52
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	3.669%	2/15/47	76		77
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.064%	2/15/47	100		106
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C14	4.745%	2/15/47	100		107
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	3.477%	6/15/47	22		23
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	3.892%	6/15/47	100		106
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C16	4.337%	6/15/47	50		53
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	3.194%	10/15/47	5		5
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C18	4.478%	10/15/47	50		53
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.326%	12/15/47	50		51
3	Morgan Stanley Bank of America Merrill Lynch Trust 2014-C19	3.526%	12/15/47	75		79
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.069%	2/15/48	50		51
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C20	3.249%	2/15/48	200		207
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22	3.040%	4/15/48	100		102
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22	3.306%	4/15/48	75		78
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C22	3.883%	4/15/48	50		52
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	2.982%	7/15/50	74		74
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.398%	7/15/50	50		51
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C23	3.719%	7/15/50	125		133
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25	3.383%	10/15/48	125		129
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C25	3.635%	10/15/48	75		79
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26	3.323%	10/15/48	75		77
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C26	3.531%	10/15/48	75		79
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27	3.557%	12/15/47	50		52
3	Morgan Stanley Bank of America Merrill Lynch Trust 2015-C27	3.753%	12/15/47	75		80
3	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28	3.288%	1/15/49	100		103
3	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C28	3.544%	1/15/49	225		238
3	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C30	2.860%	9/15/49	200		203
3	Morgan Stanley Bank of America Merrill Lynch Trust 2016-C31	3.102%	11/15/49	250		258
3	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33	3.599%	5/15/50	150		160
3	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C33	3.852%	5/15/50	100		106
3	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34	3.276%	11/15/52	125		130
3	Morgan Stanley Bank of America Merrill Lynch Trust 2017-C34	3.536%	11/15/52	150		159
3	Morgan Stanley Capital I Trust 2012-C4	3.244%	3/15/45	350		356
3	Morgan Stanley Capital I Trust 2012-C4	3.773%	3/15/45	75		77
3	Morgan Stanley Capital I Trust 2015-UBS8	3.809%	12/15/48	75		80
3	Morgan Stanley Capital I Trust 2016-BNK2	3.049%	11/15/49	100		104
3	Morgan Stanley Capital I Trust 2016-BNK2	3.282%	11/15/49	83		86
3	Morgan Stanley Capital I Trust 2016-UB11	2.782%	8/15/49	200		202
3	Morgan Stanley Capital I Trust 2016-UBS12	3.596%	12/15/49	200		213
3	Morgan Stanley Capital I Trust 2017-H1	3.530%	6/15/50	150		159
3	Morgan Stanley Capital I Trust 2019-H6	3.417%	6/15/52	250		264
3	Morgan Stanley Capital I Trust 2019-H6	3.700%	6/15/52	25		26
3	Morgan Stanley Capital I Trust 2019-L2	4.071%	3/15/52	150		167
3	Morgan Stanley Capital I Trust 2019-L3	3.127%	11/15/29	200		206
3	Nissan Auto Lease Trust 2017-B	2.050%	9/15/20	8		8
3	Nissan Auto Lease Trust 2017-B	2.170%	12/15/21	25		25
3	Nissan Auto Receivables 2015-B Owner Trust	1.790%	1/17/22	5		5
3	Nissan Auto Receivables 2015-C Owner Trust	1.670%	2/15/22	21		21
3	Nissan Auto Receivables 2016-C Owner Trust	1.180%	1/15/21	6		6
3	Nissan Auto Receivables 2016-C Owner Trust	1.380%	1/17/23	75		75
3	Nissan Auto Receivables 2017-B Owner Trust	1.950%	10/16/23	104		104
3	Nissan Auto Receivables 2018-A Owner Trust	2.650%	5/16/22	123		123
3	Nissan Auto Receivables 2018-A Owner Trust	2.890%	6/17/24	100		102
3	Nissan Auto Receivables 2019-B Owner Trust	2.500%	11/15/23	125		126
3	Nissan Auto Receivables 2019-B Owner Trust	2.540%	12/15/25	30		30
3	Nissan Auto Receivables 2019-C	1.930%	7/15/24	150		150
3	Nissan Auto Receivables 2019-C	1.950%	5/15/26	35		35
	Royal Bank of Canada	2.100%	10/14/20	800		800
	Royal Bank of Canada	2.300%	3/22/21	175		176
3	Santander Drive Auto Receivables Trust 2018-2	3.030%	9/15/22	36		36
3	Santander Drive Auto Receivables Trust 2018-2	3.350%	7/17/23	50		50
3	Santander Drive Auto Receivables Trust 2018-3	3.030%	2/15/22	1		1
3	Santander Drive Auto Receivables Trust 2018-3	3.290%	10/17/22	50		50
3	Santander Drive Auto Receivables Trust 2018-3	3.510%	8/15/23	50		51
3	Synchrony Card Issuance Trust 2018-A1	3.380%	9/15/24	275		281
3	Synchrony Credit Card Master Note Trust 2016-2	2.210%	5/15/24	373		375
3	Synchrony Credit Card Master Note Trust 2017-2	2.620%	10/15/25	150		152
3	Synchrony Credit Card Master Note Trust 2018-1	2.970%	3/15/24	275		278
3	Synchrony Credit Card Master Note Trust 2018-2	3.470%	5/15/26	275		287
6	Toronto-Dominion Bank	2.250%	3/15/21	250		251
3	Toyota Auto Receivables 2016-B Owner Trust	1.520%	8/16/21	28		28
3	Toyota Auto Receivables 2016-C Owner Trust	1.320%	11/15/21	38		38
3	Toyota Auto Receivables 2017-D Owner Trust	1.930%	1/18/22	179		179
3	Toyota Auto Receivables 2018-A Owner Trust	2.350%	5/16/22	118		118

366

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
3	Toyota Auto Receivables 2018-A Owner Trust	2.520%	5/15/23	50		50
3	Toyota Auto Receivables 2018-B Owner Trust	2.960%	9/15/22	125		126
3	Toyota Auto Receivables 2018-B Owner Trust	3.110%	11/15/23	25		26
3	UBS Commercial Mortgage Trust 2017-C1	3.460%	6/15/50	100		106
3	UBS Commercial Mortgage Trust 2017-C1	3.724%	6/15/50	50		52
3	UBS Commercial Mortgage Trust 2017-C2	3.487%	8/15/50	150		158
3	UBS Commercial Mortgage Trust 2017-C2	3.740%	8/15/50	50		52
3	UBS Commercial Mortgage Trust 2017-C3	3.426%	8/15/50	175		184
3	UBS Commercial Mortgage Trust 2017-C3	3.739%	8/15/50	75		79
3	UBS Commercial Mortgage Trust 2017-C4	3.301%	10/15/50	100		105
3	UBS Commercial Mortgage Trust 2017-C4	3.563%	10/15/50	150		160
3	UBS Commercial Mortgage Trust 2017-C4	3.836%	10/15/50	62		65
3	UBS Commercial Mortgage Trust 2017-C5	3.474%	11/15/50	100		106
3	UBS Commercial Mortgage Trust 2017-C7	3.679%	12/15/50	150		161
3	UBS Commercial Mortgage Trust 2017-C7	4.061%	12/15/50	100		107
3	UBS Commercial Mortgage Trust 2018-C11	4.241%	6/15/51	125		139
3	UBS Commercial Mortgage Trust 2018-C12	4.296%	8/15/51	100		113
3	UBS Commercial Mortgage Trust 2018-C13	4.208%	10/15/51	25		26
3	UBS Commercial Mortgage Trust 2018-C13	4.334%	10/15/51	75		85
3	UBS Commercial Mortgage Trust 2018-C14	4.448%	12/15/51	225		256
3	UBS Commercial Mortgage Trust 2018-C15	4.341%	12/15/51	125		140
3	UBS Commercial Mortgage Trust 2018-C8	3.720%	2/15/51	150		162
3	UBS Commercial Mortgage Trust 2018-C8	3.983%	2/15/51	275		302
3	UBS Commercial Mortgage Trust 2018-C8	4.215%	2/15/51	75		81
3	UBS Commercial Mortgage Trust 2019-C16	3.605%	4/15/52	100		106
3	UBS Commercial Mortgage Trust 2019-C17	2.921%	10/15/52	125		127
3	UBS-Barclays Commercial Mortgage Trust 2013-C5	3.185%	3/10/46	104		107
3	UBS-Barclays Commercial Mortgage Trust 2013-C6	3.244%	4/10/46	165		169
3	UBS-Barclays Commercial Mortgage Trust 2013-C6	3.469%	4/10/46	25		26
3	UBS-Barclays Commercial Mortgage Trust 2018-C10	4.313%	5/15/51	175		195
3	UBS-Barclays Commercial Mortgage Trust 2018-C9	4.117%	3/15/51	275		305
3	UBS-Barclays Commercial Mortgage Trust 2019-C16	3.887%	4/15/52	25		27
3	UBS-Barclays Commercial Mortgage Trust 2019-C18	3.035%	12/15/52	75		77
3	Wells Fargo Commercial Mortgage Trust 2012-LC5	2.918%	10/15/45	67		68
3	Wells Fargo Commercial Mortgage Trust 2014-LC16	2.819%	8/15/50	1		1
3	Wells Fargo Commercial Mortgage Trust 2014-LC16	3.817%	8/15/50	75		79
3	Wells Fargo Commercial Mortgage Trust 2014-LC18	2.954%	12/15/47	41		41
3	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.271%	12/15/47	75		76
3	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.405%	12/15/47	125		131
3	Wells Fargo Commercial Mortgage Trust 2014-LC18	3.808%	12/15/47	75		78
3	Wells Fargo Commercial Mortgage Trust 2015-C26	2.991%	2/15/48	125		127
3	Wells Fargo Commercial Mortgage Trust 2015-C26	3.166%	2/15/48	75		78
3	Wells Fargo Commercial Mortgage Trust 2015-C26	3.580%	2/15/48	50		52
3	Wells Fargo Commercial Mortgage Trust 2015-C27	3.190%	2/15/48	244		252
3	Wells Fargo Commercial Mortgage Trust 2015-C28	3.540%	5/15/48	175		185
3	Wells Fargo Commercial Mortgage Trust 2015-C28	3.872%	5/15/48	31		32
3	Wells Fargo Commercial Mortgage Trust 2015-C29	3.400%	6/15/48	125		129
3	Wells Fargo Commercial Mortgage Trust 2015-C29	3.637%	6/15/48	175		186
3	Wells Fargo Commercial Mortgage Trust 2015-LC20	2.978%	4/15/50	29		30
3	Wells Fargo Commercial Mortgage Trust 2015-LC20	3.184%	4/15/50	276		287
3	Wells Fargo Commercial Mortgage Trust 2015-LC20	3.719%	4/15/50	50		51
3	Wells Fargo Commercial Mortgage Trust 2015-LC22	3.571%	9/15/58	50		52
3	Wells Fargo Commercial Mortgage Trust 2015-LC22	3.839%	9/15/58	75		81
3	Wells Fargo Commercial Mortgage Trust 2015-LC22	4.207%	9/15/58	75		80
3	Wells Fargo Commercial Mortgage Trust 2015-NXS1	2.632%	5/15/48	21		21
3	Wells Fargo Commercial Mortgage Trust 2015-NXS1	2.934%	5/15/48	50		51
3	Wells Fargo Commercial Mortgage Trust 2015-NXS1	3.148%	5/15/48	50		52
3	Wells Fargo Commercial Mortgage Trust 2015-P2	3.656%	12/15/48	100		105
3	Wells Fargo Commercial Mortgage Trust 2015-P2	3.809%	12/15/48	50		54
3	Wells Fargo Commercial Mortgage Trust 2015-SG1	3.789%	9/15/48	210		224
3	Wells Fargo Commercial Mortgage Trust 2016-BNK1	2.652%	8/15/49	150		151
3	Wells Fargo Commercial Mortgage Trust 2016-C32	3.324%	1/15/59	58		60
3	Wells Fargo Commercial Mortgage Trust 2016-C32	3.560%	1/15/59	125		132
3	Wells Fargo Commercial Mortgage Trust 2016-C33	3.426%	3/15/59	50		53
3	Wells Fargo Commercial Mortgage Trust 2016-C34	3.096%	6/15/49	75		77
3	Wells Fargo Commercial Mortgage Trust 2016-C37	3.794%	12/15/49	100		108
3	Wells Fargo Commercial Mortgage Trust 2016-LC24	2.825%	10/15/49	100		102
3	Wells Fargo Commercial Mortgage Trust 2016-LC24	2.942%	10/15/49	162		166
3	Wells Fargo Commercial Mortgage Trust 2017-C38	3.453%	7/15/50	192		204
3	Wells Fargo Commercial Mortgage Trust 2017-C38	3.665%	7/15/50	54		57

367

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
3	Wells Fargo Commercial Mortgage Trust 2017-C39	3.418%	9/15/50	175		185
3	Wells Fargo Commercial Mortgage Trust 2017-C39	3.702%	9/15/50	100		105
3	Wells Fargo Commercial Mortgage Trust 2017-C40	3.317%	10/15/50	100		104
3	Wells Fargo Commercial Mortgage Trust 2017-C40	3.581%	10/15/50	150		160
3	Wells Fargo Commercial Mortgage Trust 2017-C40	3.854%	10/15/50	25		26
3	Wells Fargo Commercial Mortgage Trust 2017-C41	3.472%	11/15/50	250		265
3	Wells Fargo Commercial Mortgage Trust 2018-C43	4.012%	3/15/51	275		302
3	Wells Fargo Commercial Mortgage Trust 2018-C43	4.152%	3/15/51	50		54
3	Wells Fargo Commercial Mortgage Trust 2018-C44	4.212%	5/15/51	175		195
3	Wells Fargo Commercial Mortgage Trust 2018-C45	4.184%	6/15/51	200		222
3	Wells Fargo Commercial Mortgage Trust 2018-C46	4.152%	8/15/51	75		83
3	Wells Fargo Commercial Mortgage Trust 2018-C47	4.442%	9/15/61	150		170
3	Wells Fargo Commercial Mortgage Trust 2019-C49	4.023%	3/15/52	225		248
3	Wells Fargo Commercial Mortgage Trust 2019-C50	3.729%	5/15/52	125		135
3	Wells Fargo Commercial Mortgage Trust 2019-C51	3.311%	6/15/52	200		210
3	Wells Fargo Commercial Mortgage Trust 2019-C52	2.892%	8/15/52	270		274
3	Wells Fargo Commercial Mortgage Trust 2019-C52	3.143%	8/15/52	100		100
3	Wells Fargo Commercial Mortgage Trust 2019-C53	3.040%	10/15/52	200		206
3	Wells Fargo Commercial Mortgage Trust 2019-C54	3.146%	12/15/52	100		104
3	WFRBS Commercial Mortgage Trust 2012-C6	3.440%	4/15/45	175		178
3	WFRBS Commercial Mortgage Trust 2012-C7	3.431%	6/15/45	125		128
3	WFRBS Commercial Mortgage Trust 2012-C7	4.090%	6/15/45	100		103
3	WFRBS Commercial Mortgage Trust 2012-C8	3.001%	8/15/45	75		76
3	WFRBS Commercial Mortgage Trust 2012-C9	2.870%	11/15/45	122		124
3	WFRBS Commercial Mortgage Trust 2013-C11	3.071%	3/15/45	94		96
3	WFRBS Commercial Mortgage Trust 2013-C12	3.198%	3/15/48	39		40
3	WFRBS Commercial Mortgage Trust 2013-C12	3.560%	3/15/48	18		19
3	WFRBS Commercial Mortgage Trust 2013-C13	3.001%	5/15/45	76		78
3	WFRBS Commercial Mortgage Trust 2013-C13	3.345%	5/15/45	15		15
3	WFRBS Commercial Mortgage Trust 2013-C14	3.337%	6/15/46	150		155
3	WFRBS Commercial Mortgage Trust 2013-C14	3.488%	6/15/46	75		77
3	WFRBS Commercial Mortgage Trust 2013-C15	3.720%	8/15/46	16		16
3	WFRBS Commercial Mortgage Trust 2013-C15	4.153%	8/15/46	100		106
3	WFRBS Commercial Mortgage Trust 2013-C15	4.358%	8/15/46	20		21
3	WFRBS Commercial Mortgage Trust 2013-C16	3.963%	9/15/46	23		24
3	WFRBS Commercial Mortgage Trust 2013-C16	4.415%	9/15/46	30		32
3	WFRBS Commercial Mortgage Trust 2013-C16	4.668%	9/15/46	50		53
3	WFRBS Commercial Mortgage Trust 2013-C17	3.558%	12/15/46	20		20
3	WFRBS Commercial Mortgage Trust 2013-C17	4.023%	12/15/46	25		27
3	WFRBS Commercial Mortgage Trust 2013-C17	4.255%	12/15/46	25		27
3	WFRBS Commercial Mortgage Trust 2013-C17	4.788%	12/15/46	25		27
3	WFRBS Commercial Mortgage Trust 2014-C19	3.618%	3/15/47	21		22
3	WFRBS Commercial Mortgage Trust 2014-C19	3.660%	3/15/47	21		22
3	WFRBS Commercial Mortgage Trust 2014-C19	4.101%	3/15/47	50		53
3	WFRBS Commercial Mortgage Trust 2014-C19	4.723%	3/15/47	25		27
3	WFRBS Commercial Mortgage Trust 2014-C20	3.638%	5/15/47	22		23
3	WFRBS Commercial Mortgage Trust 2014-C20	3.995%	5/15/47	25		27
3	WFRBS Commercial Mortgage Trust 2014-C20	4.176%	5/15/47	25		26
3	WFRBS Commercial Mortgage Trust 2014-C21	3.678%	8/15/47	75		79
3	WFRBS Commercial Mortgage Trust 2014-C22	3.752%	9/15/57	150		159
3	WFRBS Commercial Mortgage Trust 2014-C22	4.371%	9/15/57	25		26
3	WFRBS Commercial Mortgage Trust 2014-C23	3.636%	10/15/57	74		76
3	WFRBS Commercial Mortgage Trust 2014-C23	3.917%	10/15/57	50		53
3	WFRBS Commercial Mortgage Trust 2014-C24	3.428%	11/15/47	39		40
3	WFRBS Commercial Mortgage Trust 2014-C24	3.607%	11/15/47	65		69
3	WFRBS Commercial Mortgage Trust 2014-LC14	2.862%	3/15/47	1		1
3	WFRBS Commercial Mortgage Trust 2014-LC14	3.522%	3/15/47	50		51
3	WFRBS Commercial Mortgage Trust 2014-LC14	4.045%	3/15/47	140		149
3	WFRBS Commercial Mortgage Trust 2014-LC14	4.351%	3/15/47	60		64
3	World Financial Network Credit Card Master Note Trust Series 2017-C	2.310%	8/15/24	150		150
3	World Financial Network Credit Card Master Note Trust Series 2018-A	3.070%	12/16/24	200		202
3	World Omni Auto Receivables Trust 2019-C	1.960%	12/16/24	125		125
Total Asset-Backed/Commercial Mortgage-Backed Securities (Cost $107,426)						110,185
Corporate Bonds (26.5%)
Finance (8.3%)
	Banking (5.9%)
	Ally Financial Inc.	4.125%	2/13/22	125		129
	Ally Financial Inc.	3.875%	5/21/24	150		157
	Ally Financial Inc.	5.125%	9/30/24	135		149
	Ally Financial Inc.	8.000%	11/1/31	400		552
	American Express Co.	3.000%	2/22/21	150		152
	American Express Co.	3.700%	11/5/21	200		206
	American Express Co.	2.750%	5/20/22	300		305
	American Express Co.	2.500%	8/1/22	500		506
	American Express Co.	2.650%	12/2/22	225		229
	American Express Co.	3.400%	2/27/23	300		311
	American Express Co.	3.700%	8/3/23	325		342

368

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	American Express Co.	3.400%	2/22/24	225		235
	American Express Co.	2.500%	7/30/24	215		217
	American Express Co.	3.000%	10/30/24	569		587
	American Express Co.	3.625%	12/5/24	241		254
	American Express Co.	4.200%	11/6/25	150		165
	American Express Co.	3.125%	5/20/26	250		259
	American Express Co.	4.050%	12/3/42	67		79
	American Express Credit Corp.	2.250%	5/5/21	275		276
	American Express Credit Corp.	2.700%	3/3/22	300		305
	American Express Credit Corp.	3.300%	5/3/27	350		372
	Associated Bank NA	3.500%	8/13/21	50		51
	Australia & New Zealand Banking Group Ltd.	2.300%	6/1/21	325		326
	Australia & New Zealand Banking Group Ltd.	2.550%	11/23/21	250		253
	Australia & New Zealand Banking Group Ltd.	2.625%	5/19/22	200		203
	Australia & New Zealand Banking Group Ltd.	2.625%	11/9/22	200		204
	Australia & New Zealand Banking Group Ltd.	3.700%	11/16/25	250		269
	Banco Santander SA	3.848%	4/12/23	200		208
	Banco Santander SA	5.179%	11/19/25	450		500
	Banco Santander SA	4.250%	4/11/27	400		430
	Banco Santander SA	3.800%	2/23/28	200		210
	Banco Santander SA	4.379%	4/12/28	200		218
	Bank of America Corp.	2.625%	4/19/21	755		762
3	Bank of America Corp.	2.369%	7/21/21	500		501
3	Bank of America Corp.	2.328%	10/1/21	350		350
3	Bank of America Corp.	2.738%	1/23/22	250		252
3	Bank of America Corp.	3.499%	5/17/22	175		178
	Bank of America Corp.	2.503%	10/21/22	300		303
	Bank of America Corp.	3.300%	1/11/23	650		672
3	Bank of America Corp.	3.124%	1/20/23	145		148
3	Bank of America Corp.	2.881%	4/24/23	1,000		1,014
3	Bank of America Corp.	2.816%	7/21/23	1,250		1,267
	Bank of America Corp.	4.100%	7/24/23	300		319
	Bank of America Corp.	3.004%	12/20/23	1,846		1,886
	Bank of America Corp.	4.125%	1/22/24	325		350
3	Bank of America Corp.	3.550%	3/5/24	690		714
	Bank of America Corp.	4.000%	4/1/24	322		345
3	Bank of America Corp.	3.864%	7/23/24	125		132
	Bank of America Corp.	4.200%	8/26/24	650		697
	Bank of America Corp.	4.000%	1/22/25	755		803
	Bank of America Corp.	3.950%	4/21/25	500		532
3	Bank of America Corp.	3.093%	10/1/25	350		361
3	Bank of America Corp.	2.456%	10/22/25	300		301
3	Bank of America Corp.	3.366%	1/23/26	300		313
	Bank of America Corp.	4.450%	3/3/26	475		520
	Bank of America Corp.	3.500%	4/19/26	320		339
	Bank of America Corp.	4.250%	10/22/26	725		788
3	Bank of America Corp.	3.559%	4/23/27	750		791
	Bank of America Corp.	3.248%	10/21/27	750		778
	Bank of America Corp.	4.183%	11/25/27	560		606
3	Bank of America Corp.	3.824%	1/20/28	425		456
3	Bank of America Corp.	3.705%	4/24/28	350		374
3	Bank of America Corp.	3.593%	7/21/28	800		850
3	Bank of America Corp.	3.419%	12/20/28	1,334		1,397
3	Bank of America Corp.	3.970%	3/5/29	225		245
3	Bank of America Corp.	4.271%	7/23/29	575		637
3	Bank of America Corp.	3.974%	2/7/30	150		163
3	Bank of America Corp.	3.194%	7/23/30	1,125		1,163
3	Bank of America Corp.	2.884%	10/22/30	300		303
	Bank of America Corp.	6.110%	1/29/37	335		451
3	Bank of America Corp.	4.244%	4/24/38	350		402
	Bank of America Corp.	7.750%	5/14/38	340		535
3	Bank of America Corp.	4.078%	4/23/40	500		567
	Bank of America Corp.	5.875%	2/7/42	300		426
	Bank of America Corp.	5.000%	1/21/44	750		979
	Bank of America Corp.	4.875%	4/1/44	300		383
	Bank of America Corp.	4.750%	4/21/45	100		122
3	Bank of America Corp.	4.443%	1/20/48	100		122
3	Bank of America Corp.	4.330%	3/15/50	250		300
	Bank of America NA	6.000%	10/15/36	250		344
	Bank of Montreal	3.100%	4/13/21	325		330
	Bank of Montreal	1.900%	8/27/21	325		325
	Bank of Montreal	2.900%	3/26/22	425		433
	Bank of Montreal	2.350%	9/11/22	46		46
	Bank of Montreal	2.550%	11/6/22	104		106
	Bank of Montreal	3.300%	2/5/24	300		312
	Bank of Montreal	2.500%	6/28/24	200		202
3	Bank of Montreal	4.338%	10/5/28	100		105
3	Bank of Montreal	3.803%	12/15/32	1,000		1,044
	Bank of New York Mellon Corp.	2.050%	5/3/21	250		251
	Bank of New York Mellon Corp.	3.550%	9/23/21	100		103
	Bank of New York Mellon Corp.	2.600%	2/7/22	675		684
	Bank of New York Mellon Corp.	1.950%	8/23/22	250		250
	Bank of New York Mellon Corp.	2.950%	1/29/23	195		200
	Bank of New York Mellon Corp.	3.500%	4/28/23	225		236
3	Bank of New York Mellon Corp.	2.661%	5/16/23	225		228
	Bank of New York Mellon Corp.	3.450%	8/11/23	125		131
	Bank of New York Mellon Corp.	2.200%	8/16/23	225		228
	Bank of New York Mellon Corp.	3.250%	9/11/24	150		157
	Bank of New York Mellon Corp.	2.100%	10/24/24	150		150
	Bank of New York Mellon Corp.	3.000%	2/24/25	250		260
	Bank of New York Mellon Corp.	2.800%	5/4/26	200		205
	Bank of New York Mellon Corp.	2.450%	8/17/26	125		125
	Bank of New York Mellon Corp.	3.250%	5/16/27	150		158
3	Bank of New York Mellon Corp.	3.442%	2/7/28	150		158
	Bank of New York Mellon Corp.	3.000%	10/30/28	200		205
	Bank of New York Mellon Corp.	3.300%	8/23/29	100		104
	Bank of Nova Scotia	2.800%	7/21/21	420		426
	Bank of Nova Scotia	2.700%	3/7/22	250		254
	Bank of Nova Scotia	2.375%	1/18/23	50		51
	Bank of Nova Scotia	3.400%	2/11/24	200		209
	Bank of Nova Scotia	4.500%	12/16/25	300		328
	Bank of Nova Scotia	2.700%	8/3/26	100		102
	Barclays Bank plc	2.650%	1/11/21	200		201
	Barclays plc	3.250%	1/12/21	100		101
	Barclays plc	3.200%	8/10/21	150		152
	Barclays plc	3.684%	1/10/23	100		102
3	Barclays plc	4.610%	2/15/23	200		208
3	Barclays plc	4.338%	5/16/24	1,000		1,049
	Barclays plc	3.650%	3/16/25	350		364
3	Barclays plc	3.932%	5/7/25	200		210
	Barclays plc	4.375%	1/12/26	300		325
	Barclays plc	4.337%	1/10/28	200		214
3	Barclays plc	4.972%	5/16/29	200		225
	Barclays plc	5.250%	8/17/45	250		301
	Barclays plc	4.950%	1/10/47	200		234
	BBVA USA	3.500%	6/11/21	150		152
	BBVA USA	2.875%	6/29/22	250		253
	BNP Paribas SA	5.000%	1/15/21	475		489
	BPCE SA	2.650%	2/3/21	275		277
	BPCE SA	2.750%	12/2/21	250		254
6	BPCE SA	3.000%	5/22/22	250		254
	BPCE SA	4.000%	4/15/24	325		348
	BPCE SA	3.375%	12/2/26	250		262
	Canadian Imperial Bank of Commerce	2.700%	2/2/21	150		151
	Canadian Imperial Bank of Commerce	2.550%	6/16/22	350		354
	Canadian Imperial Bank of Commerce	3.500%	9/13/23	200		210
	Canadian Imperial Bank of Commerce	3.100%	4/2/24	200		206
	Capital One Bank USA NA	3.375%	2/15/23	235		242
	Capital One Financial Corp.	4.750%	7/15/21	50		52
	Capital One Financial Corp.	3.050%	3/9/22	175		179
	Capital One Financial Corp.	3.200%	1/30/23	350		360
	Capital One Financial Corp.	3.500%	6/15/23	27		28
	Capital One Financial Corp.	3.900%	1/29/24	250		265
	Capital One Financial Corp.	3.750%	4/24/24	450		472
	Capital One Financial Corp.	3.300%	10/30/24	513		529
	Capital One Financial Corp.	4.200%	10/29/25	175		188
	Capital One Financial Corp.	3.750%	7/28/26	500		524

369

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Capital One Financial Corp.	3.750%	3/9/27	100		106
	Capital One Financial Corp.	3.800%	1/31/28	300		322
	Capital One NA	2.250%	9/13/21	175		176
	Capital One NA	2.650%	8/8/22	500		507
	Citibank NA	2.850%	2/12/21	200		202
	Citibank NA	3.400%	7/23/21	475		485
3	Citibank NA	2.844%	5/20/22	500		506
	Citigroup Inc.	2.700%	3/30/21	550		554
	Citigroup Inc.	2.350%	8/2/21	150		151
	Citigroup Inc.	2.900%	12/8/21	200		203
	Citigroup Inc.	4.500%	1/14/22	475		498
	Citigroup Inc.	2.750%	4/25/22	425		432
	Citigroup Inc.	2.700%	10/27/22	375		381
3	Citigroup Inc.	2.312%	11/4/22	300		301
	Citigroup Inc.	3.375%	3/1/23	150		155
	Citigroup Inc.	3.500%	5/15/23	675		700
3	Citigroup Inc.	2.876%	7/24/23	450		458
	Citigroup Inc.	3.875%	10/25/23	738		784
	Citigroup Inc.	4.000%	8/5/24	125		133
	Citigroup Inc.	3.875%	3/26/25	350		369
3	Citigroup Inc.	3.352%	4/24/25	1,500		1,560
	Citigroup Inc.	3.300%	4/27/25	125		131
	Citigroup Inc.	4.400%	6/10/25	1,400		1,521
	Citigroup Inc.	5.500%	9/13/25	75		86
	Citigroup Inc.	3.700%	1/12/26	275		293
	Citigroup Inc.	4.600%	3/9/26	275		303
	Citigroup Inc.	3.200%	10/21/26	1,025		1,060
	Citigroup Inc.	4.300%	11/20/26	75		82
	Citigroup Inc.	4.450%	9/29/27	1,150		1,265
3	Citigroup Inc.	3.887%	1/10/28	475		509
3	Citigroup Inc.	3.668%	7/24/28	900		956
	Citigroup Inc.	4.125%	7/25/28	100		109
3	Citigroup Inc.	3.520%	10/27/28	580		609
3	Citigroup Inc.	4.075%	4/23/29	150		164
3	Citigroup Inc.	3.980%	3/20/30	475		519
3	Citigroup Inc.	2.976%	11/5/30	300		305
	Citigroup Inc.	6.625%	6/15/32	100		134
	Citigroup Inc.	6.125%	8/25/36	75		97
3	Citigroup Inc.	3.878%	1/24/39	225		246
	Citigroup Inc.	8.125%	7/15/39	562		938
	Citigroup Inc.	5.875%	1/30/42	100		141
	Citigroup Inc.	5.300%	5/6/44	375		475
	Citigroup Inc.	4.650%	7/30/45	200		246
	Citigroup Inc.	4.750%	5/18/46	375		449
	Citigroup Inc.	4.650%	7/23/48	450		561
	Citizens Bank NA	2.550%	5/13/21	200		201
	Citizens Bank NA	3.250%	2/14/22	250		256
	Citizens Bank NA	2.650%	5/26/22	125		127
	Citizens Financial Group Inc.	4.300%	12/3/25	125		134
	Citizens Financial Group Inc.	2.850%	7/27/26	175		178
	Comerica Bank	4.000%	7/27/25	50		53
	Comerica Inc.	3.700%	7/31/23	200		210
	Commonwealth Bank of Australia	2.550%	3/15/21	175		176
6	Commonwealth Bank of Australia	2.750%	3/10/22	500		508
6	Commonwealth Bank of Australia	3.350%	6/4/24	800		836
	Cooperatieve Rabobank UA	4.500%	1/11/21	150		154
	Cooperatieve Rabobank UA	2.500%	1/19/21	600		603
	Cooperatieve Rabobank UA	2.750%	1/10/22	250		254
	Cooperatieve Rabobank UA	3.875%	2/8/22	525		547
	Cooperatieve Rabobank UA	3.950%	11/9/22	125		130
	Cooperatieve Rabobank UA	4.625%	12/1/23	175		190
	Cooperatieve Rabobank UA	3.375%	5/21/25	275		291
	Cooperatieve Rabobank UA	4.375%	8/4/25	600		649
	Cooperatieve Rabobank UA	3.750%	7/21/26	225		234
	Cooperatieve Rabobank UA	5.250%	5/24/41	100		136
	Cooperatieve Rabobank UA	5.750%	12/1/43	250		329
	Cooperatieve Rabobank UA	5.250%	8/4/45	350		440
	Credit Suisse AG	3.000%	10/29/21	600		611
	Credit Suisse AG	2.100%	11/12/21	250		251
	Credit Suisse AG	3.625%	9/9/24	575		610
6	Credit Suisse Group AG	3.574%	1/9/23	250		257
	Credit Suisse Group Funding Guernsey Ltd.	3.125%	12/10/20	250		252
	Credit Suisse Group Funding Guernsey Ltd.	3.450%	4/16/21	275		279
	Credit Suisse Group Funding Guernsey Ltd.	3.800%	9/15/22	750		780
	Credit Suisse Group Funding Guernsey Ltd.	3.800%	6/9/23	825		863
	Credit Suisse Group Funding Guernsey Ltd.	3.750%	3/26/25	250		264
	Credit Suisse Group Funding Guernsey Ltd.	4.875%	5/15/45	375		471
	Deutsche Bank AG	3.125%	1/13/21	100		100
	Deutsche Bank AG	3.150%	1/22/21	150		151
	Deutsche Bank AG	4.250%	2/4/21	150		152
	Deutsche Bank AG	4.250%	10/14/21	600		617
	Deutsche Bank AG	3.300%	11/16/22	500		505
	Deutsche Bank AG	3.950%	2/27/23	300		307
	Deutsche Bank AG	3.700%	5/30/24	548		559
	Deutsche Bank AG	4.100%	1/13/26	100		102
	Discover Bank	3.200%	8/9/21	100		102
	Discover Bank	3.350%	2/6/23	150		154
	Discover Bank	4.200%	8/8/23	300		319
	Discover Bank	2.450%	9/12/24	150		149
	Discover Bank	3.450%	7/27/26	100		104
	Discover Bank	4.650%	9/13/28	250		280
	Discover Financial Services	3.850%	11/21/22	200		209
	Discover Financial Services	3.950%	11/6/24	450		477
	Discover Financial Services	3.750%	3/4/25	170		179
	Discover Financial Services	4.500%	1/30/26	200		219
	Fifth Third Bancorp	3.500%	3/15/22	125		129
	Fifth Third Bancorp	4.300%	1/16/24	275		295
	Fifth Third Bancorp	3.650%	1/25/24	150		158
	Fifth Third Bancorp	2.375%	1/28/25	150		150
	Fifth Third Bancorp	3.950%	3/14/28	75		82
	Fifth Third Bancorp	8.250%	3/1/38	200		307
	Fifth Third Bank	2.250%	6/14/21	300		301
	Fifth Third Bank	3.350%	7/26/21	200		204
	Fifth Third Bank	3.950%	7/28/25	200		217
	Fifth Third Bank	3.850%	3/15/26	200		212
	First Horizon National Corp.	3.500%	12/15/20	100		101
	First Republic Bank	2.500%	6/6/22	100		101
	First Republic Bank	4.375%	8/1/46	75		81
	FirstMerit Bank NA	4.270%	11/25/26	150		161
	Goldman Sachs Capital I	6.345%	2/15/34	225		292
	Goldman Sachs Group Inc.	2.875%	2/25/21	175		177
	Goldman Sachs Group Inc.	2.625%	4/25/21	150		151
	Goldman Sachs Group Inc.	5.250%	7/27/21	650		681
	Goldman Sachs Group Inc.	2.350%	11/15/21	500		502
	Goldman Sachs Group Inc.	5.750%	1/24/22	675		722
	Goldman Sachs Group Inc.	3.000%	4/26/22	545		552
3	Goldman Sachs Group Inc.	2.876%	10/31/22	1,055		1,068
	Goldman Sachs Group Inc.	3.625%	1/22/23	425		441
	Goldman Sachs Group Inc.	3.200%	2/23/23	425		437
3	Goldman Sachs Group Inc.	2.908%	6/5/23	350		355
3	Goldman Sachs Group Inc.	2.905%	7/24/23	500		508
	Goldman Sachs Group Inc.	3.625%	2/20/24	300		315
	Goldman Sachs Group Inc.	4.000%	3/3/24	475		504
	Goldman Sachs Group Inc.	3.850%	7/8/24	586		618
	Goldman Sachs Group Inc.	3.500%	1/23/25	1,332		1,398
	Goldman Sachs Group Inc.	3.750%	5/22/25	825		873
3	Goldman Sachs Group Inc.	3.272%	9/29/25	550		568
	Goldman Sachs Group Inc.	4.250%	10/21/25	200		217
	Goldman Sachs Group Inc.	3.750%	2/25/26	200		212
	Goldman Sachs Group Inc.	3.500%	11/16/26	1,250		1,304
	Goldman Sachs Group Inc.	5.950%	1/15/27	400		477
	Goldman Sachs Group Inc.	3.850%	1/26/27	350		372
3	Goldman Sachs Group Inc.	3.691%	6/5/28	625		663
3	Goldman Sachs Group Inc.	3.814%	4/23/29	450		481
3	Goldman Sachs Group Inc.	4.223%	5/1/29	475		522
	Goldman Sachs Group Inc.	6.450%	5/1/36	50		66

370

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Goldman Sachs Group Inc.	6.750%	10/1/37	975		1,351
3	Goldman Sachs Group Inc.	4.017%	10/31/38	350		379
3	Goldman Sachs Group Inc.	4.411%	4/23/39	500		567
	Goldman Sachs Group Inc.	6.250%	2/1/41	675		942
	Goldman Sachs Group Inc.	4.800%	7/8/44	400		484
	Goldman Sachs Group Inc.	5.150%	5/22/45	475		581
	Goldman Sachs Group Inc.	4.750%	10/21/45	150		183
	HSBC Bank USA NA	7.000%	1/15/39	250		364
	HSBC Holdings plc	3.400%	3/8/21	625		634
	HSBC Holdings plc	2.950%	5/25/21	800		810
	HSBC Holdings plc	2.650%	1/5/22	500		505
	HSBC Holdings plc	4.875%	1/14/22	160		169
	HSBC Holdings plc	4.000%	3/30/22	290		302
3	HSBC Holdings plc	3.262%	3/13/23	560		572
	HSBC Holdings plc	3.600%	5/25/23	200		208
3	HSBC Holdings plc	3.033%	11/22/23	200		204
	HSBC Holdings plc	4.250%	3/14/24	250		265
3	HSBC Holdings plc	3.950%	5/18/24	500		524
3	HSBC Holdings plc	3.803%	3/11/25	1,075		1,128
	HSBC Holdings plc	4.250%	8/18/25	150		160
3	HSBC Holdings plc	2.633%	11/7/25	200		200
	HSBC Holdings plc	4.300%	3/8/26	1,100		1,195
	HSBC Holdings plc	3.900%	5/25/26	450		479
3	HSBC Holdings plc	4.292%	9/12/26	500		537
	HSBC Holdings plc	4.375%	11/23/26	350		378
3	HSBC Holdings plc	4.041%	3/13/28	400		427
3	HSBC Holdings plc	4.583%	6/19/29	400		446
3	HSBC Holdings plc	3.973%	5/22/30	570		612
	HSBC Holdings plc	7.625%	5/17/32	100		138
	HSBC Holdings plc	7.350%	11/27/32	100		139
	HSBC Holdings plc	6.500%	5/2/36	350		476
	HSBC Holdings plc	6.500%	9/15/37	50		68
	HSBC Holdings plc	6.800%	6/1/38	200		284
	HSBC Holdings plc	5.250%	3/14/44	750		949
	HSBC USA Inc.	3.500%	6/23/24	150		159
	Huntington Bancshares Inc.	7.000%	12/15/20	25		26
	Huntington Bancshares Inc.	3.150%	3/14/21	100		101
	Huntington Bancshares Inc.	2.300%	1/14/22	200		201
	Huntington National Bank	3.250%	5/14/21	250		254
	Huntington National Bank	2.500%	8/7/22	200		202
	Huntington National Bank	3.550%	10/6/23	250		262
	ING Groep NV	3.150%	3/29/22	200		204
	ING Groep NV	4.100%	10/2/23	300		318
	ING Groep NV	3.550%	4/9/24	200		209
	ING Groep NV	3.950%	3/29/27	300		323
	ING Groep NV	4.550%	10/2/28	200		227
	ING Groep NV	4.050%	4/9/29	200		219
	JPMorgan Chase & Co.	2.550%	3/1/21	850		855
	JPMorgan Chase & Co.	4.625%	5/10/21	250		259
	JPMorgan Chase & Co.	2.400%	6/7/21	275		277
	JPMorgan Chase & Co.	2.295%	8/15/21	450		451
	JPMorgan Chase & Co.	4.350%	8/15/21	205		213
	JPMorgan Chase & Co.	4.500%	1/24/22	325		341
3	JPMorgan Chase & Co.	3.514%	6/18/22	200		204
	JPMorgan Chase & Co.	3.250%	9/23/22	750		775
	JPMorgan Chase & Co.	2.972%	1/15/23	370		377
	JPMorgan Chase & Co.	3.200%	1/25/23	750		774
3	JPMorgan Chase & Co.	3.207%	4/1/23	1,000		1,022
3	JPMorgan Chase & Co.	2.776%	4/25/23	350		354
	JPMorgan Chase & Co.	3.375%	5/1/23	300		311
	JPMorgan Chase & Co.	2.700%	5/18/23	250		255
	JPMorgan Chase & Co.	3.875%	2/1/24	445		476
3	JPMorgan Chase & Co.	3.559%	4/23/24	485		505
	JPMorgan Chase & Co.	3.625%	5/13/24	776		820
3	JPMorgan Chase & Co.	3.797%	7/23/24	175		184
	JPMorgan Chase & Co.	3.875%	9/10/24	575		615
3	JPMorgan Chase & Co.	4.023%	12/5/24	300		320
	JPMorgan Chase & Co.	3.125%	1/23/25	400		417
3	JPMorgan Chase & Co.	3.220%	3/1/25	600		620
	JPMorgan Chase & Co.	3.900%	7/15/25	362		391
3	JPMorgan Chase & Co.	2.301%	10/15/25	700		699
	JPMorgan Chase & Co.	3.300%	4/1/26	685		718
	JPMorgan Chase & Co.	3.200%	6/15/26	300		312
	JPMorgan Chase & Co.	2.950%	10/1/26	875		899
	JPMorgan Chase & Co.	4.125%	12/15/26	450		492
3	JPMorgan Chase & Co.	3.960%	1/29/27	500		541
	JPMorgan Chase & Co.	3.625%	12/1/27	1,000		1,050
3	JPMorgan Chase & Co.	3.782%	2/1/28	625		671
3	JPMorgan Chase & Co.	3.540%	5/1/28	350		371
3	JPMorgan Chase & Co.	3.509%	1/23/29	575		609
3	JPMorgan Chase & Co.	4.005%	4/23/29	300		328
3	JPMorgan Chase & Co.	4.203%	7/23/29	250		278
3	JPMorgan Chase & Co.	4.452%	12/5/29	300		341
3	JPMorgan Chase & Co.	3.702%	5/6/30	300		323
3	JPMorgan Chase & Co.	2.739%	10/15/30	1,500		1,500
	JPMorgan Chase & Co.	6.400%	5/15/38	450		649
	JPMorgan Chase & Co.	5.500%	10/15/40	650		869
	JPMorgan Chase & Co.	5.600%	7/15/41	275		376
	JPMorgan Chase & Co.	5.400%	1/6/42	150		203
	JPMorgan Chase & Co.	5.625%	8/16/43	300		402
	JPMorgan Chase & Co.	4.950%	6/1/45	100		126
3	JPMorgan Chase & Co.	4.260%	2/22/48	375		439
3	JPMorgan Chase & Co.	4.032%	7/24/48	500		566
3	JPMorgan Chase & Co.	3.964%	11/15/48	1,000		1,121
3	JPMorgan Chase & Co.	3.897%	1/23/49	400		447
	KeyBank NA	2.300%	9/14/22	200		202
	KeyBank NA	3.375%	3/7/23	250		260
	KeyBank NA	3.300%	6/1/25	125		132
	KeyCorp	5.100%	3/24/21	25		26
	KeyCorp	4.150%	10/29/25	150		164
	KeyCorp	4.100%	4/30/28	600		655
	KeyCorp	2.550%	10/1/29	150		147
	Lloyds Bank plc	6.375%	1/21/21	175		182
	Lloyds Bank plc	3.300%	5/7/21	200		203
	Lloyds Banking Group plc	3.000%	1/11/22	300		305
3	Lloyds Banking Group plc	2.858%	3/17/23	250		252
	Lloyds Banking Group plc	4.050%	8/16/23	900		950
3	Lloyds Banking Group plc	2.907%	11/7/23	400		406
	Lloyds Banking Group plc	3.900%	3/12/24	200		211
	Lloyds Banking Group plc	4.450%	5/8/25	200		218
	Lloyds Banking Group plc	4.582%	12/10/25	700		755
	Lloyds Banking Group plc	4.650%	3/24/26	575		622
	Lloyds Banking Group plc	3.750%	1/11/27	200		210
	Lloyds Banking Group plc	4.375%	3/22/28	250		275
	Lloyds Banking Group plc	4.550%	8/16/28	200		223
3	Lloyds Banking Group plc	3.574%	11/7/28	200		208
	Lloyds Banking Group plc	5.300%	12/1/45	200		243
	Lloyds Banking Group plc	4.344%	1/9/48	275		297
	M&T Bank Corp.	3.550%	7/26/23	200		210
	Manufacturers & Traders Trust Co.	2.625%	1/25/21	225		226
	Mitsubishi UFJ Financial Group Inc.	2.950%	3/1/21	403		407
	Mitsubishi UFJ Financial Group Inc.	3.535%	7/26/21	200		204
	Mitsubishi UFJ Financial Group Inc.	2.190%	9/13/21	400		401
	Mitsubishi UFJ Financial Group Inc.	2.998%	2/22/22	1,275		1,298
	Mitsubishi UFJ Financial Group Inc.	3.218%	3/7/22	200		205
	Mitsubishi UFJ Financial Group Inc.	2.623%	7/18/22	675		684
	Mitsubishi UFJ Financial Group Inc.	2.665%	7/25/22	300		304
	Mitsubishi UFJ Financial Group Inc.	3.455%	3/2/23	300		311
	Mitsubishi UFJ Financial Group Inc.	3.761%	7/26/23	740		777
	Mitsubishi UFJ Financial Group Inc.	2.527%	9/13/23	100		101
	Mitsubishi UFJ Financial Group Inc.	3.407%	3/7/24	200		209
	Mitsubishi UFJ Financial Group Inc.	2.801%	7/18/24	200		204
	Mitsubishi UFJ Financial Group Inc.	3.777%	3/2/25	250		266
	Mitsubishi UFJ Financial Group Inc.	3.850%	3/1/26	525		563
	Mitsubishi UFJ Financial Group Inc.	2.757%	9/13/26	250		252
	Mitsubishi UFJ Financial Group Inc.	3.677%	2/22/27	500		531
	Mitsubishi UFJ Financial Group Inc.	3.287%	7/25/27	250		259
	Mitsubishi UFJ Financial Group Inc.	3.961%	3/2/28	200		217
	Mitsubishi UFJ Financial Group Inc.	4.050%	9/11/28	200		220
	Mitsubishi UFJ Financial Group Inc.	3.741%	3/7/29	200		215
	Mitsubishi UFJ Financial Group Inc.	3.195%	7/18/29	175		181
	Mitsubishi UFJ Financial Group Inc.	4.286%	7/26/38	50		58

371

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Mitsubishi UFJ Financial Group Inc.	3.751%	7/18/39	200		219
	Mizuho Financial Group Inc.	3.549%	3/5/23	200		208
3	Mizuho Financial Group Inc.	2.721%	7/16/23	300		303
3	Mizuho Financial Group Inc.	3.922%	9/11/24	200		210
3	Mizuho Financial Group Inc.	2.839%	7/16/25	375		378
3	Mizuho Financial Group Inc.	2.555%	9/13/25	100		100
	Mizuho Financial Group Inc.	3.663%	2/28/27	250		264
	Mizuho Financial Group Inc.	4.018%	3/5/28	325		354
3	Mizuho Financial Group Inc.	4.254%	9/11/29	400		443
3	Mizuho Financial Group Inc.	3.153%	7/16/30	500		511
3	Mizuho Financial Group Inc.	2.869%	9/13/30	100		101
	Morgan Stanley	5.750%	1/25/21	250		259
	Morgan Stanley	2.500%	4/21/21	200		201
	Morgan Stanley	5.500%	7/28/21	650		684
	Morgan Stanley	2.625%	11/17/21	500		506
	Morgan Stanley	2.750%	5/19/22	600		610
	Morgan Stanley	4.875%	11/1/22	425		455
	Morgan Stanley	3.125%	1/23/23	750		770
	Morgan Stanley	3.750%	2/25/23	675		705
3	Morgan Stanley	3.737%	4/24/24	750		781
	Morgan Stanley	3.875%	4/29/24	545		578
	Morgan Stanley	3.700%	10/23/24	650		689
	Morgan Stanley	4.000%	7/23/25	330		357
	Morgan Stanley	5.000%	11/24/25	650		730
	Morgan Stanley	3.875%	1/27/26	225		241
	Morgan Stanley	3.125%	7/27/26	700		721
	Morgan Stanley	6.250%	8/9/26	425		516
	Morgan Stanley	4.350%	9/8/26	400		437
	Morgan Stanley	3.625%	1/20/27	250		265
	Morgan Stanley	3.950%	4/23/27	325		347
3	Morgan Stanley	3.591%	7/22/28	935		991
3	Morgan Stanley	3.772%	1/24/29	575		618
3	Morgan Stanley	4.431%	1/23/30	550		621
	Morgan Stanley	7.250%	4/1/32	150		215
3	Morgan Stanley	3.971%	7/22/38	375		416
3	Morgan Stanley	4.457%	4/22/39	250		294
	Morgan Stanley	6.375%	7/24/42	600		883
	Morgan Stanley	4.300%	1/27/45	650		763
	Morgan Stanley	4.375%	1/22/47	175		209
	MUFG Americas Holdings Corp.	3.500%	6/18/22	475		492
	MUFG Americas Holdings Corp.	3.000%	2/10/25	80		81
	MUFG Union Bank NA	3.150%	4/1/22	1,200		1,227
	National Australia Bank Ltd.	1.875%	7/12/21	175		175
	National Australia Bank Ltd.	3.375%	9/20/21	250		256
	National Australia Bank Ltd.	3.700%	11/4/21	250		258
	National Australia Bank Ltd.	2.500%	5/22/22	550		557
	National Australia Bank Ltd.	3.000%	1/20/23	250		256
	National Australia Bank Ltd.	3.625%	6/20/23	250		262
	National Australia Bank Ltd.	3.375%	1/14/26	100		105
	National Australia Bank Ltd.	2.500%	7/12/26	200		201
	Northern Trust Corp.	3.375%	8/23/21	100		102
	Northern Trust Corp.	3.950%	10/30/25	150		161
	Northern Trust Corp.	3.650%	8/3/28	100		108
3	Northern Trust Corp.	3.375%	5/8/32	50		51
	People’s United Bank NA	4.000%	7/15/24	100		104
	People’s United Financial Inc.	3.650%	12/6/22	100		104
	PNC Bank NA	2.150%	4/29/21	250		251
	PNC Bank NA	2.550%	12/9/21	100		101
	PNC Bank NA	2.625%	2/17/22	175		177
	PNC Bank NA	2.450%	7/28/22	100		101
	PNC Bank NA	2.700%	11/1/22	450		454
3	PNC Bank NA	2.028%	12/9/22	145		145
	PNC Bank NA	3.300%	10/30/24	705		733
	PNC Bank NA	2.950%	2/23/25	150		153
	PNC Bank NA	3.250%	6/1/25	100		105
	PNC Bank NA	3.100%	10/25/27	250		261
	PNC Bank NA	3.250%	1/22/28	150		157
	PNC Bank NA	4.050%	7/26/28	250		274
	PNC Bank NA	2.700%	10/22/29	150		149
	PNC Financial Services Group Inc.	3.500%	1/23/24	100		105
	PNC Financial Services Group Inc.	3.900%	4/29/24	125		131
	PNC Financial Services Group Inc.	3.150%	5/19/27	450		465
	PNC Financial Services Group Inc.	3.450%	4/23/29	500		531
	PNC Funding Corp.	3.300%	3/8/22	340		349
3	Regions Bank	3.374%	8/13/21	150		151
	Regions Bank	6.450%	6/26/37	250		321
	Regions Financial Corp.	3.800%	8/14/23	200		211
	Royal Bank of Canada	2.500%	1/19/21	200		201
	Royal Bank of Canada	3.200%	4/30/21	700		712
	Royal Bank of Canada	2.750%	2/1/22	300		305
	Royal Bank of Canada	2.800%	4/29/22	300		306
	Royal Bank of Canada	3.700%	10/5/23	100		105
	Royal Bank of Canada	2.550%	7/16/24	200		203
	Royal Bank of Canada	2.250%	11/1/24	650		653
	Royal Bank of Canada	4.650%	1/27/26	250		277
	Royal Bank of Scotland Group plc	6.125%	12/15/22	100		109
3	Royal Bank of Scotland Group plc	3.498%	5/15/23	500		511
	Royal Bank of Scotland Group plc	6.100%	6/10/23	195		214
	Royal Bank of Scotland Group plc	3.875%	9/12/23	600		627
	Royal Bank of Scotland Group plc	6.000%	12/19/23	100		111
	Royal Bank of Scotland Group plc	5.125%	5/28/24	500		541
3	Royal Bank of Scotland Group plc	4.519%	6/25/24	300		318
3	Royal Bank of Scotland Group plc	4.892%	5/18/29	1,000		1,127
3	Royal Bank of Scotland Group plc	3.754%	11/1/29	200		204
3	Royal Bank of Scotland Group plc	5.076%	1/27/30	200		229
3	Royal Bank of Scotland Group plc	4.445%	5/8/30	650		715
	Santander Holdings USA Inc.	3.400%	1/18/23	115		118
	Santander Holdings USA Inc.	4.500%	7/17/25	125		134
6	Santander Holdings USA Inc.	3.244%	10/5/26	900		904
	Santander Holdings USA Inc.	4.400%	7/13/27	250		269
	Santander UK Group Holdings plc	3.125%	1/8/21	550		555
	Santander UK Group Holdings plc	2.875%	8/5/21	225		227
	Santander UK Group Holdings plc	3.571%	1/10/23	200		205
3	Santander UK Group Holdings plc	3.823%	11/3/28	200		210
	Santander UK plc	3.400%	6/1/21	200		204
	Santander UK plc	3.750%	11/15/21	200		206
	Santander UK plc	4.000%	3/13/24	200		213
	Santander UK plc	2.875%	6/18/24	200		204
	Skandinaviska Enskilda Banken AB	2.625%	3/15/21	300		302
	Skandinaviska Enskilda Banken AB	1.875%	9/13/21	750		747
	Skandinaviska Enskilda Banken AB	2.800%	3/11/22	250		254
	State Street Corp.	1.950%	5/19/21	125		125
3	State Street Corp.	2.653%	5/15/23	300		305
	State Street Corp.	3.100%	5/15/23	400		411
	State Street Corp.	3.700%	11/20/23	83		88
3	State Street Corp.	3.776%	12/3/24	200		211
	State Street Corp.	3.300%	12/16/24	227		239
	State Street Corp.	3.550%	8/18/25	225		242
3	State Street Corp.	2.354%	11/1/25	125		125
	State Street Corp.	2.650%	5/19/26	125		127
3	State Street Corp.	4.141%	12/3/29	200		223
3	State Street Corp.	3.031%	11/1/34	125		125
	Sumitomo Mitsui Banking Corp.	3.200%	7/18/22	250		257
	Sumitomo Mitsui Banking Corp.	3.950%	7/19/23	100		106
	Sumitomo Mitsui Banking Corp.	3.950%	1/10/24	250		265
	Sumitomo Mitsui Banking Corp.	3.400%	7/11/24	250		261
	Sumitomo Mitsui Financial Group Inc.	2.934%	3/9/21	340		344
	Sumitomo Mitsui Financial Group Inc.	2.058%	7/14/21	250		250
	Sumitomo Mitsui Financial Group Inc.	2.442%	10/19/21	475		478
	Sumitomo Mitsui Financial Group Inc.	2.846%	1/11/22	250		254
	Sumitomo Mitsui Financial Group Inc.	2.784%	7/12/22	200		203
	Sumitomo Mitsui Financial Group Inc.	2.778%	10/18/22	200		203
	Sumitomo Mitsui Financial Group Inc.	3.102%	1/17/23	250		256
	Sumitomo Mitsui Financial Group Inc.	3.748%	7/19/23	200		210
	Sumitomo Mitsui Financial Group Inc.	3.936%	10/16/23	200		212
	Sumitomo Mitsui Financial Group Inc.	2.696%	7/16/24	375		380
	Sumitomo Mitsui Financial Group Inc.	3.784%	3/9/26	150		160
	Sumitomo Mitsui Financial Group Inc.	2.632%	7/14/26	125		125
	Sumitomo Mitsui Financial Group Inc.	3.010%	10/19/26	175		178
	Sumitomo Mitsui Financial Group Inc.	3.446%	1/11/27	200		209
	Sumitomo Mitsui Financial Group Inc.	3.364%	7/12/27	700		729
	Sumitomo Mitsui Financial Group Inc.	3.544%	1/17/28	300		317

372

Total Bond Market Index Portfolio

				Face		Market
			Maturity	Amount		Value•
		Coupon	Date	($000	)	($000	)
	Sumitomo Mitsui Financial Group Inc.	3.944%	7/19/28	100		109
	Sumitomo Mitsui Financial Group Inc.	3.040%	7/16/29	475		484
	Sumitomo Mitsui Financial Group Inc.	3.202%	9/17/29	150		151
	SVB Financial Group	3.500%	1/29/25	100		104
	Svenska Handelsbanken AB	2.450%	3/30/21	300		302
	Svenska Handelsbanken AB	3.350%	5/24/21	200		204
	Svenska Handelsbanken AB	1.875%	9/7/21	350		349
	Synchrony Bank	3.650%	5/24/21	250		255
	Synchrony Bank	3.000%	6/15/22	100		102
	Synchrony Financial	2.850%	7/25/22	75		76
	Synchrony Financial	4.250%	8/15/24	250		267
	Synchrony Financial	4.500%	7/23/25	150		162
	Synchrony Financial	3.700%	8/4/26	125		129
	Synchrony Financial	3.950%	12/1/27	300		315
	Synovus Financial Corp.	3.125%	11/1/22	50		51
	Toronto-Dominion Bank	2.500%	12/14/20	100		101
	Toronto-Dominion Bank	2.550%	1/25/21	450		453
	Toronto-Dominion Bank	2.125%	4/7/21	175		176
	Toronto-Dominion Bank	3.250%	6/11/21	600		612
	Toronto-Dominion Bank	1.800%	7/13/21	150		150
	Toronto-Dominion Bank	1.900%	12/1/22	225		225
	Toronto-Dominion Bank	3.250%	3/11/24	400		417
	Truist Bank	2.625%	1/15/22	250		253
	Truist Bank	2.800%	5/17/22	400		407
3	Truist Bank	3.502%	8/2/22	250		255
	Truist Bank	3.000%	2/2/23	75		77
	Truist Bank	3.200%	4/1/24	500		519
3	Truist Bank	3.689%	8/2/24	250		262
	Truist Bank	2.150%	12/6/24	250		250
	Truist Bank	3.625%	9/16/25	500		532
	Truist Bank	3.300%	5/15/26	200		208
	Truist Financial Corp.	2.150%	2/1/21	125		125
	Truist Financial Corp	2.900%	3/3/21	75		76
	Truist Financial Corp.	2.050%	5/10/21	175		175
	Truist Financial Corp.	3.200%	9/3/21	150		153
	Truist Financial Corp.	2.700%	1/27/22	125		127
	Truist Financial Corp.	2.750%	4/1/22	175		178
	Truist Financial Corp.	3.050%	6/20/22	500		510
	Truist Financial Corp.	3.750%	12/6/23	250		264
	Truist Financial Corp.	2.500%	8/1/24	75		76
	Truist Financial Corp.	2.850%	10/26/24	192		198
	Truist Financial Corp.	3.700%	6/5/25	175		188
	Truist Financial Corp.	3.875%	3/19/29	200		215
6	UBS AG	2.450%	12/1/20	200		201
	US Bancorp	2.350%	1/29/21	100		100
	US Bancorp	4.125%	5/24/21	250		257
	US Bancorp	2.625%	1/24/22	200		203
	US Bancorp	3.000%	3/15/22	125		128
	US Bancorp	2.950%	7/15/22	400		410
	US Bancorp	3.700%	1/30/24	150		159
	US Bancorp	3.375%	2/5/24	500		523
	US Bancorp	2.400%	7/30/24	200		202
	US Bancorp	3.600%	9/11/24	50		53
	US Bancorp	3.950%	11/17/25	25		27
	US Bancorp	3.100%	4/27/26	300		312
	US Bancorp	3.150%	4/27/27	275		288
	US Bancorp	3.900%	4/26/28	100		112
	US Bancorp	3.000%	7/30/29	190		194
	US Bank NA	2.650%	5/23/22	250		254
	US Bank NA	1.950%	1/9/23	300		300
	US Bank NA	2.850%	1/23/23	250		257
	US Bank NA	3.400%	7/24/23	250		261
	US Bank NA	2.800%	1/27/25	625		644
	Wachovia Corp.	6.605%	10/1/25	265		313
	Wells Fargo & Co.	2.550%	12/7/20	300		301
	Wells Fargo & Co.	2.500%	3/4/21	1,350		1,359
	Wells Fargo & Co.	4.600%	4/1/21	825		850
	Wells Fargo & Co.	2.100%	7/26/21	350		351
	Wells Fargo & Co.	3.500%	3/8/22	450		464
	Wells Fargo & Co.	2.625%	7/22/22	775		785
	Wells Fargo & Co.	3.069%	1/24/23	1,500		1,526
	Wells Fargo & Co.	3.450%	2/13/23	350		362
	Wells Fargo & Co.	3.750%	1/24/24	200		211
	Wells Fargo & Co.	3.300%	9/9/24	400		419
	Wells Fargo & Co.	3.000%	2/19/25	425		438
3	Wells Fargo & Co.	2.406%	10/30/25	600		598
	Wells Fargo & Co.	3.000%	4/22/26	1,275		1,311
	Wells Fargo & Co.	4.100%	6/3/26	725		779
	Wells Fargo & Co.	3.000%	10/23/26	675		690
	Wells Fargo & Co.	4.300%	7/22/27	475		518
3	Wells Fargo & Co.	3.584%	5/22/28	500		530
	Wells Fargo & Co.	4.150%	1/24/29	200		222
3	Wells Fargo & Co.	2.879%	10/30/30	1,800		1,811
	Wells Fargo & Co.	5.375%	2/7/35	200		258
	Wells Fargo & Co.	5.375%	11/2/43	500		630
	Wells Fargo & Co.	5.606%	1/15/44	600		793
	Wells Fargo & Co.	4.650%	11/4/44	325		381
	Wells Fargo & Co.	3.900%	5/1/45	250		284
	Wells Fargo & Co.	4.900%	11/17/45	250		305
	Wells Fargo & Co.	4.400%	6/14/46	300		344
	Wells Fargo & Co.	4.750%	12/7/46	350		417
	Wells Fargo Bank NA	2.600%	1/15/21	250		251
3	Wells Fargo Bank NA	3.325%	7/23/21	250		252
	Wells Fargo Bank NA	3.625%	10/22/21	450		463
3	Wells Fargo Bank NA	2.897%	5/27/22	600		606
3	Wells Fargo Bank NA	2.082%	9/9/22	850		850
	Wells Fargo Bank NA	3.550%	8/14/23	750		783
	Wells Fargo Bank NA	5.950%	8/26/36	200		265
	Wells Fargo Bank NA	5.850%	2/1/37	300		398
	Wells Fargo Bank NA	6.600%	1/15/38	225		324
	Westpac Banking Corp.	2.100%	5/13/21	600	��	601
	Westpac Banking Corp.	2.000%	8/19/21	275		275
	Westpac Banking Corp.	2.500%	6/28/22	1,000		1,011
	Westpac Banking Corp.	2.750%	1/11/23	200		203
	Westpac Banking Corp.	3.650%	5/15/23	75		79
	Westpac Banking Corp.	3.300%	2/26/24	250		260
	Westpac Banking Corp.	2.350%	2/19/25	200		200
	Westpac Banking Corp.	2.850%	5/13/26	200		204
	Westpac Banking Corp.	2.700%	8/19/26	175		177
	Westpac Banking Corp.	3.350%	3/8/27	250		264
3	Westpac Banking Corp.	4.322%	11/23/31	500		527
	Westpac Banking Corp.	4.110%	7/24/34	25		26
	Westpac Banking Corp.	4.421%	7/24/39	100		110
	Zions Bancorp NA	3.500%	8/27/21	250		255
	Zions Bancorp NA	3.250%	10/29/29	250		245
	Brokerage (0.2%)
	Affiliated Managers Group Inc.	4.250%	2/15/24	100		106
	Affiliated Managers Group Inc.	3.500%	8/1/25	125		130
	Ameriprise Financial Inc.	3.000%	3/22/22	50		51
	Ameriprise Financial Inc.	4.000%	10/15/23	250		267
	Ameriprise Financial Inc.	3.700%	10/15/24	187		200
	BGC Partners Inc.	5.125%	5/27/21	50		52
	BGC Partners Inc.	3.750%	10/1/24	105		105
	BlackRock Inc.	4.250%	5/24/21	125		129
	BlackRock Inc.	3.375%	6/1/22	175		181
	BlackRock Inc.	3.500%	3/18/24	175		186
	BlackRock Inc.	3.200%	3/15/27	100		106
	BlackRock Inc.	3.250%	4/30/29	90		96
	Brookfield Asset Management Inc.	4.000%	1/15/25	105		113
	Brookfield Finance Inc.	4.250%	6/2/26	50		54
	Brookfield Finance Inc.	3.900%	1/25/28	125		134
	Brookfield Finance Inc.	4.850%	3/29/29	150		172
	Brookfield Finance Inc.	4.700%	9/20/47	150		172
	Brookfield Finance LLC	4.000%	4/1/24	175		188
	Cboe Global Markets Inc.	3.650%	1/12/27	110		118
	Charles Schwab Corp.	3.250%	5/21/21	125		127
	Charles Schwab Corp.	3.225%	9/1/22	300		309
	Charles Schwab Corp.	2.650%	1/25/23	100		102
	Charles Schwab Corp.	3.550%	2/1/24	400		422
	Charles Schwab Corp.	3.850%	5/21/25	25		27
	Charles Schwab Corp.	3.200%	3/2/27	250		262

373

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Charles Schwab Corp.	3.200%	1/25/28		100			104
	Charles Schwab Corp.	4.000%	2/1/29		125			138
	Charles Schwab Corp.	3.250%	5/22/29		100			105
	CME Group Inc.	3.000%	9/15/22		125			129
	CME Group Inc.	3.000%	3/15/25		125			129
	CME Group Inc.	5.300%	9/15/43		150			201
	CME Group Inc.	4.150%	6/15/48		125			149
	E*TRADE Financial Corp.	3.800%	8/24/27		75			78
	E*TRADE Financial Corp.	4.500%	6/20/28		65			71
	Eaton Vance Corp.	3.625%	6/15/23		50			52
	Eaton Vance Corp.	3.500%	4/6/27		100			106
	Franklin Resources Inc.	2.800%	9/15/22		225			231
	Intercontinental Exchange Inc.	2.350%	9/15/22		100			101
	Intercontinental Exchange Inc.	3.450%	9/21/23		100			105
	Intercontinental Exchange Inc.	4.000%	10/15/23		150			160
	Intercontinental Exchange Inc.	3.750%	12/1/25		300			323
	Intercontinental Exchange Inc.	3.100%	9/15/27		150			157
	Intercontinental Exchange Inc.	3.750%	9/21/28		75			82
	Intercontinental Exchange Inc.	4.250%	9/21/48		175			207
	Invesco Finance plc	3.125%	11/30/22		175			180
	Invesco Finance plc	4.000%	1/30/24		450			477
	Invesco Finance plc	3.750%	1/15/26		170			181
	Invesco Finance plc	5.375%	11/30/43		75			90
	Janus Capital Group Inc.	4.875%	8/1/25		75			81
	Jefferies Financial Group Inc.	5.500%	10/18/23		150			163
	Jefferies Group LLC	6.875%	4/15/21		105			111
	Jefferies Group LLC	5.125%	1/20/23		100			108
	Jefferies Group LLC	4.850%	1/15/27		200			221
	Jefferies Group LLC	6.450%	6/8/27		50			58
	Jefferies Group LLC	6.250%	1/15/36		75			89
	Jefferies Group LLC	6.500%	1/20/43		75			89
	Jefferies Group LLC / Jefferies Group Capital Finance Inc.	4.150%	1/23/30		300			316
	Lazard Group LLC	3.750%	2/13/25		50			53
	Lazard Group LLC	3.625%	3/1/27		100			102
	Lazard Group LLC	4.500%	9/19/28		100			111
	Legg Mason Inc.	4.750%	3/15/26		100			109
	Legg Mason Inc.	5.625%	1/15/44		100			113
	Nasdaq Inc.	4.250%	6/1/24		125			135
	Nasdaq Inc.	3.850%	6/30/26		100			107
	Raymond James Financial Inc.	3.625%	9/15/26		75			79
	Raymond James Financial Inc.	4.950%	7/15/46		210			249
	Stifel Financial Corp.	3.500%	12/1/20		50			51
	Stifel Financial Corp.	4.250%	7/18/24		150			158
	TD Ameritrade Holding Corp.	2.950%	4/1/22		125			128
	TD Ameritrade Holding Corp.	3.625%	4/1/25		100			106
	TD Ameritrade Holding Corp.	3.300%	4/1/27		125			131
	TD Ameritrade Holding Corp.	2.750%	10/1/29		50			50
	Finance Companies (0.2%)
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.500%	5/15/21		150			155
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	5.000%	10/1/21		200			210
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.450%	12/16/21		70			73
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.950%	2/1/22		125			129
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.500%	5/26/22		100			103
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.625%	7/1/22		175			185
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.300%	1/23/23		125			128
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	4.450%	10/1/25		125			134
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.650%	7/21/27		150			154
	AerCap Ireland Capital DAC / AerCap Global Aviation Trust	3.875%	1/23/28		300			311
	Air Lease Corp.	2.500%	3/1/21		250			251
	Air Lease Corp.	3.875%	4/1/21		75			77
	Air Lease Corp.	3.375%	6/1/21		75			76
	Air Lease Corp.	3.750%	2/1/22		300			309
	Air Lease Corp.	2.625%	7/1/22		100			101
	Air Lease Corp.	2.250%	1/15/23		100			100
	Air Lease Corp.	2.750%	1/15/23		100			101
	Air Lease Corp.	3.875%	7/3/23		100			105
	Air Lease Corp.	4.250%	2/1/24		200			214
	Air Lease Corp.	4.250%	9/15/24		75			80
	Air Lease Corp.	3.250%	3/1/25		150			154
	Air Lease Corp.	3.625%	4/1/27		75			78
	Air Lease Corp.	3.625%	12/1/27		100			103
	Air Lease Corp.	4.625%	10/1/28		100			110
	Air Lease Corp.	3.250%	10/1/29		100			99
	Aircastle Ltd.	4.400%	9/25/23		125			132
	Aircastle Ltd.	4.125%	5/1/24		400			419
	Aircastle Ltd.	4.250%	6/15/26		100			106
	Ares Capital Corp.	3.500%	2/10/23		250			254
	Ares Capital Corp.	4.200%	6/10/24		200			210
	Ares Capital Corp.	4.250%	3/1/25		100			104
	FS KKR Capital Corp.	4.750%	5/15/22		25			26
	FS KKR Capital Corp.	4.625%	7/15/24		25			26
	FS KKR Capital Corp.	4.125%	2/1/25		100			101
	GATX Corp.	3.250%	3/30/25		125			128
	GATX Corp.	3.250%	9/15/26		50			51
	GATX Corp.	3.850%	3/30/27		175			183
	GATX Corp.	3.500%	3/15/28		100			102
	GATX Corp.	4.550%	11/7/28		150			164
	GATX Corp.	4.700%	4/1/29		75			84
	GATX Corp.	4.500%	3/30/45		50			52
	GE Capital International Funding Co. Unlimited Co.	3.373%	11/15/25		358			371
	GE Capital International Funding Co. Unlimited Co.	4.418%	11/15/35		2,168			2,303
	International Lease Finance Corp.	8.250%	12/15/20		200			211
	International Lease Finance Corp.	4.625%	4/15/21		89			92
	International Lease Finance Corp.	8.625%	1/15/22		315			354
	International Lease Finance Corp.	5.875%	8/15/22		160			174
	Owl Rock Capital Corp.	5.250%	4/15/24		25			26
	Owl Rock Capital Corp.	4.000%	3/30/25		40			40
	Prospect Capital Corp.	5.875%	3/15/23		40			42
	TPG Specialty Lending Inc.	3.875%	11/1/24		50			50
	Insurance (1.2%)
	ACE Capital Trust II	9.700%	4/1/30		50			75
	AEGON Funding Co. LLC	5.750%	12/15/20		81			84
	Aetna Inc.	2.750%	11/15/22		200			203
	Aetna Inc.	2.800%	6/15/23		125			127
	Aetna Inc.	3.500%	11/15/24		125			131
	Aetna Inc.	6.625%	6/15/36		130			174
	Aetna Inc.	6.750%	12/15/37		100			134
	Aetna Inc.	4.500%	5/15/42		75			80
	Aetna Inc.	4.125%	11/15/42		75			77
	Aetna Inc.	3.875%	8/15/47		300			303
	Aflac Inc.	4.000%	2/15/22		50			52
	Aflac Inc.	3.625%	6/15/23		125			131
	Aflac Inc.	3.625%	11/15/24		125			134
	Aflac Inc.	3.250%	3/17/25		125			131
	Aflac Inc.	2.875%	10/15/26		75			77
	Aflac Inc.	4.000%	10/15/46		50			54
	Aflac Inc.	4.750%	1/15/49		115			137
	Alleghany Corp.	4.900%	9/15/44		100			117
	Allied World Assurance Co. Holdings Ltd.	4.350%	10/29/25		75			78
	Allstate Corp.	3.150%	6/15/23		100			104
	Allstate Corp.	5.550%	5/9/35		75			95
	Allstate Corp.	4.500%	6/15/43		125			149
	Allstate Corp.	4.200%	12/15/46		200			230
	Allstate Corp.	3.850%	8/10/49		100			111
3	Allstate Corp.	5.750%	8/15/53		75			80
3	Allstate Corp.	6.500%	5/15/67		100			124

374

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	American Financial Group Inc.	3.500%	8/15/26		50			51
	American Financial Group Inc.	4.500%	6/15/47		110			119
	American International Group Inc.	6.400%	12/15/20		385			401
	American International Group Inc.	3.300%	3/1/21		275			279
	American International Group Inc.	4.875%	6/1/22		250			267
	American International Group Inc.	4.125%	2/15/24		70			75
	American International Group Inc.	3.750%	7/10/25		85			91
	American International Group Inc.	4.200%	4/1/28		200			219
	American International Group Inc.	4.250%	3/15/29		50			56
	American International Group Inc.	3.875%	1/15/35		200			212
	American International Group Inc.	4.700%	7/10/35		75			87
	American International Group Inc.	6.250%	5/1/36		475			634
	American International Group Inc.	4.500%	7/16/44		500			573
	American International Group Inc.	4.750%	4/1/48		100			120
3	American International Group Inc.	5.750%	4/1/48		125			135
	American International Group Inc.	4.375%	1/15/55		125			137
3	American International Group Inc.	8.175%	5/15/68		95			129
	Anthem Inc.	3.700%	8/15/21		125			128
	Anthem Inc.	3.125%	5/15/22		150			154
	Anthem Inc.	2.950%	12/1/22		150			154
	Anthem Inc.	3.300%	1/15/23		200			207
	Anthem Inc.	3.500%	8/15/24		475			497
	Anthem Inc.	3.350%	12/1/24		160			167
	Anthem Inc.	2.375%	1/15/25		100			100
	Anthem Inc.	3.650%	12/1/27		300			316
	Anthem Inc.	4.101%	3/1/28		400			433
	Anthem Inc.	2.875%	9/15/29		75			75
	Anthem Inc.	5.950%	12/15/34		1			1
	Anthem Inc.	5.850%	1/15/36		75			91
	Anthem Inc.	6.375%	6/15/37		50			65
	Anthem Inc.	4.625%	5/15/42		175			196
	Anthem Inc.	4.650%	1/15/43		775			873
	Anthem Inc.	5.100%	1/15/44		100			118
	Anthem Inc.	4.375%	12/1/47		300			329
	Anthem Inc.	4.550%	3/1/48		155			174
	Anthem Inc.	4.850%	8/15/54		50			54
	Aon Corp.	8.205%	1/1/27		25			32
	Aon Corp.	4.500%	12/15/28		100			112
	Aon Corp.	3.750%	5/2/29		90			96
	Aon Corp.	6.250%	9/30/40		100			137
	Aon plc	3.500%	6/14/24		150			157
	Aon plc	3.875%	12/15/25		200			215
	Aon plc	4.600%	6/14/44		175			199
	Aon plc	4.750%	5/15/45		100			117
	Arch Capital Finance LLC	4.011%	12/15/26		100			110
	Arch Capital Finance LLC	5.031%	12/15/46		100			125
	Arch Capital Group Ltd.	7.350%	5/1/34		50			71
	Arch Capital Group US Inc.	5.144%	11/1/43		50			61
	Aspen Insurance Holdings Ltd.	4.650%	11/15/23		175			187
	Assurant Inc.	4.000%	3/15/23		50			52
	Assurant Inc.	4.200%	9/27/23		100			105
	Assurant Inc.	4.900%	3/27/28		100			110
	Assurant Inc.	6.750%	2/15/34		9			11
	Assured Guaranty US Holdings Inc.	5.000%	7/1/24		75			83
	Athene Holding Ltd.	4.125%	1/12/28		200			207
	AXA Equitable Holdings Inc.	3.900%	4/20/23		100			105
	AXA Equitable Holdings Inc.	7.000%	4/1/28		75			91
	AXA Equitable Holdings Inc.	4.350%	4/20/28		680			738
	AXA Equitable Holdings Inc.	5.000%	4/20/48		350			374
	AXA SA	8.600%	12/15/30		225			329
	AXIS Specialty Finance LLC	3.900%	7/15/29		50			52
3	AXIS Specialty Finance LLC	4.900%	1/15/40		50			51
	AXIS Specialty Finance plc	4.000%	12/6/27		550			580
	Berkshire Hathaway Finance Corp.	4.250%	1/15/21		195			200
	Berkshire Hathaway Finance Corp.	3.000%	5/15/22		150			154
	Berkshire Hathaway Finance Corp.	5.750%	1/15/40		140			192
	Berkshire Hathaway Finance Corp.	4.400%	5/15/42		195			230
	Berkshire Hathaway Finance Corp.	4.300%	5/15/43		300			343
	Berkshire Hathaway Finance Corp.	4.200%	8/15/48		700			819
	Berkshire Hathaway Finance Corp.	4.250%	1/15/49		710			839
	Berkshire Hathaway Inc.	2.200%	3/15/21		200			201
	Berkshire Hathaway Inc.	3.000%	2/11/23		75			78
	Berkshire Hathaway Inc.	2.750%	3/15/23		300			308
	Berkshire Hathaway Inc.	3.125%	3/15/26		725			765
	Berkshire Hathaway Inc.	4.500%	2/11/43		175			213
	Brighthouse Financial Inc.	3.700%	6/22/27		250			249
	Brighthouse Financial Inc.	4.700%	6/22/47		130			120
	Brown & Brown Inc.	4.200%	9/15/24		75			79
	Brown & Brown Inc.	4.500%	3/15/29		75			82
	Chubb Corp.	6.000%	5/11/37		125			171
	Chubb Corp.	6.500%	5/15/38		95			139
	Chubb INA Holdings Inc.	2.875%	11/3/22		475			487
	Chubb INA Holdings Inc.	2.700%	3/13/23		125			128
	Chubb INA Holdings Inc.	3.350%	5/15/24		100			105
	Chubb INA Holdings Inc.	3.150%	3/15/25		250			262
	Chubb INA Holdings Inc.	6.700%	5/15/36		200			287
	Chubb INA Holdings Inc.	4.150%	3/13/43		100			116
	Chubb INA Holdings Inc.	4.350%	11/3/45		350			420
	Cigna Holding Co.	4.375%	12/15/20		45			46
	Cincinnati Financial Corp.	6.920%	5/15/28		100			129
	Cincinnati Financial Corp.	6.125%	11/1/34		75			99
	CNA Financial Corp.	5.750%	8/15/21		75			79
	CNA Financial Corp.	3.950%	5/15/24		150			160
	CNA Financial Corp.	4.500%	3/1/26		125			137
	CNA Financial Corp.	3.450%	8/15/27		100			104
	CNA Financial Corp.	3.900%	5/1/29		100			107
	Enstar Group Ltd.	4.500%	3/10/22		50			52
	Enstar Group Ltd.	4.950%	6/1/29		395			423
	Everest Reinsurance Holdings Inc.	4.868%	6/1/44		100			111
	Fairfax Financial Holdings Ltd.	4.850%	4/17/28		50			54
	First American Financial Corp.	4.600%	11/15/24		100			106
	Globe Life Inc.	3.800%	9/15/22		50			51
	Globe Life Inc.	4.550%	9/15/28		80			89
	Hanover Insurance Group Inc.	4.500%	4/15/26		100			108
	Hartford Financial Services Group Inc.	2.800%	8/19/29		100			101
	Hartford Financial Services Group Inc.	5.950%	10/15/36		50			65
	Hartford Financial Services Group Inc.	6.100%	10/1/41		100			137
	Hartford Financial Services Group Inc.	4.300%	4/15/43		175			195
	Hartford Financial Services Group Inc.	3.600%	8/19/49		125			128
	Humana Inc.	2.900%	12/15/22		150			153
	Humana Inc.	3.850%	10/1/24		326			346
	Humana Inc.	3.950%	3/15/27		150			161
	Humana Inc.	4.625%	12/1/42		110			120
	Humana Inc.	4.950%	10/1/44		200			236
	Kemper Corp.	4.350%	2/15/25		40			42
	Lincoln National Corp.	4.850%	6/24/21		47			49
	Lincoln National Corp.	4.200%	3/15/22		50			52
	Lincoln National Corp.	4.000%	9/1/23		50			53
	Lincoln National Corp.	3.625%	12/12/26		75			79
	Lincoln National Corp.	3.800%	3/1/28		100			106
	Lincoln National Corp.	3.050%	1/15/30		350			348
	Lincoln National Corp.	6.300%	10/9/37		75			97
	Lincoln National Corp.	7.000%	6/15/40		160			227
	Loews Corp.	2.625%	5/15/23		75			76
	Loews Corp.	6.000%	2/1/35		50			64
	Loews Corp.	4.125%	5/15/43		350			384
	Manulife Financial Corp.	4.150%	3/4/26		175			191
3	Manulife Financial Corp.	4.061%	2/24/32		190			195
	Manulife Financial Corp.	5.375%	3/4/46		200			263
	Markel Corp.	4.900%	7/1/22		125			133
	Markel Corp.	3.500%	11/1/27		50			51
	Markel Corp.	3.350%	9/17/29		75			77
	Markel Corp.	4.300%	11/1/47		50			52
	Markel Corp.	5.000%	5/20/49		50			58
	Markel Corp.	4.150%	9/17/50		200			206
	Marsh & McLennan Cos. Inc.	4.800%	7/15/21		295			306
	Marsh & McLennan Cos. Inc.	3.300%	3/14/23		75			77
	Marsh & McLennan Cos. Inc.	3.500%	6/3/24		100			105
	Marsh & McLennan Cos. Inc.	3.500%	3/10/25		100			105
	Marsh & McLennan Cos. Inc.	3.750%	3/14/26		100			107
	Marsh & McLennan Cos. Inc.	4.375%	3/15/29		325			370
	Marsh & McLennan Cos. Inc.	4.350%	1/30/47		100			113

375

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Marsh & McLennan Cos. Inc.	4.200%	3/1/48		200			225
	Marsh & McLennan Cos. Inc.	4.900%	3/15/49		200			253
	Mercury General Corp.	4.400%	3/15/27		75			79
	MetLife Inc.	3.048%	12/15/22		225			233
	MetLife Inc.	3.600%	4/10/24		175			186
	MetLife Inc.	3.000%	3/1/25		250			260
	MetLife Inc.	3.600%	11/13/25		400			429
	MetLife Inc.	6.500%	12/15/32		175			242
	MetLife Inc.	6.375%	6/15/34		100			143
	MetLife Inc.	5.875%	2/6/41		590			799
	MetLife Inc.	4.125%	8/13/42		175			198
	MetLife Inc.	4.875%	11/13/43		175			217
	MetLife Inc.	4.721%	12/15/44		63			76
	MetLife Inc.	4.600%	5/13/46		70			86
3	MetLife Inc.	6.400%	12/15/66		210			256
	Old Republic International Corp.	4.875%	10/1/24		121			132
	Old Republic International Corp.	3.875%	8/26/26		100			106
	PartnerRe Finance B LLC	3.700%	7/2/29		95			99
	Primerica Inc.	4.750%	7/15/22		125			132
	Principal Financial Group Inc.	3.300%	9/15/22		50			52
	Principal Financial Group Inc.	3.125%	5/15/23		100			103
	Principal Financial Group Inc.	3.400%	5/15/25		75			79
	Principal Financial Group Inc.	3.100%	11/15/26		100			103
	Principal Financial Group Inc.	4.625%	9/15/42		50			57
	Principal Financial Group Inc.	4.350%	5/15/43		50			56
	Principal Financial Group Inc.	4.300%	11/15/46		75			85
	Progressive Corp.	3.750%	8/23/21		75			77
	Progressive Corp.	2.450%	1/15/27		150			151
	Progressive Corp.	6.625%	3/1/29		125			162
	Progressive Corp.	4.350%	4/25/44		50			59
	Progressive Corp.	4.125%	4/15/47		290			338
	Progressive Corp.	4.200%	3/15/48		115			132
	Prudential Financial Inc.	4.500%	11/16/21		75			79
	Prudential Financial Inc.	3.500%	5/15/24		125			133
	Prudential Financial Inc.	5.750%	7/15/33		100			127
	Prudential Financial Inc.	5.700%	12/14/36		125			170
	Prudential Financial Inc.	6.625%	12/1/37		65			90
	Prudential Financial Inc.	6.625%	6/21/40		65			91
3	Prudential Financial Inc.	5.875%	9/15/42		125			135
3	Prudential Financial Inc.	5.625%	6/15/43		375			403
	Prudential Financial Inc.	5.100%	8/15/43		50			59
3	Prudential Financial Inc.	5.200%	3/15/44		85			90
	Prudential Financial Inc.	4.600%	5/15/44		525			619
3	Prudential Financial Inc.	5.375%	5/15/45		250			266
	Prudential Financial Inc.	3.905%	12/7/47		182			194
3	Prudential Financial Inc.	5.700%	9/15/48		250			284
	Prudential Financial Inc.	3.935%	12/7/49		263			287
	Prudential Financial Inc.	4.350%	2/25/50		200			230
	Reinsurance Group of America Inc.	5.000%	6/1/21		75			78
	Reinsurance Group of America Inc.	4.700%	9/15/23		75			81
	Reinsurance Group of America Inc.	3.900%	5/15/29		50			53
	RenaissanceRe Finance Inc.	3.450%	7/1/27		75			78
	RenaissanceRe Holdings Ltd.	3.600%	4/15/29		75			79
	Selective Insurance Group Inc.	5.375%	3/1/49		50			59
	Sompo International Holdings Ltd.	4.700%	10/15/22		100			106
	Swiss Re Solutions Holding Corp.	7.000%	2/15/26		75			93
	Travelers Cos. Inc.	6.250%	6/15/37		150			207
	Travelers Cos. Inc.	4.300%	8/25/45		150			176
	Travelers Cos. Inc.	4.000%	5/30/47		125			140
	Travelers Cos. Inc.	4.100%	3/4/49		200			232
	Trinity Acquisition plc	4.400%	3/15/26		100			108
	UnitedHealth Group Inc.	4.700%	2/15/21		75			77
	UnitedHealth Group Inc.	2.125%	3/15/21		225			225
	UnitedHealth Group Inc.	3.375%	11/15/21		100			102
	UnitedHealth Group Inc.	2.875%	12/15/21		125			127
	UnitedHealth Group Inc.	3.350%	7/15/22		180			186
	UnitedHealth Group Inc.	2.375%	10/15/22		150			152
	UnitedHealth Group Inc.	2.750%	2/15/23		175			178
	UnitedHealth Group Inc.	2.875%	3/15/23		25			26
	UnitedHealth Group Inc.	3.500%	6/15/23		100			105
	UnitedHealth Group Inc.	3.500%	2/15/24		100			105
	UnitedHealth Group Inc.	2.375%	8/15/24		300			304
	UnitedHealth Group Inc.	3.750%	7/15/25		950			1,026
	UnitedHealth Group Inc.	3.700%	12/15/25		75			81
	UnitedHealth Group Inc.	3.100%	3/15/26		225			235
	UnitedHealth Group Inc.	3.450%	1/15/27		75			80
	UnitedHealth Group Inc.	3.375%	4/15/27		350			372
	UnitedHealth Group Inc.	2.950%	10/15/27		150			155
	UnitedHealth Group Inc.	3.850%	6/15/28		400			438
	UnitedHealth Group Inc.	3.875%	12/15/28		150			165
	UnitedHealth Group Inc.	2.875%	8/15/29		100			102
	UnitedHealth Group Inc.	4.625%	7/15/35		175			212
	UnitedHealth Group Inc.	6.500%	6/15/37		50			71
	UnitedHealth Group Inc.	6.625%	11/15/37		125			178
	UnitedHealth Group Inc.	6.875%	2/15/38		245			363
	UnitedHealth Group Inc.	3.500%	8/15/39		240			251
	UnitedHealth Group Inc.	5.950%	2/15/41		60			81
	UnitedHealth Group Inc.	4.625%	11/15/41		110			130
	UnitedHealth Group Inc.	4.375%	3/15/42		50			57
	UnitedHealth Group Inc.	3.950%	10/15/42		175			191
	UnitedHealth Group Inc.	4.250%	3/15/43		125			142
	UnitedHealth Group Inc.	4.750%	7/15/45		305			372
	UnitedHealth Group Inc.	4.200%	1/15/47		210			241
	UnitedHealth Group Inc.	4.250%	4/15/47		100			115
	UnitedHealth Group Inc.	3.750%	10/15/47		350			373
	UnitedHealth Group Inc.	4.250%	6/15/48		300			348
	UnitedHealth Group Inc.	4.450%	12/15/48		150			178
	UnitedHealth Group Inc.	3.700%	8/15/49		190			202
	UnitedHealth Group Inc.	3.875%	8/15/59		240			258
	Unum Group	4.000%	3/15/24		125			132
	Unum Group	4.000%	6/15/29		80			84
	Unum Group	5.750%	8/15/42		25			28
	Unum Group	4.500%	12/15/49		100			97
	Voya Financial Inc.	3.125%	7/15/24		100			103
	Voya Financial Inc.	3.650%	6/15/26		250			263
	Voya Financial Inc.	5.700%	7/15/43		75			95
	Voya Financial Inc.	4.800%	6/15/46		40			46
	Willis North America Inc.	3.600%	5/15/24		125			130
	Willis North America Inc.	4.500%	9/15/28		100			110
	Willis North America Inc.	2.950%	9/15/29		940			933
	Willis North America Inc.	5.050%	9/15/48		50			58
	Willis North America Inc.	3.875%	9/15/49		540			538
	XLIT Ltd.	4.450%	3/31/25		50			54
	XLIT Ltd.	5.500%	3/31/45		100			126
	Other Finance (0.0%)
	ORIX Corp.	2.900%	7/18/22		50			51
	ORIX Corp.	3.250%	12/4/24		75			78
	ORIX Corp.	3.700%	7/18/27		200			211
	Real Estate Investment Trusts (0.8%)
	Alexandria Real Estate Equities Inc.	4.000%	1/15/24		175			186
	Alexandria Real Estate Equities Inc.	3.450%	4/30/25		125			131
	Alexandria Real Estate Equities Inc.	3.800%	4/15/26		50			53
	Alexandria Real Estate Equities Inc.	3.950%	1/15/27		50			53
	Alexandria Real Estate Equities Inc.	3.950%	1/15/28		50			54
	Alexandria Real Estate Equities Inc.	4.500%	7/30/29		100			113
	Alexandria Real Estate Equities Inc.	2.750%	12/15/29		200			197
	Alexandria Real Estate Equities Inc.	4.700%	7/1/30		125			143
	Alexandria Real Estate Equities Inc.	3.375%	8/15/31		150			156
	Alexandria Real Estate Equities Inc.	4.850%	4/15/49		50			61
	Alexandria Real Estate Equities Inc.	4.000%	2/1/50		125			137
	American Campus Communities Operating Partnership LP	3.750%	4/15/23		75			78
	American Campus Communities Operating Partnership LP	4.125%	7/1/24		100			107
	American Campus Communities Operating Partnership LP	3.300%	7/15/26		50			52
	American Campus Communities Operating Partnership LP	3.625%	11/15/27		75			78
	American Homes 4 Rent LP	4.900%	2/15/29		100			112
	AvalonBay Communities Inc.	2.850%	3/15/23		25			26

376

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
AvalonBay Communities Inc.	4.200%	12/15/23		400			429
AvalonBay Communities Inc.	3.450%	6/1/25		100			105
AvalonBay Communities Inc.	2.950%	5/11/26		150			154
AvalonBay Communities Inc.	2.900%	10/15/26		50			51
AvalonBay Communities Inc.	3.350%	5/15/27		75			79
AvalonBay Communities Inc.	3.200%	1/15/28		75			78
AvalonBay Communities Inc.	3.300%	6/1/29		70			74
AvalonBay Communities Inc.	4.350%	4/15/48		60			71
Boston Properties LP	4.125%	5/15/21		75			77
Boston Properties LP	3.850%	2/1/23		225			236
Boston Properties LP	3.125%	9/1/23		275			283
Boston Properties LP	3.200%	1/15/25		100			104
Boston Properties LP	3.650%	2/1/26		100			106
Boston Properties LP	2.750%	10/1/26		50			50
Boston Properties LP	2.900%	3/15/30		100			100
Brandywine Operating Partnership LP	3.950%	2/15/23		700			727
Brandywine Operating Partnership LP	3.950%	11/15/27		100			105
Brixmor Operating Partnership LP	3.875%	8/15/22		150			156
Brixmor Operating Partnership LP	3.650%	6/15/24		50			52
Brixmor Operating Partnership LP	3.850%	2/1/25		125			131
Brixmor Operating Partnership LP	4.125%	6/15/26		200			212
Brixmor Operating Partnership LP	3.900%	3/15/27		75			78
Brixmor Operating Partnership LP	4.125%	5/15/29		533			571
Camden Property Trust	4.100%	10/15/28		60			67
Camden Property Trust	3.150%	7/1/29		50			52
Camden Property Trust	3.350%	11/1/49		120			120
Columbia Property Trust Operating Partnership LP	4.150%	4/1/25		100			105
Columbia Property Trust Operating Partnership LP	3.650%	8/15/26		25			25
Corporate Office Properties LP	3.700%	6/15/21		50			51
Corporate Office Properties LP	3.600%	5/15/23		150			154
CubeSmart LP	4.375%	12/15/23		100			106
CubeSmart LP	4.000%	11/15/25		50			53
CubeSmart LP	3.125%	9/1/26		100			101
CubeSmart LP	4.375%	2/15/29		50			55
CubeSmart LP	3.000%	2/15/30		75			74
CyrusOne LP / CyrusOne Finance Corp.	2.900%	11/15/24		120			120
CyrusOne LP / CyrusOne Finance Corp.	3.450%	11/15/29		350			350
Digital Realty Trust LP	3.950%	7/1/22		75			78
Digital Realty Trust LP	3.625%	10/1/22		975			1,008
Digital Realty Trust LP	3.700%	8/15/27		200			210
Digital Realty Trust LP	4.450%	7/15/28		200			221
Digital Realty Trust LP	3.600%	7/1/29		175			183
Duke Realty LP	3.250%	6/30/26		175			180
Duke Realty LP	3.375%	12/15/27		160			167
Duke Realty LP	4.000%	9/15/28		50			54
Duke Realty LP	2.875%	11/15/29		70			70
EPR Properties	5.250%	7/15/23		125			134
EPR Properties	4.500%	4/1/25		50			53
EPR Properties	4.750%	12/15/26		100			108
EPR Properties	4.950%	4/15/28		150			163
EPR Properties	3.750%	8/15/29		100			101
ERP Operating LP	4.625%	12/15/21		129			135
ERP Operating LP	3.000%	4/15/23		125			129
ERP Operating LP	3.375%	6/1/25		125			131
ERP Operating LP	2.850%	11/1/26		50			51
ERP Operating LP	3.500%	3/1/28		100			106
ERP Operating LP	4.150%	12/1/28		70			78
ERP Operating LP	3.000%	7/1/29		75			77
ERP Operating LP	2.500%	2/15/30		150			148
ERP Operating LP	4.500%	7/1/44		150			177
ERP Operating LP	4.500%	6/1/45		25			30
ERP Operating LP	4.000%	8/1/47		100			110
Essex Portfolio LP	5.200%	3/15/21		50			51
Essex Portfolio LP	3.250%	5/1/23		25			26
Essex Portfolio LP	3.875%	5/1/24		50			53
Essex Portfolio LP	3.500%	4/1/25		100			105
Essex Portfolio LP	3.375%	4/15/26		100			104
Essex Portfolio LP	3.625%	5/1/27		100			106
Essex Portfolio LP	4.000%	3/1/29		100			109
Essex Portfolio LP	3.000%	1/15/30		110			111
Essex Portfolio LP	4.500%	3/15/48		120			137
Federal Realty Investment Trust	2.750%	6/1/23		25			25
Federal Realty Investment Trust	3.250%	7/15/27		50			52
Federal Realty Investment Trust	3.200%	6/15/29		25			26
Federal Realty Investment Trust	4.500%	12/1/44		150			172
Healthcare Realty Trust Inc.	3.625%	1/15/28		100			103
Healthcare Trust of America Holdings LP	3.700%	4/15/23		25			26
Healthcare Trust of America Holdings LP	3.500%	8/1/26		130			136
Healthcare Trust of America Holdings LP	3.750%	7/1/27		100			105
Healthcare Trust of America Holdings LP	3.100%	2/15/30		100			99
Healthpeak Properties Inc.	3.150%	8/1/22		75			76
Healthpeak Properties Inc.	4.250%	11/15/23		184			196
Healthpeak Properties Inc.	4.200%	3/1/24		125			133
Healthpeak Properties Inc.	3.400%	2/1/25		75			78
Healthpeak Properties Inc.	3.250%	7/15/26		25			26
Healthpeak Properties Inc.	3.500%	7/15/29		125			130
Healthpeak Properties Inc.	3.000%	1/15/30		150			150
Healthpeak Properties Inc.	6.750%	2/1/41		100			139
Highwoods Realty LP	3.200%	6/15/21		100			101
Highwoods Realty LP	4.125%	3/15/28		75			79
Highwoods Realty LP	4.200%	4/15/29		50			54
Host Hotels & Resorts LP	4.750%	3/1/23		50			53
Host Hotels & Resorts LP	3.750%	10/15/23		261			272
Host Hotels & Resorts LP	3.875%	4/1/24		75			79
Host Hotels & Resorts LP	4.000%	6/15/25		50			53
Host Hotels & Resorts LP	3.375%	12/15/29		100			101
Hudson Pacific Properties LP	3.950%	11/1/27		100			105
Hudson Pacific Properties LP	4.650%	4/1/29		25			27
Hudson Pacific Properties LP	3.250%	1/15/30		60			59
Kilroy Realty LP	3.800%	1/15/23		250			260
Kilroy Realty LP	3.450%	12/15/24		50			52
Kilroy Realty LP	4.750%	12/15/28		50			56
Kilroy Realty LP	4.250%	8/15/29		104			113
Kilroy Realty LP	3.050%	2/15/30		200			197
Kimco Realty Corp.	3.400%	11/1/22		150			155
Kimco Realty Corp.	3.125%	6/1/23		25			26
Kimco Realty Corp.	2.800%	10/1/26		125			125
Kimco Realty Corp.	3.800%	4/1/27		75			79
Kimco Realty Corp.	4.125%	12/1/46		50			52
Kimco Realty Corp.	4.450%	9/1/47		50			55
Kite Realty Group LP	4.000%	10/1/26		200			198
Liberty Property LP	3.375%	6/15/23		50			52
Liberty Property LP	4.400%	2/15/24		100			108
Liberty Property LP	3.750%	4/1/25		75			80
Liberty Property LP	4.375%	2/1/29		200			225
Life Storage LP	3.500%	7/1/26		125			128
Life Storage LP	3.875%	12/15/27		150			157
Life Storage LP	4.000%	6/15/29		25			27
Mid-America Apartments LP	4.300%	10/15/23		150			160
Mid-America Apartments LP	3.750%	6/15/24		50			53
Mid-America Apartments LP	3.600%	6/1/27		250			265
Mid-America Apartments LP	2.750%	3/15/30		150			149
National Retail Properties Inc.	3.800%	10/15/22		200			208
National Retail Properties Inc.	3.500%	10/15/27		350			365
National Retail Properties Inc.	4.300%	10/15/28		25			28
National Retail Properties Inc.	4.800%	10/15/48		50			60
Office Properties Income Trust	4.000%	7/15/22		100			102
Omega Healthcare Investors Inc.	4.375%	8/1/23		300			319
Omega Healthcare Investors Inc.	4.950%	4/1/24		100			109
Omega Healthcare Investors Inc.	4.500%	1/15/25		100			107
Omega Healthcare Investors Inc.	5.250%	1/15/26		100			111
Omega Healthcare Investors Inc.	4.500%	4/1/27		300			324
Omega Healthcare Investors Inc.	4.750%	1/15/28		70			76
Omega Healthcare Investors Inc.	3.625%	10/1/29		250			251
Physicians Realty LP	4.300%	3/15/27		100			106
Physicians Realty LP	3.950%	1/15/28		100			103

377

Total Bond Market Index Portfolio

					Face			Market
			Maturity		Amount			Value•
		Coupon	Date			($000	)		($000	)
	Piedmont Operating Partnership LP	3.400%	6/1/23			75			77
	Prologis LP	3.875%	9/15/28			100			110
	Prologis LP	4.375%	9/15/48			75			90
	Public Storage	2.370%	9/15/22			55			56
	Public Storage	3.094%	9/15/27			100			104
	Public Storage	3.385%	5/1/29			35			37
	Realty Income Corp.	3.250%	10/15/22			175			180
	Realty Income Corp.	3.875%	7/15/24			50			53
	Realty Income Corp.	3.875%	4/15/25			100			108
	Realty Income Corp.	4.125%	10/15/26			125			137
	Realty Income Corp.	3.000%	1/15/27			100			103
	Realty Income Corp.	3.650%	1/15/28			190			204
	Realty Income Corp.	3.250%	6/15/29			200			212
	Realty Income Corp.	4.650%	3/15/47			175			211
	Regency Centers LP	3.600%	2/1/27			25			26
	Regency Centers LP	4.125%	3/15/28			75			81
	Regency Centers LP	2.950%	9/15/29			100			100
	Regency Centers LP	4.400%	2/1/47			200			225
	Regency Centers LP	4.650%	3/15/49			75			89
	Sabra Health Care LP	5.125%	8/15/26			25			27
	Sabra Health Care LP	3.900%	10/15/29			150			150
	Sabra Health Care LP / Sabra Capital Corp.	4.800%	6/1/24			55			58
	Select Income REIT	4.150%	2/1/22			100			102
	Select Income REIT	4.250%	5/15/24			100			104
	Select Income REIT	4.500%	2/1/25			50			52
	Service Properties Trust	4.650%	3/15/24			140			145
	Service Properties Trust	4.350%	10/1/24			112			115
	Service Properties Trust	5.250%	2/15/26			100			105
	Service Properties Trust	4.750%	10/1/26			80			82
	Service Properties Trust	4.950%	2/15/27			100			103
	Service Properties Trust	3.950%	1/15/28			75			73
	Service Properties Trust	4.950%	10/1/29			360			362
	Service Properties Trust	4.375%	2/15/30			75			74
	Simon Property Group LP	2.500%	7/15/21			120			121
	Simon Property Group LP	2.350%	1/30/22			150			151
	Simon Property Group LP	2.625%	6/15/22			100			101
	Simon Property Group LP	2.750%	2/1/23			25			25
	Simon Property Group LP	2.750%	6/1/23			100			102
	Simon Property Group LP	3.750%	2/1/24			150			159
	Simon Property Group LP	2.000%	9/13/24			145			143
	Simon Property Group LP	3.500%	9/1/25			100			106
	Simon Property Group LP	3.300%	1/15/26			195			204
	Simon Property Group LP	3.250%	11/30/26			75			79
	Simon Property Group LP	3.375%	6/15/27			160			169
	Simon Property Group LP	3.375%	12/1/27			100			106
	Simon Property Group LP	2.450%	9/13/29			145			142
	Simon Property Group LP	6.750%	2/1/40			125			183
	Simon Property Group LP	4.750%	3/15/42			100			120
	Simon Property Group LP	4.250%	11/30/46			100			114
	Simon Property Group LP	3.250%	9/13/49			250			241
	SITE Centers Corp.	4.625%	7/15/22			63			66
	SITE Centers Corp.	3.900%	8/15/24			100			103
	SITE Centers Corp.	3.625%	2/1/25			200			206
	SITE Centers Corp.	4.250%	2/1/26			70			74
	SITE Centers Corp.	4.700%	6/1/27			75			81
	SL Green Operating Partnership LP	3.250%	10/15/22			100			102
	Spirit Realty LP	3.200%	1/15/27			80			80
	Spirit Realty LP	4.000%	7/15/29			60			63
	Spirit Realty LP	3.400%	1/15/30			80			80
	STORE Capital Corp.	4.500%	3/15/28			75			82
	STORE Capital Corp.	4.625%	3/15/29			100			110
	Tanger Properties LP	3.125%	9/1/26			175			174
	Tanger Properties LP	3.875%	7/15/27			50			51
	UDR Inc.	2.950%	9/1/26			150			152
	UDR Inc.	3.500%	7/1/27			150			157
	UDR Inc.	3.500%	1/15/28			250			262
	UDR Inc.	3.200%	1/15/30			60			61
	UDR Inc.	3.000%	8/15/31			65			65
	UDR Inc.	3.100%	11/1/34			65			65
	Ventas Realty LP	3.125%	6/15/23			175			179
	Ventas Realty LP	3.500%	4/15/24			75			78
	Ventas Realty LP	3.750%	5/1/24			200			210
	Ventas Realty LP	2.650%	1/15/25			75			76
	Ventas Realty LP	4.125%	1/15/26			75			80
	Ventas Realty LP	3.250%	10/15/26			75			77
	Ventas Realty LP	3.850%	4/1/27			50			53
	Ventas Realty LP	4.000%	3/1/28			125			134
	Ventas Realty LP	3.000%	1/15/30			100			99
	Ventas Realty LP	5.700%	9/30/43			75			94
	Ventas Realty LP	4.375%	2/1/45			60			64
	Ventas Realty LP	4.875%	4/15/49			50			59
	Ventas Realty LP / Ventas Capital Corp.	3.250%	8/15/22	��		200			205
	VEREIT Operating Partnership LP	4.600%	2/6/24			75			81
	VEREIT Operating Partnership LP	4.625%	11/1/25			75			82
	VEREIT Operating Partnership LP	3.950%	8/15/27			450			472
	VEREIT Operating Partnership LP	3.100%	12/15/29			150			147
	Vornado Realty LP	3.500%	1/15/25			100			104
	Washington REIT	3.950%	10/15/22			75			77
	Weingarten Realty Investors	3.375%	10/15/22			50			51
	Weingarten Realty Investors	3.500%	4/15/23			100			103
	Welltower Inc.	3.750%	3/15/23			75			78
	Welltower Inc.	3.950%	9/1/23			100			105
	Welltower Inc.	3.625%	3/15/24			75			78
	Welltower Inc.	4.000%	6/1/25			200			215
	Welltower Inc.	4.250%	4/1/26			150			163
	Welltower Inc.	2.700%	2/15/27			300			301
	Welltower Inc.	4.250%	4/15/28			125			137
	Welltower Inc.	4.125%	3/15/29			250			272
	Welltower Inc.	3.100%	1/15/30			75			76
	Welltower Inc.	6.500%	3/15/41			25			33
	Welltower Inc.	4.950%	9/1/48			75			90
	WP Carey Inc.	4.600%	4/1/24			125			134
	WP Carey Inc.	4.000%	2/1/25			50			52
	WP Carey Inc.	4.250%	10/1/26			75			80
	WP Carey Inc.	3.850%	7/15/29			50			53
									357,492
Industrial (16.2%)
	Basic Industry (0.8%)
	Air Products & Chemicals Inc.	3.000%	11/3/21			75			77
	Air Products & Chemicals Inc.	2.750%	2/3/23			50			51
	Air Products & Chemicals Inc.	3.350%	7/31/24			675			710
	Airgas Inc.	3.650%	7/15/24			825			875
	Albemarle Corp.	4.150%	12/1/24			132			141
	Albemarle Corp.	5.450%	12/1/44			75			85
6	Albemarle Wodgina Pty Ltd.	3.450%	11/15/29			40			40
	ArcelorMittal	3.600%	7/16/24			150			154
	ArcelorMittal	6.125%	6/1/25			200			230
	ArcelorMittal	4.550%	3/11/26			500			530
	ArcelorMittal	4.250%	7/16/29			50			52
	Barrick Gold Corp.	6.450%	10/15/35			75			96
	Barrick North America Finance LLC	5.700%	5/30/41			450			541
	Barrick North America Finance LLC	5.750%	5/1/43			150			192
	Barrick PD Australia Finance Pty Ltd.	5.950%	10/15/39			50			63
	BHP Billiton Finance USA Ltd.	2.875%	2/24/22			176			179
	BHP Billiton Finance USA Ltd.	3.850%	9/30/23			50			53
	BHP Billiton Finance USA Ltd.	4.125%	2/24/42			150			170
	BHP Billiton Finance USA Ltd.	5.000%	9/30/43			575			733
	Cabot Corp.	4.000%	7/1/29			55			58
	Celanese US Holdings LLC	3.500%	5/8/24			100			103
	Celulosa Arauco y Constitucion SA	3.875%	11/2/27			300			303
	Celulosa Arauco y Constitucion SA	5.500%	11/2/47			200			207
	Dow Chemical Co.	3.000%	11/15/22			225			230
	Dow Chemical Co.	3.150%	5/15/24			100			103
	Dow Chemical Co.	3.500%	10/1/24			275			288
	Dow Chemical Co.	4.550%	11/30/25			150			165
	Dow Chemical Co.	3.625%	5/15/26			100			105
	Dow Chemical Co.	4.800%	11/30/28			225			255
	Dow Chemical Co.	7.375%	11/1/29			25			33
	Dow Chemical Co.	4.250%	10/1/34			50			55
	Dow Chemical Co.	9.400%	5/15/39			350			574
	Dow Chemical Co.	5.250%	11/15/41			100			116

378

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
Dow Chemical Co.	5.550%	11/30/48		300			374
Dow Chemical Co.	4.800%	5/15/49		100			115
DuPont de Nemours Inc.	4.205%	11/15/23		475			508
DuPont de Nemours Inc.	4.493%	11/15/25		350			385
DuPont de Nemours Inc.	4.725%	11/15/28		425			482
DuPont de Nemours Inc.	5.319%	11/15/38		300			356
DuPont de Nemours Inc.	5.419%	11/15/48		475			585
Eastman Chemical Co.	3.600%	8/15/22		49			51
Eastman Chemical Co.	4.800%	9/1/42		225			245
Eastman Chemical Co.	4.650%	10/15/44		150			163
Ecolab Inc.	4.350%	12/8/21		163			171
Ecolab Inc.	2.375%	8/10/22		470			474
Ecolab Inc.	2.700%	11/1/26		200			205
Ecolab Inc.	3.250%	12/1/27		100			105
Fibria Overseas Finance Ltd.	5.250%	5/12/24		300			325
Fibria Overseas Finance Ltd.	4.000%	1/14/25		150			155
FMC Corp.	3.950%	2/1/22		50			52
FMC Corp.	4.100%	2/1/24		250			263
FMC Corp.	3.200%	10/1/26		50			51
FMC Corp.	3.450%	10/1/29		50			52
FMC Corp.	4.500%	10/1/49		100			110
Georgia-Pacific LLC	8.000%	1/15/24		250			303
Georgia-Pacific LLC	7.375%	12/1/25		100			126
Georgia-Pacific LLC	8.875%	5/15/31		250			388
Huntsman International LLC	4.500%	5/1/29		75			80
International Flavors & Fragrances Inc.	3.200%	5/1/23		25			25
International Flavors & Fragrances Inc.	4.450%	9/26/28		50			55
International Flavors & Fragrances Inc.	4.375%	6/1/47		90			92
International Flavors & Fragrances Inc.	5.000%	9/26/48		100			112
International Paper Co.	7.500%	8/15/21		306			332
International Paper Co.	3.650%	6/15/24		100			105
International Paper Co.	3.800%	1/15/26		75			80
International Paper Co.	3.000%	2/15/27		200			205
International Paper Co.	5.000%	9/15/35		100			117
International Paper Co.	7.300%	11/15/39		100			138
International Paper Co.	4.800%	6/15/44		200			219
International Paper Co.	5.150%	5/15/46		200			230
International Paper Co.	4.400%	8/15/47		200			212
International Paper Co.	4.350%	8/15/48		200			212
Kinross Gold Corp.	5.125%	9/1/21		50			52
Kinross Gold Corp.	5.950%	3/15/24		75			83
Kinross Gold Corp.	4.500%	7/15/27		25			26
LYB International Finance BV	5.250%	7/15/43		200			235
LYB International Finance II BV	3.500%	3/2/27		100			105
LYB International Finance III LLC	4.200%	10/15/49		135			140
LyondellBasell Industries NV	6.000%	11/15/21		175			186
LyondellBasell Industries NV	5.750%	4/15/24		175			197
LyondellBasell Industries NV	4.625%	2/26/55		425			448
Meadwestvaco Corp.	7.950%	2/15/31		350			472
Methanex Corp.	4.250%	12/1/24		154			158
Mosaic Co.	3.750%	11/15/21		115			118
Mosaic Co.	3.250%	11/15/22		225			231
Mosaic Co.	4.250%	11/15/23		175			187
Mosaic Co.	4.050%	11/15/27		200			207
Mosaic Co.	5.450%	11/15/33		100			114
Mosaic Co.	4.875%	11/15/41		50			52
Mosaic Co.	5.625%	11/15/43		50			59
Newmont Corp.	3.700%	3/15/23		275			288
Newmont Corp.	2.800%	10/1/29		150			148
Newmont Corp.	5.875%	4/1/35		100			128
Newmont Corp.	6.250%	10/1/39		225			297
Newmont Corp.	4.875%	3/15/42		250			291
Newmont Corp.	5.450%	6/9/44		100			124
Nucor Corp.	4.125%	9/15/22		100			105
Nucor Corp.	3.950%	5/1/28		100			108
Nucor Corp.	6.400%	12/1/37		100			135
Nucor Corp.	5.200%	8/1/43		200			248
Nucor Corp.	4.400%	5/1/48		150			170
Nutrien Ltd.	3.500%	6/1/23		299			308
Nutrien Ltd.	3.375%	3/15/25		250			259
Nutrien Ltd.	3.000%	4/1/25		250			254
Nutrien Ltd.	4.000%	12/15/26		50			53
Nutrien Ltd.	4.200%	4/1/29		75			82
Nutrien Ltd.	4.125%	3/15/35		250			261
Nutrien Ltd.	5.625%	12/1/40		275			322
Nutrien Ltd.	6.125%	1/15/41		25			31
Nutrien Ltd.	4.900%	6/1/43		50			56
Nutrien Ltd.	5.250%	1/15/45		200			236
Nutrien Ltd.	5.000%	4/1/49		100			118
Packaging Corp. of America	4.500%	11/1/23		350			377
Packaging Corp. of America	3.400%	12/15/27		100			104
Packaging Corp. of America	3.000%	12/15/29		40			40
Packaging Corp. of America	4.050%	12/15/49		90			93
PPG Industries Inc.	2.400%	8/15/24		200			201
Praxair Inc.	3.000%	9/1/21		75			76
Praxair Inc.	2.450%	2/15/22		450			455
Praxair Inc.	2.200%	8/15/22		200			201
Praxair Inc.	3.550%	11/7/42		50			52
Rayonier Inc.	3.750%	4/1/22		50			51
Reliance Steel & Aluminum Co.	4.500%	4/15/23		100			105
Rio Tinto Alcan Inc.	6.125%	12/15/33		225			305
Rio Tinto Finance USA Ltd.	3.750%	6/15/25		220			236
Rio Tinto Finance USA Ltd.	7.125%	7/15/28		75			100
Rio Tinto Finance USA Ltd.	5.200%	11/2/40		125			163
Rio Tinto Finance USA plc	4.750%	3/22/42		150			183
Rio Tinto Finance USA plc	4.125%	8/21/42		250			286
Rohm & Haas Co.	7.850%	7/15/29		250			332
RPM International Inc.	3.450%	11/15/22		100			103
RPM International Inc.	3.750%	3/15/27		50			51
RPM International Inc.	4.550%	3/1/29		75			81
RPM International Inc.	4.250%	1/15/48		250			242
Sasol Financing International Ltd.	4.500%	11/14/22		200			207
SASOL Financing USA LLC	5.875%	3/27/24		200			217
SASOL Financing USA LLC	6.500%	9/27/28		200			223
Sherwin-Williams Co.	2.750%	6/1/22		109			111
Sherwin-Williams Co.	3.125%	6/1/24		325			336
Sherwin-Williams Co.	3.450%	8/1/25		225			236
Sherwin-Williams Co.	3.950%	1/15/26		200			214
Sherwin-Williams Co.	3.450%	6/1/27		100			105
Sherwin-Williams Co.	2.950%	8/15/29		200			202
Sherwin-Williams Co.	4.000%	12/15/42		100			103
Sherwin-Williams Co.	4.550%	8/1/45		90			99
Sherwin-Williams Co.	4.500%	6/1/47		250			284
Sherwin-Williams Co.	3.800%	8/15/49		100			102
Southern Copper Corp.	3.500%	11/8/22		400			413
Southern Copper Corp.	3.875%	4/23/25		50			52
Southern Copper Corp.	7.500%	7/27/35		100			138
Southern Copper Corp.	6.750%	4/16/40		325			432
Southern Copper Corp.	5.875%	4/23/45		500			621
Steel Dynamics Inc.	2.800%	12/15/24		50			50
Steel Dynamics Inc.	4.125%	9/15/25		70			72
Steel Dynamics Inc.	3.450%	4/15/30		125			126
Suzano Austria GmbH	6.000%	1/15/29		400			452
Suzano Austria GmbH	5.000%	1/15/30		200			210
Teck Resources Ltd.	6.125%	10/1/35		100			116
Teck Resources Ltd.	6.000%	8/15/40		50			56
Teck Resources Ltd.	6.250%	7/15/41		325			371
Vale Overseas Ltd.	6.250%	8/10/26		300			352
Vale Overseas Ltd.	8.250%	1/17/34		50			70
Vale Overseas Ltd.	6.875%	11/21/36		410			532
Vale Overseas Ltd.	6.875%	11/10/39		450			584
Vale SA	5.625%	9/11/42		75			88
Westlake Chemical Corp.	3.600%	8/15/26		300			310
Westlake Chemical Corp.	5.000%	8/15/46		200			212
WestRock RKT Co.	4.900%	3/1/22		100			105
Weyerhaeuser Co.	4.700%	3/15/21		75			77
Weyerhaeuser Co.	8.500%	1/15/25		50			63
Weyerhaeuser Co.	4.000%	11/15/29		150			163
Weyerhaeuser Co.	7.375%	3/15/32		100			139
Weyerhaeuser Co.	6.875%	12/15/33		50			66
WRKCo Inc.	3.000%	9/15/24		250			255
WRKCo Inc.	4.650%	3/15/26		100			111

379

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	WRKCo Inc.	3.375%	9/15/27		250			256
	WRKCo Inc.	4.900%	3/15/29		150			171
	Capital Goods (1.4%)
	3M Co.	1.625%	9/19/21		150			150
	3M Co.	2.750%	3/1/22		100			102
	3M Co.	1.750%	2/14/23		200			199
	3M Co.	2.250%	3/15/23		175			176
	3M Co.	3.250%	2/14/24		100			105
	3M Co.	2.000%	2/14/25		150			149
	3M Co.	3.000%	8/7/25		100			104
	3M Co.	2.250%	9/19/26		150			150
	3M Co.	2.875%	10/15/27		125			130
	3M Co.	3.375%	3/1/29		150			159
	3M Co.	2.375%	8/26/29		250			245
	3M Co.	3.125%	9/19/46		75			72
	3M Co.	3.625%	10/15/47		100			103
	3M Co.	4.000%	9/14/48		250			274
	3M Co.	3.250%	8/26/49		375			365
	ABB Finance USA Inc.	3.375%	4/3/23		100			104
	ABB Finance USA Inc.	3.800%	4/3/28		150			164
	ABB Finance USA Inc.	4.375%	5/8/42		150			180
	Allegion plc	3.500%	10/1/29		75			76
	Allegion US Holding Co. Inc.	3.550%	10/1/27		175			180
6	Bemis Co. Inc.	3.100%	9/15/26		50			49
	Boeing Co.	2.300%	8/1/21		50			50
	Boeing Co.	2.125%	3/1/22		50			50
	Boeing Co.	2.700%	5/1/22		75			76
	Boeing Co.	2.800%	3/1/23		600			611
	Boeing Co.	1.875%	6/15/23		100			99
	Boeing Co.	2.800%	3/1/24		75			77
	Boeing Co.	2.850%	10/30/24		100			102
	Boeing Co.	2.500%	3/1/25		145			145
	Boeing Co.	3.100%	5/1/26		100			103
	Boeing Co.	2.250%	6/15/26		50			49
	Boeing Co.	2.700%	2/1/27		195			197
	Boeing Co.	2.800%	3/1/27		50			51
	Boeing Co.	3.250%	3/1/28		100			104
	Boeing Co.	3.450%	11/1/28		60			63
	Boeing Co.	3.200%	3/1/29		200			208
	Boeing Co.	2.950%	2/1/30		190			194
	Boeing Co.	6.125%	2/15/33		75			98
	Boeing Co.	3.600%	5/1/34		150			160
	Boeing Co.	3.250%	2/1/35		190			194
	Boeing Co.	6.625%	2/15/38		50			70
	Boeing Co.	3.550%	3/1/38		50			52
	Boeing Co.	3.500%	3/1/39		75			77
	Boeing Co.	6.875%	3/15/39		125			183
	Boeing Co.	5.875%	2/15/40		75			99
	Boeing Co.	3.375%	6/15/46		75			73
	Boeing Co.	3.650%	3/1/47		175			177
	Boeing Co.	3.625%	3/1/48		75			77
	Boeing Co.	3.850%	11/1/48		60			63
	Boeing Co.	3.900%	5/1/49		150			161
	Boeing Co.	3.750%	2/1/50		50			53
	Boeing Co.	3.825%	3/1/59		200			208
	Boeing Co.	3.950%	8/1/59		75			80
	Carlisle Cos. Inc.	3.750%	11/15/22		75			77
	Carlisle Cos. Inc.	3.500%	12/1/24		50			52
	Carlisle Cos. Inc.	3.750%	12/1/27		125			131
	Caterpillar Financial Services Corp.	2.900%	3/15/21		100			101
	Caterpillar Financial Services Corp.	2.650%	5/17/21		100			101
	Caterpillar Financial Services Corp.	1.700%	8/9/21		100			100
	Caterpillar Financial Services Corp.	2.750%	8/20/21		100			101
	Caterpillar Financial Services Corp.	3.150%	9/7/21		200			204
	Caterpillar Financial Services Corp.	1.931%	10/1/21		75			75
	Caterpillar Financial Services Corp.	2.950%	2/26/22		200			204
	Caterpillar Financial Services Corp.	2.400%	6/6/22		150			152
	Caterpillar Financial Services Corp.	2.550%	11/29/22		200			204
	Caterpillar Financial Services Corp.	3.450%	5/15/23		200			209
	Caterpillar Financial Services Corp.	3.650%	12/7/23		70			74
	Caterpillar Financial Services Corp.	2.850%	5/17/24		125			129
	Caterpillar Financial Services Corp.	3.300%	6/9/24		250			263
	Caterpillar Financial Services Corp.	2.150%	11/8/24		100			100
	Caterpillar Financial Services Corp.	3.250%	12/1/24		477			503
	Caterpillar Financial Services Corp.	2.400%	8/9/26		100			101
	Caterpillar Inc.	3.900%	5/27/21		125			128
	Caterpillar Inc.	2.600%	6/26/22		50			51
	Caterpillar Inc.	3.400%	5/15/24		250			264
	Caterpillar Inc.	2.600%	9/19/29		200			201
	Caterpillar Inc.	6.050%	8/15/36		100			136
	Caterpillar Inc.	5.200%	5/27/41		150			194
	Caterpillar Inc.	3.803%	8/15/42		243			272
	Caterpillar Inc.	3.250%	9/19/49		200			200
	Caterpillar Inc.	4.750%	5/15/64		100			125
	CNH Industrial Capital LLC	4.200%	1/15/24		1,050			1,111
	CNH Industrial NV	3.850%	11/15/27		150			156
	Crane Co.	4.450%	12/15/23		50			53
	Crane Co.	4.200%	3/15/48		150			150
	CRH America Inc.	5.750%	1/15/21		75			78
	Deere & Co.	2.600%	6/8/22		125			127
	Deere & Co.	5.375%	10/16/29		125			155
	Deere & Co.	7.125%	3/3/31		100			141
	Deere & Co.	3.900%	6/9/42		75			84
	Dover Corp.	3.150%	11/15/25		200			207
	Dover Corp.	2.950%	11/4/29		75			75
	Dover Corp.	6.600%	3/15/38		75			100
	Eaton Corp.	2.750%	11/2/22		300			306
	Eaton Corp.	3.103%	9/15/27		125			130
	Eaton Corp.	4.000%	11/2/32		150			170
	Eaton Corp.	4.150%	11/2/42		150			166
	Eaton Corp.	3.915%	9/15/47		50			53
	Embraer Netherlands Finance BV	5.050%	6/15/25		200			220
	Embraer Netherlands Finance BV	5.400%	2/1/27		100			112
6	Embraer Overseas Ltd.	5.696%	9/16/23		100			110
	Embraer SA	5.150%	6/15/22		275			290
	Emerson Electric Co.	2.625%	12/1/21		150			152
	Emerson Electric Co.	3.150%	6/1/25		200			209
	Flowserve Corp.	3.500%	9/15/22		250			253
	Flowserve Corp.	4.000%	11/15/23		50			51
	Fortive Corp.	2.350%	6/15/21		100			100
	Fortive Corp.	3.150%	6/15/26		150			153
	Fortive Corp.	4.300%	6/15/46		100			103
	Fortune Brands Home & Security Inc.	4.000%	9/21/23		100			106
	Fortune Brands Home & Security Inc.	4.000%	6/15/25		100			107
	General Dynamics Corp.	3.000%	5/11/21		300			305
	General Dynamics Corp.	3.375%	5/15/23		200			209
	General Dynamics Corp.	1.875%	8/15/23		300			300
	General Dynamics Corp.	2.375%	11/15/24		320			325
	General Dynamics Corp.	3.500%	5/15/25		200			214
	General Dynamics Corp.	2.625%	11/15/27		200			205
	General Dynamics Corp.	3.750%	5/15/28		200			220
	General Dynamics Corp.	3.600%	11/15/42		100			113
	General Electric Co.	4.625%	1/7/21		201			206
	General Electric Co.	5.300%	2/11/21		172			177
	General Electric Co.	4.650%	10/17/21		347			361
	General Electric Co.	3.150%	9/7/22		91			93
	General Electric Co.	2.700%	10/9/22		850			861
	General Electric Co.	3.100%	1/9/23		574			586
	General Electric Co.	3.450%	5/15/24		100			104
	General Electric Co.	6.750%	3/15/32		705			903
	General Electric Co.	6.150%	8/7/37		161			199
	General Electric Co.	5.875%	1/14/38		560			675
	General Electric Co.	6.875%	1/10/39		338			450
	General Electric Co.	4.125%	10/9/42		203			210
	General Electric Co.	4.500%	3/11/44		188			205
	Hexcel Corp.	4.700%	8/15/25		100			108
	Honeywell International Inc.	4.250%	3/1/21		200			206
	Honeywell International Inc.	1.850%	11/1/21		300			301
	Honeywell International Inc.	2.150%	8/8/22		100			101
	Honeywell International Inc.	2.300%	8/15/24		425			431
	Honeywell International Inc.	2.500%	11/1/26		50			51

380

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Honeywell International Inc.	2.700%	8/15/29		100			103
	Honeywell International Inc.	5.700%	3/15/37		200			271
	Honeywell International Inc.	5.375%	3/1/41		150			202
	Hubbell Inc.	3.350%	3/1/26		75			77
	Hubbell Inc.	3.150%	8/15/27		50			50
	Hubbell Inc.	3.500%	2/15/28		175			181
	Huntington Ingalls Industries Inc.	3.483%	12/1/27		150			156
	Illinois Tool Works Inc.	3.375%	9/15/21		100			102
	Illinois Tool Works Inc.	3.500%	3/1/24		200			212
	Illinois Tool Works Inc.	2.650%	11/15/26		300			308
	Illinois Tool Works Inc.	4.875%	9/15/41		75			94
	Illinois Tool Works Inc.	3.900%	9/1/42		250			288
	Ingersoll-Rand Global Holding Co. Ltd.	4.250%	6/15/23		125			134
	Ingersoll-Rand Global Holding Co. Ltd.	5.750%	6/15/43		125			157
	Ingersoll-Rand Luxembourg Finance SA	3.550%	11/1/24		375			393
	Ingersoll-Rand Luxembourg Finance SA	3.500%	3/21/26		75			78
	Ingersoll-Rand Luxembourg Finance SA	3.800%	3/21/29		225			241
	Ingersoll-Rand Luxembourg Finance SA	4.500%	3/21/49		75			84
	John Deere Capital Corp.	2.550%	1/8/21		150			151
	John Deere Capital Corp.	2.800%	3/4/21		100			101
	John Deere Capital Corp.	2.875%	3/12/21		100			101
	John Deere Capital Corp.	3.900%	7/12/21		100			103
	John Deere Capital Corp.	3.125%	9/10/21		100			102
	John Deere Capital Corp.	3.150%	10/15/21		25			26
	John Deere Capital Corp.	2.650%	1/6/22		300			305
	John Deere Capital Corp.	1.950%	6/13/22		375			375
	John Deere Capital Corp.	2.150%	9/8/22		400			403
	John Deere Capital Corp.	2.700%	1/6/23		100			102
	John Deere Capital Corp.	2.800%	1/27/23		50			51
	John Deere Capital Corp.	2.800%	3/6/23		100			103
	John Deere Capital Corp.	3.450%	6/7/23		200			209
	John Deere Capital Corp.	3.650%	10/12/23		50			53
	John Deere Capital Corp.	2.600%	3/7/24		75			77
	John Deere Capital Corp.	2.650%	6/24/24		75			77
	John Deere Capital Corp.	3.450%	3/13/25		300			318
	John Deere Capital Corp.	3.400%	9/11/25		75			79
	John Deere Capital Corp.	2.650%	6/10/26		100			102
	John Deere Capital Corp.	2.250%	9/14/26		125			125
	John Deere Capital Corp.	2.800%	9/8/27		150			154
	John Deere Capital Corp.	3.050%	1/6/28		100			104
	John Deere Capital Corp.	3.450%	3/7/29		50			54
	John Deere Capital Corp.	2.800%	7/18/29		150			154
	Johnson Controls International plc	3.625%	7/2/24		126			131
	Johnson Controls International plc	3.900%	2/14/26		37			39
	Johnson Controls International plc	6.000%	1/15/36		39			48
	Johnson Controls International plc	4.625%	7/2/44		175			191
	Johnson Controls International plc	5.125%	9/14/45		14			16
	Johnson Controls International plc	4.500%	2/15/47		100			108
	Johnson Controls International plc	4.950%	7/2/64		72			75
	Kennametal Inc.	3.875%	2/15/22		50			51
	Kennametal Inc.	4.625%	6/15/28		120			128
6	L3Harris Technologies Inc.	4.950%	2/15/21		75			77
6	L3Harris Technologies Inc.	3.850%	6/15/23		600			631
6	L3Harris Technologies Inc.	3.950%	5/28/24		103			109
	L3Harris Technologies Inc.	3.832%	4/27/25		200			213
6	L3Harris Technologies Inc.	3.850%	12/15/26		50			54
6	L3Harris Technologies Inc.	4.400%	6/15/28		175			195
	L3Harris Technologies Inc.	4.854%	4/27/35		100			118
	L3Harris Technologies Inc.	6.150%	12/15/40		100			136
	L3Harris Technologies Inc.	5.054%	4/27/45		100			124
	Leggett & Platt Inc.	3.800%	11/15/24		100			105
	Leggett & Platt Inc.	3.500%	11/15/27		300			308
	Leggett & Platt Inc.	4.400%	3/15/29		75			82
	Legrand France SA	8.500%	2/15/25		50			64
	Lennox International Inc.	3.000%	11/15/23		100			102
	Lockheed Martin Corp.	3.350%	9/15/21		725			743
	Lockheed Martin Corp.	3.100%	1/15/23		100			103
	Lockheed Martin Corp.	3.550%	1/15/26		380			407
	Lockheed Martin Corp.	3.600%	3/1/35		150			164
	Lockheed Martin Corp.	4.500%	5/15/36		100			118
	Lockheed Martin Corp.	6.150%	9/1/36		375			509
	Lockheed Martin Corp.	4.070%	12/15/42		270			309
	Lockheed Martin Corp.	3.800%	3/1/45		100			110
	Lockheed Martin Corp.	4.700%	5/15/46		275			347
	Lockheed Martin Corp.	4.090%	9/15/52		156			182
	Martin Marietta Materials Inc.	4.250%	7/2/24		100			107
	Martin Marietta Materials Inc.	3.450%	6/1/27		50			52
	Martin Marietta Materials Inc.	3.500%	12/15/27		100			104
	Martin Marietta Materials Inc.	4.250%	12/15/47		175			183
	Masco Corp.	3.500%	4/1/21		70			71
	Masco Corp.	4.450%	4/1/25		50			54
	Masco Corp.	4.375%	4/1/26		100			108
	Masco Corp.	3.500%	11/15/27		100			103
	Masco Corp.	7.750%	8/1/29		24			31
	Masco Corp.	4.500%	5/15/47		100			102
	Mohawk Industries Inc.	3.850%	2/1/23		100			104
	Northrop Grumman Corp.	3.500%	3/15/21		200			204
	Northrop Grumman Corp.	2.550%	10/15/22		200			203
	Northrop Grumman Corp.	3.250%	8/1/23		150			156
	Northrop Grumman Corp.	2.930%	1/15/25		275			283
	Northrop Grumman Corp.	3.200%	2/1/27		150			156
	Northrop Grumman Corp.	3.250%	1/15/28		100			104
	Northrop Grumman Corp.	5.050%	11/15/40		50			61
	Northrop Grumman Corp.	4.750%	6/1/43		275			328
	Northrop Grumman Corp.	4.030%	10/15/47		145			161
	Nvent Finance Sarl	3.950%	4/15/23		200			203
	Nvent Finance Sarl	4.550%	4/15/28		100			104
	Oshkosh Corp.	4.600%	5/15/28		185			198
	Owens Corning	3.400%	8/15/26		200			203
	Owens Corning	3.950%	8/15/29		100			104
	Owens Corning	4.300%	7/15/47		200			190
	Owens Corning	4.400%	1/30/48		75			72
	Parker-Hannifin Corp.	3.500%	9/15/22		175			181
	Parker-Hannifin Corp.	2.700%	6/14/24		110			111
	Parker-Hannifin Corp.	3.300%	11/21/24		290			303
	Parker-Hannifin Corp.	3.250%	3/1/27		125			130
	Parker-Hannifin Corp.	3.250%	6/14/29		75			78
	Parker-Hannifin Corp.	6.250%	5/15/38		150			199
	Parker-Hannifin Corp.	4.450%	11/21/44		200			222
	Parker-Hannifin Corp.	4.100%	3/1/47		75			81
	Parker-Hannifin Corp.	4.000%	6/14/49		110			119
	Precision Castparts Corp.	2.500%	1/15/23		200			203
	Precision Castparts Corp.	3.250%	6/15/25		175			184
	Precision Castparts Corp.	3.900%	1/15/43		75			81
	Precision Castparts Corp.	4.375%	6/15/45		300			347
	Raytheon Co.	2.500%	12/15/22		275			280
	Raytheon Co.	7.200%	8/15/27		25			33
	Raytheon Co.	4.700%	12/15/41		50			62
	Republic Services Inc.	5.250%	11/15/21		175			186
	Republic Services Inc.	3.550%	6/1/22		50			52
	Republic Services Inc.	2.500%	8/15/24		200			203
	Republic Services Inc.	3.200%	3/15/25		250			260
	Republic Services Inc.	6.200%	3/1/40		50			68
	Republic Services Inc.	5.700%	5/15/41		100			130
	Rockwell Automation Inc.	3.500%	3/1/29		100			107
	Rockwell Automation Inc.	4.200%	3/1/49		100			116
	Rockwell Collins Inc.	3.100%	11/15/21		50			51
	Rockwell Collins Inc.	2.800%	3/15/22		170			173
	Rockwell Collins Inc.	3.200%	3/15/24		175			182
	Rockwell Collins Inc.	3.500%	3/15/27		300			319
	Rockwell Collins Inc.	4.800%	12/15/43		65			79
	Rockwell Collins Inc.	4.350%	4/15/47		250			292
	Roper Technologies Inc.	3.000%	12/15/20		125			126
	Roper Technologies Inc.	2.800%	12/15/21		200			203
	Roper Technologies Inc.	2.350%	9/15/24		125			126
	Roper Technologies Inc.	3.850%	12/15/25		100			107
	Roper Technologies Inc.	3.800%	12/15/26		145			156
	Roper Technologies Inc.	4.200%	9/15/28		175			191
	Roper Technologies Inc.	2.950%	9/15/29		125			126
	Snap-on Inc.	6.125%	9/1/21		75			80
	Snap-on Inc.	3.250%	3/1/27		50			52
	Snap-on Inc.	4.100%	3/1/48		75			84

381

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
Sonoco Products Co.	5.750%	11/1/40		120			147
Spirit AeroSystems Inc.	3.950%	6/15/23		75			77
Spirit AeroSystems Inc.	3.850%	6/15/26		65			67
Spirit AeroSystems Inc.	4.600%	6/15/28		150			158
Stanley Black & Decker Inc.	3.400%	12/1/21		150			153
Stanley Black & Decker Inc.	3.400%	3/1/26		100			105
Stanley Black & Decker Inc.	5.200%	9/1/40		75			93
Stanley Black & Decker Inc.	4.850%	11/15/48		100			124
Textron Inc.	3.875%	3/1/25		65			69
Textron Inc.	4.000%	3/15/26		200			214
Textron Inc.	3.650%	3/15/27		250			261
Textron Inc.	3.375%	3/1/28		50			51
Textron Inc.	3.900%	9/17/29		225			240
Timken Co.	3.875%	9/1/24		100			104
Timken Co.	4.500%	12/15/28		25			27
United Technologies Corp.	3.350%	8/16/21		200			205
United Technologies Corp.	1.950%	11/1/21		100			100
United Technologies Corp.	3.100%	6/1/22		460			472
United Technologies Corp.	3.650%	8/16/23		425			448
United Technologies Corp.	2.800%	5/4/24		250			257
United Technologies Corp.	3.950%	8/16/25		250			272
United Technologies Corp.	2.650%	11/1/26		100			102
United Technologies Corp.	6.700%	8/1/28		75			97
United Technologies Corp.	4.125%	11/16/28		750			843
United Technologies Corp.	7.500%	9/15/29		125			176
United Technologies Corp.	5.400%	5/1/35		150			192
United Technologies Corp.	6.050%	6/1/36		100			135
United Technologies Corp.	6.125%	7/15/38		100			138
United Technologies Corp.	4.450%	11/16/38		175			205
United Technologies Corp.	5.700%	4/15/40		100			134
United Technologies Corp.	4.500%	6/1/42		675			808
United Technologies Corp.	4.150%	5/15/45		200			229
United Technologies Corp.	3.750%	11/1/46		200			218
United Technologies Corp.	4.050%	5/4/47		250			284
United Technologies Corp.	4.625%	11/16/48		400			498
Valmont Industries Inc.	5.000%	10/1/44		150			153
Valmont Industries Inc.	5.250%	10/1/54		75			76
Vulcan Materials Co.	4.500%	4/1/25		200			216
Vulcan Materials Co.	4.500%	6/15/47		125			137
Wabtec Corp.	4.400%	3/15/24		275			291
Wabtec Corp.	3.450%	11/15/26		150			151
Wabtec Corp.	4.950%	9/15/28		175			192
Waste Connections Inc.	3.500%	5/1/29		200			211
Waste Management Inc.	4.600%	3/1/21		50			51
Waste Management Inc.	2.900%	9/15/22		100			102
Waste Management Inc.	2.400%	5/15/23		225			227
Waste Management Inc.	3.500%	5/15/24		200			210
Waste Management Inc.	2.950%	6/15/24		150			155
Waste Management Inc.	3.125%	3/1/25		150			157
Waste Management Inc.	3.200%	6/15/26		145			152
Waste Management Inc.	3.150%	11/15/27		125			131
Waste Management Inc.	3.450%	6/15/29		200			214
Waste Management Inc.	3.900%	3/1/35		250			277
Waste Management Inc.	4.000%	7/15/39		100			112
Waste Management Inc.	4.100%	3/1/45		150			168
Waste Management Inc.	4.150%	7/15/49		100			114
WW Grainger Inc.	4.600%	6/15/45		200			237
WW Grainger Inc.	3.750%	5/15/46		75			77
WW Grainger Inc.	4.200%	5/15/47		50			56
Xylem Inc.	3.250%	11/1/26		100			104
Xylem Inc.	4.375%	11/1/46		100			109
Communication (2.4%)
Activision Blizzard Inc.	2.300%	9/15/21		125			126
Activision Blizzard Inc.	2.600%	6/15/22		75			76
Activision Blizzard Inc.	3.400%	9/15/26		160			168
Activision Blizzard Inc.	4.500%	6/15/47		75			85
America Movil SAB de CV	3.125%	7/16/22		300			306
America Movil SAB de CV	3.625%	4/22/29		200			212
America Movil SAB de CV	6.375%	3/1/35		300			403
America Movil SAB de CV	6.125%	11/15/37		150			196
America Movil SAB de CV	6.125%	3/30/40		200			268
America Movil SAB de CV	4.375%	7/16/42		250			278
America Movil SAB de CV	4.375%	4/22/49		200			229
American Tower Corp.	3.300%	2/15/21		125			127
American Tower Corp.	3.450%	9/15/21		475			486
American Tower Corp.	5.900%	11/1/21		475			507
American Tower Corp.	2.250%	1/15/22		125			125
American Tower Corp.	3.500%	1/31/23		200			207
American Tower Corp.	5.000%	2/15/24		100			110
American Tower Corp.	3.375%	5/15/24		200			207
American Tower Corp.	2.950%	1/15/25		100			102
American Tower Corp.	3.375%	10/15/26		400			415
American Tower Corp.	2.750%	1/15/27		500			500
American Tower Corp.	3.125%	1/15/27		125			127
American Tower Corp.	3.950%	3/15/29		140			151
American Tower Corp.	3.800%	8/15/29		475			507
American Tower Corp.	3.700%	10/15/49		100			99
AT&T Inc.	4.600%	2/15/21		175			179
AT&T Inc.	3.200%	3/1/22		250			256
AT&T Inc.	3.400%	6/15/22		100			103
AT&T Inc.	3.000%	6/30/22		767			784
AT&T Inc.	3.600%	2/17/23		755			788
AT&T Inc.	4.050%	12/15/23		100			107
AT&T Inc.	3.800%	3/1/24		125			132
AT&T Inc.	4.450%	4/1/24		250			271
AT&T Inc.	3.950%	1/15/25		225			241
AT&T Inc.	3.400%	5/15/25		940			985
AT&T Inc.	3.600%	7/15/25		275			290
AT&T Inc.	3.875%	1/15/26		505			541
AT&T Inc.	4.125%	2/17/26		515			558
AT&T Inc.	3.800%	2/15/27		700			746
AT&T Inc.	4.100%	2/15/28		804			873
AT&T Inc.	4.350%	3/1/29		650			721
AT&T Inc.	4.300%	2/15/30		860			956
AT&T Inc.	4.500%	5/15/35		200			222
AT&T Inc.	5.250%	3/1/37		500			597
AT&T Inc.	4.900%	8/15/37		300			344
AT&T Inc.	4.850%	3/1/39		480			551
AT&T Inc.	6.350%	3/15/40		100			130
AT&T Inc.	6.100%	7/15/40		100			127
AT&T Inc.	6.000%	8/15/40		300			381
AT&T Inc.	5.350%	9/1/40		600			718
AT&T Inc.	5.550%	8/15/41		225			276
AT&T Inc.	5.375%	10/15/41		100			118
AT&T Inc.	5.150%	3/15/42		375			437
AT&T Inc.	4.900%	6/15/42		525			590
AT&T Inc.	4.300%	12/15/42		271			290
AT&T Inc.	5.350%	12/15/43		175			210
AT&T Inc.	4.650%	6/1/44		100			110
AT&T Inc.	4.800%	6/15/44		575			653
AT&T Inc.	4.350%	6/15/45		624			667
AT&T Inc.	4.750%	5/15/46		650			730
AT&T Inc.	5.150%	11/15/46		1,473			1,753
AT&T Inc.	4.500%	3/9/48		500			549
AT&T Inc.	4.550%	3/9/49		362			401
AT&T Inc.	5.150%	2/15/50		332			400
AT&T Inc.	5.300%	8/15/58		307			378
Bell Canada Inc.	4.300%	7/29/49		100			112
British Telecommunications plc	4.500%	12/4/23		200			215
British Telecommunications plc	5.125%	12/4/28		100			115
British Telecommunications plc	9.625%	12/15/30		516			794
CC Holdings GS V LLC / Crown Castle GS III Corp.	3.849%	4/15/23		250			262
Charter Communications Operating LLC / Charter Communications Operating Capital	4.464%	7/23/22		676			711
Charter Communications Operating LLC / Charter Communications Operating Capital	4.500%	2/1/24		175			188

382

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.908%	7/23/25		850			935
	Charter Communications Operating LLC / Charter Communications Operating Capital	3.750%	2/15/28		730			755
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.050%	3/30/29		225			254
	Charter Communications Operating LLC / Charter Communications Operating Capital	6.384%	10/23/35		575			723
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.375%	4/1/38		150			170
	Charter Communications Operating LLC / Charter Communications Operating Capital	6.484%	10/23/45		650			810
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.375%	5/1/47		450			504
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.750%	4/1/48		700			817
	Charter Communications Operating LLC / Charter Communications Operating Capital	5.125%	7/1/49		75			81
	Charter Communications Operating LLC / Charter Communications Operating Capital	4.800%	3/1/50		300			314
	Charter Communications Operating LLC / Charter Communications Operating Capital	6.834%	10/23/55		75			94
	Comcast Cable Communications Holdings Inc.	9.455%	11/15/22		139			168
	Comcast Corp.	3.450%	10/1/21		650			668
	Comcast Corp.	2.750%	3/1/23		200			204
	Comcast Corp.	3.000%	2/1/24		710			736
	Comcast Corp.	3.375%	2/15/25		202			213
	Comcast Corp.	3.375%	8/15/25		250			265
	Comcast Corp.	3.950%	10/15/25		625			681
	Comcast Corp.	3.150%	3/1/26		400			418
	Comcast Corp.	2.350%	1/15/27		495			494
	Comcast Corp.	3.150%	2/15/28		325			340
	Comcast Corp.	4.150%	10/15/28		950			1,069
	Comcast Corp.	2.650%	2/1/30		300			300
	Comcast Corp.	4.250%	10/15/30		250			284
	Comcast Corp.	4.250%	1/15/33		275			315
	Comcast Corp.	4.200%	8/15/34		175			200
	Comcast Corp.	5.650%	6/15/35		1,065			1,398
	Comcast Corp.	4.400%	8/15/35		150			176
	Comcast Corp.	3.200%	7/15/36		225			229
	Comcast Corp.	6.450%	3/15/37		175			244
	Comcast Corp.	6.950%	8/15/37		250			366
	Comcast Corp.	3.900%	3/1/38		175			193
	Comcast Corp.	6.400%	5/15/38		100			139
	Comcast Corp.	4.600%	10/15/38		550			653
	Comcast Corp.	3.250%	11/1/39		250			251
	Comcast Corp.	6.400%	3/1/40		150			210
	Comcast Corp.	4.650%	7/15/42		370			440
	Comcast Corp.	4.500%	1/15/43		100			117
	Comcast Corp.	4.600%	8/15/45		250			298
	Comcast Corp.	3.400%	7/15/46		500			502
	Comcast Corp.	3.969%	11/1/47		1,086			1,185
	Comcast Corp.	4.000%	3/1/48		175			192
	Comcast Corp.	4.700%	10/15/48		475			585
	Comcast Corp.	3.999%	11/1/49		268			296
	Comcast Corp.	3.450%	2/1/50		400			408
	Comcast Corp.	4.950%	10/15/58		475			618
	Crown Castle International Corp.	3.400%	2/15/21		300			304
	Crown Castle International Corp.	2.250%	9/1/21		125			125
	Crown Castle International Corp.	4.875%	4/15/22		125			132
	Crown Castle International Corp.	5.250%	1/15/23		125			136
	Crown Castle International Corp.	3.150%	7/15/23		150			154
	Crown Castle International Corp.	3.200%	9/1/24		250			257
	Crown Castle International Corp.	4.450%	2/15/26		250			273
	Crown Castle International Corp.	3.700%	6/15/26		175			185
	Crown Castle International Corp.	3.650%	9/1/27		325			342
	Crown Castle International Corp.	3.800%	2/15/28		425			452
	Crown Castle International Corp.	4.750%	5/15/47		95			109
	Crown Castle International Corp.	5.200%	2/15/49		75			92
	Deutsche Telekom International Finance BV	8.750%	6/15/30		775			1,137
	Discovery Communications LLC	4.375%	6/15/21		25			26
	Discovery Communications LLC	3.500%	6/15/22		200			205
	Discovery Communications LLC	2.950%	3/20/23		100			102
	Discovery Communications LLC	3.250%	4/1/23		100			103
	Discovery Communications LLC	3.800%	3/13/24		100			105
	Discovery Communications LLC	3.900%	11/15/24		150			159
	Discovery Communications LLC	3.450%	3/15/25		225			233
	Discovery Communications LLC	3.950%	6/15/25		100			106
	Discovery Communications LLC	4.900%	3/11/26		150			168
	Discovery Communications LLC	3.950%	3/20/28		400			427
	Discovery Communications LLC	4.125%	5/15/29		100			107
	Discovery Communications LLC	5.000%	9/20/37		325			367
	Discovery Communications LLC	6.350%	6/1/40		150			189
	Discovery Communications LLC	4.950%	5/15/42		277			303
	Discovery Communications LLC	5.200%	9/20/47		225			261
	Discovery Communications LLC	5.300%	5/15/49		75			89
	Electronic Arts Inc.	3.700%	3/1/21		150			153
	Electronic Arts Inc.	4.800%	3/1/26		100			113
6	Fox Corp.	3.666%	1/25/22		50			52
6	Fox Corp.	4.030%	1/25/24		250			266
6	Fox Corp.	4.709%	1/25/29		375			426
6	Fox Corp.	5.476%	1/25/39		250			304
6	Fox Corp.	5.576%	1/25/49		425			535
	Grupo Televisa SAB	6.625%	3/18/25		100			117
	Grupo Televisa SAB	4.625%	1/30/26		100			108
	Grupo Televisa SAB	6.625%	1/15/40		125			157
	Grupo Televisa SAB	5.000%	5/13/45		425			448
	Grupo Televisa SAB	5.250%	5/24/49		200			216
	Interpublic Group of Cos. Inc.	3.750%	10/1/21		50			51
	Interpublic Group of Cos. Inc.	3.750%	2/15/23		150			157
	Interpublic Group of Cos. Inc.	4.200%	4/15/24		422			453
	Interpublic Group of Cos. Inc.	4.650%	10/1/28		100			112
	Interpublic Group of Cos. Inc.	5.400%	10/1/48		175			214
	Koninklijke KPN NV	8.375%	10/1/30		125			173
	Moody’s Corp.	2.750%	12/15/21		100			101
	Moody’s Corp.	4.500%	9/1/22		100			106
	Moody’s Corp.	4.875%	2/15/24		250			275
	Moody’s Corp.	4.875%	12/17/48		125			153
	NBCUniversal Media LLC	4.375%	4/1/21		325			335
	NBCUniversal Media LLC	2.875%	1/15/23		225			231
	NBCUniversal Media LLC	6.400%	4/30/40		150			210
	NBCUniversal Media LLC	5.950%	4/1/41		225			309
	NBCUniversal Media LLC	4.450%	1/15/43		225			261
	Omnicom Group Inc. / Omnicom Capital Inc.	3.625%	5/1/22		250			259
	Omnicom Group Inc. / Omnicom Capital Inc.	3.650%	11/1/24		150			158
	Omnicom Group Inc. / Omnicom Capital Inc.	3.600%	4/15/26		250			263
	Orange SA	4.125%	9/14/21		325			337
	Orange SA	9.000%	3/1/31		450			696
	Orange SA	5.375%	1/13/42		325			416
	RELX Capital Inc.	3.125%	10/15/22		182			188
	RELX Capital Inc.	3.500%	3/16/23		125			130
	RELX Capital Inc.	4.000%	3/18/29		100			108
	Rogers Communications Inc.	3.000%	3/15/23		205			210
	Rogers Communications Inc.	4.100%	10/1/23		175			186
	Rogers Communications Inc.	3.625%	12/15/25		125			132
	Rogers Communications Inc.	2.900%	11/15/26		100			102

383

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
Rogers Communications Inc.	4.500%	3/15/43		265			290
Rogers Communications Inc.	5.000%	3/15/44		190			230
Rogers Communications Inc.	4.350%	5/1/49		450			500
Rogers Communications Inc.	3.700%	11/15/49		150			151
S&P Global Inc.	4.000%	6/15/25		125			135
S&P Global Inc.	4.400%	2/15/26		175			194
S&P Global Inc.	2.500%	12/1/29		125			125
S&P Global Inc.	4.500%	5/15/48		100			121
S&P Global Inc.	3.250%	12/1/49		350			357
Telefonica Emisiones SAU	5.462%	2/16/21		555			576
Telefonica Emisiones SAU	4.103%	3/8/27		250			270
Telefonica Emisiones SAU	7.045%	6/20/36		375			528
Telefonica Emisiones SAU	4.665%	3/6/38		200			226
Telefonica Emisiones SAU	5.213%	3/8/47		550			653
Telefonica Emisiones SAU	4.895%	3/6/48		200			229
Telefonica Emisiones SAU	5.520%	3/1/49		335			419
TELUS Corp.	2.800%	2/16/27		100			100
TELUS Corp.	4.300%	6/15/49		200			221
Thomson Reuters Corp.	5.500%	8/15/35		75			84
Thomson Reuters Corp.	5.850%	4/15/40		100			119
Thomson Reuters Corp.	5.650%	11/23/43		100			118
Time Warner Cable LLC	4.125%	2/15/21		150			152
Time Warner Cable LLC	6.550%	5/1/37		200			245
Time Warner Cable LLC	7.300%	7/1/38		50			65
Time Warner Cable LLC	6.750%	6/15/39		400			505
Time Warner Cable LLC	5.875%	11/15/40		425			487
Time Warner Cable LLC	5.500%	9/1/41		250			279
Time Warner Cable LLC	4.500%	9/15/42		450			456
Time Warner Entertainment Co. LP	8.375%	3/15/23		200			236
Time Warner Entertainment Co. LP	8.375%	7/15/33		200			281
Verizon Communications Inc.	3.450%	3/15/21		300			306
Verizon Communications Inc.	4.600%	4/1/21		475			491
Verizon Communications Inc.	2.946%	3/15/22		400			408
Verizon Communications Inc.	3.125%	3/16/22		350			359
Verizon Communications Inc.	5.150%	9/15/23		830			920
Verizon Communications Inc.	4.150%	3/15/24		100			108
Verizon Communications Inc.	3.500%	11/1/24		400			423
Verizon Communications Inc.	3.376%	2/15/25		534			565
Verizon Communications Inc.	2.625%	8/15/26		475			482
Verizon Communications Inc.	4.125%	3/16/27		400			442
Verizon Communications Inc.	4.329%	9/21/28		1,229			1,393
Verizon Communications Inc.	4.016%	12/3/29		927			1,032
Verizon Communications Inc.	4.500%	8/10/33		575			667
Verizon Communications Inc.	4.400%	11/1/34		725			839
Verizon Communications Inc.	4.272%	1/15/36		563			634
Verizon Communications Inc.	5.250%	3/16/37		875			1,098
Verizon Communications Inc.	4.812%	3/15/39		350			423
Verizon Communications Inc.	4.750%	11/1/41		175			212
Verizon Communications Inc.	3.850%	11/1/42		175			187
Verizon Communications Inc.	4.125%	8/15/46		250			282
Verizon Communications Inc.	4.862%	8/21/46		1,279			1,583
Verizon Communications Inc.	4.522%	9/15/48		747			892
Verizon Communications Inc.	5.012%	4/15/49		385			492
Verizon Communications Inc.	4.672%	3/15/55		600			736
ViacomCBS Inc.	4.300%	2/15/21		275			280
ViacomCBS Inc.	3.875%	12/15/21		125			129
ViacomCBS Inc.	2.500%	2/15/23		200			202
ViacomCBS Inc.	2.900%	6/1/23		75			76
ViacomCBS Inc.	4.250%	9/1/23		225			240
ViacomCBS Inc.	3.875%	4/1/24		124			131
ViacomCBS Inc.	3.700%	8/15/24		175			185
ViacomCBS Inc.	3.500%	1/15/25		150			157
ViacomCBS Inc.	2.900%	1/15/27		279			279
ViacomCBS Inc.	3.375%	2/15/28		100			103
ViacomCBS Inc.	3.700%	6/1/28		100			104
ViacomCBS Inc.	5.500%	5/15/33		75			90
ViacomCBS Inc	6.875%	4/30/36		240			321
ViacomCBS Inc.	5.900%	10/15/40		225			272
ViacomCBS Inc.	4.850%	7/1/42		225			248
ViacomCBS Inc	4.375%	3/15/43		556			589
ViacomCBS Inc	5.850%	9/1/43		75			94
ViacomCBS Inc.	4.900%	8/15/44		100			113
Vodafone Group plc	3.750%	1/16/24		650			686
Vodafone Group plc	4.125%	5/30/25		500			540
Vodafone Group plc	4.375%	5/30/28		650			719
Vodafone Group plc	7.875%	2/15/30		150			208
Vodafone Group plc	6.250%	11/30/32		100			127
Vodafone Group plc	5.000%	5/30/38		325			379
Vodafone Group plc	4.375%	2/19/43		275			296
Vodafone Group plc	5.250%	5/30/48		700			846
Vodafone Group plc	4.875%	6/19/49		350			403
Vodafone Group plc	4.250%	9/17/50		450			467
Walt Disney Co.	4.500%	2/15/21		920			947
Walt Disney Co.	2.550%	2/15/22		75			76
Walt Disney Co.	2.450%	3/4/22		75			76
Walt Disney Co.	1.650%	9/1/22		100			100
Walt Disney Co.	3.000%	9/15/22		275			283
Walt Disney Co.	1.750%	8/30/24		100			99
Walt Disney Co.	3.700%	9/15/24		200			214
Walt Disney Co.	3.150%	9/17/25		150			159
Walt Disney Co.	3.700%	10/15/25		125			135
Walt Disney Co.	1.850%	7/30/26		1,070			1,050
Walt Disney Co.	2.000%	9/1/29		400			388
Walt Disney Co.	6.550%	3/15/33		100			141
Walt Disney Co.	6.200%	12/15/34		400			558
Walt Disney Co.	6.400%	12/15/35		365			522
Walt Disney Co.	6.150%	3/1/37		200			278
Walt Disney Co.	4.375%	8/16/41		75			89
Walt Disney Co.	4.125%	12/1/41		205			236
Walt Disney Co.	3.700%	12/1/42		125			136
Walt Disney Co.	5.400%	10/1/43		100			136
Walt Disney Co.	4.750%	9/15/44		175			220
Walt Disney Co.	2.750%	9/1/49		600			564
Weibo Corp.	3.500%	7/5/24		200			204
WPP Finance 2010	3.625%	9/7/22		200			207
WPP Finance 2010	3.750%	9/19/24		100			105
Consumer Cyclical (1.9%)
Alibaba Group Holding Ltd.	3.125%	11/28/21		300			306
Alibaba Group Holding Ltd.	2.800%	6/6/23		200			203
Alibaba Group Holding Ltd.	3.600%	11/28/24		400			420
Alibaba Group Holding Ltd.	3.400%	12/6/27		600			625
Alibaba Group Holding Ltd.	4.500%	11/28/34		280			317
Alibaba Group Holding Ltd.	4.000%	12/6/37		200			215
Alibaba Group Holding Ltd.	4.200%	12/6/47		425			471
Alibaba Group Holding Ltd.	4.400%	12/6/57		100			114
Amazon.com Inc.	3.300%	12/5/21		200			206
Amazon.com Inc.	2.500%	11/29/22		150			153
Amazon.com Inc.	2.400%	2/22/23		450			457
Amazon.com Inc.	2.800%	8/22/24		250			259
Amazon.com Inc.	3.800%	12/5/24		120			130
Amazon.com Inc.	5.200%	12/3/25		225			261
Amazon.com Inc.	3.150%	8/22/27		550			581
Amazon.com Inc.	4.800%	12/5/34		225			283
Amazon.com Inc.	3.875%	8/22/37		500			568
Amazon.com Inc.	4.950%	12/5/44		350			458
Amazon.com Inc.	4.050%	8/22/47		600			703
Amazon.com Inc.	4.250%	8/22/57		500			608
American Honda Finance Corp.	3.150%	1/8/21		250			253
American Honda Finance Corp.	2.650%	2/12/21		150			151
American Honda Finance Corp.	1.650%	7/12/21		150			150
American Honda Finance Corp.	1.700%	9/9/21		400			399
American Honda Finance Corp.	3.375%	12/10/21		150			155
American Honda Finance Corp.	2.200%	6/27/22		150			151
American Honda Finance Corp.	2.600%	11/16/22		40			41
American Honda Finance Corp.	2.050%	1/10/23		125			125
American Honda Finance Corp.	3.450%	7/14/23		125			131
American Honda Finance Corp.	3.625%	10/10/23		100			105
American Honda Finance Corp.	2.900%	2/16/24		150			154
American Honda Finance Corp.	2.400%	6/27/24		100			101
American Honda Finance Corp.	2.150%	9/10/24		125			125
American Honda Finance Corp.	2.300%	9/9/26		50			50

384

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	American Honda Finance Corp.	3.500%	2/15/28		100			108
	Aptiv Corp.	4.150%	3/15/24		125			132
	Aptiv plc	4.250%	1/15/26		150			162
	Aptiv plc	4.350%	3/15/29		50			54
	Aptiv plc	4.400%	10/1/46		50			48
	Aptiv plc	5.400%	3/15/49		50			56
	Automatic Data Processing Inc.	3.375%	9/15/25		200			212
	AutoNation Inc.	3.350%	1/15/21		60			61
	AutoNation Inc.	3.500%	11/15/24		205			211
	AutoNation Inc.	4.500%	10/1/25		150			161
	AutoNation Inc.	3.800%	11/15/27		75			76
	AutoZone Inc.	3.700%	4/15/22		350			361
	AutoZone Inc.	2.875%	1/15/23		75			76
	AutoZone Inc.	3.125%	7/15/23		125			128
	AutoZone Inc.	3.125%	4/18/24		130			135
	AutoZone Inc.	3.125%	4/21/26		100			103
	AutoZone Inc.	3.750%	6/1/27		100			107
	AutoZone Inc.	3.750%	4/18/29		100			107
	Best Buy Co. Inc.	5.500%	3/15/21		25			26
	Best Buy Co. Inc.	4.450%	10/1/28		200			219
	Block Financial LLC	5.500%	11/1/22		100			107
	Block Financial LLC	5.250%	10/1/25		100			109
	Booking Holdings Inc.	2.750%	3/15/23		100			102
	Booking Holdings Inc.	3.650%	3/15/25		100			107
	Booking Holdings Inc.	3.600%	6/1/26		225			240
	Booking Holdings Inc.	3.550%	3/15/28		100			106
	BorgWarner Inc.	3.375%	3/15/25		75			78
	BorgWarner Inc.	4.375%	3/15/45		100			102
	Costco Wholesale Corp.	2.150%	5/18/21		200			201
	Costco Wholesale Corp.	2.250%	2/15/22		100			101
	Costco Wholesale Corp.	2.300%	5/18/22		150			152
	Costco Wholesale Corp.	2.750%	5/18/24		275			284
	Costco Wholesale Corp.	3.000%	5/18/27		100			106
	Cummins Inc.	7.125%	3/1/28		100			133
	Cummins Inc.	4.875%	10/1/43		125			152
	Daimler Finance North America LLC	8.500%	1/18/31		250			372
	Darden Restaurants Inc.	3.850%	5/1/27		200			209
	Darden Restaurants Inc.	4.550%	2/15/48		50			51
	Dollar General Corp.	3.250%	4/15/23		150			155
	Dollar General Corp.	4.150%	11/1/25		105			114
	Dollar General Corp.	3.875%	4/15/27		50			54
	Dollar General Corp.	4.125%	5/1/28		150			164
	Dollar Tree Inc.	3.700%	5/15/23		100			104
	Dollar Tree Inc.	4.000%	5/15/25		200			214
	Dollar Tree Inc.	4.200%	5/15/28		300			321
	DR Horton Inc.	4.375%	9/15/22		100			105
	DR Horton Inc.	4.750%	2/15/23		225			239
	DR Horton Inc.	5.750%	8/15/23		75			83
	DR Horton Inc.	2.500%	10/15/24		100			100
	eBay Inc.	2.875%	8/1/21		125			126
	eBay Inc.	3.800%	3/9/22		100			103
	eBay Inc.	2.600%	7/15/22		450			454
	eBay Inc.	2.750%	1/30/23		175			177
	eBay Inc.	3.450%	8/1/24		125			130
	eBay Inc.	3.600%	6/5/27		300			313
	eBay Inc.	4.000%	7/15/42		25			25
	Expedia Group Inc.	4.500%	8/15/24		100			107
	Expedia Group Inc.	5.000%	2/15/26		150			165
	Expedia Group Inc.	3.800%	2/15/28		200			204
6	Expedia Group Inc.	3.250%	2/15/30		250			240
	Ford Motor Co.	4.346%	12/8/26		275			283
	Ford Motor Co.	6.625%	10/1/28		175			193
	Ford Motor Co.	6.375%	2/1/29		100			107
	Ford Motor Co.	7.450%	7/16/31		375			443
	Ford Motor Co.	4.750%	1/15/43		100			89
	Ford Motor Co.	7.400%	11/1/46		100			112
	Ford Motor Co.	5.291%	12/8/46		250			236
	Ford Motor Credit Co. LLC	2.343%	11/2/20		150			150
	Ford Motor Credit Co. LLC	3.200%	1/15/21		250			251
	Ford Motor Credit Co. LLC	5.750%	2/1/21		250			258
	Ford Motor Credit Co. LLC	3.336%	3/18/21		200			201
	Ford Motor Credit Co. LLC	5.875%	8/2/21		325			340
	Ford Motor Credit Co. LLC	3.813%	10/12/21		200			203
	Ford Motor Credit Co. LLC	5.596%	1/7/22		200			210
	Ford Motor Credit Co. LLC	3.339%	3/28/22		150			151
	Ford Motor Credit Co. LLC	2.979%	8/3/22		300			300
	Ford Motor Credit Co. LLC	4.250%	9/20/22		200			207
	Ford Motor Credit Co. LLC	3.350%	11/1/22		500			505
	Ford Motor Credit Co. LLC	4.375%	8/6/23		225			233
	Ford Motor Credit Co. LLC	3.810%	1/9/24		150			152
	Ford Motor Credit Co. LLC	5.584%	3/18/24		200			216
	Ford Motor Credit Co. LLC	3.664%	9/8/24		200			200
	Ford Motor Credit Co. LLC	4.063%	11/1/24		700			714
	Ford Motor Credit Co. LLC	4.134%	8/4/25		500			506
	Ford Motor Credit Co. LLC	4.389%	1/8/26		200			203
	Ford Motor Credit Co. LLC	4.542%	8/1/26		200			204
	Ford Motor Credit Co. LLC	3.815%	11/2/27		150			145
	Ford Motor Credit Co. LLC	5.113%	5/3/29		325			334
	General Motors Co.	4.875%	10/2/23		625			671
	General Motors Co.	4.000%	4/1/25		100			104
	General Motors Co.	5.000%	10/1/28		150			163
	General Motors Co.	5.000%	4/1/35		165			170
	General Motors Co.	6.600%	4/1/36		250			294
	General Motors Co.	5.150%	4/1/38		225			230
	General Motors Co.	6.250%	10/2/43		210			235
	General Motors Co.	5.200%	4/1/45		230			231
	General Motors Co.	6.750%	4/1/46		130			152
	General Motors Co.	5.400%	4/1/48		200			206
	General Motors Co.	5.950%	4/1/49		275			304
	General Motors Financial Co. Inc.	4.200%	3/1/21		175			179
	General Motors Financial Co. Inc.	3.550%	4/9/21		150			152
	General Motors Financial Co. Inc.	3.200%	7/6/21		225			228
	General Motors Financial Co. Inc.	4.375%	9/25/21		100			104
	General Motors Financial Co. Inc.	4.200%	11/6/21		50			52
	General Motors Financial Co. Inc.	3.450%	1/14/22		125			128
	General Motors Financial Co. Inc.	3.450%	4/10/22		355			363
	General Motors Financial Co. Inc.	3.150%	6/30/22		100			102
	General Motors Financial Co. Inc.	3.550%	7/8/22		200			206
	General Motors Financial Co. Inc.	3.250%	1/5/23		275			280
	General Motors Financial Co. Inc.	3.700%	5/9/23		200			206
	General Motors Financial Co. Inc.	4.250%	5/15/23		150			158
	General Motors Financial Co. Inc.	4.150%	6/19/23		200			210
	General Motors Financial Co. Inc.	5.100%	1/17/24		100			109
	General Motors Financial Co. Inc.	3.950%	4/13/24		400			418
	General Motors Financial Co. Inc.	3.500%	11/7/24		200			206
	General Motors Financial Co. Inc.	4.000%	1/15/25		175			184
	General Motors Financial Co. Inc.	4.350%	4/9/25		325			348
	General Motors Financial Co. Inc.	5.250%	3/1/26		150			166
	General Motors Financial Co. Inc.	4.000%	10/6/26		100			105
	General Motors Financial Co. Inc.	4.350%	1/17/27		325			342
	General Motors Financial Co. Inc.	3.850%	1/5/28		100			102
	General Motors Financial Co. Inc.	5.650%	1/17/29		150			170
	GLP Capital LP / GLP Financing II Inc.	4.375%	4/15/21		50			51
	GLP Capital LP / GLP Financing II Inc.	5.375%	11/1/23		100			109
	GLP Capital LP / GLP Financing II Inc.	3.350%	9/1/24		75			77
	GLP Capital LP / GLP Financing II Inc.	5.250%	6/1/25		200			218
	GLP Capital LP / GLP Financing II Inc.	5.375%	4/15/26		175			191
	GLP Capital LP / GLP Financing II Inc.	5.750%	6/1/28		25			28
	GLP Capital LP / GLP Financing II Inc.	5.300%	1/15/29		275			306
	GLP Capital LP / GLP Financing II Inc.	4.000%	1/15/30		175			178
	Harley-Davidson Inc.	3.500%	7/28/25		100			104
	Harley-Davidson Inc.	4.625%	7/28/45		125			128
	Harman International Industries Inc.	4.150%	5/15/25		76			81
	Home Depot Inc.	2.000%	4/1/21		250			251
	Home Depot Inc.	4.400%	4/1/21		190			195
	Home Depot Inc.	3.250%	3/1/22		150			155
	Home Depot Inc.	2.625%	6/1/22		265			270
	Home Depot Inc.	2.700%	4/1/23		25			26
	Home Depot Inc.	3.750%	2/15/24		200			214
	Home Depot Inc.	3.350%	9/15/25		250			267
	Home Depot Inc.	3.000%	4/1/26		275			287
	Home Depot Inc.	2.125%	9/15/26		100			100

385

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
Home Depot Inc.	2.800%	9/14/27		200			207
Home Depot Inc.	3.900%	12/6/28		100			112
Home Depot Inc.	2.950%	6/15/29		500			519
Home Depot Inc.	5.875%	12/16/36		825			1,136
Home Depot Inc.	5.400%	9/15/40		175			229
Home Depot Inc.	5.950%	4/1/41		175			246
Home Depot Inc.	4.200%	4/1/43		200			232
Home Depot Inc.	4.875%	2/15/44		300			380
Home Depot Inc.	4.400%	3/15/45		100			119
Home Depot Inc.	4.250%	4/1/46		330			389
Home Depot Inc.	3.900%	6/15/47		175			197
Home Depot Inc.	4.500%	12/6/48		125			154
Home Depot Inc.	3.500%	9/15/56		150			157
Hyatt Hotels Corp.	5.375%	8/15/21		50			52
Hyatt Hotels Corp.	3.375%	7/15/23		100			103
Hyatt Hotels Corp.	4.850%	3/15/26		50			55
Hyatt Hotels Corp.	4.375%	9/15/28		75			81
IHS Markit Ltd.	3.625%	5/1/24		100			104
IHS Markit Ltd.	4.750%	8/1/28		140			156
IHS Markit Ltd.	4.250%	5/1/29		100			108
JD.com Inc.	3.125%	4/29/21		200			201
Kohl’s Corp.	4.250%	7/17/25		100			106
Kohl’s Corp.	5.550%	7/17/45		100			102
Las Vegas Sands Corp.	3.200%	8/8/24		115			119
Las Vegas Sands Corp.	2.900%	6/25/25		200			202
Las Vegas Sands Corp.	3.500%	8/18/26		145			149
Las Vegas Sands Corp.	3.900%	8/8/29		65			68
Lear Corp.	5.250%	1/15/25		200			206
Lear Corp.	3.800%	9/15/27		100			101
Lear Corp.	4.250%	5/15/29		150			155
Lear Corp.	5.250%	5/15/49		150			156
Lowe’s Cos. Inc.	3.750%	4/15/21		200			203
Lowe’s Cos. Inc.	3.120%	4/15/22		150			154
Lowe’s Cos. Inc.	3.875%	9/15/23		275			291
Lowe’s Cos. Inc.	3.125%	9/15/24		100			104
Lowe’s Cos. Inc.	3.375%	9/15/25		200			210
Lowe’s Cos. Inc.	2.500%	4/15/26		250			252
Lowe’s Cos. Inc.	3.100%	5/3/27		350			361
Lowe’s Cos. Inc.	6.500%	3/15/29		67			85
Lowe’s Cos. Inc.	3.650%	4/5/29		450			480
Lowe’s Cos. Inc.	4.650%	4/15/42		100			114
Lowe’s Cos. Inc.	4.250%	9/15/44		100			108
Lowe’s Cos. Inc.	4.375%	9/15/45		150			164
Lowe’s Cos. Inc.	3.700%	4/15/46		250			254
Lowe’s Cos. Inc.	4.050%	5/3/47		300			323
Lowe’s Cos. Inc.	4.550%	4/5/49		275			321
Macy’s Retail Holdings Inc.	3.450%	1/15/21		100			101
Macy’s Retail Holdings Inc.	2.875%	2/15/23		170			169
Macy’s Retail Holdings Inc.	3.625%	6/1/24		100			101
Macy’s Retail Holdings Inc.	4.500%	12/15/34		121			115
Magna International Inc.	3.625%	6/15/24		170			179
Magna International Inc.	4.150%	10/1/25		100			108
Marriott International Inc.	2.875%	3/1/21		50			50
Marriott International Inc.	3.125%	10/15/21		50			51
Marriott International Inc.	2.300%	1/15/22		100			100
Marriott International Inc.	2.125%	10/3/22		200			200
Marriott International Inc.	3.600%	4/15/24		125			131
Marriott International Inc.	3.750%	3/15/25		175			185
Marriott International Inc.	3.750%	10/1/25		65			69
Marriott International Inc.	3.125%	6/15/26		183			189
Marriott International Inc.	4.000%	4/15/28		50			54
Mastercard Inc.	2.000%	11/21/21		100			100
Mastercard Inc.	3.375%	4/1/24		300			318
Mastercard Inc.	2.000%	3/3/25		400			398
Mastercard Inc.	2.950%	11/21/26		100			104
Mastercard Inc.	3.500%	2/26/28		50			54
Mastercard Inc.	2.950%	6/1/29		200			208
Mastercard Inc.	3.800%	11/21/46		100			112
Mastercard Inc.	3.950%	2/26/48		100			115
Mastercard Inc.	3.650%	6/1/49		250			276
McDonald’s Corp.	2.750%	12/9/20		275			277
McDonald’s Corp.	3.625%	5/20/21		175			179
McDonald’s Corp.	2.625%	1/15/22		275			279
McDonald’s Corp.	3.350%	4/1/23		200			208
McDonald’s Corp.	3.375%	5/26/25		175			185
McDonald’s Corp.	3.700%	1/30/26		300			322
McDonald’s Corp.	3.500%	3/1/27		200			213
McDonald’s Corp.	3.800%	4/1/28		350			380
McDonald’s Corp.	2.625%	9/1/29		200			200
McDonald’s Corp.	4.700%	12/9/35		200			238
McDonald’s Corp.	6.300%	10/15/37		150			204
McDonald’s Corp.	6.300%	3/1/38		100			136
McDonald’s Corp.	5.700%	2/1/39		100			127
McDonald’s Corp.	3.700%	2/15/42		25			25
McDonald’s Corp.	3.625%	5/1/43		100			100
McDonald’s Corp.	4.600%	5/26/45		210			241
McDonald’s Corp.	4.875%	12/9/45		300			362
McDonald’s Corp.	4.450%	3/1/47		150			172
McDonald’s Corp.	4.450%	9/1/48		150			171
McDonald’s Corp.	3.625%	9/1/49		200			203
NIKE Inc.	2.375%	11/1/26		200			203
NIKE Inc.	3.625%	5/1/43		125			136
NIKE Inc.	3.875%	11/1/45		225			256
NIKE Inc.	3.375%	11/1/46		100			105
Nordstrom Inc.	4.000%	10/15/21		125			128
Nordstrom Inc.	4.000%	3/15/27		100			104
Nordstrom Inc.	4.375%	4/1/30		75			76
Nordstrom Inc.	5.000%	1/15/44		165			160
NVR Inc.	3.950%	9/15/22		100			104
O’Reilly Automotive Inc.	4.875%	1/14/21		25			26
O’Reilly Automotive Inc.	3.800%	9/1/22		100			104
O’Reilly Automotive Inc.	3.850%	6/15/23		75			78
O’Reilly Automotive Inc.	3.550%	3/15/26		100			105
O’Reilly Automotive Inc.	3.600%	9/1/27		325			347
PACCAR Financial Corp.	2.050%	11/13/20		50			50
PACCAR Financial Corp.	2.250%	2/25/21		75			75
PACCAR Financial Corp.	2.800%	3/1/21		90			91
PACCAR Financial Corp.	3.150%	8/9/21		25			25
PACCAR Financial Corp.	2.850%	3/1/22		100			102
PACCAR Financial Corp.	2.650%	5/10/22		100			102
PACCAR Financial Corp.	2.300%	8/10/22		50			51
PACCAR Financial Corp.	2.000%	9/26/22		50			50
PACCAR Financial Corp.	3.400%	8/9/23		100			104
PACCAR Financial Corp.	2.150%	8/15/24		75			75
QVC Inc.	5.125%	7/2/22		25			26
QVC Inc.	4.850%	4/1/24		95			100
QVC Inc.	4.450%	2/15/25		100			103
QVC Inc.	5.950%	3/15/43		125			119
Ralph Lauren Corp.	3.750%	9/15/25		50			54
Royal Caribbean Cruises Ltd.	5.250%	11/15/22		100			108
Royal Caribbean Cruises Ltd.	3.700%	3/15/28		200			207
Sands China Ltd.	4.600%	8/8/23		400			420
Sands China Ltd.	5.125%	8/8/25		400			440
Sands China Ltd.	5.400%	8/8/28		300			338
Starbucks Corp.	2.100%	2/4/21		150			150
Starbucks Corp.	2.700%	6/15/22		75			76
Starbucks Corp.	3.100%	3/1/23		175			181
Starbucks Corp.	3.850%	10/1/23		300			318
Starbucks Corp.	3.800%	8/15/25		200			215
Starbucks Corp.	2.450%	6/15/26		200			202
Starbucks Corp.	3.500%	3/1/28		100			107
Starbucks Corp.	4.000%	11/15/28		200			221
Starbucks Corp.	3.550%	8/15/29		200			217
Starbucks Corp.	4.300%	6/15/45		50			55
Starbucks Corp.	3.750%	12/1/47		125			128
Starbucks Corp.	4.500%	11/15/48		200			230
Tapestry Inc.	3.000%	7/15/22		125			127
Tapestry Inc.	4.250%	4/1/25		70			74
Tapestry Inc.	4.125%	7/15/27		100			102
Target Corp.	2.900%	1/15/22		200			205
Target Corp.	3.500%	7/1/24		325			348
Target Corp.	2.500%	4/15/26		175			179

386

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Target Corp.	3.375%	4/15/29		200			217
	Target Corp.	6.350%	11/1/32		140			196
	Target Corp.	6.500%	10/15/37		103			152
	Target Corp.	7.000%	1/15/38		125			194
	Target Corp.	4.000%	7/1/42		285			326
	Target Corp.	3.625%	4/15/46		200			219
	Target Corp.	3.900%	11/15/47		125			143
	TJX Cos. Inc.	2.750%	6/15/21		150			152
	TJX Cos. Inc.	2.500%	5/15/23		100			102
	TJX Cos. Inc.	2.250%	9/15/26		350			350
	Toyota Motor Corp.	3.183%	7/20/21		140			143
	Toyota Motor Corp.	2.157%	7/2/22		100			101
	Toyota Motor Corp.	3.419%	7/20/23		150			157
	Toyota Motor Corp.	2.358%	7/2/24		100			102
	Toyota Motor Corp.	3.669%	7/20/28		100			110
	Toyota Motor Corp.	2.760%	7/2/29		100			103
	Toyota Motor Credit Corp.	4.250%	1/11/21		125			128
	Toyota Motor Credit Corp.	1.900%	4/8/21		250			250
	Toyota Motor Credit Corp.	2.950%	4/13/21		100			101
	Toyota Motor Credit Corp.	2.750%	5/17/21		200			202
	Toyota Motor Credit Corp.	3.400%	9/15/21		175			179
	Toyota Motor Credit Corp.	1.800%	10/7/21		80			80
	Toyota Motor Credit Corp.	2.600%	1/11/22		200			203
	Toyota Motor Credit Corp.	3.300%	1/12/22		175			180
	Toyota Motor Credit Corp.	2.650%	4/12/22		500			508
	Toyota Motor Credit Corp.	2.800%	7/13/22		100			102
	Toyota Motor Credit Corp.	2.150%	9/8/22		200			202
	Toyota Motor Credit Corp.	2.625%	1/10/23		100			102
	Toyota Motor Credit Corp.	2.250%	10/18/23		300			302
	Toyota Motor Credit Corp.	2.900%	4/17/24		125			129
	Toyota Motor Credit Corp.	3.400%	4/14/25		125			133
	Toyota Motor Credit Corp.	3.200%	1/11/27		200			211
	Toyota Motor Credit Corp.	3.050%	1/11/28		100			105
	Toyota Motor Credit Corp.	3.650%	1/8/29		100			110
	VF Corp.	3.500%	9/1/21		200			204
	VF Corp.	6.450%	11/1/37		50			69
	Visa Inc.	2.200%	12/14/20		500			502
	Visa Inc.	2.150%	9/15/22		100			101
	Visa Inc.	2.800%	12/14/22		550			565
	Visa Inc.	3.150%	12/14/25		925			977
	Visa Inc.	2.750%	9/15/27		150			156
	Visa Inc.	4.150%	12/14/35		325			383
	Visa Inc.	4.300%	12/14/45		825			1,016
	Visa Inc.	3.650%	9/15/47		100			112
	Walgreen Co.	3.100%	9/15/22		250			255
	Walgreen Co.	4.400%	9/15/42		195			194
	Walgreens Boots Alliance Inc.	3.300%	11/18/21		225			229
	Walgreens Boots Alliance Inc.	3.800%	11/18/24		375			390
	Walgreens Boots Alliance Inc.	3.450%	6/1/26		325			330
	Walgreens Boots Alliance Inc.	4.500%	11/18/34		125			129
	Walgreens Boots Alliance Inc.	4.800%	11/18/44		275			280
	Walgreens Boots Alliance Inc.	4.650%	6/1/46		115			115
	Walmart Inc.	1.900%	12/15/20		165			165
	Walmart Inc.	3.125%	6/23/21		300			306
	Walmart Inc.	2.350%	12/15/22		800			814
	Walmart Inc.	2.550%	4/11/23		150			153
	Walmart Inc.	3.400%	6/26/23		250			263
	Walmart Inc.	3.300%	4/22/24		250			262
	Walmart Inc.	2.850%	7/8/24		275			285
	Walmart Inc.	2.650%	12/15/24		200			206
	Walmart Inc.	3.550%	6/26/25		275			294
	Walmart Inc.	3.050%	7/8/26		250			263
	Walmart Inc.	5.875%	4/5/27		405			499
	Walmart Inc.	3.700%	6/26/28		450			495
	Walmart Inc.	3.250%	7/8/29		300			322
	Walmart Inc.	2.375%	9/24/29		125			125
	Walmart Inc.	7.550%	2/15/30		105			152
	Walmart Inc.	5.250%	9/1/35		385			505
	Walmart Inc.	6.200%	4/15/38		315			459
	Walmart Inc.	3.950%	6/28/38		275			319
	Walmart Inc.	5.000%	10/25/40		100			130
	Walmart Inc.	5.625%	4/15/41		175			249
	Walmart Inc.	4.000%	4/11/43		274			315
	Walmart Inc.	4.300%	4/22/44		361			431
	Walmart Inc.	3.625%	12/15/47		115			127
	Walmart Inc.	4.050%	6/29/48		425			500
	Walmart Inc.	2.950%	9/24/49		120			117
	Western Union Co.	3.600%	3/15/22		100			103
	Western Union Co.	2.850%	1/10/25		100			100
	Western Union Co.	6.200%	11/17/36		100			113
	Western Union Co.	6.200%	6/21/40		35			39
	Consumer Noncyclical (4.4%)
	Abbott Laboratories	2.550%	3/15/22		175			178
	Abbott Laboratories	3.400%	11/30/23		316			332
	Abbott Laboratories	2.950%	3/15/25		175			181
	Abbott Laboratories	3.875%	9/15/25		75			82
	Abbott Laboratories	3.750%	11/30/26		367			400
	Abbott Laboratories	4.750%	11/30/36		375			467
	Abbott Laboratories	5.300%	5/27/40		125			163
	Abbott Laboratories	4.750%	4/15/43		125			157
	Abbott Laboratories	4.900%	11/30/46		775			1,012
	AbbVie Inc.	2.300%	5/14/21		350			351
	AbbVie Inc.	3.375%	11/14/21		250			256
6	AbbVie Inc.	2.150%	11/19/21		250			251
	AbbVie Inc.	2.900%	11/6/22		800			816
	AbbVie Inc.	3.200%	11/6/22		275			283
6	AbbVie Inc.	2.300%	11/21/22		575			577
	AbbVie Inc.	2.850%	5/14/23		200			204
	AbbVie Inc.	3.750%	11/14/23		250			263
6	AbbVie Inc.	2.600%	11/21/24		750			755
	AbbVie Inc.	3.600%	5/14/25		725			765
	AbbVie Inc.	3.200%	5/14/26		350			362
6	AbbVie Inc.	2.950%	11/21/26		740			750
	AbbVie Inc.	4.250%	11/14/28		350			387
6	AbbVie Inc.	3.200%	11/21/29		1,080			1,099
	AbbVie Inc.	4.500%	5/14/35		495			556
	AbbVie Inc.	4.300%	5/14/36		190			209
6	AbbVie Inc.	4.050%	11/21/39		775			810
	AbbVie Inc.	4.400%	11/6/42		501			540
	AbbVie Inc.	4.700%	5/14/45		527			588
	AbbVie Inc.	4.450%	5/14/46		455			490
	AbbVie Inc.	4.875%	11/14/48		775			890
6	AbbVie Inc.	4.250%	11/21/49		650			684
	Actavis Inc.	3.250%	10/1/22		300			307
	Adventist Health System/West	2.952%	3/1/29		100			99
	Adventist Health System/West	3.630%	3/1/49		100			97
	Advocate Health & Hospitals Corp.	3.829%	8/15/28		50			54
	Advocate Health & Hospitals Corp.	4.272%	8/15/48		100			114
	Advocate Health & Hospitals Corp.	3.387%	10/15/49		75			75
	Agilent Technologies Inc.	3.200%	10/1/22		75			77
	Agilent Technologies Inc.	3.875%	7/15/23		100			105
	Agilent Technologies Inc.	3.050%	9/22/26		75			76
	AHS Hospital Corp.	5.024%	7/1/45		75			93
	Allergan Finance LLC	4.625%	10/1/42		190			198
	Allergan Funding SCS	3.450%	3/15/22		507			519
	Allergan Funding SCS	3.850%	6/15/24		200			210
	Allergan Funding SCS	3.800%	3/15/25		590			618
	Allergan Funding SCS	4.550%	3/15/35		350			372
	Allergan Funding SCS	4.850%	6/15/44		230			255
	Allergan Funding SCS	4.750%	3/15/45		75			82
	Allergan Inc.	2.800%	3/15/23		100			101
	Allina Health System	3.887%	4/15/49		75			80
	Altria Group Inc.	4.750%	5/5/21		225			233
	Altria Group Inc.	3.490%	2/14/22		200			206
	Altria Group Inc.	2.850%	8/9/22		375			382
	Altria Group Inc.	2.950%	5/2/23		400			404
	Altria Group Inc.	4.000%	1/31/24		250			265
	Altria Group Inc.	4.400%	2/14/26		275			299
	Altria Group Inc.	2.625%	9/16/26		75			74
	Altria Group Inc.	4.800%	2/14/29		575			638
	Altria Group Inc.	5.800%	2/14/39		400			468

387

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Altria Group Inc.	4.250%	8/9/42		275			273
	Altria Group Inc.	4.500%	5/2/43		125			127
	Altria Group Inc.	5.375%	1/31/44		350			394
	Altria Group Inc.	3.875%	9/16/46		175			163
	Altria Group Inc.	5.950%	2/14/49		500			605
	Altria Group Inc.	6.200%	2/14/59		100			118
	AmerisourceBergen Corp.	3.500%	11/15/21		200			205
	AmerisourceBergen Corp.	3.400%	5/15/24		75			78
	AmerisourceBergen Corp.	3.250%	3/1/25		50			52
	AmerisourceBergen Corp.	3.450%	12/15/27		275	��		285
	AmerisourceBergen Corp.	4.250%	3/1/45		25			25
	AmerisourceBergen Corp.	4.300%	12/15/47		175			179
	Amgen Inc.	4.100%	6/15/21		50			51
	Amgen Inc.	1.850%	8/19/21		125			125
	Amgen Inc.	3.875%	11/15/21		250			258
	Amgen Inc.	2.700%	5/1/22		75			76
	Amgen Inc.	2.650%	5/11/22		275			279
	Amgen Inc.	3.625%	5/15/22		225			233
	Amgen Inc.	2.250%	8/19/23		150			151
	Amgen Inc.	3.625%	5/22/24		500			528
	Amgen Inc.	3.125%	5/1/25		175			183
	Amgen Inc.	2.600%	8/19/26		455			460
	Amgen Inc.	4.950%	10/1/41		300			356
	Amgen Inc.	5.150%	11/15/41		250			302
	Amgen Inc.	4.400%	5/1/45		450			504
	Amgen Inc.	4.563%	6/15/48		356			411
	Amgen Inc.	4.663%	6/15/51		659			775
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	3.650%	2/1/26		770			820
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	4.700%	2/1/36		1,245			1,436
	Anheuser-Busch Cos. LLC / Anheuser-Busch InBev Worldwide Inc.	4.900%	2/1/46		2,485			2,943
	Anheuser-Busch InBev Finance Inc.	2.625%	1/17/23		254			258
	Anheuser-Busch InBev Finance Inc.	3.300%	2/1/23		568			588
	Anheuser-Busch InBev Finance Inc.	3.700%	2/1/24		100			106
	Anheuser-Busch InBev Finance Inc.	4.000%	1/17/43		300			316
	Anheuser-Busch InBev Finance Inc.	4.625%	2/1/44		200			225
	Anheuser-Busch InBev Finance Inc.	4.900%	2/1/46		275			324
	Anheuser-Busch InBev Worldwide Inc.	4.375%	2/15/21		50			51
	Anheuser-Busch InBev Worldwide Inc.	2.500%	7/15/22		70			71
	Anheuser-Busch InBev Worldwide Inc.	3.500%	1/12/24		150			158
	Anheuser-Busch InBev Worldwide Inc.	4.150%	1/23/25		475			517
	Anheuser-Busch InBev Worldwide Inc.	4.000%	4/13/28		500			549
	Anheuser-Busch InBev Worldwide Inc.	4.750%	1/23/29		875			1,013
	Anheuser-Busch InBev Worldwide Inc.	4.900%	1/23/31		340			405
	Anheuser-Busch InBev Worldwide Inc.	4.375%	4/15/38		275			308
	Anheuser-Busch InBev Worldwide Inc.	8.200%	1/15/39		150			235
	Anheuser-Busch InBev Worldwide Inc.	5.450%	1/23/39		125			157
	Anheuser-Busch InBev Worldwide Inc.	4.950%	1/15/42		325			383
	Anheuser-Busch InBev Worldwide Inc.	3.750%	7/15/42		325			329
	Anheuser-Busch InBev Worldwide Inc.	4.600%	4/15/48		475			540
	Anheuser-Busch InBev Worldwide Inc.	4.439%	10/6/48		626			699
	Anheuser-Busch InBev Worldwide Inc.	5.550%	1/23/49		725			940
	Anheuser-Busch InBev Worldwide Inc.	4.750%	4/15/58		250			292
	Anheuser-Busch InBev Worldwide Inc.	5.800%	1/23/59		125			170
	Archer-Daniels-Midland Co.	4.479%	3/1/21		163			168
	Archer-Daniels-Midland Co.	3.375%	3/15/22		100			103
	Archer-Daniels-Midland Co.	2.500%	8/11/26		200			203
	Archer-Daniels-Midland Co.	5.935%	10/1/32		80			105
	Archer-Daniels-Midland Co.	5.375%	9/15/35		95			120
	Archer-Daniels-Midland Co.	4.535%	3/26/42		50			59
	Archer-Daniels-Midland Co.	4.016%	4/16/43		200			221
	Archer-Daniels-Midland Co.	3.750%	9/15/47		100			109
	Archer-Daniels-Midland Co.	4.500%	3/15/49		125			152
	Ascension Health	2.532%	11/15/29		100			99
	Ascension Health	3.106%	11/15/39		100			98
	Ascension Health	3.945%	11/15/46		175			193
3	Ascension Health	4.847%	11/15/53		75			94
	AstraZeneca plc	2.375%	6/12/22		225			227
	AstraZeneca plc	3.500%	8/17/23		225			235
	AstraZeneca plc	3.375%	11/16/25		250			265
	AstraZeneca plc	3.125%	6/12/27		175			182
	AstraZeneca plc	4.000%	1/17/29		200			222
	AstraZeneca plc	6.450%	9/15/37		450			630
	AstraZeneca plc	4.000%	9/18/42		290			320
	AstraZeneca plc	4.375%	11/16/45		200			234
	AstraZeneca plc	4.375%	8/17/48		135			161
	BAT Capital Corp.	2.764%	8/15/22		325			329
	BAT Capital Corp.	3.222%	8/15/24		650			664
	BAT Capital Corp.	2.789%	9/6/24		200			201
	BAT Capital Corp.	3.215%	9/6/26		200			201
	BAT Capital Corp.	3.557%	8/15/27		675			687
	BAT Capital Corp.	3.462%	9/6/29		125			127
	BAT Capital Corp.	4.390%	8/15/37		525			532
	BAT Capital Corp.	4.540%	8/15/47		475			475
	BAT Capital Corp.	4.758%	9/6/49		250			258
	Baxalta Inc.	3.600%	6/23/22		15			15
	Baxalta Inc.	4.000%	6/23/25		97			104
	Baxalta Inc.	5.250%	6/23/45		73			93
	Baxter International Inc.	1.700%	8/15/21		150			150
	Baxter International Inc.	3.500%	8/15/46		100			97
	Baylor Scott & White Holdings	4.185%	11/15/45		100			112
	Beam Suntory Inc.	3.250%	5/15/22		50			51
	Becton Dickinson & Co.	3.125%	11/8/21		65			66
	Becton Dickinson & Co.	2.894%	6/6/22		350			356
	Becton Dickinson & Co.	3.300%	3/1/23		50			51
	Becton Dickinson & Co.	3.363%	6/6/24		1,100			1,143
	Becton Dickinson & Co.	3.734%	12/15/24		272			288
	Becton Dickinson & Co.	3.700%	6/6/27		375			399
	Becton Dickinson & Co.	4.875%	5/15/44		26			30
	Becton Dickinson & Co.	4.685%	12/15/44		196			227
	Becton Dickinson & Co.	4.669%	6/6/47		300			355
	Bio-Rad Laboratories Inc.	4.875%	12/15/20		75			77
	Biogen Inc.	3.625%	9/15/22		275			286
	Biogen Inc.	4.050%	9/15/25		300			326
	Biogen Inc.	5.200%	9/15/45		350			421
	Boston Scientific Corp.	3.375%	5/15/22		50			52
	Boston Scientific Corp.	3.450%	3/1/24		50			52
	Boston Scientific Corp.	3.850%	5/15/25		77			83
	Boston Scientific Corp.	3.750%	3/1/26		125			134
	Boston Scientific Corp.	4.000%	3/1/29		150			166
	Boston Scientific Corp.	7.000%	11/15/35		100			140
	Boston Scientific Corp.	4.550%	3/1/39		175			205
	Boston Scientific Corp.	7.375%	1/15/40		50			76
	Boston Scientific Corp.	4.700%	3/1/49		200			242
6	Bristol-Myers Squibb Co.	2.875%	2/19/21		125			126
6	Bristol-Myers Squibb Co.	2.550%	5/14/21		225			227
6	Bristol-Myers Squibb Co.	2.250%	8/15/21		75			75
6	Bristol-Myers Squibb Co.	2.600%	5/16/22		300			305
	Bristol-Myers Squibb Co.	2.000%	8/1/22		275			277
6	Bristol-Myers Squibb Co.	3.250%	8/15/22		175			180
6	Bristol-Myers Squibb Co.	3.550%	8/15/22		50			52
6	Bristol-Myers Squibb Co.	2.750%	2/15/23		150			152
6	Bristol-Myers Squibb Co.	3.250%	2/20/23		200			205
	Bristol-Myers Squibb Co.	7.150%	6/15/23		200			233
6	Bristol-Myers Squibb Co.	4.000%	8/15/23		125			133
6	Bristol-Myers Squibb Co.	3.625%	5/15/24		175			184
6	Bristol-Myers Squibb Co.	2.900%	7/26/24		625			644
6	Bristol-Myers Squibb Co.	3.875%	8/15/25		475			513
6	Bristol-Myers Squibb Co.	3.200%	6/15/26		460			482
6	Bristol-Myers Squibb Co.	3.450%	11/15/27		110			117
6	Bristol-Myers Squibb Co.	3.900%	2/20/28		275			300
6	Bristol-Myers Squibb Co.	3.400%	7/26/29		885			945
6	Bristol-Myers Squibb Co.	4.125%	6/15/39		380			438
6	Bristol-Myers Squibb Co.	5.700%	10/15/40		50			66
	Bristol-Myers Squibb Co.	3.250%	8/1/42		100			101
6	Bristol-Myers Squibb Co.	5.250%	8/15/43		150			191
	Bristol-Myers Squibb Co.	4.500%	3/1/44		100			117
6	Bristol-Myers Squibb Co.	4.625%	5/15/44		175			211
6	Bristol-Myers Squibb Co.	5.000%	8/15/45		400			505
6	Bristol-Myers Squibb Co.	4.350%	11/15/47		250			297

388

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
6	Bristol-Myers Squibb Co.	4.550%	2/20/48		275			338
6	Bristol-Myers Squibb Co.	4.250%	10/26/49		725			854
	Brown-Forman Corp.	3.500%	4/15/25		75			80
	Brown-Forman Corp.	4.500%	7/15/45		100			123
	Bunge Ltd. Finance Corp.	3.000%	9/25/22		250			254
	Bunge Ltd. Finance Corp.	4.350%	3/15/24		125			131
	Bunge Ltd. Finance Corp.	3.750%	9/25/27		200			206
	Campbell Soup Co.	3.300%	3/15/21		275			279
	Campbell Soup Co.	3.650%	3/15/23		225			234
	Campbell Soup Co.	3.950%	3/15/25		200			212
	Campbell Soup Co.	3.300%	3/19/25		125			128
	Campbell Soup Co.	4.150%	3/15/28		175			189
	Campbell Soup Co.	3.800%	8/2/42		75			73
	Campbell Soup Co.	4.800%	3/15/48		135			156
	Cardinal Health Inc.	4.625%	12/15/20		100			103
	Cardinal Health Inc.	2.616%	6/15/22		115			116
	Cardinal Health Inc.	3.200%	3/15/23		150			154
	Cardinal Health Inc.	3.079%	6/15/24		290			298
	Cardinal Health Inc.	3.750%	9/15/25		100			106
	Cardinal Health Inc.	3.410%	6/15/27		265			271
	Cardinal Health Inc.	4.600%	3/15/43		75			75
	Cardinal Health Inc.	4.500%	11/15/44		50			49
	Cardinal Health Inc.	4.900%	9/15/45		100			104
	Cardinal Health Inc.	4.368%	6/15/47		125			124
	Children’s Hospital Corp.	4.115%	1/1/47		75			85
	Children’s Hospital Medical Center	4.268%	5/15/44		50			56
	CHRISTUS Health	4.341%	7/1/28		125			138
	Church & Dwight Co. Inc.	2.450%	8/1/22		25			25
	Church & Dwight Co. Inc.	3.150%	8/1/27		100			104
	Church & Dwight Co. Inc.	3.950%	8/1/47		75			82
6	Cigna Corp.	3.300%	2/25/21		150			152
	Cigna Corp.	3.400%	9/17/21		280			286
6	Cigna Corp.	4.750%	11/15/21		425			446
6	Cigna Corp.	3.900%	2/15/22		200			206
6	Cigna Corp.	4.000%	2/15/22		125			129
6	Cigna Corp.	3.050%	11/30/22		100			102
6	Cigna Corp.	3.000%	7/15/23		700			710
	Cigna Corp.	3.750%	7/15/23		200			209
6	Cigna Corp.	3.500%	6/15/24		175			182
6	Cigna Corp.	3.250%	4/15/25		250			257
	Cigna Corp.	4.125%	11/15/25		265			287
6	Cigna Corp.	4.500%	2/25/26		390			422
6	Cigna Corp.	3.400%	3/1/27		275			285
6	Cigna Corp.	7.875%	5/15/27		41			53
6	Cigna Corp.	3.050%	10/15/27		225			226
	Cigna Corp.	4.375%	10/15/28		610			675
	Cigna Corp.	4.800%	8/15/38		340			391
6	Cigna Corp.	6.125%	11/15/41		92			116
6	Cigna Corp.	4.800%	7/15/46		400			460
6	Cigna Corp.	3.875%	10/15/47		120			121
	Cigna Corp.	4.900%	12/15/48		570			676
	City of Hope	5.623%	11/15/43		75			99
	City of Hope	4.378%	8/15/48		100			115
	Cleveland Clinic Foundation	4.858%	1/1/14		75			93
	Clorox Co.	3.800%	11/15/21		250			258
	Clorox Co.	3.050%	9/15/22		100			102
	Clorox Co.	3.500%	12/15/24		175			185
	Clorox Co.	3.100%	10/1/27		50			52
	Clorox Co.	3.900%	5/15/28		50			55
	Coca-Cola Co.	1.875%	10/27/20		400			400
	Coca-Cola Co.	1.550%	9/1/21		175			175
	Coca-Cola Co.	3.300%	9/1/21		250			256
	Coca-Cola Co.	2.200%	5/25/22		100			101
	Coca-Cola Co.	3.200%	11/1/23		225			236
	Coca-Cola Co.	1.750%	9/6/24		100			100
	Coca-Cola Co.	2.875%	10/27/25		300			313
	Coca-Cola Co.	2.550%	6/1/26		100			102
	Coca-Cola Co.	2.250%	9/1/26		410			413
	Coca-Cola Co.	2.900%	5/25/27		50			52
	Coca-Cola Co.	2.125%	9/6/29		125			122
	Coca-Cola Consolidated Inc.	3.800%	11/25/25		125			131
	Coca-Cola Femsa SAB de CV	3.875%	11/26/23		250			264
	Coca-Cola Femsa SAB de CV	5.250%	11/26/43		150			185
	Colgate-Palmolive Co.	2.450%	11/15/21		75			76
	Colgate-Palmolive Co.	2.250%	11/15/22		75			76
	Colgate-Palmolive Co.	2.100%	5/1/23		280			282
	Colgate-Palmolive Co.	3.250%	3/15/24		100			106
	Colgate-Palmolive Co.	4.000%	8/15/45		125			149
	Colgate-Palmolive Co.	3.700%	8/1/47		50			58
	CommonSpirit Health	2.950%	11/1/22		75			76
	CommonSpirit Health	2.760%	10/1/24		100			101
	CommonSpirit Health	3.347%	10/1/29		175			176
3	CommonSpirit Health	4.350%	11/1/42		225			231
	CommonSpirit Health	3.817%	10/1/49		50			49
	CommonSpirit Health	4.187%	10/1/49		200			199
	Conagra Brands Inc.	3.800%	10/22/21		225			232
	Conagra Brands Inc.	3.250%	9/15/22		75			77
	Conagra Brands Inc.	3.200%	1/25/23		151			156
	Conagra Brands Inc.	4.300%	5/1/24		200			215
	Conagra Brands Inc.	4.600%	11/1/25		150			165
	Conagra Brands Inc.	7.000%	10/1/28		75			93
	Conagra Brands Inc.	4.850%	11/1/28		250			285
	Conagra Brands Inc.	8.250%	9/15/30		50			69
	Conagra Brands Inc.	5.300%	11/1/38		200			237
	Conagra Brands Inc.	5.400%	11/1/48		225			274
	Constellation Brands Inc.	3.750%	5/1/21		100			102
	Constellation Brands Inc.	2.700%	5/9/22		50			51
	Constellation Brands Inc.	2.650%	11/7/22		250			253
	Constellation Brands Inc.	3.200%	2/15/23		250			257
	Constellation Brands Inc.	4.250%	5/1/23		200			212
	Constellation Brands Inc.	4.750%	11/15/24		175			193
	Constellation Brands Inc.	4.400%	11/15/25		100			109
	Constellation Brands Inc.	3.700%	12/6/26		100			106
	Constellation Brands Inc.	3.500%	5/9/27		150			156
	Constellation Brands Inc.	3.600%	2/15/28		175			184
	Constellation Brands Inc.	4.650%	11/15/28		75			84
	Constellation Brands Inc.	3.150%	8/1/29		225			227
	Constellation Brands Inc.	4.500%	5/9/47		75			81
	Constellation Brands Inc.	4.100%	2/15/48		100			104
	Constellation Brands Inc.	5.250%	11/15/48		100			121
	Covidien International Finance SA	3.200%	6/15/22		200			205
	CVS Health Corp.	3.350%	3/9/21		383			389
	CVS Health Corp.	2.125%	6/1/21		250			250
	CVS Health Corp.	3.500%	7/20/22		350			361
	CVS Health Corp.	2.750%	12/1/22		150			152
	CVS Health Corp.	4.750%	12/1/22		150			160
	CVS Health Corp.	3.700%	3/9/23		1,155			1,202
	CVS Health Corp.	4.000%	12/5/23		195			206
	CVS Health Corp.	3.375%	8/12/24		475			494
	CVS Health Corp.	4.100%	3/25/25		905			970
	CVS Health Corp.	3.875%	7/20/25		765			815
	CVS Health Corp.	2.875%	6/1/26		425			431
	CVS Health Corp.	4.300%	3/25/28		1,635			1,782
	CVS Health Corp.	3.250%	8/15/29		360			365
	CVS Health Corp.	4.875%	7/20/35		125			142
	CVS Health Corp.	4.780%	3/25/38		1,000			1,131
	CVS Health Corp.	6.125%	9/15/39		75			96
	CVS Health Corp.	5.300%	12/5/43		150			178
	CVS Health Corp.	5.125%	7/20/45		875			1,030
	CVS Health Corp.	5.050%	3/25/48		1,550			1,833
	Danaher Corp.	3.350%	9/15/25		100			106
	Danaher Corp.	4.375%	9/15/45		75			88
	Dartmouth-Hitchcock Health	4.178%	8/1/48		100			111
	Delhaize America LLC	9.000%	4/15/31		100			147
	DH Europe Finance II Sarl	2.050%	11/15/22		250			250
	DH Europe Finance II Sarl	2.200%	11/15/24		250			249
	DH Europe Finance II Sarl	2.600%	11/15/29		150			149
	DH Europe Finance II Sarl	3.250%	11/15/39		175			176
	DH Europe Finance II Sarl	3.400%	11/15/49		175			179
	Diageo Capital plc	2.625%	4/29/23		500			508
	Diageo Capital plc	2.125%	10/24/24		200			200
	Diageo Capital plc	2.375%	10/24/29		200			197

389

Total Bond Market Index Portfolio 

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
Diageo Capital plc	5.875%	9/30/36		50			68
Diageo Capital plc	3.875%	4/29/43		100			110
Diageo Investment Corp.	2.875%	5/11/22		300			306
Diageo Investment Corp.	4.250%	5/11/42		150			173
Dignity Health	3.125%	11/1/22		50			51
Dignity Health	3.812%	11/1/24		100			105
Dignity Health	4.500%	11/1/42		100			104
Dignity Health	5.267%	11/1/64		50			57
Duke University Health System Inc.	3.920%	6/1/47		100			111
Edwards Lifesciences Corp.	4.300%	6/15/28		100			111
Eli Lilly & Co.	2.350%	5/15/22		50			51
Eli Lilly & Co.	2.750%	6/1/25		71			73
Eli Lilly & Co.	3.375%	3/15/29		225			242
Eli Lilly & Co.	3.950%	3/15/49		400			461
Eli Lilly & Co.	4.150%	3/15/59		350			411
Estee Lauder Cos. Inc.	1.700%	5/10/21		225			224
Estee Lauder Cos. Inc.	3.150%	3/15/27		150			159
Estee Lauder Cos. Inc.	2.375%	12/1/29		25			25
Estee Lauder Cos. Inc.	6.000%	5/15/37		75			103
Estee Lauder Cos. Inc.	4.375%	6/15/45		100			119
Estee Lauder Cos. Inc.	4.150%	3/15/47		100			116
Estee Lauder Cos. Inc.	3.125%	12/1/49		125			125
Flowers Foods Inc.	4.375%	4/1/22		50			52
Flowers Foods Inc.	3.500%	10/1/26		75			77
Fomento Economico Mexicano SAB de CV	4.375%	5/10/43		100			111
General Mills Inc.	3.150%	12/15/21		25			26
General Mills Inc.	2.600%	10/12/22		250			254
General Mills Inc.	3.700%	10/17/23		575			606
General Mills Inc.	3.650%	2/15/24		100			105
General Mills Inc.	3.200%	2/10/27		150			157
General Mills Inc.	4.200%	4/17/28		225			250
General Mills Inc.	4.550%	4/17/38		75			87
General Mills Inc.	5.400%	6/15/40		100			123
General Mills Inc.	4.150%	2/15/43		100			107
General Mills Inc.	4.700%	4/17/48		75			89
Gilead Sciences Inc.	4.500%	4/1/21		150			154
Gilead Sciences Inc.	4.400%	12/1/21		725			756
Gilead Sciences Inc.	3.250%	9/1/22		375			387
Gilead Sciences Inc.	2.500%	9/1/23		300			304
Gilead Sciences Inc.	3.700%	4/1/24		470			499
Gilead Sciences Inc.	3.500%	2/1/25		335			355
Gilead Sciences Inc.	3.650%	3/1/26		575			618
Gilead Sciences Inc.	2.950%	3/1/27		225			233
Gilead Sciences Inc.	4.600%	9/1/35		100			120
Gilead Sciences Inc.	4.000%	9/1/36		150			166
Gilead Sciences Inc.	5.650%	12/1/41		175			230
Gilead Sciences Inc.	4.800%	4/1/44		300			359
Gilead Sciences Inc.	4.500%	2/1/45		325			375
Gilead Sciences Inc.	4.750%	3/1/46		505			603
Gilead Sciences Inc.	4.150%	3/1/47		475			525
GlaxoSmithKline Capital Inc.	2.800%	3/18/23		50			51
GlaxoSmithKline Capital Inc.	3.375%	5/15/23		225			234
GlaxoSmithKline Capital Inc.	3.625%	5/15/25		325			348
GlaxoSmithKline Capital Inc.	3.875%	5/15/28		375			413
GlaxoSmithKline Capital Inc.	5.375%	4/15/34		85			108
GlaxoSmithKline Capital Inc.	6.375%	5/15/38		550			786
GlaxoSmithKline Capital Inc.	4.200%	3/18/43		100			116
GlaxoSmithKline Capital plc	3.125%	5/14/21		375			381
GlaxoSmithKline Capital plc	2.850%	5/8/22		100			102
GlaxoSmithKline Capital plc	2.875%	6/1/22		350			357
GlaxoSmithKline Capital plc	3.000%	6/1/24		200			207
GlaxoSmithKline Capital plc	3.375%	6/1/29		200			214
Hackensack Meridian Health Inc.	4.211%	7/1/48		125			140
Hackensack Meridian Health Inc.	4.500%	7/1/57		50			59
Hasbro Inc.	3.900%	11/19/29		175			176
Hasbro Inc.	6.350%	3/15/40		125			146
Hasbro Inc.	5.100%	5/15/44		50			50
HCA Inc.	4.750%	5/1/23		250			267
HCA Inc.	5.000%	3/15/24		375			409
HCA Inc.	5.250%	4/15/25		320			358
HCA Inc.	5.250%	6/15/26		275			308
HCA Inc.	4.500%	2/15/27		25			27
HCA Inc.	4.125%	6/15/29		405			429
HCA Inc.	5.125%	6/15/39		100			111
HCA Inc.	5.500%	6/15/47		375			433
HCA Inc.	5.250%	6/15/49		400			450
Hershey Co.	4.125%	12/1/20		75			76
Hershey Co.	3.100%	5/15/21		75			76
Hershey Co.	2.625%	5/1/23		100			102
Hershey Co.	3.375%	5/15/23		150			157
Hershey Co.	2.050%	11/15/24		55			55
Hershey Co.	3.200%	8/21/25		65			68
Hershey Co.	2.300%	8/15/26		100			101
Hershey Co.	2.450%	11/15/29		130			130
Hershey Co.	3.125%	11/15/49		150			148
Indiana University Health Inc. Obligated Group	3.970%	11/1/48		125			140
Ingredion Inc.	3.200%	10/1/26		100			101
JM Smucker Co.	3.500%	10/15/21		175			179
JM Smucker Co.	3.000%	3/15/22		100			102
JM Smucker Co.	3.500%	3/15/25		175			184
JM Smucker Co.	3.375%	12/15/27		150			156
JM Smucker Co.	4.250%	3/15/35		100			108
JM Smucker Co.	4.375%	3/15/45		125			136
Johns Hopkins Health System Corp.	3.837%	5/15/46		100			109
Johnson & Johnson	1.950%	11/10/20		200			200
Johnson & Johnson	1.650%	3/1/21		275			274
Johnson & Johnson	2.250%	3/3/22		325			328
Johnson & Johnson	2.050%	3/1/23		125			126
Johnson & Johnson	3.375%	12/5/23		200			212
Johnson & Johnson	2.625%	1/15/25		250			258
Johnson & Johnson	2.450%	3/1/26		350			355
Johnson & Johnson	2.950%	3/3/27		200			210
Johnson & Johnson	2.900%	1/15/28		100			104
Johnson & Johnson	6.950%	9/1/29		75			105
Johnson & Johnson	4.950%	5/15/33		150			187
Johnson & Johnson	4.375%	12/5/33		175			208
Johnson & Johnson	3.550%	3/1/36		175			192
Johnson & Johnson	3.625%	3/3/37		300			331
Johnson & Johnson	5.950%	8/15/37		300			427
Johnson & Johnson	3.400%	1/15/38		200			214
Johnson & Johnson	4.500%	9/1/40		150			182
Johnson & Johnson	4.850%	5/15/41		75			95
Johnson & Johnson	4.500%	12/5/43		200			246
Johnson & Johnson	3.700%	3/1/46		350			395
Johnson & Johnson	3.750%	3/3/47		200			228
Johnson & Johnson	3.500%	1/15/48		200			216
Kaiser Foundation Hospitals	3.500%	4/1/22		50			52
Kaiser Foundation Hospitals	3.150%	5/1/27		100			104
Kaiser Foundation Hospitals	4.875%	4/1/42		235			288
Kaiser Foundation Hospitals	4.150%	5/1/47		150			171
Kaiser Foundation Hospitals	3.266%	11/1/49		200			201
Kellogg Co.	4.000%	12/15/20		28			28
Kellogg Co.	2.650%	12/1/23		126			128
Kellogg Co.	3.250%	4/1/26		125			130
Kellogg Co.	3.400%	11/15/27		125			131
Kellogg Co.	7.450%	4/1/31		25			35
Kellogg Co.	4.500%	4/1/46		250			278
Keurig Dr Pepper Inc.	3.551%	5/25/21		300			306
Keurig Dr Pepper Inc.	2.700%	11/15/22		50			50
Keurig Dr Pepper Inc.	4.057%	5/25/23		375			395
Keurig Dr Pepper Inc.	3.130%	12/15/23		350			359
Keurig Dr Pepper Inc.	4.417%	5/25/25		175			191
Keurig Dr Pepper Inc.	3.400%	11/15/25		100			104
Keurig Dr Pepper Inc.	2.550%	9/15/26		75			75
Keurig Dr Pepper Inc.	3.430%	6/15/27		100			104
Keurig Dr Pepper Inc.	4.597%	5/25/28		395			444
Keurig Dr Pepper Inc.	7.450%	5/1/38		16			22
Keurig Dr Pepper Inc.	4.985%	5/25/38		100			118
Keurig Dr Pepper Inc.	4.500%	11/15/45		200			218
Keurig Dr Pepper Inc.	4.420%	12/15/46		125			135

390

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Kimberly-Clark Corp.	3.050%	8/15/25		50			52
	Kimberly-Clark Corp.	2.750%	2/15/26		100			103
	Kimberly-Clark Corp.	3.950%	11/1/28		50			56
	Kimberly-Clark Corp.	3.200%	4/25/29		150			160
	Kimberly-Clark Corp.	6.625%	8/1/37		250			368
	Kimberly-Clark Corp.	5.300%	3/1/41		25			33
	Kimberly-Clark Corp.	3.200%	7/30/46		175			176
	Koninklijke Ahold Delhaize NV	5.700%	10/1/40		37			45
	Koninklijke Philips NV	6.875%	3/11/38		100			140
	Koninklijke Philips NV	5.000%	3/15/42		150			179
	Kraft Foods Group Inc.	6.875%	1/26/39		200			250
	Kraft Foods Group Inc.	6.500%	2/9/40		50			61
	Kraft Foods Group Inc.	5.000%	6/4/42		235			251
	Kraft Heinz Foods Co.	3.500%	7/15/22		256			264
	Kraft Heinz Foods Co.	4.000%	6/15/23		240			252
	Kraft Heinz Foods Co.	3.950%	7/15/25		360			381
	Kraft Heinz Foods Co.	3.000%	6/1/26		400			400
	Kraft Heinz Foods Co.	4.625%	1/30/29		200			219
6	Kraft Heinz Foods Co.	3.750%	4/1/30		200			205
	Kraft Heinz Foods Co.	5.000%	7/15/35		195			217
6	Kraft Heinz Foods Co.	4.625%	10/1/39		100			104
	Kraft Heinz Foods Co.	5.200%	7/15/45		495			534
	Kraft Heinz Foods Co.	4.375%	6/1/46		700			689
6	Kraft Heinz Foods Co.	4.875%	10/1/49		300			312
	Kroger Co.	3.300%	1/15/21		250			253
	Kroger Co.	2.600%	2/1/21		50			50
	Kroger Co.	2.950%	11/1/21		150			152
	Kroger Co.	3.400%	4/15/22		75			77
	Kroger Co.	2.800%	8/1/22		100			102
	Kroger Co.	4.000%	2/1/24		100			106
	Kroger Co.	3.500%	2/1/26		160			167
	Kroger Co.	2.650%	10/15/26		140			140
	Kroger Co.	3.700%	8/1/27		100			107
	Kroger Co.	7.700%	6/1/29		50			67
	Kroger Co.	8.000%	9/15/29		125			171
	Kroger Co.	7.500%	4/1/31		100			137
	Kroger Co.	5.400%	7/15/40		50			58
	Kroger Co.	5.000%	4/15/42		125			139
	Kroger Co.	5.150%	8/1/43		100			112
	Kroger Co.	3.875%	10/15/46		50			49
	Kroger Co.	4.450%	2/1/47		225			238
	Kroger Co.	4.650%	1/15/48		150			163
	Laboratory Corp. of America Holdings	3.200%	2/1/22		500			510
	Laboratory Corp. of America Holdings	3.750%	8/23/22		25			26
	Laboratory Corp. of America Holdings	3.250%	9/1/24		150			156
	Laboratory Corp. of America Holdings	2.300%	12/1/24		100			100
	Laboratory Corp. of America Holdings	3.600%	2/1/25		200			210
	Laboratory Corp. of America Holdings	3.600%	9/1/27		100			105
	Laboratory Corp. of America Holdings	2.950%	12/1/29		125			125
	Laboratory Corp. of America Holdings	4.700%	2/1/45		195			219
3	Mayo Clinic	3.774%	11/15/43		75			81
3	Mayo Clinic	4.128%	11/15/52		50			56
	McCormick & Co. Inc.	3.900%	7/15/21		50			51
	McCormick & Co. Inc.	3.150%	8/15/24		150			155
	McCormick & Co. Inc.	3.400%	8/15/27		150			156
	McKesson Corp.	3.796%	3/15/24		200			210
	McKesson Corp.	3.950%	2/16/28		200			212
	Mead Johnson Nutrition Co.	3.000%	11/15/20		150			151
	Mead Johnson Nutrition Co.	4.125%	11/15/25		125			137
	Mead Johnson Nutrition Co.	5.900%	11/1/39		100			134
	Mead Johnson Nutrition Co.	4.600%	6/1/44		150			180
	Medtronic Inc.	3.150%	3/15/22		325			334
	Medtronic Inc.	3.500%	3/15/25		397			425
	Medtronic Inc.	4.375%	3/15/35		611			721
	Medtronic Inc.	4.625%	3/15/45		344			431
	Memorial Health Services	3.447%	11/1/49		150			147
	Memorial Sloan-Kettering Cancer Center	4.125%	7/1/52		150			173
	Memorial Sloan-Kettering Cancer Center	4.200%	7/1/55		25			29
	Merck & Co. Inc.	3.875%	1/15/21		225			229
	Merck & Co. Inc.	2.350%	2/10/22		250			253
	Merck & Co. Inc.	2.400%	9/15/22		250			253
	Merck & Co. Inc.	2.800%	5/18/23		325			335
	Merck & Co. Inc.	2.900%	3/7/24		25			26
	Merck & Co. Inc.	2.750%	2/10/25		525			542
	Merck & Co. Inc.	3.400%	3/7/29		275			297
	Merck & Co. Inc.	6.500%	12/1/33		125			176
	Merck & Co. Inc.	3.900%	3/7/39		200			228
	Merck & Co. Inc.	3.600%	9/15/42		100			108
	Merck & Co. Inc.	4.150%	5/18/43		200			236
	Merck & Co. Inc.	3.700%	2/10/45		525			580
	Merck & Co. Inc.	4.000%	3/7/49		375			436
	Mercy Health	4.302%	7/1/28		25			28
	Molson Coors Beverage Co.	2.100%	7/15/21		100			100
	Molson Coors Beverage Co.	3.500%	5/1/22		25			26
	Molson Coors Beverage Co.	3.000%	7/15/26		375			379
	Molson Coors Beverage Co.	5.000%	5/1/42		100			109
	Molson Coors Beverage Co.	4.200%	7/15/46		475			473
6	Mondelez International Holdings Netherlands BV	2.125%	9/19/22		200			200
	Mondelez International Inc.	3.625%	2/13/26		100			107
3	Montefiore Obligated Group	5.246%	11/1/48		150			168
3	Mount Sinai Hospitals Group Inc.	3.981%	7/1/48		50			52
3	Mount Sinai Hospitals Group Inc.	3.737%	7/1/49		100			99
	Mylan Inc.	4.200%	11/29/23		100			106
	Mylan Inc.	4.550%	4/15/28		150			161
	Mylan Inc.	5.400%	11/29/43		125			136
	Mylan Inc.	5.200%	4/15/48		125			138
	Mylan NV	3.150%	6/15/21		400			404
	Mylan NV	3.950%	6/15/26		375			389
	Mylan NV	5.250%	6/15/46		200			223
	New York & Presbyterian Hospital	4.024%	8/1/45		130			145
	New York & Presbyterian Hospital	4.063%	8/1/56		75			81
	New York & Presbyterian Hospital	3.954%	8/1/19		125			125
	Northwell Healthcare Inc.	3.979%	11/1/46		100			102
	Northwell Healthcare Inc.	4.260%	11/1/47		200			214
	Northwell Healthcare Inc.	3.809%	11/1/49		100			100
	Novartis Capital Corp.	2.400%	5/17/22		400			405
	Novartis Capital Corp.	2.400%	9/21/22		175			178
	Novartis Capital Corp.	3.400%	5/6/24		400			423
	Novartis Capital Corp.	3.000%	11/20/25		350			367
	Novartis Capital Corp.	3.100%	5/17/27		175			184
	Novartis Capital Corp.	3.700%	9/21/42		100			110
	Novartis Capital Corp.	4.400%	5/6/44		375			455
	Novartis Capital Corp.	4.000%	11/20/45		225			261
	NYU Hospitals Center	4.784%	7/1/44		100			120
3	NYU Hospitals Center	4.368%	7/1/47		110			123
	Orlando Health Obligated Group	4.089%	10/1/48		50			55
	Partners Healthcare System Inc.	4.117%	7/1/55		50			55
	PeaceHealth Obligated Group	4.787%	11/15/48		75			92
	PepsiCo Inc.	2.000%	4/15/21		300			301
	PepsiCo Inc.	3.000%	8/25/21		150			153
	PepsiCo Inc.	1.700%	10/6/21		175			175
	PepsiCo Inc.	2.750%	3/5/22		375			383
	PepsiCo Inc.	2.250%	5/2/22		150			151
	PepsiCo Inc.	3.600%	3/1/24		700			744
	PepsiCo Inc.	2.750%	4/30/25		200			207
	PepsiCo Inc.	3.500%	7/17/25		125			134
	PepsiCo Inc.	2.375%	10/6/26		225			228
	PepsiCo Inc.	3.000%	10/15/27		325			343
	PepsiCo Inc.	2.625%	7/29/29		200			204
	PepsiCo Inc.	4.000%	3/5/42		175			199
	PepsiCo Inc.	3.600%	8/13/42		100			107
	PepsiCo Inc.	4.250%	10/22/44		225			265
	PepsiCo Inc.	4.600%	7/17/45		75			93
	PepsiCo Inc.	4.450%	4/14/46		275			338
	PepsiCo Inc.	3.450%	10/6/46		300			317
	PepsiCo Inc.	4.000%	5/2/47		100			115
	PepsiCo Inc.	3.375%	7/29/49		200			209
	PepsiCo Inc.	2.875%	10/15/49		325			311
	PerkinElmer Inc.	3.300%	9/15/29		175			178
	Perrigo Finance Unlimited Co.	3.900%	12/15/24		200			206
	Perrigo Finance Unlimited Co.	4.375%	3/15/26		225			232

391

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Perrigo Finance Unlimited Co.	4.900%	12/15/44		80			74
	Pfizer Inc.	1.950%	6/3/21		225			226
	Pfizer Inc.	3.000%	9/15/21		125			127
	Pfizer Inc.	2.200%	12/15/21		100			101
	Pfizer Inc.	2.800%	3/11/22		200			204
	Pfizer Inc.	3.200%	9/15/23		125			130
	Pfizer Inc.	2.950%	3/15/24		150			156
	Pfizer Inc.	3.400%	5/15/24		100			106
	Pfizer Inc.	2.750%	6/3/26		290			299
	Pfizer Inc.	3.000%	12/15/26		300			315
	Pfizer Inc.	3.600%	9/15/28		200			218
	Pfizer Inc.	3.450%	3/15/29		375			403
	Pfizer Inc.	4.000%	12/15/36		200			228
	Pfizer Inc.	4.100%	9/15/38		150			171
	Pfizer Inc.	3.900%	3/15/39		125			141
	Pfizer Inc.	7.200%	3/15/39		425			666
	Pfizer Inc.	4.300%	6/15/43		125			147
	Pfizer Inc.	4.400%	5/15/44		200			239
	Pfizer Inc.	4.125%	12/15/46		250			288
	Pfizer Inc.	4.200%	9/15/48		450			527
	Pfizer Inc.	4.000%	3/15/49		250			289
	Pharmacia LLC	6.600%	12/1/28		175			230
	Philip Morris International Inc.	1.875%	2/25/21		125			125
	Philip Morris International Inc.	2.500%	11/2/22		300			305
	Philip Morris International Inc.	2.625%	3/6/23		100			102
	Philip Morris International Inc.	2.125%	5/10/23		95			95
	Philip Morris International Inc.	3.600%	11/15/23		500			526
	Philip Morris International Inc.	2.875%	5/1/24		220			226
	Philip Morris International Inc.	3.250%	11/10/24		250			262
	Philip Morris International Inc.	3.375%	8/11/25		150			158
	Philip Morris International Inc.	2.750%	2/25/26		180			182
	Philip Morris International Inc.	3.125%	3/2/28		100			103
	Philip Morris International Inc.	3.375%	8/15/29		200			209
	Philip Morris International Inc.	6.375%	5/16/38		200			278
	Philip Morris International Inc.	4.375%	11/15/41		350			388
	Philip Morris International Inc.	4.500%	3/20/42		125			140
	Philip Morris International Inc.	3.875%	8/21/42		25			26
	Philip Morris International Inc.	4.125%	3/4/43		175			189
	Philip Morris International Inc.	4.875%	11/15/43		155			182
	Philip Morris International Inc.	4.250%	11/10/44		200			220
3	Procter & Gamble - Esop	9.360%	1/1/21		83			87
	Procter & Gamble Co.	1.900%	10/23/20		100			100
	Procter & Gamble Co.	1.850%	2/2/21		100			100
	Procter & Gamble Co.	1.700%	11/3/21		125			125
	Procter & Gamble Co.	2.300%	2/6/22		425			431
	Procter & Gamble Co.	3.100%	8/15/23		150			157
	Procter & Gamble Co.	2.700%	2/2/26		100			104
	Procter & Gamble Co.	2.450%	11/3/26		100			103
	Procter & Gamble Co.	3.500%	10/25/47		225			253
	Providence St. Joseph Health Obligated Group	2.746%	10/1/26		50			50
	Providence St. Joseph Health Obligated Group	2.532%	10/1/29		150			147
3	Providence St. Joseph Health Obligated Group	3.744%	10/1/47		75			78
3	Providence St. Joseph Health Obligated Group	3.930%	10/1/48		75			80
	Quest Diagnostics Inc.	4.250%	4/1/24		100			107
	Quest Diagnostics Inc.	3.500%	3/30/25		100			105
	Quest Diagnostics Inc.	3.450%	6/1/26		125			131
	Quest Diagnostics Inc.	4.200%	6/30/29		140			154
	Quest Diagnostics Inc.	2.950%	6/30/30		160			160
	Quest Diagnostics Inc.	5.750%	1/30/40		13			14
	Quest Diagnostics Inc.	4.700%	3/30/45		25			28
	Reynolds American Inc.	4.000%	6/12/22		175			182
	Reynolds American Inc.	4.850%	9/15/23		125			135
	Reynolds American Inc.	4.450%	6/12/25		475			511
	Reynolds American Inc.	5.700%	8/15/35		175			202
	Reynolds American Inc.	7.250%	6/15/37		100			128
	Reynolds American Inc.	6.150%	9/15/43		75			87
	Reynolds American Inc.	5.850%	8/15/45		375			429
	RWJ Barnabas Health Inc.	3.949%	7/1/46		100			106
	RWJ Barnabas Health Inc.	3.477%	7/1/49		25			25
	Sanofi	4.000%	3/29/21		350			359
	Sanofi	3.375%	6/19/23		225			236
	Sanofi	3.625%	6/19/28		225			250
	Shire Acquisitions Investments Ireland DAC	2.400%	9/23/21		700			703
	Shire Acquisitions Investments Ireland DAC	2.875%	9/23/23		625			636
	Shire Acquisitions Investments Ireland DAC	3.200%	9/23/26		575			592
	Spectrum Health System Obligated Group	3.487%	7/15/49		75			75
	SSM Health Care Corp.	3.688%	6/1/23		150			156
	SSM Health Care Corp.	3.823%	6/1/27		100			106
	Stanford Health Care	3.795%	11/15/48		125			135
	Stryker Corp.	2.625%	3/15/21		150			151
	Stryker Corp.	3.375%	5/15/24		213			223
	Stryker Corp.	3.375%	11/1/25		140			147
	Stryker Corp.	3.500%	3/15/26		183			194
	Stryker Corp.	3.650%	3/7/28		50			54
	Stryker Corp.	4.100%	4/1/43		75			81
	Stryker Corp.	4.375%	5/15/44		50			57
	Stryker Corp.	4.625%	3/15/46		175			210
	Sutter Health	3.695%	8/15/28		75			80
	Sutter Health	4.091%	8/15/48		75			83
	Sysco Corp.	2.500%	7/15/21		75			76
	Sysco Corp.	2.600%	6/12/22		125			127
	Sysco Corp.	3.750%	10/1/25		75			80
	Sysco Corp.	3.300%	7/15/26		250			263
	Sysco Corp.	3.250%	7/15/27		175			183
	Sysco Corp.	4.850%	10/1/45		50			60
	Sysco Corp.	4.500%	4/1/46		200			229
	Sysco Corp.	4.450%	3/15/48		100			114
	Takeda Pharmaceutical Co. Ltd.	4.000%	11/26/21		200			207
	Takeda Pharmaceutical Co. Ltd.	4.400%	11/26/23		200			214
	Takeda Pharmaceutical Co. Ltd.	5.000%	11/26/28		405			471
3	Texas Health Resources	4.330%	11/15/55		25			29
	Thermo Fisher Scientific Inc.	3.000%	4/15/23		125			128
	Thermo Fisher Scientific Inc.	3.650%	12/15/25		400			427
	Thermo Fisher Scientific Inc.	2.950%	9/19/26		200			206
	Thermo Fisher Scientific Inc.	3.200%	8/15/27		50			52
	Thermo Fisher Scientific Inc.	2.600%	10/1/29		225			222
	Thermo Fisher Scientific Inc.	5.300%	2/1/44		185			234
	Toledo Hospital	5.325%	11/15/28		50			54
	Trinity Health Corp.	4.125%	12/1/45		85			93
	Tyson Foods Inc.	2.250%	8/23/21		50			50
	Tyson Foods Inc.	4.500%	6/15/22		275			289
	Tyson Foods Inc.	3.900%	9/28/23		100			106
	Tyson Foods Inc.	3.950%	8/15/24		925			989
	Tyson Foods Inc.	3.550%	6/2/27		275			292
	Tyson Foods Inc.	4.350%	3/1/29		280			317
	Tyson Foods Inc.	4.875%	8/15/34		100			117
	Tyson Foods Inc.	5.150%	8/15/44		200			242
	Tyson Foods Inc.	4.550%	6/2/47		150			170
	Tyson Foods Inc.	5.100%	9/28/48		275			346
	Unilever Capital Corp.	4.250%	2/10/21		200			205
	Unilever Capital Corp.	2.750%	3/22/21		100			101
	Unilever Capital Corp.	1.375%	7/28/21		100			99
	Unilever Capital Corp.	3.000%	3/7/22		100			102
	Unilever Capital Corp.	3.250%	3/7/24		250			262
	Unilever Capital Corp.	2.600%	5/5/24		450			460
	Unilever Capital Corp.	3.100%	7/30/25		225			235
	Unilever Capital Corp.	2.000%	7/28/26		125			124
	Unilever Capital Corp.	3.500%	3/22/28		200			216
	Unilever Capital Corp.	2.125%	9/6/29		175			170
	Unilever Capital Corp.	5.900%	11/15/32		200			271
	Whirlpool Corp.	4.700%	6/1/22		100			106
	Whirlpool Corp.	4.000%	3/1/24		50			53
	Whirlpool Corp.	3.700%	5/1/25		75			79
	Whirlpool Corp.	4.750%	2/26/29		150			167

392

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Whirlpool Corp.	4.500%	6/1/46		100			103
3	Willis-Knighton Medical Center	4.813%	9/1/48		50			60
	Wyeth LLC	7.250%	3/1/23		250			289
	Wyeth LLC	6.450%	2/1/24		300			350
	Wyeth LLC	6.500%	2/1/34		150			209
	Wyeth LLC	6.000%	2/15/36		85			113
	Wyeth LLC	5.950%	4/1/37		385			524
	Zeneca Wilmington Inc.	7.000%	11/15/23		25			29
	Zimmer Biomet Holdings Inc.	3.375%	11/30/21		100			102
	Zimmer Biomet Holdings Inc.	3.150%	4/1/22		175			179
	Zimmer Biomet Holdings Inc.	3.700%	3/19/23		50			52
	Zimmer Biomet Holdings Inc.	3.550%	4/1/25		350			368
	Zimmer Biomet Holdings Inc.	5.750%	11/30/39		50			59
	Zimmer Biomet Holdings Inc.	4.450%	8/15/45		150			157
	Zoetis Inc.	3.450%	11/13/20		75			76
	Zoetis Inc.	3.250%	8/20/21		50			51
	Zoetis Inc.	3.250%	2/1/23		350			361
	Zoetis Inc.	4.500%	11/13/25		100			111
	Zoetis Inc.	3.000%	9/12/27		150			153
	Zoetis Inc.	3.900%	8/20/28		100			108
	Zoetis Inc.	4.700%	2/1/43		175			208
	Zoetis Inc.	3.950%	9/12/47		150			163
	Zoetis Inc.	4.450%	8/20/48		75			88
	Energy (2.4%)
	Apache Corp.	3.625%	2/1/21		17			17
	Apache Corp.	3.250%	4/15/22		21			21
	Apache Corp.	4.375%	10/15/28		400			417
	Apache Corp.	5.100%	9/1/40		350			355
	Apache Corp.	5.250%	2/1/42		100			104
	Apache Corp.	4.750%	4/15/43		200			191
	Apache Corp.	4.250%	1/15/44		150			138
	Baker Hughes a GE Co. LLC	5.125%	9/15/40		175			206
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	2.773%	12/15/22		425			433
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	3.337%	12/15/27		200			208
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	3.138%	11/7/29		250			256
	Baker Hughes a GE Co. LLC / Baker Hughes Co-Obligor Inc.	4.080%	12/15/47		275			282
	Boardwalk Pipelines LP	3.375%	2/1/23		100			102
	Boardwalk Pipelines LP	4.950%	12/15/24		150			162
	Boardwalk Pipelines LP	5.950%	6/1/26		200			224
	Boardwalk Pipelines LP	4.450%	7/15/27		100			103
	Boardwalk Pipelines LP	4.800%	5/3/29		100			106
	BP Capital Markets America Inc.	4.742%	3/11/21		350			362
	BP Capital Markets America Inc.	3.245%	5/6/22		250			258
	BP Capital Markets America Inc.	2.520%	9/19/22		50			51
	BP Capital Markets America Inc.	2.750%	5/10/23		300			307
	BP Capital Markets America Inc.	3.216%	11/28/23		1,082			1,124
	BP Capital Markets America Inc.	3.796%	9/21/25		125			135
	BP Capital Markets America Inc.	3.410%	2/11/26		100			106
	BP Capital Markets America Inc.	3.119%	5/4/26		550			573
	BP Capital Markets America Inc.	3.017%	1/16/27		400			414
	BP Capital Markets America Inc.	3.937%	9/21/28		175			193
	BP Capital Markets America Inc.	4.234%	11/6/28		100			113
	BP Capital Markets plc	3.062%	3/17/22		25			26
	BP Capital Markets plc	2.500%	11/6/22		450			458
	BP Capital Markets plc	3.994%	9/26/23		200			213
	BP Capital Markets plc	3.814%	2/10/24		400			427
	BP Capital Markets plc	3.535%	11/4/24		68			72
	BP Capital Markets plc	3.506%	3/17/25		200			213
	BP Capital Markets plc	3.279%	9/19/27		150			158
	BP Capital Markets plc	3.723%	11/28/28		100			109
	Burlington Resources Finance Co.	7.400%	12/1/31		175			249
	Canadian Natural Resources Ltd.	3.450%	11/15/21		100			102
	Canadian Natural Resources Ltd.	2.950%	1/15/23		200			204
	Canadian Natural Resources Ltd.	3.850%	6/1/27		750			798
	Canadian Natural Resources Ltd.	7.200%	1/15/32		150			203
	Canadian Natural Resources Ltd.	6.450%	6/30/33		125			160
	Canadian Natural Resources Ltd.	5.850%	2/1/35		100			123
	Canadian Natural Resources Ltd.	6.500%	2/15/37		50			65
	Canadian Natural Resources Ltd.	6.250%	3/15/38		100			129
	Canadian Natural Resources Ltd.	4.950%	6/1/47		140			170
	Cenovus Energy Inc.	3.800%	9/15/23		351			364
	Cenovus Energy Inc.	4.250%	4/15/27		225			237
	Cenovus Energy Inc.	5.250%	6/15/37		150			165
	Cenovus Energy Inc.	6.750%	11/15/39		300			382
	Cenovus Energy Inc.	5.400%	6/15/47		300			350
	Cheniere Corpus Christi Holdings LLC	7.000%	6/30/24		200			230
	Cheniere Corpus Christi Holdings LLC	5.875%	3/31/25		225			253
	Cheniere Corpus Christi Holdings LLC	5.125%	6/30/27		475			526
6	Cheniere Corpus Christi Holdings LLC	3.700%	11/15/29		300			307
	Chevron Corp.	2.100%	5/16/21		300			301
	Chevron Corp.	2.498%	3/3/22		100			102
	Chevron Corp.	2.355%	12/5/22		1,130			1,145
	Chevron Corp.	3.191%	6/24/23		225			234
	Chevron Corp.	2.895%	3/3/24		100			103
	Chevron Corp.	2.954%	5/16/26		400			418
	Cimarex Energy Co.	4.375%	6/1/24		200			211
	Cimarex Energy Co.	3.900%	5/15/27		250			258
	Cimarex Energy Co.	4.375%	3/15/29		100			106
	Columbia Pipeline Group Inc.	4.500%	6/1/25		300			328
	Columbia Pipeline Group Inc.	5.800%	6/1/45		100			127
	Concho Resources Inc.	3.750%	10/1/27		400			419
	Concho Resources Inc.	4.875%	10/1/47		200			233
	Concho Resources Inc.	4.850%	8/15/48		125			145
	ConocoPhillips	5.900%	10/15/32		450			588
	ConocoPhillips	5.900%	5/15/38		450			611
	ConocoPhillips	6.500%	2/1/39		200			290
	ConocoPhillips Canada Funding Co. I	5.950%	10/15/36		200			268
	ConocoPhillips Co.	4.300%	11/15/44		125			146
	ConocoPhillips Holding Co.	6.950%	4/15/29		350			475
	Continental Resources Inc.	5.000%	9/15/22		175			176
	Continental Resources Inc.	4.500%	4/15/23		200			209
	Continental Resources Inc.	4.375%	1/15/28		200			212
	Continental Resources Inc.	4.900%	6/1/44		100			107
	Devon Energy Corp.	5.850%	12/15/25		100			118
	Devon Energy Corp.	7.950%	4/15/32		163			231
	Devon Energy Corp.	5.600%	7/15/41		325			395
	Devon Energy Corp.	4.750%	5/15/42		200			224
	Devon Financing Co. LLC	7.875%	9/30/31		160			220
	Diamondback Energy Inc.	2.875%	12/1/24		200			202
	Diamondback Energy Inc.	3.250%	12/1/26		200			202
	Diamondback Energy Inc.	3.500%	12/1/29		250			254
	Dominion Energy Gas Holdings LLC	2.500%	11/15/24		100			100
	Dominion Energy Gas Holdings LLC	3.600%	12/15/24		200			210
	Dominion Energy Gas Holdings LLC	3.000%	11/15/29		100			99
	Dominion Energy Gas Holdings LLC	4.600%	12/15/44		200			217
	Enable Midstream Partners LP	3.900%	5/15/24		150			153
	Enable Midstream Partners LP	4.400%	3/15/27		150			147
	Enable Midstream Partners LP	4.950%	5/15/28		100			101
	Enable Midstream Partners LP	4.150%	9/15/29		200			189
	Enable Midstream Partners LP	5.000%	5/15/44		100			90
	Enbridge Energy Partners LP	5.875%	10/15/25		150			175
	Enbridge Energy Partners LP	7.500%	4/15/38		150			214
	Enbridge Energy Partners LP	5.500%	9/15/40		75			89
	Enbridge Energy Partners LP	7.375%	10/15/45		125			186
	Enbridge Inc.	2.900%	7/15/22		75			76
	Enbridge Inc.	2.500%	1/15/25		100			101
	Enbridge Inc.	3.700%	7/15/27		150			158
	Enbridge Inc.	3.125%	11/15/29		200			202
	Enbridge Inc.	4.500%	6/10/44		100			110
	Enbridge Inc.	4.000%	11/15/49		100			104
	Encana Corp.	6.500%	8/15/34		300			352
	Encana Corp.	6.625%	8/15/37		200			237
	Encana Corp.	6.500%	2/1/38		100			117
	Energy Transfer Operating LP	4.650%	6/1/21		105			108
	Energy Transfer Operating LP	3.600%	2/1/23		450			461
	Energy Transfer Operating LP	4.250%	3/15/23		400			418
	Energy Transfer Operating LP	4.200%	9/15/23		80			84

393

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Energy Transfer Operating LP	4.050%	3/15/25		1,000			1,048
	Energy Transfer Operating LP	4.750%	1/15/26		100			108
	Energy Transfer Operating LP	4.200%	4/15/27		100			105
	Energy Transfer Operating LP	5.500%	6/1/27		380			427
	Energy Transfer Operating LP	5.250%	4/15/29		325			364
	Energy Transfer Operating LP	6.250%	4/15/49		320			385
	Energy Transfer Partners LP	4.950%	6/15/28		350			383
	Energy Transfer Partners LP	6.625%	10/15/36		150			178
	Energy Transfer Partners LP	5.800%	6/15/38		150			169
	Energy Transfer Partners LP	6.050%	6/1/41		100			112
	Energy Transfer Partners LP	6.500%	2/1/42		275			327
	Energy Transfer Partners LP	5.150%	3/15/45		150			158
	Energy Transfer Partners LP	6.125%	12/15/45		200			231
	Energy Transfer Partners LP	5.300%	4/15/47		200			214
	Energy Transfer Partners LP	6.000%	6/15/48		100			116
	Enterprise Products Operating LLC	2.800%	2/15/21		125			126
	Enterprise Products Operating LLC	3.500%	2/1/22		100			103
	Enterprise Products Operating LLC	3.350%	3/15/23		425			439
	Enterprise Products Operating LLC	3.900%	2/15/24		175			186
	Enterprise Products Operating LLC	3.750%	2/15/25		150			160
	Enterprise Products Operating LLC	3.700%	2/15/26		200			213
	Enterprise Products Operating LLC	3.950%	2/15/27		100			108
	Enterprise Products Operating LLC	3.125%	7/31/29		550			565
	Enterprise Products Operating LLC	6.875%	3/1/33		175			238
	Enterprise Products Operating LLC	7.550%	4/15/38		150			216
	Enterprise Products Operating LLC	6.125%	10/15/39		300			390
	Enterprise Products Operating LLC	5.950%	2/1/41		175			225
	Enterprise Products Operating LLC	4.450%	2/15/43		300			328
	Enterprise Products Operating LLC	4.850%	3/15/44		370			428
	Enterprise Products Operating LLC	5.100%	2/15/45		33			39
	Enterprise Products Operating LLC	4.900%	5/15/46		425			498
	Enterprise Products Operating LLC	4.250%	2/15/48		300			324
	Enterprise Products Operating LLC	4.800%	2/1/49		120			141
	Enterprise Products Operating LLC	4.200%	1/31/50		250			268
	Enterprise Products Operating LLC	4.950%	10/15/54		100			116
3	Enterprise Products Operating LLC	5.250%	8/16/77		100			100
3	Enterprise Products Operating LLC	5.375%	2/15/78		200			198
	EOG Resources Inc.	4.100%	2/1/21		350			358
	EOG Resources Inc.	2.625%	3/15/23		450			458
	EOG Resources Inc.	4.150%	1/15/26		150			165
	EOG Resources Inc.	3.900%	4/1/35		75			83
	EQM Midstream Partners LP	4.750%	7/15/23		275			276
	EQM Midstream Partners LP	4.000%	8/1/24		100			97
	EQM Midstream Partners LP	4.125%	12/1/26		100			94
	EQM Midstream Partners LP	5.500%	7/15/28		150			147
	EQT Corp.	4.875%	11/15/21		125			128
	EQT Corp.	3.000%	10/1/22		150			147
	EQT Corp.	3.900%	10/1/27		200			186
	EQT Midstream Partners LP	6.500%	7/15/48		110			103
	Exxon Mobil Corp.	2.222%	3/1/21		400			402
	Exxon Mobil Corp.	2.397%	3/6/22		350			354
	Exxon Mobil Corp.	1.902%	8/16/22		300			302
	Exxon Mobil Corp.	2.726%	3/1/23		350			358
	Exxon Mobil Corp.	2.019%	8/16/24		100			100
	Exxon Mobil Corp.	2.709%	3/6/25		300			310
	Exxon Mobil Corp.	3.043%	3/1/26		300			315
	Exxon Mobil Corp.	2.275%	8/16/26		200			200
	Exxon Mobil Corp.	2.440%	8/16/29		250			251
	Exxon Mobil Corp.	2.995%	8/16/39		200			200
	Exxon Mobil Corp.	3.567%	3/6/45		235			251
	Exxon Mobil Corp.	4.114%	3/1/46		400			468
	Exxon Mobil Corp.	3.095%	8/16/49		300			297
	Halliburton Co.	3.500%	8/1/23		225			234
	Halliburton Co.	3.800%	11/15/25		350			373
	Halliburton Co.	4.850%	11/15/35		200			226
	Halliburton Co.	6.700%	9/15/38		345			455
	Halliburton Co.	4.500%	11/15/41		100			107
	Halliburton Co.	4.750%	8/1/43		150			165
	Halliburton Co.	5.000%	11/15/45		400			455
	Helmerich & Payne Inc.	4.650%	3/15/25		50			54
	Hess Corp.	3.500%	7/15/24		100			103
	Hess Corp.	4.300%	4/1/27		250			266
	Hess Corp.	7.125%	3/15/33		100			127
	Hess Corp.	6.000%	1/15/40		150			177
	Hess Corp.	5.600%	2/15/41		300			350
	Hess Corp.	5.800%	4/1/47		125			152
	HollyFrontier Corp.	5.875%	4/1/26		200			225
	Husky Energy Inc.	4.000%	4/15/24		150			158
	Husky Energy Inc.	4.400%	4/15/29		250			269
	Husky Energy Inc.	6.800%	9/15/37		50			65
	Kinder Morgan Energy Partners LP	5.000%	10/1/21		150			156
	Kinder Morgan Energy Partners LP	3.450%	2/15/23		25			26
	Kinder Morgan Energy Partners LP	3.500%	9/1/23		250			259
	Kinder Morgan Energy Partners LP	4.300%	5/1/24		625			668
	Kinder Morgan Energy Partners LP	7.300%	8/15/33		275			363
	Kinder Morgan Energy Partners LP	5.800%	3/15/35		50			59
	Kinder Morgan Energy Partners LP	6.500%	2/1/37		250			312
	Kinder Morgan Energy Partners LP	6.950%	1/15/38		50			66
	Kinder Morgan Energy Partners LP	6.500%	9/1/39		200			253
	Kinder Morgan Energy Partners LP	6.550%	9/15/40		250			317
	Kinder Morgan Energy Partners LP	5.625%	9/1/41		50			58
	Kinder Morgan Energy Partners LP	5.000%	8/15/42		25			27
	Kinder Morgan Energy Partners LP	4.700%	11/1/42		475			502
	Kinder Morgan Energy Partners LP	5.000%	3/1/43		75			82
6	Kinder Morgan Inc.	5.000%	2/15/21		75			77
	Kinder Morgan Inc.	3.150%	1/15/23		200			204
	Kinder Morgan Inc.	4.300%	6/1/25		300			325
	Kinder Morgan Inc.	4.300%	3/1/28		500			544
	Kinder Morgan Inc.	7.800%	8/1/31		290			397
	Kinder Morgan Inc.	7.750%	1/15/32		265			363
	Kinder Morgan Inc.	5.300%	12/1/34		175			206
	Kinder Morgan Inc.	5.550%	6/1/45		200			239
	Kinder Morgan Inc.	5.050%	2/15/46		350			391
	Magellan Midstream Partners LP	4.250%	2/1/21		100			102
	Magellan Midstream Partners LP	5.150%	10/15/43		125			146
	Magellan Midstream Partners LP	4.250%	9/15/46		200			212
	Magellan Midstream Partners LP	4.200%	10/3/47		100			105
	Magellan Midstream Partners LP	4.850%	2/1/49		100			115
	Magellan Midstream Partners LP	3.950%	3/1/50		100			103
	Marathon Oil Corp.	2.800%	11/1/22		175			178
	Marathon Oil Corp.	3.850%	6/1/25		200			211
	Marathon Oil Corp.	6.800%	3/15/32		400			507
	Marathon Oil Corp.	5.200%	6/1/45		100			116
	Marathon Petroleum Corp.	5.125%	3/1/21		375			388
	Marathon Petroleum Corp.	5.375%	10/1/22		200			202
	Marathon Petroleum Corp.	4.750%	12/15/23		500			543
	Marathon Petroleum Corp.	5.125%	12/15/26		200			226
	Marathon Petroleum Corp.	3.800%	4/1/28		25			26
	Marathon Petroleum Corp.	4.750%	9/15/44		250			272
	Marathon Petroleum Corp.	5.850%	12/15/45		200			228
	Marathon Petroleum Corp.	4.500%	4/1/48		100			105
6	MPLX LP	3.500%	12/1/22		25			26
	MPLX LP	3.375%	3/15/23		100			103
	MPLX LP	4.500%	7/15/23		200			212
	MPLX LP	4.875%	12/1/24		513			556
	MPLX LP	4.875%	6/1/25		100			109
	MPLX LP	4.125%	3/1/27		300			314
6	MPLX LP	4.250%	12/1/27		400			420
	MPLX LP	4.000%	3/15/28		400			414
	MPLX LP	4.500%	4/15/38		300			305
	MPLX LP	5.200%	3/1/47		250			268
6	MPLX LP	5.200%	12/1/47		100			105
	MPLX LP	4.700%	4/15/48		275			277
	MPLX LP	5.500%	2/15/49		300			340
	MPLX LP	4.900%	4/15/58		150			153
	National Fuel Gas Co.	3.750%	3/1/23		275			282
	National Fuel Gas Co.	4.750%	9/1/28		50			53
	National Oilwell Varco Inc.	2.600%	12/1/22		35			35
	National Oilwell Varco Inc.	3.600%	12/1/29		200			200
	National Oilwell Varco Inc.	3.950%	12/1/42		125			117
	Newfield Exploration Co.	5.750%	1/30/22		200			212
	Newfield Exploration Co.	5.625%	7/1/24		100			110

394

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
Newfield Exploration Co.	5.375%	1/1/26		300			325
Noble Energy Inc.	3.850%	1/15/28		100			105
Noble Energy Inc.	3.250%	10/15/29		200			202
Noble Energy Inc.	6.000%	3/1/41		100			120
Noble Energy Inc.	5.250%	11/15/43		375			423
Noble Energy Inc.	5.050%	11/15/44		150			165
Noble Energy Inc.	4.950%	8/15/47		100			111
Noble Energy Inc.	4.200%	10/15/49		100			101
Occidental Petroleum Corp.	4.100%	2/1/21		350			355
Occidental Petroleum Corp.	2.600%	8/13/21		150			151
Occidental Petroleum Corp.	3.125%	2/15/22		100			102
Occidental Petroleum Corp.	2.600%	4/15/22		288			290
Occidental Petroleum Corp.	2.700%	8/15/22		400			404
Occidental Petroleum Corp.	6.950%	7/1/24		250			293
Occidental Petroleum Corp.	2.900%	8/15/24		600			609
Occidental Petroleum Corp.	3.500%	6/15/25		150			155
Occidental Petroleum Corp.	5.550%	3/15/26		200			227
Occidental Petroleum Corp.	3.400%	4/15/26		225			230
Occidental Petroleum Corp.	3.200%	8/15/26		400			404
Occidental Petroleum Corp.	3.500%	8/15/29		400			408
Occidental Petroleum Corp.	7.875%	9/15/31		50			66
Occidental Petroleum Corp.	6.450%	9/15/36		200			244
Occidental Petroleum Corp.	7.950%	6/15/39		25			34
Occidental Petroleum Corp.	4.300%	8/15/39		150			152
Occidental Petroleum Corp.	6.200%	3/15/40		515			613
Occidental Petroleum Corp.	4.500%	7/15/44		400			400
Occidental Petroleum Corp.	4.625%	6/15/45		200			205
Occidental Petroleum Corp.	4.400%	4/15/46		500			505
Occidental Petroleum Corp.	4.100%	2/15/47		50			48
Occidental Petroleum Corp.	4.200%	3/15/48		25			25
Occidental Petroleum Corp.	4.400%	8/15/49		150			154
ONEOK Inc.	7.500%	9/1/23		100			116
ONEOK Inc.	2.750%	9/1/24		100			101
ONEOK Inc.	4.000%	7/13/27		50			53
ONEOK Inc.	4.350%	3/15/29		100			108
ONEOK Inc.	3.400%	9/1/29		245			248
ONEOK Inc.	4.950%	7/13/47		200			219
ONEOK Inc.	4.450%	9/1/49		150			154
ONEOK Partners LP	3.375%	10/1/22		400			412
ONEOK Partners LP	6.650%	10/1/36		300			379
ONEOK Partners LP	6.850%	10/15/37		300			385
ONEOK Partners LP	6.125%	2/1/41		150			180
Patterson-UTI Energy Inc.	3.950%	2/1/28		95			92
Patterson-UTI Energy Inc.	5.150%	11/15/29		100			102
Petro-Canada	6.800%	5/15/38		225			321
Phillips 66	4.300%	4/1/22		275			288
Phillips 66	3.900%	3/15/28		300			326
Phillips 66	4.650%	11/15/34		200			233
Phillips 66	4.875%	11/15/44		474			571
Phillips 66 Partners LP	2.450%	12/15/24		50			50
Phillips 66 Partners LP	3.605%	2/15/25		125			130
Phillips 66 Partners LP	3.750%	3/1/28		50			52
Phillips 66 Partners LP	3.150%	12/15/29		100			99
Phillips 66 Partners LP	4.680%	2/15/45		245			264
Pioneer Natural Resources Co.	3.950%	7/15/22		200			208
Pioneer Natural Resources Co.	4.450%	1/15/26		225			247
Plains All American Pipeline LP / PAA Finance Corp.	5.000%	2/1/21		100			102
Plains All American Pipeline LP / PAA Finance Corp.	3.650%	6/1/22		100			103
Plains All American Pipeline LP / PAA Finance Corp.	2.850%	1/31/23		289			292
Plains All American Pipeline LP / PAA Finance Corp.	3.600%	11/1/24		790			810
Plains All American Pipeline LP / PAA Finance Corp.	4.500%	12/15/26		100			106
Plains All American Pipeline LP / PAA Finance Corp.	3.550%	12/15/29		200			197
Plains All American Pipeline LP / PAA Finance Corp.	4.300%	1/31/43		225			205
Plains All American Pipeline LP / PAA Finance Corp.	4.700%	6/15/44		200			194
Regency Energy Partners LP / Regency Energy Finance Corp.	5.875%	3/1/22		175			186
Regency Energy Partners LP / Regency Energy Finance Corp.	5.000%	10/1/22		200			212
Regency Energy Partners LP / Regency Energy Finance Corp.	4.500%	11/1/23		100			106
Sabine Pass Liquefaction LLC	5.625%	2/1/21		500			514
Sabine Pass Liquefaction LLC	6.250%	3/15/22		325			349
Sabine Pass Liquefaction LLC	5.625%	4/15/23		350			381
Sabine Pass Liquefaction LLC	5.750%	5/15/24		400			446
Sabine Pass Liquefaction LLC	5.625%	3/1/25		400			449
Sabine Pass Liquefaction LLC	5.875%	6/30/26		500			574
Sabine Pass Liquefaction LLC	5.000%	3/15/27		200			220
Sabine Pass Liquefaction LLC	4.200%	3/15/28		100			106
Schlumberger Investment SA	3.650%	12/1/23		325			342
Shell International Finance BV	1.875%	5/10/21		200			200
Shell International Finance BV	1.750%	9/12/21		200			200
Shell International Finance BV	2.250%	1/6/23		100			101
Shell International Finance BV	3.400%	8/12/23		75			79
Shell International Finance BV	2.000%	11/7/24		200			200
Shell International Finance BV	3.250%	5/11/25		200			211
Shell International Finance BV	2.875%	5/10/26		500			518
Shell International Finance BV	2.500%	9/12/26		900			913
Shell International Finance BV	3.875%	11/13/28		100			111
Shell International Finance BV	2.375%	11/7/29		700			693
Shell International Finance BV	4.125%	5/11/35		300			350
Shell International Finance BV	6.375%	12/15/38		475			693
Shell International Finance BV	5.500%	3/25/40		125			169
Shell International Finance BV	4.550%	8/12/43		300			362
Shell International Finance BV	4.375%	5/11/45		400			476
Shell International Finance BV	4.000%	5/10/46		700			797
Shell International Finance BV	3.125%	11/7/49		400			394
Spectra Energy Partners LP	4.750%	3/15/24		600			652
Spectra Energy Partners LP	3.500%	3/15/25		50			52
Spectra Energy Partners LP	3.375%	10/15/26		205			212
Spectra Energy Partners LP	5.950%	9/25/43		40			50
Spectra Energy Partners LP	4.500%	3/15/45		325			357
Suncor Energy Inc.	3.600%	12/1/24		100			106
Suncor Energy Inc.	5.950%	12/1/34		75			98
Suncor Energy Inc.	6.500%	6/15/38		525			729
Suncor Energy Inc.	4.000%	11/15/47		150			163
Sunoco Logistics Partners Operations LP	4.400%	4/1/21		425			435
Sunoco Logistics Partners Operations LP	3.450%	1/15/23		50			51
Sunoco Logistics Partners Operations LP	4.250%	4/1/24		225			236
Sunoco Logistics Partners Operations LP	4.000%	10/1/27		150			155
Sunoco Logistics Partners Operations LP	4.950%	1/15/43		175			174
Sunoco Logistics Partners Operations LP	5.300%	4/1/44		325			343
Sunoco Logistics Partners Operations LP	5.350%	5/15/45		50			53
Sunoco Logistics Partners Operations LP	5.400%	10/1/47		275			297
TC PipeLines LP	3.900%	5/25/27		50			52
TechnipFMC plc	3.450%	10/1/22		75			76
Total Capital Canada Ltd.	2.750%	7/15/23		125			128
Total Capital International SA	2.750%	6/19/21		300			304
Total Capital International SA	2.218%	7/12/21		250			251
Total Capital International SA	2.875%	2/17/22		300			306
Total Capital International SA	2.700%	1/25/23		50			51
Total Capital International SA	3.700%	1/15/24		525			557
Total Capital International SA	2.434%	1/10/25		175			177
Total Capital International SA	3.455%	2/19/29		225			243
Total Capital International SA	2.829%	1/10/30		200			205
Total Capital International SA	3.461%	7/12/49		200			210
Total Capital SA	4.125%	1/28/21		75			77
Total Capital SA	3.883%	10/11/28		100			112
TransCanada PipeLines Ltd.	2.500%	8/1/22		500			502

395

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	TransCanada PipeLines Ltd.	4.875%	1/15/26		100			112
	TransCanada PipeLines Ltd.	4.250%	5/15/28		250			277
	TransCanada PipeLines Ltd.	4.625%	3/1/34		250			286
	TransCanada PipeLines Ltd.	5.600%	3/31/34		150			182
	TransCanada PipeLines Ltd.	5.850%	3/15/36		300			363
	TransCanada PipeLines Ltd.	6.200%	10/15/37		425			551
	TransCanada PipeLines Ltd.	4.750%	5/15/38		250			285
	TransCanada PipeLines Ltd.	5.000%	10/16/43		150			174
	TransCanada PipeLines Ltd.	4.875%	5/15/48		300			352
	TransCanada PipeLines Ltd.	5.100%	3/15/49		200			242
	Transcontinental Gas Pipe Line Co. LLC	4.000%	3/15/28		100			106
	Transcontinental Gas Pipe Line Co. LLC	4.600%	3/15/48		100			107
	Valero Energy Corp.	4.350%	6/1/28		350			384
	Valero Energy Corp.	7.500%	4/15/32		650			902
	Valero Energy Corp.	4.900%	3/15/45		75			87
	Valero Energy Partners LP	4.375%	12/15/26		100			109
	Valero Energy Partners LP	4.500%	3/15/28		75			82
	Western Midstream Operating LP	5.375%	6/1/21		300			308
	Western Midstream Operating LP	3.950%	6/1/25		100			100
	Western Midstream Operating LP	4.650%	7/1/26		100			103
	Western Midstream Operating LP	4.500%	3/1/28		50			48
	Western Midstream Operating LP	4.750%	8/15/28		50			50
	Western Midstream Operating LP	5.450%	4/1/44		325			283
	Western Midstream Operating LP	5.300%	3/1/48		100			86
	Williams Cos. Inc.	4.000%	11/15/21		100			103
	Williams Cos. Inc.	3.600%	3/15/22		475			488
	Williams Cos. Inc.	3.350%	8/15/22		125			128
	Williams Cos. Inc.	3.700%	1/15/23		200			206
	Williams Cos. Inc.	4.550%	6/24/24		400			431
	Williams Cos. Inc.	3.900%	1/15/25		325			340
	Williams Cos. Inc.	3.750%	6/15/27		500			519
	Williams Cos. Inc.	6.300%	4/15/40		100			124
	Williams Cos. Inc.	5.800%	11/15/43		100			119
	Williams Cos. Inc.	5.400%	3/4/44		400			449
	Williams Cos. Inc.	5.750%	6/24/44		100			118
	Williams Cos. Inc.	5.100%	9/15/45		350			389
	Williams Cos. Inc.	4.850%	3/1/48		150			165
	Other Industrial (0.1%)
3	American University	3.672%	4/1/49		75			80
3	Boston University	4.061%	10/1/48		50			57
	California Institute of Technology	4.321%	8/1/45		70			84
	California Institute of Technology	4.700%	11/1/11		50			61
	California Institute of Technology	3.650%	9/1/19		50			48
	CBRE Services Inc.	5.250%	3/15/25		100			112
	CBRE Services Inc.	4.875%	3/1/26		125			140
	Cintas Corp. No. 2	2.900%	4/1/22		100			102
	Cintas Corp. No. 2	3.250%	6/1/22		75			77
	Cintas Corp. No. 2	3.700%	4/1/27		175			190
	Fluor Corp.	3.500%	12/15/24		250			255
	Fluor Corp.	4.250%	9/15/28		125			126
	Georgetown University	4.315%	4/1/49		68			82
	Georgetown University	5.215%	10/1/18		59			76
	Hillenbrand Inc.	4.500%	9/15/26		75			78
3	Johns Hopkins University	4.083%	7/1/53		75			87
3	Massachusetts Institute of Technology	3.959%	7/1/38		125			140
	Massachusetts Institute of Technology	2.989%	7/1/50		85			84
	Massachusetts Institute of Technology	5.600%	7/1/11		130			198
	Massachusetts Institute of Technology	4.678%	7/1/14		175			226
3	Northwestern University	4.643%	12/1/44		75			93
3	Northwestern University	3.662%	12/1/57		75			83
	President & Fellows of Harvard College	4.875%	10/15/40		225			286
	President & Fellows of Harvard College	3.150%	7/15/46		100			101
	Steelcase Inc.	5.125%	1/18/29		125			141
3	Trustees of Boston College	3.129%	7/1/52		100			97
3	University of Chicago	4.003%	10/1/53		100			114
3	University of Notre Dame du Lac	3.438%	2/15/45		100			106
	University of Notre Dame du Lac	3.394%	2/15/48		125			133
	University of Pennsylvania	4.674%	9/1/12		50			65
	University of Pennsylvania	3.610%	2/15/19		150			153
3	University of Southern California	3.028%	10/1/39		100			100
3	University of Southern California	3.841%	10/1/47		200			222
3	William Marsh Rice University	3.574%	5/15/45		150			160
	Technology (2.2%)
	Adobe Inc.	3.250%	2/1/25		175			185
	Alphabet Inc.	3.625%	5/19/21		150			154
	Altera Corp.	4.100%	11/15/23		75			81
	Amphenol Corp.	3.200%	4/1/24		50			52
	Amphenol Corp.	2.800%	2/15/30		275			271
	Analog Devices Inc.	2.875%	6/1/23		450			459
	Analog Devices Inc.	3.125%	12/5/23		75			77
	Analog Devices Inc.	3.500%	12/5/26		200			210
	Apple Inc.	2.000%	11/13/20		225			226
	Apple Inc.	2.250%	2/23/21		750			754
	Apple Inc.	2.850%	5/6/21		555			563
	Apple Inc.	1.550%	8/4/21		375			374
	Apple Inc.	2.150%	2/9/22		225			227
	Apple Inc.	2.500%	2/9/22		1,000			1,015
	Apple Inc.	2.300%	5/11/22		200			202
	Apple Inc.	2.700%	5/13/22		250			255
	Apple Inc.	2.100%	9/12/22		200			202
	Apple Inc.	2.400%	1/13/23		282			286
	Apple Inc.	2.850%	2/23/23		342			351
	Apple Inc.	2.400%	5/3/23		865			879
	Apple Inc.	3.000%	2/9/24		325			336
	Apple Inc.	3.450%	5/6/24		75			80
	Apple Inc.	2.850%	5/11/24		1,243			1,285
	Apple Inc.	1.800%	9/11/24		150			149
	Apple Inc.	2.750%	1/13/25		575			593
	Apple Inc.	3.250%	2/23/26		705			746
	Apple Inc.	2.450%	8/4/26		450			456
	Apple Inc.	3.200%	5/11/27		775			816
	Apple Inc.	2.900%	9/12/27		655			681
	Apple Inc.	2.200%	9/11/29		300			294
	Apple Inc.	4.500%	2/23/36		225			273
	Apple Inc.	3.850%	5/4/43		450			503
	Apple Inc.	4.450%	5/6/44		200			244
	Apple Inc.	3.450%	2/9/45		225			236
	Apple Inc.	4.375%	5/13/45		225			271
	Apple Inc.	4.650%	2/23/46		910			1,136
	Apple Inc.	3.850%	8/4/46		375			421
	Apple Inc.	4.250%	2/9/47		200			237
	Apple Inc.	3.750%	9/12/47		525			579
	Apple Inc.	2.950%	9/11/49		675			656
	Applied Materials Inc.	3.900%	10/1/25		145			158
	Applied Materials Inc.	3.300%	4/1/27		225			239
	Applied Materials Inc.	5.100%	10/1/35		100			126
	Applied Materials Inc.	5.850%	6/15/41		125			170
	Applied Materials Inc.	4.350%	4/1/47		175			211
	Arrow Electronics Inc.	3.500%	4/1/22		75			77
	Arrow Electronics Inc.	4.500%	3/1/23		50			52
	Arrow Electronics Inc.	3.250%	9/8/24		171			175
	Arrow Electronics Inc.	4.000%	4/1/25		50			52
	Arrow Electronics Inc.	3.875%	1/12/28		100			103
	Autodesk Inc.	3.600%	12/15/22		25			26
	Autodesk Inc.	4.375%	6/15/25		100			109
	Autodesk Inc.	3.500%	6/15/27		75			78
	Avnet Inc.	4.875%	12/1/22		170			180
	Avnet Inc.	4.625%	4/15/26		100			106
	Baidu Inc.	3.500%	11/28/22		275			283
	Baidu Inc.	3.875%	9/29/23		200			209
	Baidu Inc.	4.375%	5/14/24		200			213
	Baidu Inc.	3.625%	7/6/27		200			206
	Baidu Inc.	4.375%	3/29/28		100			108
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	2.200%	1/15/21		150			150
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.000%	1/15/22		642			652
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	2.650%	1/15/23		250			251

396

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.625%	1/15/24		450			466
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.125%	1/15/25		480			486
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.875%	1/15/27		925			959
	Broadcom Corp. / Broadcom Cayman Finance Ltd.	3.500%	1/15/28		200			202
6	Broadcom Inc.	3.125%	4/15/21		400			405
6	Broadcom Inc.	3.125%	10/15/22		250			254
6	Broadcom Inc.	3.625%	10/15/24		607			629
6	Broadcom Inc.	4.250%	4/15/26		500			531
6	Broadcom Inc.	4.750%	4/15/29		945			1,032
	Broadridge Financial Solutions Inc.	3.400%	6/27/26		100			104
	Broadridge Financial Solutions Inc.	2.900%	12/1/29		75			75
	Cadence Design Systems Inc.	4.375%	10/15/24		100			107
	Cisco Systems Inc.	2.200%	2/28/21		675			678
	Cisco Systems Inc.	3.000%	6/15/22		125			129
	Cisco Systems Inc.	2.200%	9/20/23		150			151
	Cisco Systems Inc.	3.625%	3/4/24		875			935
	Cisco Systems Inc.	2.950%	2/28/26		100			105
	Cisco Systems Inc.	2.500%	9/20/26		225			229
	Cisco Systems Inc.	5.500%	1/15/40		800			1,089
	Citrix Systems Inc.	4.500%	12/1/27		100			108
	Corning Inc.	2.900%	5/15/22		175			179
	Corning Inc.	4.700%	3/15/37		275			303
	Corning Inc.	5.750%	8/15/40		195			243
	Corning Inc.	4.750%	3/15/42		100			113
	Corning Inc.	4.375%	11/15/57		150			151
6	Dell International LLC / EMC Corp.	4.420%	6/15/21		850			874
6	Dell International LLC / EMC Corp.	5.450%	6/15/23		700			758
6	Dell International LLC / EMC Corp.	4.000%	7/15/24		100			105
6	Dell International LLC / EMC Corp.	6.020%	6/15/26		1,075			1,237
6	Dell International LLC / EMC Corp.	4.900%	10/1/26		250			275
6	Dell International LLC / EMC Corp.	5.300%	10/1/29		325			365
6	Dell International LLC / EMC Corp.	8.100%	7/15/36		320			420
6	Dell International LLC / EMC Corp.	8.350%	7/15/46		425			582
	DXC Technology Co.	4.250%	4/15/24		250			265
	Equifax Inc.	2.300%	6/1/21		200			201
	Equifax Inc.	3.600%	8/15/21		25			26
	Equifax Inc.	3.950%	6/15/23		50			53
	Equifax Inc.	2.600%	12/1/24		75			75
	Equinix Inc.	2.625%	11/18/24		200			201
	Equinix Inc.	5.875%	1/15/26		500			531
	Equinix Inc.	2.900%	11/18/26		100			100
	Equinix Inc.	3.200%	11/18/29		250			251
	Fidelity National Information Services Inc.	3.500%	4/15/23		143			149
	Fidelity National Information Services Inc.	3.875%	6/5/24		150			159
	Fidelity National Information Services Inc.	3.000%	8/15/26		414			427
	Fidelity National Information Services Inc.	3.750%	5/21/29		200			218
	Fiserv Inc.	3.800%	10/1/23		200			211
	Fiserv Inc.	2.750%	7/1/24		400			407
	Fiserv Inc.	3.850%	6/1/25		200			213
	Fiserv Inc.	3.200%	7/1/26		200			207
	Fiserv Inc.	3.500%	7/1/29		944			992
	Fiserv Inc.	4.400%	7/1/49		415			471
	Flex Ltd.	4.875%	6/15/29		50			54
	FLIR Systems Inc.	3.125%	6/15/21		50			50
	Global Payments Inc.	2.650%	2/15/25		200			201
	Global Payments Inc.	3.200%	8/15/29		250			254
	Global Payments Inc.	4.150%	8/15/49		150			160
	Hewlett Packard Enterprise Co.	3.600%	10/15/20		575			581
	Hewlett Packard Enterprise Co.	3.500%	10/5/21		100			102
	Hewlett Packard Enterprise Co.	4.400%	10/15/22		350			369
	Hewlett Packard Enterprise Co.	2.250%	4/1/23		200			200
	Hewlett Packard Enterprise Co.	4.900%	10/15/25		500			554
	Hewlett Packard Enterprise Co.	6.200%	10/15/35		150			180
	Hewlett Packard Enterprise Co.	6.350%	10/15/45		275			331
	HP Inc.	3.750%	12/1/20		53			54
	HP Inc.	4.050%	9/15/22		100			104
	HP Inc.	6.000%	9/15/41		100			110
	IBM Credit LLC	3.450%	11/30/20		100			102
	IBM Credit LLC	2.650%	2/5/21		150			151
	IBM Credit LLC	3.600%	11/30/21		100			103
	IBM Credit LLC	2.200%	9/8/22		100			101
	IBM Credit LLC	3.000%	2/6/23		150			154
	Intel Corp.	1.700%	5/19/21		100			100
	Intel Corp.	3.300%	10/1/21		100			103
	Intel Corp.	3.100%	7/29/22		175			181
	Intel Corp.	2.700%	12/15/22		404			414
	Intel Corp.	2.875%	5/11/24		1,050			1,089
	Intel Corp.	3.700%	7/29/25		450			486
	Intel Corp.	2.600%	5/19/26		160			164
	Intel Corp.	2.450%	11/15/29		200			199
	Intel Corp.	4.000%	12/15/32		150			174
	Intel Corp.	4.800%	10/1/41		162			200
	Intel Corp.	4.100%	5/19/46		250			287
	Intel Corp.	4.100%	5/11/47		200			229
	Intel Corp.	3.734%	12/8/47		674			737
	Intel Corp.	3.250%	11/15/49		300			300
	International Business Machines Corp.	2.800%	5/13/21		300			304
	International Business Machines Corp.	2.900%	11/1/21		25			25
	International Business Machines Corp.	2.850%	5/13/22		500			511
	International Business Machines Corp.	1.875%	8/1/22		675			675
	International Business Machines Corp.	2.875%	11/9/22		240			246
	International Business Machines Corp.	3.375%	8/1/23		450			471
	International Business Machines Corp.	3.625%	2/12/24		450			476
	International Business Machines Corp.	3.000%	5/15/24		600			621
	International Business Machines Corp.	7.000%	10/30/25		300			374
	International Business Machines Corp.	3.450%	2/19/26		485			516
	International Business Machines Corp.	3.300%	5/15/26		700			737
	International Business Machines Corp.	6.220%	8/1/27		75			93
	International Business Machines Corp.	6.500%	1/15/28		75			95
	International Business Machines Corp.	3.500%	5/15/29		700			751
	International Business Machines Corp.	4.150%	5/15/39		400			449
	International Business Machines Corp.	5.600%	11/30/39		148			193
	International Business Machines Corp.	4.000%	6/20/42		358			395
	International Business Machines Corp.	4.250%	5/15/49		700			796
	Jabil Inc.	5.625%	12/15/20		100			103
	Jabil Inc.	3.950%	1/12/28		75			77
	Juniper Networks Inc.	4.350%	6/15/25		50			53
	Juniper Networks Inc.	3.750%	8/15/29		500			520
	Juniper Networks Inc.	5.950%	3/15/41		25			28
	Keysight Technologies Inc.	4.550%	10/30/24		195			212
	Keysight Technologies Inc.	4.600%	4/6/27		125			139
	Keysight Technologies Inc.	3.000%	10/30/29		100			100
	KLA Corp.	4.125%	11/1/21		100			103
	KLA Corp.	4.650%	11/1/24		250			274
	KLA Corp.	4.100%	3/15/29		350			383
	KLA Corp.	5.000%	3/15/49		75			92
	Lam Research Corp.	2.800%	6/15/21		125			126
	Lam Research Corp.	3.800%	3/15/25		100			106
	Lam Research Corp.	3.750%	3/15/26		150			161
	Lam Research Corp.	4.000%	3/15/29		200			220
	Lam Research Corp.	4.875%	3/15/49		175			218
	Marvell Technology Group Ltd.	4.200%	6/22/23		100			105
	Marvell Technology Group Ltd.	4.875%	6/22/28		100			110
	Maxim Integrated Products Inc.	3.375%	3/15/23		75			77
	Maxim Integrated Products Inc.	3.450%	6/15/27		100			103
	Microchip Technology Inc.	3.922%	6/1/21		100			102
	Microchip Technology Inc.	4.333%	6/1/23		100			106
	Micron Technology Inc.	4.640%	2/6/24		50			54
	Micron Technology Inc.	4.975%	2/6/26		100			111
	Micron Technology Inc.	4.185%	2/15/27		200			213
	Micron Technology Inc.	5.327%	2/6/29		150			171
	Micron Technology Inc.	4.663%	2/15/30		100			110
	Microsoft Corp.	2.000%	11/3/20		1,200			1,202
	Microsoft Corp.	2.400%	2/6/22		620			629

397

Total Bond Market Index Portfolio

					Face			Market
				Maturity	Amount			Value•
		Coupon		Date		($000	)		($000	)
	Microsoft Corp.	2.375%		2/12/22		450			456
	Microsoft Corp.	2.650%		11/3/22		200			205
	Microsoft Corp.	2.375%		5/1/23		75			76
	Microsoft Corp.	2.000%		8/8/23		300			302
	Microsoft Corp.	2.875%		2/6/24		500			518
	Microsoft Corp.	3.125%		11/3/25		575			608
	Microsoft Corp.	2.400%		8/8/26		1,305			1,318
	Microsoft Corp.	3.300%		2/6/27		675			721
	Microsoft Corp.	3.500%		2/12/35		325			357
	Microsoft Corp.	4.200%		11/3/35		375			442
	Microsoft Corp.	3.450%		8/8/36		625			683
	Microsoft Corp.	4.100%		2/6/37		500			589
	Microsoft Corp.	4.500%		10/1/40		390			483
	Microsoft Corp.	3.500%		11/15/42		330			358
	Microsoft Corp.	3.750%		5/1/43		145			160
	Microsoft Corp.	4.875%		12/15/43		150			196
	Microsoft Corp.	3.750%		2/12/45		550			624
	Microsoft Corp.	4.450%		11/3/45		575			716
	Microsoft Corp.	3.700%		8/8/46		1,175			1,326
	Microsoft Corp.	4.250%		2/6/47		600			732
	Microsoft Corp.	4.000%		2/12/55		1,050			1,241
	Motorola Solutions Inc.	3.750%		5/15/22		113			117
	Motorola Solutions Inc.	3.500%		3/1/23		125			129
	Motorola Solutions Inc.	4.000%		9/1/24		240			254
	Motorola Solutions Inc.	4.600%		2/23/28		125			135
	Motorola Solutions Inc.	5.500%		9/1/44		75			82
	NetApp Inc.	3.375%		6/15/21		150			152
	NetApp Inc.	3.300%		9/29/24		75			78
	NVIDIA Corp.	2.200%		9/16/21		200			201
	NVIDIA Corp.	3.200%		9/16/26		200			209
6	NXP BV / NXP Funding LLC	4.875%		3/1/24		200			217
6	NXP BV / NXP Funding LLC	5.350%		3/1/26		204			229
6	NXP BV / NXP Funding LLC	5.550%		12/1/28		175			205
6	NXP BV / NXP Funding LLC / NXP USA Inc.	4.300%		6/18/29		450			486
	Oracle Corp.	1.900%		9/15/21		1,275			1,277
	Oracle Corp.	2.500%		5/15/22		250			254
	Oracle Corp.	2.400%		9/15/23		750			762
	Oracle Corp.	3.400%		7/8/24		450			475
	Oracle Corp.	2.950%	��	11/15/24		425			441
	Oracle Corp.	2.650%		7/15/26		2,361			2,410
	Oracle Corp.	3.250%		5/15/30		100			106
	Oracle Corp.	4.300%		7/8/34		325			379
	Oracle Corp.	3.900%		5/15/35		150			167
	Oracle Corp.	3.850%		7/15/36		250			274
	Oracle Corp.	3.800%		11/15/37		325			354
	Oracle Corp.	6.125%		7/8/39		150			210
	Oracle Corp.	5.375%		7/15/40		700			907
	Oracle Corp.	4.500%		7/8/44		250			295
	Oracle Corp.	4.125%		5/15/45		725			815
	Oracle Corp.	4.000%		7/15/46		575			638
	Oracle Corp.	4.000%		11/15/47		225			251
	Oracle Corp.	4.375%		5/15/55		150			177
	PayPal Holdings Inc.	2.200%		9/26/22		200			201
	PayPal Holdings Inc.	2.400%		10/1/24		100			101
	PayPal Holdings Inc.	2.650%		10/1/26		300			304
	PayPal Holdings Inc.	2.850%		10/1/29		400			401
	QUALCOMM Inc.	3.000%		5/20/22		250			256
	QUALCOMM Inc.	2.600%		1/30/23		300			305
	QUALCOMM Inc.	2.900%		5/20/24		345			355
	QUALCOMM Inc.	3.450%		5/20/25		400			422
	QUALCOMM Inc.	3.250%		5/20/27		400			419
	QUALCOMM Inc.	4.650%		5/20/35		200			237
	QUALCOMM Inc.	4.800%		5/20/45		275			336
	QUALCOMM Inc.	4.300%		5/20/47		350			402
	salesforce.com Inc.	3.250%		4/11/23		200			208
	salesforce.com Inc.	3.700%		4/11/28		275			302
	Seagate HDD Cayman	4.250%		3/1/22		44			45
	Seagate HDD Cayman	4.750%		6/1/23		51			54
	Seagate HDD Cayman	4.875%		3/1/24		75			80
	Seagate HDD Cayman	4.750%		1/1/25		172			183
	Seagate HDD Cayman	5.750%		12/1/34		100			105
	Tech Data Corp.	3.700%		2/15/22		50			51
	Tech Data Corp.	4.950%		2/15/27		100			103
	Texas Instruments Inc.	1.850%		5/15/22		100			100
	Texas Instruments Inc.	2.625%		5/15/24		25			26
	Texas Instruments Inc.	2.900%		11/3/27		94			98
	Texas Instruments Inc.	2.250%		9/4/29		100			98
	Texas Instruments Inc.	3.875%		3/15/39		142			160
	Texas Instruments Inc.	4.150%		5/15/48		274			324
	Total System Services Inc.	3.800%		4/1/21		130			132
	Total System Services Inc.	3.750%		6/1/23		250			261
	Total System Services Inc.	4.000%		6/1/23		100			105
	Total System Services Inc.	4.800%		4/1/26		150			167
	Trimble Inc.	4.150%		6/15/23		50			53
	Trimble Inc.	4.750%		12/1/24		93			101
	Trimble Inc.	4.900%		6/15/28		50			55
	Tyco Electronics Group SA	3.500%		2/3/22		100			103
	Tyco Electronics Group SA	3.450%		8/1/24		125			130
	Tyco Electronics Group SA	3.125%		8/15/27		200			205
	Tyco Electronics Group SA	7.125%		10/1/37		125			184
	Verisk Analytics Inc.	5.800%		5/1/21		75			79
	Verisk Analytics Inc.	4.125%		9/12/22		275			287
	Verisk Analytics Inc.	4.000%		6/15/25		150			161
	Verisk Analytics Inc.	4.125%		3/15/29		400			436
	Verisk Analytics Inc.	5.500%		6/15/45		50			62
	VMware Inc.	2.950%		8/21/22		300			306
	VMware Inc.	3.900%		8/21/27		250			261
	Xilinx Inc.	3.000%		3/15/21		75			76
	Xilinx Inc.	2.950%		6/1/24		150			154
	Transportation (0.6%)
3	American Airlines 2011-1 Class A Pass Through Trust	5.250%		7/31/22		45			46
3	American Airlines 2013-1 Class A Pass Through Trust	4.000%		1/15/27		17			18
3	American Airlines 2013-2 Class A Pass Through Trust	4.950%		7/15/24		25			26
3	American Airlines 2014-1 Class A Pass Through Trust	3.700%		4/1/28		91			95
3	American Airlines 2015-1 Class A Pass Through Trust	3.375%		11/1/28		136			139
3	American Airlines 2015-2 Class AA Pass Through Trust	3.600%		9/22/27		46			48
3	American Airlines 2016-1 Class A Pass Through Trust	4.100%		1/15/28		64			68
3	American Airlines 2016-1 Class AA Pass Through Trust	3.575%		1/15/28		129			135
3	American Airlines 2016-2 Class AA Pass Through Trust	3.200%		12/15/29		235			242
3	American Airlines 2016-3 Class A Pass Through Trust	3.250%		4/15/30		44			45
3	American Airlines 2016-3 Class AA Pass Through Trust	3.000%		10/15/28		131			133
3	American Airlines 2017-1 Class AA Pass Through Trust	3.650%		8/15/30		44			46
3	American Airlines 2017-2 Class AA Pass Through Trust	3.350%		10/15/29		92			94
3	American Airlines 2019-1 Class AA Pass Through Trust	3.150%		8/15/33		50			51
3	BNSF Funding Trust I	6.613%		12/15/55		65			71
	Burlington Northern Santa Fe LLC	3.050%		3/15/22		150			153
	Burlington Northern Santa Fe LLC	3.050%		9/1/22		150			154
	Burlington Northern Santa Fe LLC	3.000%		3/15/23		175			180
	Burlington Northern Santa Fe LLC	3.850%		9/1/23		75			80
	Burlington Northern Santa Fe LLC	3.750%		4/1/24		200			213
	Burlington Northern Santa Fe LLC	3.400%		9/1/24		150			159
	Burlington Northern Santa Fe LLC	3.000%		4/1/25		100			104
	Burlington Northern Santa Fe LLC	3.650%		9/1/25		75			81
	Burlington Northern Santa Fe LLC	3.250%		6/15/27		225			240
	Burlington Northern Santa Fe LLC	6.200%		8/15/36		125			173
	Burlington Northern Santa Fe LLC	5.050%		3/1/41		125			155

398

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Burlington Northern Santa Fe LLC	5.400%	6/1/41		250			322
	Burlington Northern Santa Fe LLC	4.400%	3/15/42		250			289
	Burlington Northern Santa Fe LLC	4.375%	9/1/42		200			232
	Burlington Northern Santa Fe LLC	4.450%	3/15/43		125			145
	Burlington Northern Santa Fe LLC	5.150%	9/1/43		125			159
	Burlington Northern Santa Fe LLC	4.900%	4/1/44		100			124
	Burlington Northern Santa Fe LLC	4.550%	9/1/44		150			179
	Burlington Northern Santa Fe LLC	4.150%	4/1/45		125			144
	Burlington Northern Santa Fe LLC	4.700%	9/1/45		75			91
	Burlington Northern Santa Fe LLC	3.900%	8/1/46		150			164
	Burlington Northern Santa Fe LLC	4.125%	6/15/47		125			141
	Burlington Northern Santa Fe LLC	4.050%	6/15/48		225			253
	Burlington Northern Santa Fe LLC	4.150%	12/15/48		200			228
	Burlington Northern Santa Fe LLC	3.550%	2/15/50		400			415
	Canadian National Railway Co.	2.850%	12/15/21		75			76
	Canadian National Railway Co.	2.950%	11/21/24		233			239
	Canadian National Railway Co.	6.250%	8/1/34		75			103
	Canadian National Railway Co.	6.200%	6/1/36		75			104
	Canadian National Railway Co.	6.375%	11/15/37		100			143
	Canadian National Railway Co.	3.200%	8/2/46		50			51
	Canadian National Railway Co.	3.650%	2/3/48		125			136
	Canadian Pacific Railway Co.	9.450%	8/1/21		50			55
	Canadian Pacific Railway Co.	4.450%	3/15/23		225			239
	Canadian Pacific Railway Co.	7.125%	10/15/31		100			139
	Canadian Pacific Railway Co.	5.950%	5/15/37		450			596
	Canadian Pacific Railway Co.	6.125%	9/15/15		70			102
3	Continental Airlines 2007-1 Class A Pass Through Trust	5.983%	10/19/23		49			51
3	Continental Airlines 2012-2 Class A Pass Through Trust	4.000%	4/29/26		35			37
	CSX Corp.	4.250%	6/1/21		25			26
	CSX Corp.	3.350%	11/1/25		150			159
	CSX Corp.	3.250%	6/1/27		150			157
	CSX Corp.	3.800%	3/1/28		350			381
	CSX Corp.	4.250%	3/15/29		200			225
	CSX Corp.	2.400%	2/15/30		100			98
	CSX Corp.	6.220%	4/30/40		152			206
	CSX Corp.	5.500%	4/15/41		225			282
	CSX Corp.	4.750%	5/30/42		210			246
	CSX Corp.	4.100%	3/15/44		150			163
	CSX Corp.	4.300%	3/1/48		250			281
	CSX Corp.	4.750%	11/15/48		200			242
	CSX Corp.	4.500%	3/15/49		225			261
	CSX Corp.	3.350%	9/15/49		125			123
	CSX Corp.	3.950%	5/1/50		125			135
	CSX Corp.	4.500%	8/1/54		25			29
	CSX Corp.	4.250%	11/1/66		150			160
	CSX Corp.	4.650%	3/1/68		100			114
3	Delta Air Lines 2007-1 Class A Pass Through Trust	6.821%	2/10/24		103			112
3	Delta Air Lines 2015-1 Class AA Pass Through Trust	3.625%	7/30/27		41			44
3	Delta Air Lines 2019-1 Class AA Pass Through Trust	3.204%	4/25/24		75			78
	Delta Air Lines Inc.	2.600%	12/4/20		125			125
	Delta Air Lines Inc.	3.400%	4/19/21		125			126
	Delta Air Lines Inc.	3.625%	3/15/22		175			179
	Delta Air Lines Inc.	3.800%	4/19/23		125			130
	Delta Air Lines Inc.	2.900%	10/28/24		175			175
	Delta Air Lines Inc.	4.375%	4/19/28		100			105
	Delta Air Lines Inc.	3.750%	10/28/29		75			75
	FedEx Corp.	2.625%	8/1/22		100			101
	FedEx Corp.	4.000%	1/15/24		125			134
	FedEx Corp.	3.200%	2/1/25		150			155
	FedEx Corp.	3.250%	4/1/26		100			104
	FedEx Corp.	3.300%	3/15/27		100			103
	FedEx Corp.	3.900%	2/1/35		200			202
	FedEx Corp.	3.875%	8/1/42		125			120
	FedEx Corp.	4.100%	4/15/43		75			73
	FedEx Corp.	5.100%	1/15/44		150			164
	FedEx Corp.	4.750%	11/15/45		250			263
	FedEx Corp.	4.550%	4/1/46		225			230
	FedEx Corp.	4.400%	1/15/47		125			126
	FedEx Corp.	4.050%	2/15/48		200			192
	FedEx Corp.	4.950%	10/17/48		175			190
	FedEx Corp.	4.500%	2/1/65		60			54
	JB Hunt Transport Services Inc.	3.300%	8/15/22		100			103
	JB Hunt Transport Services Inc.	3.875%	3/1/26		25			27
3	JetBlue 2019-1 Class AA Pass Through Trust	2.750%	5/15/32		150			151
	Kansas City Southern	3.000%	5/15/23		250			255
	Kansas City Southern	2.875%	11/15/29		100			100
	Kansas City Southern	4.300%	5/15/43		75			82
	Kansas City Southern	4.950%	8/15/45		125			147
	Kansas City Southern	4.700%	5/1/48		225			260
	Kirby Corp.	4.200%	3/1/28		300			316
3	Latam Airlines 2015-1 Pass Through Trust A	4.200%	8/15/29		98			101
	Norfolk Southern Corp.	3.000%	4/1/22		225			230
	Norfolk Southern Corp.	2.903%	2/15/23		48			49
	Norfolk Southern Corp.	3.850%	1/15/24		250			265
	Norfolk Southern Corp.	5.590%	5/17/25		50			58
	Norfolk Southern Corp.	3.650%	8/1/25		50			53
	Norfolk Southern Corp.	7.800%	5/15/27		60			79
	Norfolk Southern Corp.	3.150%	6/1/27		125			130
	Norfolk Southern Corp.	3.800%	8/1/28		113			124
	Norfolk Southern Corp.	2.550%	11/1/29		200			199
	Norfolk Southern Corp.	4.837%	10/1/41		113			134
	Norfolk Southern Corp.	4.450%	6/15/45		75			86
	Norfolk Southern Corp.	4.650%	1/15/46		75			88
	Norfolk Southern Corp.	4.150%	2/28/48		25			28
	Norfolk Southern Corp.	4.100%	5/15/49		73			80
	Norfolk Southern Corp.	3.400%	11/1/49		75			74
	Norfolk Southern Corp.	4.050%	8/15/52		239			262
	Norfolk Southern Corp.	6.000%	3/15/05		59			78
	Norfolk Southern Corp.	5.100%	8/1/18		250			294
	Ryder System Inc.	3.500%	6/1/21		200			204
	Ryder System Inc.	2.250%	9/1/21		50			50
	Ryder System Inc.	2.875%	6/1/22		75			76
	Ryder System Inc.	3.400%	3/1/23		75			77
	Ryder System Inc.	3.750%	6/9/23		225			235
	Ryder System Inc.	3.650%	3/18/24		150			157
	Ryder System Inc.	2.500%	9/1/24		50			50
	Ryder System Inc.	2.900%	12/1/26		100			101
	Southwest Airlines Co.	3.000%	11/15/26		100			102
	Southwest Airlines Co.	3.450%	11/16/27		50			52
3	Southwest Airlines Co. 2007-1 Pass Through Trust	6.150%	2/1/24		20			21
3	Spirit Airlines Class A Pass Through Certificates Series 2015-1	4.100%	10/1/29		19			20
	Union Pacific Corp.	3.200%	6/8/21		100			102
	Union Pacific Corp.	2.950%	3/1/22		100			102
	Union Pacific Corp.	4.163%	7/15/22		534			561
	Union Pacific Corp.	2.950%	1/15/23		25			26
	Union Pacific Corp.	3.500%	6/8/23		150			157
	Union Pacific Corp.	3.646%	2/15/24		50			53
	Union Pacific Corp.	3.150%	3/1/24		100			104
	Union Pacific Corp.	3.250%	1/15/25		200			208
	Union Pacific Corp.	3.750%	7/15/25		125			134
	Union Pacific Corp.	3.250%	8/15/25		50			53
	Union Pacific Corp.	2.750%	3/1/26		75			77
	Union Pacific Corp.	3.950%	9/10/28		200			220
	Union Pacific Corp.	3.700%	3/1/29		200			218
	Union Pacific Corp.	3.375%	2/1/35		100			103
	Union Pacific Corp.	3.600%	9/15/37		290			302
	Union Pacific Corp.	4.375%	9/10/38		125			143
	Union Pacific Corp.	4.050%	11/15/45		150			162
	Union Pacific Corp.	4.300%	3/1/49		200			229
	Union Pacific Corp.	3.799%	10/1/51		560			594
	Union Pacific Corp.	3.875%	2/1/55		100			105
	Union Pacific Corp.	3.950%	8/15/59		100			105
6	Union Pacific Corp.	3.839%	3/20/60		386			386

399

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Union Pacific Corp.	4.375%	11/15/65		135			148
	Union Pacific Corp.	4.100%	9/15/67		100			103
3	United Airlines 2013-1 Class A Pass Through Trust	4.300%	2/15/27		56			60
3	United Airlines 2014-1 Class A Pass Through Trust	4.000%	10/11/27		75			79
3	United Airlines 2015-1 Class A Pass Through Trust	3.700%	6/1/24		60			61
3	United Airlines 2015-1 Class AA Pass Through Trust	3.450%	12/1/27		145			150
3	United Airlines 2016-1 Class A Pass Through Trust	3.450%	1/7/30		45			46
3	United Airlines 2016-1 Class AA Pass Through Trust	3.100%	7/7/28		358			365
3	United Airlines 2016-2 Class A Pass Through Trust	3.100%	10/7/28		45			45
3	United Airlines 2016-2 Class AA Pass Through Trust	2.875%	10/7/28		67			68
3	United Airlines 2019-1 Class AA Pass Through Trust	4.150%	8/25/31		200			216
3	United Airlines 2019-2 Class AA Pass Through Trust	2.700%	11/1/33		100			100
	United Parcel Service Inc.	3.125%	1/15/21		250			253
	United Parcel Service Inc.	2.050%	4/1/21		150			150
	United Parcel Service Inc.	2.450%	10/1/22		175			178
	United Parcel Service Inc.	2.500%	4/1/23		200			203
	United Parcel Service Inc.	2.800%	11/15/24		186			192
	United Parcel Service Inc.	2.400%	11/15/26		150			151
	United Parcel Service Inc.	3.050%	11/15/27		200			210
	United Parcel Service Inc.	3.400%	3/15/29		100			107
	United Parcel Service Inc.	2.500%	9/1/29		100			100
	United Parcel Service Inc.	6.200%	1/15/38		278			390
	United Parcel Service Inc.	4.875%	11/15/40		75			91
	United Parcel Service Inc.	3.625%	10/1/42		75			77
	United Parcel Service Inc.	3.400%	11/15/46		110			110
	United Parcel Service Inc.	3.750%	11/15/47		200			214
	United Parcel Service Inc.	4.250%	3/15/49		125			145
	United Parcel Service Inc.	3.400%	9/1/49		150			152
3	US Airways 2012-2 Class A Pass Through Trust	4.625%	12/3/26		30			32
3	US Airways 2013-1 Class A Pass Through Trust	3.950%	5/15/27		65			68
								697,714
Utilities (2.0%)
	Electric (1.8%)
	AEP Texas Inc.	2.400%	10/1/22		75			76
	AEP Texas Inc.	3.950%	6/1/28		100			109
	AEP Texas Inc.	3.800%	10/1/47		50			52
	AEP Texas Inc.	3.450%	1/15/50		50			50
	AEP Transmission Co. LLC	4.000%	12/1/46		75			83
	AEP Transmission Co. LLC	3.750%	12/1/47		100			107
	AEP Transmission Co. LLC	3.800%	6/15/49		70			75
	AEP Transmission Co. LLC	3.150%	9/15/49		70			68
	Alabama Power Co.	6.125%	5/15/38		50			67
	Alabama Power Co.	3.850%	12/1/42		25			27
	Alabama Power Co.	4.150%	8/15/44		75			83
	Alabama Power Co.	3.750%	3/1/45		150			157
	Alabama Power Co.	4.300%	1/2/46		250			284
	Alabama Power Co.	3.700%	12/1/47		100			105
	Alabama Power Co.	4.300%	7/15/48		100			115
	Alabama Power Co.	3.450%	10/1/49		50			51
	Ameren Corp.	2.500%	9/15/24		100			101
	Ameren Corp.	3.650%	2/15/26		80			84
	Ameren Illinois Co.	2.700%	9/1/22		250			254
	Ameren Illinois Co.	3.800%	5/15/28		75			82
	Ameren Illinois Co.	3.700%	12/1/47		150			159
	Ameren Illinois Co.	3.250%	3/15/50		60			61
	American Electric Power Co. Inc.	3.650%	12/1/21		100			103
	American Electric Power Co. Inc.	2.950%	12/15/22		25			26
	American Electric Power Co. Inc.	3.200%	11/13/27		75			77
	American Electric Power Co. Inc.	4.300%	12/1/28		150			166
	Appalachian Power Co.	4.600%	3/30/21		50			51
	Appalachian Power Co.	3.300%	6/1/27		500			518
	Appalachian Power Co.	4.500%	3/1/49		425			493
	Arizona Public Service Co.	3.150%	5/15/25		100			104
	Arizona Public Service Co.	2.950%	9/15/27		50			51
	Arizona Public Service Co.	4.500%	4/1/42		25			29
	Arizona Public Service Co.	4.350%	11/15/45		125			142
	Arizona Public Service Co.	3.750%	5/15/46		125			130
	Arizona Public Service Co.	4.250%	3/1/49		100			113
	Arizona Public Service Co.	3.500%	12/1/49		60			60
	Avangrid Inc.	3.150%	12/1/24		230			237
	Avangrid Inc.	3.800%	6/1/29		95			100
	Avista Corp.	4.350%	6/1/48		75			85
	Baltimore Gas & Electric Co.	3.500%	11/15/21		350			359
	Baltimore Gas & Electric Co.	2.400%	8/15/26		50			50
	Baltimore Gas & Electric Co.	3.500%	8/15/46		100			102
	Baltimore Gas & Electric Co.	3.750%	8/15/47		125			133
	Baltimore Gas & Electric Co.	4.250%	9/15/48		50			58
	Baltimore Gas & Electric Co.	3.200%	9/15/49		80			78
	Berkshire Hathaway Energy Co.	2.375%	1/15/21		100			100
	Berkshire Hathaway Energy Co.	2.800%	1/15/23		125			127
	Berkshire Hathaway Energy Co.	3.750%	11/15/23		100			106
	Berkshire Hathaway Energy Co.	3.500%	2/1/25		100			105
	Berkshire Hathaway Energy Co.	3.250%	4/15/28		125			130
	Berkshire Hathaway Energy Co.	6.125%	4/1/36		100			138
	Berkshire Hathaway Energy Co.	5.950%	5/15/37		225			304
	Berkshire Hathaway Energy Co.	6.500%	9/15/37		200			277
	Berkshire Hathaway Energy Co.	5.150%	11/15/43		150			188
	Berkshire Hathaway Energy Co.	4.500%	2/1/45		150			177
	Berkshire Hathaway Energy Co.	3.800%	7/15/48		50			53
	Berkshire Hathaway Energy Co.	4.450%	1/15/49		200			234
	Black Hills Corp.	4.250%	11/30/23		100			106
	Black Hills Corp.	3.950%	1/15/26		75			79
	Black Hills Corp.	3.150%	1/15/27		75			76
	Black Hills Corp.	3.050%	10/15/29		70			70
	Black Hills Corp.	4.350%	5/1/33		75			82
	Black Hills Corp.	4.200%	9/15/46		50			52
	Black Hills Corp.	3.875%	10/15/49		70			70
	CenterPoint Energy Houston Electric LLC	1.850%	6/1/21		250			250
	CenterPoint Energy Houston Electric LLC	2.400%	9/1/26		300			296
	CenterPoint Energy Houston Electric LLC	6.950%	3/15/33		50			70
	CenterPoint Energy Houston Electric LLC	3.950%	3/1/48		75			83
	CenterPoint Energy Houston Electric LLC	4.250%	2/1/49		150			176
	CenterPoint Energy Inc.	3.600%	11/1/21		75			77
	CenterPoint Energy Inc.	2.500%	9/1/22		100			101
	CenterPoint Energy Inc.	3.850%	2/1/24		325			341
	CenterPoint Energy Inc.	2.500%	9/1/24		100			100
	CenterPoint Energy Inc.	4.250%	11/1/28		75			81
	CenterPoint Energy Inc.	2.950%	3/1/30		80			79
	CenterPoint Energy Inc.	3.700%	9/1/49		50			49
	Cleco Corporate Holdings LLC	3.743%	5/1/26		100			103
	Cleco Corporate Holdings LLC	4.973%	5/1/46		125			138
	Cleveland Electric Illuminating Co.	5.500%	8/15/24		225			257
	Cleveland Electric Illuminating Co.	5.950%	12/15/36		75			94
	CMS Energy Corp.	5.050%	3/15/22		25			26
	CMS Energy Corp.	3.000%	5/15/26		75			76
	CMS Energy Corp.	3.450%	8/15/27		50			52
	CMS Energy Corp.	4.875%	3/1/44		75			89
	Commonwealth Edison Co.	2.950%	8/15/27		75			77
	Commonwealth Edison Co.	5.900%	3/15/36		150			199
	Commonwealth Edison Co.	6.450%	1/15/38		175			249
	Commonwealth Edison Co.	4.600%	8/15/43		75			89
	Commonwealth Edison Co.	4.700%	1/15/44		175			211
	Commonwealth Edison Co.	3.700%	3/1/45		75			80
	Commonwealth Edison Co.	3.650%	6/15/46		175			184
	Commonwealth Edison Co.	3.750%	8/15/47		100			108

400

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Commonwealth Edison Co.	4.000%	3/1/48		150			167
	Commonwealth Edison Co.	4.000%	3/1/49		125			141
	Connecticut Light & Power Co.	2.500%	1/15/23		125			127
	Connecticut Light & Power Co.	3.200%	3/15/27		50			52
	Connecticut Light & Power Co.	4.300%	4/15/44		150			176
	Connecticut Light & Power Co.	4.000%	4/1/48		160			183
	Consolidated Edison Co. of New York Inc.	5.300%	3/1/35		200			245
	Consolidated Edison Co. of New York Inc.	5.850%	3/15/36		275			358
	Consolidated Edison Co. of New York Inc.	6.200%	6/15/36		75			101
	Consolidated Edison Co. of New York Inc.	3.950%	3/1/43		125			135
	Consolidated Edison Co. of New York Inc.	4.450%	3/15/44		200			230
	Consolidated Edison Co. of New York Inc.	4.500%	12/1/45		375			437
	Consolidated Edison Co. of New York Inc.	3.850%	6/15/46		145			156
	Consolidated Edison Co. of New York Inc.	3.875%	6/15/47		75			81
	Consolidated Edison Co. of New York Inc.	4.125%	5/15/49		400			452
	Consolidated Edison Co. of New York Inc.	4.000%	11/15/57		75			79
	Consolidated Edison Co. of New York Inc.	4.500%	5/15/58		120			139
	Consolidated Edison Inc.	2.000%	5/15/21		75			75
	Consumers Energy Co.	3.375%	8/15/23		275			287
	Consumers Energy Co.	3.800%	11/15/28		75			83
	Consumers Energy Co.	3.950%	5/15/43		75			83
	Consumers Energy Co.	3.250%	8/15/46		50			50
	Consumers Energy Co.	3.950%	7/15/47		50			56
	Consumers Energy Co.	4.050%	5/15/48		125			143
	Consumers Energy Co.	4.350%	4/15/49		80			97
	Consumers Energy Co.	3.100%	8/15/50		80			80
	Delmarva Power & Light Co.	3.500%	11/15/23		25			26
	Delmarva Power & Light Co.	4.150%	5/15/45		100			112
	Dominion Energy Inc.	2.715%	8/15/21		50			50
	Dominion Energy Inc.	3.071%	8/15/24		75			76
	Dominion Energy Inc.	3.900%	10/1/25		125			133
	Dominion Energy Inc.	2.850%	8/15/26		125			126
	Dominion Energy Inc.	4.250%	6/1/28		125			138
	Dominion Energy Inc.	6.300%	3/15/33		75			97
	Dominion Energy Inc.	5.950%	6/15/35		225			284
	Dominion Energy Inc.	4.900%	8/1/41		80			93
	Dominion Energy Inc.	4.050%	9/15/42		300			314
	Dominion Energy Inc.	4.600%	3/15/49		300			348
3	Dominion Energy Inc.	5.750%	10/1/54		100			108
	Dominion Energy South Carolina Inc.	6.625%	2/1/32		50			67
	Dominion Energy South Carolina Inc.	6.050%	1/15/38		125			168
	Dominion Energy South Carolina Inc.	5.450%	2/1/41		75			97
	Dominion Energy South Carolina Inc.	4.600%	6/15/43		75			88
	DTE Electric Co.	3.650%	3/15/24		250			264
	DTE Electric Co.	3.375%	3/1/25		150			158
	DTE Electric Co.	4.000%	4/1/43		225			250
	DTE Electric Co.	3.700%	6/1/46		50			54
	DTE Electric Co.	3.750%	8/15/47		100			109
	DTE Electric Co.	3.950%	3/1/49		128			146
	DTE Energy Co.	2.600%	6/15/22		50			50
	DTE Energy Co.	2.250%	11/1/22		400			400
	DTE Energy Co.	3.700%	8/1/23		125			130
	DTE Energy Co.	2.529%	10/1/24		100			100
	DTE Energy Co.	2.850%	10/1/26		300			300
	DTE Energy Co.	3.800%	3/15/27		175			184
	DTE Energy Co.	3.400%	6/15/29		100			102
	DTE Energy Co.	2.950%	3/1/30		60			59
	DTE Energy Co.	6.375%	4/15/33		75			98
	Duke Energy Carolinas LLC	3.900%	6/15/21		500			512
	Duke Energy Carolinas LLC	2.500%	3/15/23		100			101
	Duke Energy Carolinas LLC	3.050%	3/15/23		100			103
	Duke Energy Carolinas LLC	2.950%	12/1/26		100			103
	Duke Energy Carolinas LLC	3.950%	11/15/28		125			139
	Duke Energy Carolinas LLC	6.000%	12/1/28		125			156
	Duke Energy Carolinas LLC	2.450%	8/15/29		200			198
	Duke Energy Carolinas LLC	6.100%	6/1/37		100			135
	Duke Energy Carolinas LLC	6.000%	1/15/38		25			34
	Duke Energy Carolinas LLC	6.050%	4/15/38		25			34
	Duke Energy Carolinas LLC	5.300%	2/15/40		150			193
	Duke Energy Carolinas LLC	4.000%	9/30/42		75			83
	Duke Energy Carolinas LLC	3.875%	3/15/46		100			111
	Duke Energy Carolinas LLC	3.700%	12/1/47		100			107
	Duke Energy Carolinas LLC	3.950%	3/15/48		300			331
	Duke Energy Carolinas LLC	3.200%	8/15/49		500			493
	Duke Energy Corp.	2.400%	8/15/22		200			201
	Duke Energy Corp.	3.050%	8/15/22		275			281
	Duke Energy Corp.	3.750%	4/15/24		325			344
	Duke Energy Corp.	2.650%	9/1/26		80			80
	Duke Energy Corp.	3.150%	8/15/27		300			308
	Duke Energy Corp.	4.800%	12/15/45		125			148
	Duke Energy Corp.	3.750%	9/1/46		405			414
	Duke Energy Florida LLC	3.800%	7/15/28		100			109
	Duke Energy Florida LLC	2.500%	12/1/29		425			424
	Duke Energy Florida LLC	6.350%	9/15/37		225			312
	Duke Energy Florida LLC	6.400%	6/15/38		200			284
	Duke Energy Florida LLC	3.850%	11/15/42		200			215
	Duke Energy Florida LLC	3.400%	10/1/46		100			101
	Duke Energy Florida LLC	4.200%	7/15/48		200			230
3	Duke Energy Florida Project Finance LLC	1.731%	9/1/22		50			50
3	Duke Energy Florida Project Finance LLC	2.538%	9/1/29		100			99
	Duke Energy Indiana LLC	6.350%	8/15/38		225			316
	Duke Energy Indiana LLC	3.750%	5/15/46		225			240
	Duke Energy Indiana LLC	3.250%	10/1/49		325			326
	Duke Energy Ohio Inc.	3.700%	6/15/46		25			26
	Duke Energy Progress LLC	2.800%	5/15/22		100			102
	Duke Energy Progress LLC	3.375%	9/1/23		25			26
	Duke Energy Progress LLC	3.700%	9/1/28		175			191
	Duke Energy Progress LLC	3.450%	3/15/29		125			134
	Duke Energy Progress LLC	4.375%	3/30/44		300			348
	Duke Energy Progress LLC	4.150%	12/1/44		100			112
	Duke Energy Progress LLC	3.700%	10/15/46		50			53
	Duke Energy Progress LLC	3.600%	9/15/47		100			104
	Edison International	2.400%	9/15/22		125			124
	Edison International	3.125%	11/15/22		80			81
	Edison International	2.950%	3/15/23		200			200
	Edison International	5.750%	6/15/27		25			28
	El Paso Electric Co.	6.000%	5/15/35		50			61
	El Paso Electric Co.	5.000%	12/1/44		75			88
	Emera US Finance LP	2.700%	6/15/21		125			126
	Emera US Finance LP	3.550%	6/15/26		150			156
	Emera US Finance LP	4.750%	6/15/46		245			283
	Enel Chile SA	4.875%	6/12/28		125			139
	Entergy Arkansas Inc.	3.750%	2/15/21		50			51
	Entergy Arkansas Inc.	3.500%	4/1/26		50			53
	Entergy Corp.	4.000%	7/15/22		150			156
	Entergy Corp.	2.950%	9/1/26		200			203
	Entergy Gulf States Louisiana LLC	5.590%	10/1/24		223			256
	Entergy Louisiana LLC	5.400%	11/1/24		382			436
	Entergy Louisiana LLC	2.400%	10/1/26		75			74
	Entergy Louisiana LLC	3.120%	9/1/27		100			103
	Entergy Louisiana LLC	3.050%	6/1/31		100			102
	Entergy Louisiana LLC	4.000%	3/15/33		150			168
	Entergy Louisiana LLC	4.950%	1/15/45		150			162
	Entergy Louisiana LLC	4.200%	9/1/48		200			231
	Entergy Louisiana LLC	4.200%	4/1/50		100			116
	Entergy Mississippi LLC	2.850%	6/1/28		125			127
	Entergy Texas Inc.	3.550%	9/30/49		60			61
	Evergy Inc.	2.450%	9/15/24		50			50
	Evergy Inc.	2.900%	9/15/29		100			99

401

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Eversource Energy	2.500%	3/15/21		100			101
	Eversource Energy	2.750%	3/15/22		75			76
	Eversource Energy	3.800%	12/1/23		75			78
	Eversource Energy	2.900%	10/1/24		50			51
	Eversource Energy	3.150%	1/15/25		125			129
	Eversource Energy	3.300%	1/15/28		100			103
	Eversource Energy	4.250%	4/1/29		200			221
	Exelon Corp.	5.150%	12/1/20		200			204
	Exelon Corp.	3.497%	6/1/22		200			205
	Exelon Corp.	3.950%	6/15/25		200			215
	Exelon Corp.	3.400%	4/15/26		200			209
	Exelon Corp.	4.950%	6/15/35		225			259
	Exelon Corp.	5.625%	6/15/35		20			25
	Exelon Corp.	5.100%	6/15/45		145			174
	Exelon Corp.	4.450%	4/15/46		175			197
	Exelon Generation Co. LLC	6.250%	10/1/39		360			435
	Exelon Generation Co. LLC	5.750%	10/1/41		75			86
	Exelon Generation Co. LLC	5.600%	6/15/42		155			173
	FirstEnergy Corp.	2.850%	7/15/22		100			101
	FirstEnergy Corp.	3.900%	7/15/27		300			320
	FirstEnergy Corp.	7.375%	11/15/31		475			668
	FirstEnergy Corp.	4.850%	7/15/47		200			237
	Florida Power & Light Co.	3.250%	6/1/24		25			26
	Florida Power & Light Co.	5.625%	4/1/34		25			33
	Florida Power & Light Co.	5.960%	4/1/39		375			528
	Florida Power & Light Co.	4.125%	2/1/42		170			193
	Florida Power & Light Co.	4.050%	6/1/42		125			141
	Florida Power & Light Co.	3.800%	12/15/42		75			82
	Florida Power & Light Co.	3.700%	12/1/47		150			165
	Florida Power & Light Co.	3.950%	3/1/48		325			367
	Florida Power & Light Co.	4.125%	6/1/48		100			116
	Florida Power & Light Co.	3.990%	3/1/49		100			114
	Florida Power & Light Co.	3.150%	10/1/49		155			154
	Fortis Inc.	3.055%	10/4/26		295			301
	Georgia Power Co.	2.400%	4/1/21		75			75
	Georgia Power Co.	2.200%	9/15/24		225			221
	Georgia Power Co.	3.250%	4/1/26		100			103
	Georgia Power Co.	4.750%	9/1/40		175			198
	Georgia Power Co.	4.300%	3/15/43		100			108
	Great Plains Energy Inc.	4.850%	6/1/21		100			103
	Gulf Power Co.	3.300%	5/30/27		50			52
	Iberdrola International BV	6.750%	7/15/36		75			104
	Indiana Michigan Power Co.	3.850%	5/15/28		250			271
	Indiana Michigan Power Co.	3.750%	7/1/47		150			157
	Indiana Michigan Power Co.	4.250%	8/15/48		100			114
	Interstate Power & Light Co.	3.250%	12/1/24		202			211
	Interstate Power & Light Co.	4.100%	9/26/28		125			136
	Interstate Power & Light Co.	3.600%	4/1/29		60			64
	Interstate Power & Light Co.	6.250%	7/15/39		50			66
	Interstate Power & Light Co.	3.700%	9/15/46		75			76
	ITC Holdings Corp.	2.700%	11/15/22		100			101
	ITC Holdings Corp.	3.650%	6/15/24		75			78
	ITC Holdings Corp.	3.350%	11/15/27		100			104
	ITC Holdings Corp.	5.300%	7/1/43		300			366
3	John Sevier Combined Cycle Generation LLC	4.626%	1/15/42		67			78
	Kansas City Power & Light Co.	3.150%	3/15/23		75			77
	Kansas City Power & Light Co.	5.300%	10/1/41		100			126
	Kansas City Power & Light Co.	4.200%	6/15/47		100			115
	Kentucky Utilities Co.	3.250%	11/1/20		50			50
	Kentucky Utilities Co.	5.125%	11/1/40		125			155
	Kentucky Utilities Co.	4.375%	10/1/45		100			116
	Louisville Gas & Electric Co.	3.300%	10/1/25		75			78
	Louisville Gas & Electric Co.	4.250%	4/1/49		170			194
	MidAmerican Energy Co.	3.500%	10/15/24		179			190
	MidAmerican Energy Co.	3.100%	5/1/27		150			156
	MidAmerican Energy Co.	3.650%	4/15/29		200			218
	MidAmerican Energy Co.	6.750%	12/30/31		125			174
	MidAmerican Energy Co.	5.750%	11/1/35		125			164
	MidAmerican Energy Co.	4.800%	9/15/43		75			92
	MidAmerican Energy Co.	3.950%	8/1/47		100			111
	MidAmerican Energy Co.	4.250%	7/15/49		200			240
	Mississippi Power Co.	4.250%	3/15/42		100			107
	National Rural Utilities Cooperative Finance Corp.	2.300%	11/1/20		200			201
	National Rural Utilities Cooperative Finance Corp.	2.900%	3/15/21		50			51
	National Rural Utilities Cooperative Finance Corp.	2.700%	2/15/23		300			306
	National Rural Utilities Cooperative Finance Corp.	2.950%	2/7/24		775			799
	National Rural Utilities Cooperative Finance Corp.	3.900%	11/1/28		100			109
	National Rural Utilities Cooperative Finance Corp.	3.700%	3/15/29		100			109
	National Rural Utilities Cooperative Finance Corp.	4.023%	11/1/32		204			230
3	National Rural Utilities Cooperative Finance Corp.	4.750%	4/30/43		25			26
3	National Rural Utilities Cooperative Finance Corp.	5.250%	4/20/46		75			79
	National Rural Utilities Cooperative Finance Corp.	4.400%	11/1/48		400			476
	National Rural Utilities Cooperative Finance Corp.	4.300%	3/15/49		100			119
	Nevada Power Co.	3.700%	5/1/29		200			216
	Nevada Power Co.	6.750%	7/1/37		75			106
	NextEra Energy Capital Holdings Inc.	2.403%	9/1/21		150			151
	NextEra Energy Capital Holdings Inc.	2.900%	4/1/22		350			356
	NextEra Energy Capital Holdings Inc.	2.800%	1/15/23		105			107
	NextEra Energy Capital Holdings Inc.	3.150%	4/1/24		100			103
	NextEra Energy Capital Holdings Inc.	3.250%	4/1/26		50			52
	NextEra Energy Capital Holdings Inc.	3.550%	5/1/27		250			265
	NextEra Energy Capital Holdings Inc.	3.500%	4/1/29		100			106
	NextEra Energy Capital Holdings Inc.	2.750%	11/1/29		100			100
3	NextEra Energy Capital Holdings Inc.	4.800%	12/1/77		125			128
3	NextEra Energy Capital Holdings Inc.	5.650%	5/1/79		100			111
	Northern States Power Co.	6.250%	6/1/36		75			103
	Northern States Power Co.	6.200%	7/1/37		50			69
	Northern States Power Co.	5.350%	11/1/39		175			228
	Northern States Power Co.	3.400%	8/15/42		105			109
	Northern States Power Co.	4.000%	8/15/45		50			55
	Northern States Power Co.	2.900%	3/1/50		250			238
	NSTAR Electric Co.	2.375%	10/15/22		125			126
	NSTAR Electric Co.	3.200%	5/15/27		125			131
	NSTAR Electric Co.	3.250%	5/15/29		50			52
	NSTAR Electric Co.	5.500%	3/15/40		75			96
	Oglethorpe Power Corp.	5.950%	11/1/39		50			62
	Oglethorpe Power Corp.	5.375%	11/1/40		175			211
	Ohio Edison Co.	6.875%	7/15/36		100			140
	Ohio Power Co.	5.375%	10/1/21		175			185
	Ohio Power Co.	4.150%	4/1/48		100			114
	Ohio Power Co.	4.000%	6/1/49		240			270
	Oklahoma Gas & Electric Co.	3.800%	8/15/28		75			81
	Oklahoma Gas & Electric Co.	4.150%	4/1/47		50			54
	Oklahoma Gas & Electric Co.	3.850%	8/15/47		75			78
	Oncor Electric Delivery Co. LLC	4.100%	6/1/22		175			183
	Oncor Electric Delivery Co. LLC	2.750%	6/1/24		100			102
	Oncor Electric Delivery Co. LLC	2.950%	4/1/25		75			77
	Oncor Electric Delivery Co. LLC	3.700%	11/15/28		50			55
	Oncor Electric Delivery Co. LLC	7.250%	1/15/33		50			73
	Oncor Electric Delivery Co. LLC	7.500%	9/1/38		125			196
	Oncor Electric Delivery Co. LLC	5.250%	9/30/40		125			159
	Oncor Electric Delivery Co. LLC	4.550%	12/1/41		75			88
	Oncor Electric Delivery Co. LLC	5.300%	6/1/42		100			130
	Oncor Electric Delivery Co. LLC	3.750%	4/1/45		100			109
	Oncor Electric Delivery Co. LLC	3.800%	9/30/47		50			55
	Oncor Electric Delivery Co. LLC	3.800%	6/1/49		100			109
	Oncor Electric Delivery Co. LLC	3.100%	9/15/49		400			396
	PacifiCorp	2.950%	2/1/22		100			102
	PacifiCorp	3.600%	4/1/24		125			132
	PacifiCorp	3.500%	6/15/29		100			108

402

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	PacifiCorp	7.700%	11/15/31		450			662
	PacifiCorp	5.250%	6/15/35		100			123
	PacifiCorp	6.100%	8/1/36		75			101
	PacifiCorp	6.350%	7/15/38		75			105
	PacifiCorp	4.100%	2/1/42		200			222
	PacifiCorp	4.125%	1/15/49		100			114
	PacifiCorp	4.150%	2/15/50		200			229
	PECO Energy Co.	2.375%	9/15/22		300			303
	PECO Energy Co.	3.900%	3/1/48		75			83
	Pinnacle West Capital Corp.	2.250%	11/30/20		100			100
	PNM Resources Inc.	3.250%	3/9/21		50			51
	Potomac Electric Power Co.	6.500%	11/15/37		250			353
	Potomac Electric Power Co.	4.150%	3/15/43		150			168
	PPL Capital Funding Inc.	4.200%	6/15/22		25			26
	PPL Capital Funding Inc.	3.500%	12/1/22		115			119
	PPL Capital Funding Inc.	3.400%	6/1/23		100			103
	PPL Capital Funding Inc.	3.950%	3/15/24		50			53
	PPL Capital Funding Inc.	3.100%	5/15/26		100			102
	PPL Capital Funding Inc.	4.700%	6/1/43		75			83
	PPL Capital Funding Inc.	5.000%	3/15/44		200			229
	PPL Capital Funding Inc.	4.000%	9/15/47		75			76
	PPL Electric Utilities Corp.	3.000%	9/15/21		275			280
	PPL Electric Utilities Corp.	6.250%	5/15/39		100			140
	PPL Electric Utilities Corp.	4.125%	6/15/44		50			56
	PPL Electric Utilities Corp.	4.150%	10/1/45		155			174
	PPL Electric Utilities Corp.	3.950%	6/1/47		75			82
	Progress Energy Inc.	4.400%	1/15/21		100			102
	Progress Energy Inc.	3.150%	4/1/22		40			41
	Progress Energy Inc.	7.000%	10/30/31		119			160
	Progress Energy Inc.	6.000%	12/1/39		125			162
	PSEG Power LLC	3.850%	6/1/23		125			131
	PSEG Power LLC	8.625%	4/15/31		96			134
	Public Service Co. of Colorado	3.200%	11/15/20		25			25
	Public Service Co. of Colorado	3.700%	6/15/28		75			81
	Public Service Co. of Colorado	3.600%	9/15/42		175			184
	Public Service Co. of Colorado	4.100%	6/15/48		75			85
	Public Service Co. of New Hampshire	3.500%	11/1/23		50			52
	Public Service Co. of New Hampshire	3.600%	7/1/49		75			79
	Public Service Electric & Gas Co.	1.900%	3/15/21		150			150
	Public Service Electric & Gas Co.	3.000%	5/15/25		80			83
	Public Service Electric & Gas Co.	2.250%	9/15/26		250			247
	Public Service Electric & Gas Co.	3.000%	5/15/27		75			77
	Public Service Electric & Gas Co.	3.200%	5/15/29		70			74
	Public Service Electric & Gas Co.	3.800%	3/1/46		250			272
	Public Service Electric & Gas Co.	3.600%	12/1/47		75			80
	Public Service Electric & Gas Co.	3.850%	5/1/49		200			222
	Public Service Enterprise Group Inc.	2.650%	11/15/22		100			102
	Puget Energy Inc.	6.000%	9/1/21		100			106
	Puget Energy Inc.	5.625%	7/15/22		200			214
	Puget Energy Inc.	3.650%	5/15/25		400			415
	Puget Sound Energy Inc.	6.274%	3/15/37		125			169
	Puget Sound Energy Inc.	5.757%	10/1/39		125			166
	Puget Sound Energy Inc.	4.300%	5/20/45		100			115
	Puget Sound Energy Inc.	4.223%	6/15/48		125			142
	Puget Sound Energy Inc.	3.250%	9/15/49		90			90
	San Diego Gas & Electric Co.	2.500%	5/15/26		250			248
	San Diego Gas & Electric Co.	4.500%	8/15/40		100			111
	San Diego Gas & Electric Co.	3.750%	6/1/47		75			77
	San Diego Gas & Electric Co.	4.150%	5/15/48		75			82
	Sierra Pacific Power Co.	2.600%	5/1/26		100			101
	Southern California Edison Co.	2.900%	3/1/21		100			101
	Southern California Edison Co.	3.875%	6/1/21		275			281
3	Southern California Edison Co.	1.845%	2/1/22		36			35
	Southern California Edison Co.	2.400%	2/1/22		75			75
	Southern California Edison Co.	3.400%	6/1/23		75			77
	Southern California Edison Co.	3.500%	10/1/23		175			182
	Southern California Edison Co.	3.700%	8/1/25		50			53
	Southern California Edison Co.	3.650%	3/1/28		100			107
	Southern California Edison Co.	4.200%	3/1/29		75			83
	Southern California Edison Co.	6.650%	4/1/29		75			90
	Southern California Edison Co.	2.850%	8/1/29		75			75
	Southern California Edison Co.	5.750%	4/1/35		75			91
	Southern California Edison Co.	5.350%	7/15/35		200			237
	Southern California Edison Co.	5.625%	2/1/36		125			152
	Southern California Edison Co.	5.500%	3/15/40		100			122
	Southern California Edison Co.	4.500%	9/1/40		75			82
	Southern California Edison Co.	4.050%	3/15/42		208			214
	Southern California Edison Co.	3.900%	3/15/43		100			102
	Southern California Edison Co.	4.000%	4/1/47		335			350
	Southern California Edison Co.	4.125%	3/1/48		350			370
	Southern California Edison Co.	4.875%	3/1/49		100			118
	Southern Co.	2.350%	7/1/21		300			301
	Southern Co.	3.250%	7/1/26		350			363
	Southern Co.	4.250%	7/1/36		200			215
	Southern Co.	4.400%	7/1/46		360			398
	Southern Power Co.	2.500%	12/15/21		350			353
	Southern Power Co.	4.150%	12/1/25		100			108
	Southern Power Co.	5.150%	9/15/41		100			114
	Southern Power Co.	5.250%	7/15/43		50			57
	Southern Power Co.	4.950%	12/15/46		75			83
	Southwestern Electric Power Co.	2.750%	10/1/26		100			99
	Southwestern Electric Power Co.	4.100%	9/15/28		100			109
	Southwestern Electric Power Co.	6.200%	3/15/40		50			66
	Southwestern Electric Power Co.	3.900%	4/1/45		200			206
	Southwestern Electric Power Co.	3.850%	2/1/48		325			334
	Southwestern Public Service Co.	3.300%	6/15/24		165			171
	Southwestern Public Service Co.	4.500%	8/15/41		100			117
	Southwestern Public Service Co.	3.400%	8/15/46		275			274
	Southwestern Public Service Co.	3.700%	8/15/47		75			78
	Southwestern Public Service Co.	4.400%	11/15/48		275			321
	Southwestern Public Service Co.	3.750%	6/15/49		75			80
	Tampa Electric Co.	4.100%	6/15/42		50			54
	Tampa Electric Co.	4.350%	5/15/44		50			57
	Tampa Electric Co.	4.300%	6/15/48		75			87
	Tampa Electric Co.	4.450%	6/15/49		125			148
	Tampa Electric Co.	3.625%	6/15/50		50			53
	Toledo Edison Co.	6.150%	5/15/37		75			101
	Tucson Electric Power Co.	3.050%	3/15/25		50			52
	Union Electric Co.	3.500%	4/15/24		250			263
	Union Electric Co.	8.450%	3/15/39		150			244
	Union Electric Co.	3.650%	4/15/45		125			131
	Union Electric Co.	4.000%	4/1/48		75			84
	Union Electric Co.	3.250%	10/1/49		100			99
	Virginia Electric & Power Co.	3.450%	2/15/24		50			52
	Virginia Electric & Power Co.	2.950%	11/15/26		75			77
	Virginia Electric & Power Co.	3.500%	3/15/27		250			265
	Virginia Electric & Power Co.	3.800%	4/1/28		150			162
	Virginia Electric & Power Co.	2.875%	7/15/29		275			280
	Virginia Electric & Power Co.	6.000%	1/15/36		125			163
	Virginia Electric & Power Co.	6.000%	5/15/37		150			199
	Virginia Electric & Power Co.	6.350%	11/30/37		50			69
	Virginia Electric & Power Co.	4.000%	1/15/43		400			435
	Virginia Electric & Power Co.	4.450%	2/15/44		475			550
	Virginia Electric & Power Co.	4.200%	5/15/45		75			85
	Virginia Electric & Power Co.	4.000%	11/15/46		100			110
	Virginia Electric & Power Co.	3.800%	9/15/47		100			108
	Virginia Electric & Power Co.	4.600%	12/1/48		375			455
	Virginia Electric & Power Co.	3.300%	12/1/49		110			111
	WEC Energy Group Inc.	3.550%	6/15/25		200			211
	Westar Energy Inc.	2.550%	7/1/26		150			150
	Westar Energy Inc.	3.100%	4/1/27		100			103
	Westar Energy Inc.	4.125%	3/1/42		200			223
	Westar Energy Inc.	4.100%	4/1/43		100			111
	Westar Energy Inc.	4.250%	12/1/45		25			28
	Wisconsin Electric Power Co.	2.950%	9/15/21		75			76
	Wisconsin Electric Power Co.	2.050%	12/15/24		100			100
	Wisconsin Electric Power Co.	4.300%	10/15/48		100			115
	Wisconsin Power & Light Co.	6.375%	8/15/37		100			136
	Wisconsin Public Service Corp.	3.350%	11/21/21		300			309
	Xcel Energy Inc.	2.600%	3/15/22		75			76
	Xcel Energy Inc.	3.300%	6/1/25		325			339
	Xcel Energy Inc.	3.350%	12/1/26		75			78

403

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date	($000		)	($000		)
	Xcel Energy Inc.	4.000%	6/15/28		75			82
	Xcel Energy Inc.	2.600%	12/1/29		200			198
	Xcel Energy Inc.	3.500%	12/1/49		100			102
	Natural Gas (0.2%)
	Atmos Energy Corp.	3.000%	6/15/27		100			103
	Atmos Energy Corp.	2.625%	9/15/29		50			50
	Atmos Energy Corp.	5.500%	6/15/41		200			257
	Atmos Energy Corp.	4.150%	1/15/43		100			112
	Atmos Energy Corp.	4.125%	10/15/44		50			56
	Atmos Energy Corp.	3.375%	9/15/49		530			535
	CenterPoint Energy Resources Corp.	4.500%	1/15/21		25			26
	CenterPoint Energy Resources Corp.	3.550%	4/1/23		50			52
	CenterPoint Energy Resources Corp.	4.000%	4/1/28		100			107
	CenterPoint Energy Resources Corp.	5.850%	1/15/41		250			315
	CenterPoint Energy Resources Corp.	4.100%	9/1/47		50			52
	KeySpan Corp.	5.803%	4/1/35		50			61
	NiSource Finance Corp.	3.490%	5/15/27		250			262
	NiSource Finance Corp.	5.950%	6/15/41		100			128
	NiSource Finance Corp.	4.800%	2/15/44		125			143
	NiSource Finance Corp.	5.650%	2/1/45		100			128
	NiSource Finance Corp.	4.375%	5/15/47		250			279
	NiSource Inc.	2.650%	11/17/22		75			76
	NiSource Inc.	3.650%	6/15/23		75			78
	NiSource Inc.	2.950%	9/1/29		100			100
	ONE Gas Inc.	4.658%	2/1/44		125			149
	ONE Gas Inc.	4.500%	11/1/48		75			89
	Piedmont Natural Gas Co. Inc.	3.500%	6/1/29		110			117
	Piedmont Natural Gas Co. Inc.	4.650%	8/1/43		50			56
	Piedmont Natural Gas Co. Inc.	3.640%	11/1/46		75			74
	Sempra Energy	2.850%	11/15/20		395			397
	Sempra Energy	2.875%	10/1/22		100			102
	Sempra Energy	2.900%	2/1/23		100			102
	Sempra Energy	4.050%	12/1/23		100			106
	Sempra Energy	3.750%	11/15/25		155			163
	Sempra Energy	3.250%	6/15/27		150			154
	Sempra Energy	3.400%	2/1/28		200			207
	Sempra Energy	3.800%	2/1/38		200			208
	Sempra Energy	6.000%	10/15/39		150			195
	Sempra Energy	4.000%	2/1/48		175			182
	Southern California Gas Co.	2.600%	6/15/26		200			200
	Southern California Gas Co.	3.750%	9/15/42		75			78
	Southern California Gas Co.	4.125%	6/1/48		75			83
	Southern California Gas Co.	3.950%	2/15/50		70			78
	Southern Co. Gas Capital Corp.	3.500%	9/15/21		325			332
	Southern Co. Gas Capital Corp.	3.250%	6/15/26		75			77
	Southern Co. Gas Capital Corp.	5.875%	3/15/41		75			95
	Southern Co. Gas Capital Corp.	4.400%	6/1/43		50			54
	Southern Co. Gas Capital Corp.	3.950%	10/1/46		100			102
	Southern Co. Gas Capital Corp.	4.400%	5/30/47		100			109
	Southwest Gas Corp.	3.700%	4/1/28		50			53
	Southwest Gas Corp.	3.800%	9/29/46		75			77
	Southwest Gas Corp.	4.150%	6/1/49		25			27
	Washington Gas Light Co.	3.796%	9/15/46		100			104
	Washington Gas Light Co.	3.650%	9/15/49		30			30
	Other Utility (0.0%)
	American Water Capital Corp.	3.400%	3/1/25		125			131
	American Water Capital Corp.	2.950%	9/1/27		325			331
	American Water Capital Corp.	3.450%	6/1/29		125			132
	American Water Capital Corp.	6.593%	10/15/37		150			213
	American Water Capital Corp.	4.300%	9/1/45		100			113
	American Water Capital Corp.	3.750%	9/1/47		200			210
	American Water Capital Corp.	4.200%	9/1/48		100			113
	American Water Capital Corp.	4.150%	6/1/49		125			140
	Aqua America Inc.	3.566%	5/1/29		75			79
	Aqua America Inc.	4.276%	5/1/49		85			94
	Veolia Environnement SA	6.750%	6/1/38		39			54
								84,050
Total Corporate Bonds (Cost $1,063,591)								1,139,256

Sovereign Bonds (4.1%)
	African Development Bank	1.250%	7/26/21	500	497
	African Development Bank	2.375%	9/23/21	300	303
	African Development Bank	1.625%	9/16/22	400	399
	African Development Bank	2.125%	11/16/22	700	708
	African Development Bank	3.000%	9/20/23	275	288
	Asian Development Bank	2.250%	1/20/21	500	503
	Asian Development Bank	1.625%	3/16/21	500	499
	Asian Development Bank	1.750%	6/8/21	625	625
	Asian Development Bank	2.000%	2/16/22	980	987
	Asian Development Bank	1.875%	2/18/22	600	603
	Asian Development Bank	1.875%	7/19/22	600	603
	Asian Development Bank	1.750%	9/13/22	900	901
	Asian Development Bank	2.750%	3/17/23	1,000	1,032
	Asian Development Bank	2.625%	1/30/24	1,000	1,034
	Asian Development Bank	1.500%	10/18/24	500	494
	Asian Development Bank	2.000%	1/22/25	300	303
	Asian Development Bank	2.000%	4/24/26	100	101
	Asian Development Bank	2.625%	1/12/27	200	209
	Asian Development Bank	2.375%	8/10/27	275	283
	Asian Development Bank	6.220%	8/15/27	100	127
	Asian Development Bank	2.500%	11/2/27	673	700
	Asian Development Bank	5.820%	6/16/28	148	188
	Asian Development Bank	3.125%	9/26/28	130	142
	Asian Development Bank	1.750%	9/19/29	200	195
	Asian Infrastructure Investment Bank	2.250%	5/16/24	500	510
	Canada	2.625%	1/25/22	250	255
	Canada	2.000%	11/15/22	570	575
	CNOOC Finance 2013 Ltd.	3.000%	5/9/23	300	306
	CNOOC Finance 2013 Ltd.	2.875%	9/30/29	250	250
	CNOOC Finance 2013 Ltd.	3.300%	9/30/49	250	236
	CNOOC Finance 2015 USA LLC	3.500%	5/5/25	500	523
	CNOOC Finance 2015 USA LLC	4.375%	5/2/28	500	554
	CNOOC Nexen Finance 2014 ULC	4.250%	4/30/24	300	320
	Corp. Andina de Fomento	3.250%	2/11/22	45	46
	Corp. Andina de Fomento	2.750%	1/6/23	125	126
	Corp. Andina de Fomento	3.750%	11/23/23	925	968
	Council Of Europe Development Bank	1.625%	3/16/21	200	200
	Council Of Europe Development Bank	1.750%	9/26/22	150	150
	Council Of Europe Development Bank	2.625%	2/13/23	425	437
	Ecopetrol SA	5.875%	9/18/23	225	250
	Ecopetrol SA	4.125%	1/16/25	200	210
	Ecopetrol SA	5.375%	6/26/26	750	841
	Ecopetrol SA	7.375%	9/18/43	100	135
	Ecopetrol SA	5.875%	5/28/45	400	470
	Equinor ASA	2.750%	11/10/21	300	305
	Equinor ASA	3.150%	1/23/22	150	154
	Equinor ASA	2.450%	1/17/23	450	457
	Equinor ASA	2.650%	1/15/24	375	384
	Equinor ASA	3.700%	3/1/24	150	160
	Equinor ASA	3.250%	11/10/24	150	158
	Equinor ASA	7.250%	9/23/27	250	331
	Equinor ASA	3.625%	9/10/28	175	193
	Equinor ASA	5.100%	8/17/40	125	159
	Equinor ASA	4.250%	11/23/41	175	202
	Equinor ASA	3.950%	5/15/43	125	139
	Equinor ASA	4.800%	11/8/43	175	221
	Equinor ASA	3.250%	11/18/49	125	125
	European Bank for Reconstruction & Development	1.875%	7/15/21	225	226
	European Bank for Reconstruction & Development	1.500%	11/2/21	150	150
	European Bank for Reconstruction & Development	1.875%	2/23/22	200	201
	European Bank for Reconstruction & Development	2.750%	3/7/23	925	955
	European Bank for Reconstruction & Development	1.625%	9/27/24	270	268
	European Investment Bank	4.000%	2/16/21	735	753
	European Investment Bank	2.000%	3/15/21	1,450	1,455
	European Investment Bank	2.500%	4/15/21	850	858

404

Total Bond Market Index Portfolio

			Face		Market
		Maturity	Amount		Value•
	Coupon	Date	($000	)	($000	)
European Investment Bank	2.375%	5/13/21	1,850		1,866
European Investment Bank	1.625%	6/15/21	1,000		998
European Investment Bank	1.375%	9/15/21	100		100
European Investment Bank	2.125%	10/15/21	300		302
European Investment Bank	2.875%	12/15/21	1,150		1,176
European Investment Bank	2.250%	3/15/22	500		506
European Investment Bank	2.625%	5/20/22	200		204
European Investment Bank	2.375%	6/15/22	1,725		1,753
European Investment Bank	1.375%	9/6/22	720		714
European Investment Bank	2.500%	3/15/23	600		615
European Investment Bank	2.875%	8/15/23	800		833
European Investment Bank	3.125%	12/14/23	500		527
European Investment Bank	3.250%	1/29/24	810		858
European Investment Bank	2.625%	3/15/24	530		549
European Investment Bank	2.250%	6/24/24	550		562
European Investment Bank	2.500%	10/15/24	276		285
European Investment Bank	1.875%	2/10/25	1,050		1,056
European Investment Bank	2.375%	5/24/27	225		232
European Investment Bank	1.625%	10/9/29	125		121
European Investment Bank	4.875%	2/15/36	325		436
Export Development Canada	1.500%	5/26/21	525		523
Export Development Canada	1.375%	10/21/21	200		199
Export Development Canada	1.750%	7/18/22	200		201
Export Development Canada	2.500%	1/24/23	40		41
Export Development Canada	2.625%	2/21/24	250		258
Export-Import Bank of Korea	2.500%	5/10/21	300		302
Export-Import Bank of Korea	4.375%	9/15/21	75		78
Export-Import Bank of Korea	1.875%	10/21/21	250		249
Export-Import Bank of Korea	3.500%	11/27/21	200		205
Export-Import Bank of Korea	5.000%	4/11/22	275		293
Export-Import Bank of Korea	3.000%	11/1/22	400		410
Export-Import Bank of Korea	3.625%	11/27/23	200		211
Export-Import Bank of Korea	4.000%	1/14/24	650		695
Export-Import Bank of Korea	2.625%	5/26/26	200		202
FMS Wertmanagement	2.000%	8/1/22	470		474
FMS Wertmanagement	2.750%	3/6/23	300		310
Hydro-Quebec	8.400%	1/15/22	375		421
Hydro-Quebec	8.050%	7/7/24	325		405
Industrial & Commercial Bank of China Ltd.	2.635%	5/26/21	250		251
Industrial & Commercial Bank of China Ltd.	2.957%	11/8/22	250		254
Industrial & Commercial Bank of China Ltd.	3.538%	11/8/27	250		258
Inter-American Development Bank	1.875%	3/15/21	200		200
Inter-American Development Bank	2.625%	4/19/21	700		708
Inter-American Development Bank	2.125%	1/18/22	700		706
Inter-American Development Bank	1.750%	4/14/22	800		801
Inter-American Development Bank	3.000%	9/26/22	500		516
Inter-American Development Bank	2.500%	1/18/23	1,025		1,050
Inter-American Development Bank	3.000%	10/4/23	625		655
Inter-American Development Bank	2.625%	1/16/24	150		155
Inter-American Development Bank	3.000%	2/21/24	900		943
Inter-American Development Bank	2.125%	1/15/25	1,100		1,117
Inter-American Development Bank	7.000%	6/15/25	100		125
Inter-American Development Bank	2.000%	6/2/26	750		754
Inter-American Development Bank	2.000%	7/23/26	100		101
Inter-American Development Bank	2.375%	7/7/27	450		464
Inter-American Development Bank	3.125%	9/18/28	875		955
Inter-American Development Bank	3.875%	10/28/41	200		245
Inter-American Development Bank	3.200%	8/7/42	100		112
International Bank for Reconstruction & Development	1.625%	3/9/21	1,100		1,099
International Bank for Reconstruction & Development	1.375%	5/24/21	1,100		1,095
International Bank for Reconstruction & Development	2.250%	6/24/21	450		453
International Bank for Reconstruction & Development	2.750%	7/23/21	1,330		1,352
International Bank for Reconstruction & Development	1.375%	9/20/21	1,975		1,966

	International Bank for Reconstruction & Development	2.125%	12/13/21	255	257
	International Bank for Reconstruction & Development	2.000%	1/26/22	145	146
	International Bank for Reconstruction & Development	1.625%	2/10/22	1,325	1,324
	International Bank for Reconstruction & Development	2.125%	7/1/22	775	783
	International Bank for Reconstruction & Development	1.875%	6/19/23	1,100	1,105
	International Bank for Reconstruction & Development	3.000%	9/27/23	1,125	1,177
	International Bank for Reconstruction & Development	2.500%	3/19/24	1,100	1,134
	International Bank for Reconstruction & Development	1.500%	8/28/24	695	687
	International Bank for Reconstruction & Development	2.500%	11/25/24	750	775
	International Bank for Reconstruction & Development	2.500%	7/29/25	1,150	1,193
	International Bank for Reconstruction & Development	3.125%	11/20/25	470	504
	International Bank for Reconstruction & Development	2.500%	11/22/27	350	365
	International Bank for Reconstruction & Development	1.750%	10/23/29	200	195
	International Bank for Reconstruction & Development	4.750%	2/15/35	250	326
	International Finance Corp.	2.250%	1/25/21	1,150	1,156
	International Finance Corp.	2.875%	7/31/23	275	286
	International Finance Corp.	1.375%	10/16/24	200	196
	International Finance Corp.	2.125%	4/7/26	600	609
7	Japan Bank for International Cooperation	3.125%	7/20/21	275	280
7	Japan Bank for International Cooperation	1.500%	7/21/21	750	746
7	Japan Bank for International Cooperation	2.000%	11/4/21	770	772
7	Japan Bank for International Cooperation	2.500%	6/1/22	450	456
7	Japan Bank for International Cooperation	2.375%	7/21/22	250	253
7	Japan Bank for International Cooperation	2.375%	11/16/22	540	547
7	Japan Bank for International Cooperation	3.250%	7/20/23	300	312
7	Japan Bank for International Cooperation	3.375%	7/31/23	100	105
7	Japan Bank for International Cooperation	3.375%	10/31/23	400	421
7	Japan Bank for International Cooperation	3.000%	5/29/24	500	519
7	Japan Bank for International Cooperation	1.750%	10/17/24	200	197
7	Japan Bank for International Cooperation	2.125%	2/10/25	330	331
7	Japan Bank for International Cooperation	2.375%	4/20/26	200	202
7	Japan Bank for International Cooperation	2.250%	11/4/26	200	201
7	Japan Bank for International Cooperation	2.875%	7/21/27	200	209
7	Japan Bank for International Cooperation	2.750%	11/16/27	800	832
7	Japan Bank for International Cooperation	3.250%	7/20/28	300	323
7	Japan Bank for International Cooperation	3.500%	10/31/28	350	384
7	Japan International Cooperation Agency	2.750%	4/27/27	300	310
8	KFW	1.625%	3/15/21	900	899
8	KFW	2.375%	3/24/21	900	907

405

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
8	KFW	2.625%	4/12/21		800			809
8	KFW	1.500%	6/15/21		900			898
8	KFW	1.750%	9/15/21		600			601
8	KFW	2.000%	11/30/21		600			604
8	KFW	3.125%	12/15/21		1,115			1,146
8	KFW	2.500%	2/15/22		1,000			1,016
8	KFW	2.125%	3/7/22		1,000			1,009
8	KFW	2.125%	6/15/22		750			758
8	KFW	1.750%	8/22/22		1,200			1,202
8	KFW	2.000%	10/4/22		950			958
8	KFW	2.375%	12/29/22		450			459
8	KFW	2.125%	1/17/23		1,025			1,040
8	KFW	2.625%	2/28/24		400			414
8	KFW	1.375%	8/5/24		900			883
8	KFW	2.500%	11/20/24		1,800			1,859
8	KFW	2.000%	5/2/25		150			152
8	KFW	2.875%	4/3/28		500			536
8	KFW	1.750%	9/14/29		175			171
8	KFW	0.000%	4/18/36		400			273
8	KFW	0.000%	6/29/37		200			133
	Korea Development Bank	4.625%	11/16/21		150			157
	Korea Development Bank	3.000%	9/14/22		750			768
	Korea Development Bank	3.375%	3/12/23		700			726
	Korea Development Bank	3.750%	1/22/24		500			530
	Korea Development Bank	2.125%	10/1/24		200			199
8	Landwirtschaftliche Rentenbank	1.750%	9/24/21		250			250
8	Landwirtschaftliche Rentenbank	2.250%	10/1/21		45			45
8	Landwirtschaftliche Rentenbank	3.125%	11/14/23		100			105
8	Landwirtschaftliche Rentenbank	2.000%	1/13/25		850			858
8	Landwirtschaftliche Rentenbank	2.375%	6/10/25		475			488
8	Landwirtschaftliche Rentenbank	1.750%	7/27/26		275			272
8	Landwirtschaftliche Rentenbank	2.500%	11/15/27		250			261
	Nexen Energy ULC	7.875%	3/15/32		50			72
	Nexen Energy ULC	6.400%	5/15/37		450			619
	Nexen Energy ULC	7.500%	7/30/39		200			311
	Nordic Investment Bank	2.250%	2/1/21		200			201
	Nordic Investment Bank	1.250%	8/2/21		400			397
	Nordic Investment Bank	2.125%	2/1/22		200			202
	Nordic Investment Bank	1.375%	10/17/22		200			198
	Nordic Investment Bank	2.875%	7/19/23		200			208
	Nordic Investment Bank	2.250%	5/21/24		200			203
9	Oesterreichische Kontrollbank AG	2.625%	1/31/22		100			102
9	Oesterreichische Kontrollbank AG	1.625%	9/17/22		400			399
9	Oesterreichische Kontrollbank AG	2.875%	3/13/23		500			518
9	Oesterreichische Kontrollbank AG	3.125%	11/7/23		200			210
3	Oriental Republic of Uruguay	8.000%	11/18/22		125			139
3	Oriental Republic of Uruguay	4.500%	8/14/24		303			328
3	Oriental Republic of Uruguay	4.375%	10/27/27		150			166
3	Oriental Republic of Uruguay	4.375%	1/23/31		208			233
3	Oriental Republic of Uruguay	7.625%	3/21/36		195			289
3	Oriental Republic of Uruguay	4.125%	11/20/45		300			322
3	Oriental Republic of Uruguay	5.100%	6/18/50		565			679
3	Oriental Republic of Uruguay	4.975%	4/20/55		500			589
	Petroleos Mexicanos	5.500%	1/21/21		200			205
	Petroleos Mexicanos	6.375%	2/4/21		261			266
	Petroleos Mexicanos	4.875%	1/24/22		185			192
	Petroleos Mexicanos	5.375%	3/13/22		64			67
	Petroleos Mexicanos	3.500%	1/30/23		215			217
	Petroleos Mexicanos	4.625%	9/21/23		87			91
	Petroleos Mexicanos	4.875%	1/18/24		120			126
	Petroleos Mexicanos	4.250%	1/15/25		100			101
	Petroleos Mexicanos	2.378%	4/15/25		28			28
	Petroleos Mexicanos	4.500%	1/23/26		110			109
	Petroleos Mexicanos	6.875%	8/4/26		599			657
6	Petroleos Mexicanos	6.490%	1/23/27		581			617
	Petroleos Mexicanos	6.500%	3/13/27		1,236			1,308
	Petroleos Mexicanos	5.350%	2/12/28		556			552
	Petroleos Mexicanos	6.500%	1/23/29		375			393
6	Petroleos Mexicanos	6.840%	1/23/30		1,091			1,168
	Petroleos Mexicanos	6.625%	6/15/35		625			635
	Petroleos Mexicanos	6.625%	6/15/38		150			147

	Petroleos Mexicanos	6.500%	6/2/41	250	248
	Petroleos Mexicanos	5.500%	6/27/44	94	84
	Petroleos Mexicanos	6.375%	1/23/45	300	290
	Petroleos Mexicanos	5.625%	1/23/46	367	330
	Petroleos Mexicanos	6.750%	9/21/47	1,288	1,289
	Petroleos Mexicanos	6.350%	2/12/48	496	479
6	Petroleos Mexicanos	7.690%	1/23/50	1,544	1,685
	Province of Alberta	2.200%	7/26/22	400	403
	Province of Alberta	3.350%	11/1/23	375	395
	Province of Alberta	2.950%	1/23/24	300	311
	Province of Alberta	1.875%	11/13/24	450	449
	Province of Alberta	3.300%	3/15/28	250	270
	Province of British Columbia	2.000%	10/23/22	200	201
	Province of British Columbia	1.750%	9/27/24	225	223
	Province of British Columbia	2.250%	6/2/26	300	303
	Province of Manitoba	2.050%	11/30/20	300	300
	Province of Manitoba	2.100%	9/6/22	150	151
	Province of Manitoba	2.600%	4/16/24	150	154
	Province of Manitoba	2.125%	6/22/26	90	90
	Province of New Brunswick	2.500%	12/12/22	95	97
	Province of New Brunswick	3.625%	2/24/28	105	115
	Province of Ontario	2.550%	2/12/21	180	181
	Province of Ontario	2.500%	9/10/21	575	581
	Province of Ontario	2.400%	2/8/22	525	531
	Province of Ontario	2.550%	4/25/22	350	356
	Province of Ontario	2.250%	5/18/22	500	505
	Province of Ontario	2.450%	6/29/22	150	152
	Province of Ontario	2.200%	10/3/22	400	404
	Province of Ontario	3.400%	10/17/23	760	802
	Province of Ontario	3.050%	1/29/24	250	261
	Province of Ontario	3.200%	5/16/24	150	158
	Province of Ontario	2.500%	4/27/26	250	256
	Province of Ontario	2.300%	6/15/26	900	911
	Province of Ontario	2.000%	10/2/29	585	575
	Province of Quebec	2.750%	8/25/21	325	330
	Province of Quebec	2.375%	1/31/22	390	394
	Province of Quebec	2.625%	2/13/23	425	435
	Province of Quebec	2.500%	4/20/26	200	205
	Province of Quebec	2.750%	4/12/27	850	884
	Province of Quebec	7.500%	9/15/29	475	684
	Province of Saskatchewan	8.500%	7/15/22	58	67
	Republic of Chile	2.250%	10/30/22	175	176
	Republic of Chile	3.125%	1/21/26	485	507
3	Republic of Chile	3.240%	2/6/28	460	482
3	Republic of Chile	3.500%	1/25/50	275	285
	Republic of Colombia	4.375%	7/12/21	450	464
	Republic of Colombia	4.000%	2/26/24	400	421
	Republic of Colombia	8.125%	5/21/24	100	123
3	Republic of Colombia	4.500%	1/28/26	322	350
3	Republic of Colombia	3.875%	4/25/27	765	808
3	Republic of Colombia	4.500%	3/15/29	650	719
	Republic of Colombia	10.375%	1/28/33	200	321
	Republic of Colombia	7.375%	9/18/37	300	427
	Republic of Colombia	6.125%	1/18/41	125	161
3	Republic of Colombia	5.625%	2/26/44	475	586
3	Republic of Colombia	5.000%	6/15/45	965	1,114
	Republic of Colombia	5.200%	5/15/49	400	477
	Republic of Hungary	6.375%	3/29/21	700	739
	Republic of Hungary	5.375%	2/21/23	400	438
	Republic of Hungary	5.750%	11/22/23	400	451
	Republic of Hungary	5.375%	3/25/24	350	394
	Republic of Hungary	7.625%	3/29/41	290	475
	Republic of Indonesia	2.950%	1/11/23	425	432
	Republic of Indonesia	4.100%	4/24/28	200	217
	Republic of Indonesia	4.750%	2/11/29	425	487
	Republic of Indonesia	3.400%	9/18/29	200	208
6	Republic of Indonesia	4.750%	7/18/47	200	231
	Republic of Indonesia	4.350%	1/11/48	300	332
	Republic of Indonesia	3.700%	10/30/49	200	203
	Republic of Italy	6.875%	9/27/23	590	671
	Republic of Italy	2.375%	10/17/24	475	465

406

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Republic of Italy	2.875%	10/17/29		200			189
	Republic of Italy	5.375%	6/15/33		475			544
	Republic of Italy	4.000%	10/17/49		500			474
	Republic of Korea	3.875%	9/11/23		200			213
	Republic of Korea	5.625%	11/3/25		100			118
	Republic of Korea	2.750%	1/19/27		1,000			1,021
	Republic of Korea	3.875%	9/20/48		125			149
3	Republic of Panama	4.000%	9/22/24		200			214
3	Republic of Panama	3.750%	3/16/25		200			212
	Republic of Panama	7.125%	1/29/26		168			210
	Republic of Panama	8.875%	9/30/27		238			339
3	Republic of Panama	3.875%	3/17/28		460			500
	Republic of Panama	9.375%	4/1/29		300			457
3	Republic of Panama	6.700%	1/26/36		292			409
3	Republic of Panama	4.500%	4/16/50		410			486
3	Republic of Panama	4.300%	4/29/53		400			466
3	Republic of Panama	3.870%	7/23/60		200			215
	Republic of Peru	7.350%	7/21/25		225			284
	Republic of Peru	8.750%	11/21/33		645			1,064
3	Republic of Peru	6.550%	3/14/37		225			329
	Republic of Peru	5.625%	11/18/50		475			689
	Republic of Poland	5.125%	4/21/21		275			286
	Republic of Poland	5.000%	3/23/22		775			827
	Republic of Poland	3.000%	3/17/23		325			335
	Republic of Poland	3.250%	4/6/26		500			529
	Republic of the Philippines	4.000%	1/15/21		350			357
	Republic of the Philippines	9.500%	10/21/24		350			466
	Republic of the Philippines	10.625%	3/16/25		100			141
	Republic of the Philippines	5.500%	3/30/26		225			267
	Republic of the Philippines	3.000%	2/1/28		400			415
	Republic of the Philippines	3.750%	1/14/29		400			441
	Republic of the Philippines	9.500%	2/2/30		300			478
	Republic of the Philippines	7.750%	1/14/31		400			591
	Republic of the Philippines	6.375%	1/15/32		200			272
	Republic of the Philippines	6.375%	10/23/34		550			781
	Republic of the Philippines	3.950%	1/20/40		700			799
	Republic of the Philippines	3.700%	3/1/41		400			453
	Republic of the Philippines	3.700%	2/2/42		350			394
	State of Israel	3.150%	6/30/23		400			416
	State of Israel	2.875%	3/16/26		200			208
	State of Israel	3.250%	1/17/28		300			322
	State of Israel	4.500%	1/30/43		200			238
	State of Israel	4.125%	1/17/48		250			285
	Svensk Exportkredit AB	1.750%	3/10/21		450			450
	Svensk Exportkredit AB	2.375%	4/9/21		200			202
	Svensk Exportkredit AB	2.875%	5/22/21		200			203
	Svensk Exportkredit AB	1.625%	9/12/21		300			300
	Svensk Exportkredit AB	3.125%	11/8/21		200			205
	Svensk Exportkredit AB	2.000%	8/30/22		190			191
	Svensk Exportkredit AB	1.625%	11/14/22		200			200
	Svensk Exportkredit AB	2.875%	3/14/23		195			202
	Syngenta Finance NV	3.125%	3/28/22		100			101
	United Mexican States	3.625%	3/15/22		548			564
	United Mexican States	3.600%	1/30/25		510			533
	United Mexican States	4.125%	1/21/26		445			474
	United Mexican States	4.150%	3/28/27		800			855
	United Mexican States	3.750%	1/11/28		675			700
	United Mexican States	4.500%	4/22/29		850			931
	United Mexican States	8.300%	8/15/31		220			326
	United Mexican States	7.500%	4/8/33		100			141
	United Mexican States	6.050%	1/11/40		883			1,144
	United Mexican States	4.750%	3/8/44		765			842
	United Mexican States	5.550%	1/21/45		510			625
	United Mexican States	4.600%	1/23/46		600			647
	United Mexican States	4.350%	1/15/47		760			796
	United Mexican States	4.600%	2/10/48		255			277
3	United Mexican States	4.500%	1/31/50		400			433
	United Mexican States	5.750%	10/12/10		342			402
Total Sovereign Bonds (Cost $168,587)								176,043
Taxable Municipal Bonds (0.7%)

Alabama Economic Settlement Authority BP Settlement Revenue	3.163%	9/15/25	75	77
American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	5.939%	2/15/47	150	207
American Municipal Power Ohio Inc.Revenue (Prairie State Energy Campus Project)	6.270%	2/15/50	50	67
American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	7.499%	2/15/50	50	77
American Municipal Power Ohio Inc. Revenue (Prairie State Energy Campus Project)	8.084%	2/15/50	125	214
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.918%	4/1/40	100	146
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.263%	4/1/49	250	382
Bay Area Toll Authority California Toll Bridge Revenue (San Francisco Bay Area)	6.907%	10/1/50	200	323
California Department of Water Resources Power Supply Revenue	2.000%	5/1/22	150	151
California GO	2.800%	4/1/21	150	152
California GO	5.700%	11/1/21	250	268
California GO	3.375%	4/1/25	100	106
California GO	2.650%	4/1/26	75	77
California GO	3.500%	4/1/28	150	162
California GO	4.500%	4/1/33	190	214
California GO	7.500%	4/1/34	350	527
California GO	4.600%	4/1/38	300	332
California GO	7.300%	10/1/39	75	115
California GO	7.350%	11/1/39	1,425	2,189
California GO	7.625%	3/1/40	205	328
California GO	7.600%	11/1/40	200	330
California State University Systemwide Revenue	3.899%	11/1/47	50	55
Central Puget Sound WA Regional Transit Authority Sales & Use Tax Revenue	5.491%	11/1/39	50	66
Chicago IL GO	7.045%	1/1/29	50	55
Chicago IL GO	7.375%	1/1/33	150	180
Chicago IL GO	6.314%	1/1/44	100	114
Chicago IL Metropolitan Water Reclamation District GO	5.720%	12/1/38	100	131
Chicago IL O’Hare International Airport Revenue	6.395%	1/1/40	125	180
Chicago IL O’Hare International Airport Revenue	4.472%	1/1/49	75	90
Chicago IL Transit Authority Sales Tax Receipts Revenue	6.200%	12/1/40	150	196
Chicago IL Transit Authority Transfer Tax Receipts Revenue	6.899%	12/1/40	125	169
Clark County NV Airport System Revenue	6.820%	7/1/45	100	158
Commonwealth Financing Authority Pennsylvania Revenue	3.864%	6/1/38	100	107
Commonwealth Financing Authority Pennsylvania Revenue	3.807%	6/1/41	55	59
Connecticut GO	5.090%	10/1/30	175	201
Connecticut GO	5.850%	3/15/32	200	258
Cook County IL GO	6.229%	11/15/34	50	65
Dallas TX Area Rapid Transit Revenue	5.999%	12/1/44	100	142
Dallas TX Area Rapid Transit Revenue	5.022%	12/1/48	50	66
Dallas TX Convention Center Hotel Development Corp. Hotel Revenue	7.088%	1/1/42	150	208

407

Total Bond Market Index Portfolio

			Face			Market
		Maturity	Amount			Value•
	Coupon	Date		($000	)		($000	)
Dallas TX Independent School District GO	6.450%	2/15/35		100			105
Dallas-Fort Worth TX International Airport Revenue	2.994%	11/1/38		50			49
Dallas-Fort Worth TX International Airport Revenue	3.144%	11/1/45		75			74
District of Columbia Income Tax Revenue	5.591%	12/1/34		50			62
District of Columbia Water & Sewer Authority Public Utility Revenue	4.814%	10/1/14		150			197
Florida Board of Administration Finance Corp Revenue	2.638%	7/1/21		150			152
George Washington University	4.126%	9/15/48		150			173
Georgia Municipal Electric Power Authority Revenue	6.637%	4/1/57		248			334
Georgia Municipal Electric Power Authority Revenue	6.655%	4/1/57		149			205
Georgia Municipal Electric Power Authority Revenue	7.055%	4/1/57		74			100
Houston TX GO	6.290%	3/1/32		135			163
Illinois GO	4.950%	6/1/23		349			364
Illinois GO	5.100%	6/1/33		1,200			1,294
Illinois GO	7.350%	7/1/35		300			364
Illinois Toll Highway Authority Revenue	6.184%	1/1/34		50			66
JobsOhio Beverage System Statewide Liquor Profits Revenue	3.985%	1/1/29		150			163
JobsOhio Beverage System Statewide Liquor Profits Revenue	4.532%	1/1/35		100			117
Los Angeles CA Department of Water & Power Revenue	6.166%	7/1/40		25			26
Los Angeles CA Department of Water & Power Revenue	6.574%	7/1/45		100			156
Los Angeles CA Department of Water & Power Revenue	6.603%	7/1/50		100			160
Los Angeles CA Unified School District GO	5.755%	7/1/29		200			242
Los Angeles CA Unified School District GO	5.750%	7/1/34		125			160
Los Angeles CA Unified School District GO	6.758%	7/1/34		200			276
Los Angeles County CA Metropolitan Transportation Authority Sales Tax Revenue	5.735%	6/1/39		75			97
Los Angeles County CA Public Works Financing Authority Lease Revenue	7.618%	8/1/40		50			77
Maryland Transportation Authority Facilities Projects Revenue	5.888%	7/1/43		50			67
Massachusetts GO	4.200%	12/1/21		115			118
Massachusetts GO	5.456%	12/1/39		150			195
Massachusetts GO	2.813%	9/1/43		225			214
Massachusetts GO	2.900%	9/1/49		100			94
Massachusetts School Building Authority Dedicated Sales Tax Revenue	5.715%	8/15/39		100			132
Massachusetts School Building Authority Dedicated Sales Tax Revenue	3.395%	10/15/40		50			50
Massachusetts Transportation Fund Revenue	5.731%	6/1/40		50			65
Metropolitan Government of Nashville & Davidson County TN Convention Center Authority Tourism Tax Revenue	6.731%	7/1/43		50			71
Metropolitan Washington DC/VA Airports Authority Dulles Toll Road Revenue	7.462%	10/1/46		85			137
Miami-Dade County FL Aviation Revenue (Miami International Airport)	4.280%	10/1/41		125			134
Michigan Finance Authority Revenue (Trinity Health Credit Group)	3.084%	12/1/34		75			75
Michigan Finance Authority Revenue (Trinity Health Credit Group)	3.384%	12/1/40		200			200
Michigan State University Revenue	4.496%	8/15/48		50			55
Mississippi GO	5.245%	11/1/34		50			62

	Missouri Health & Educational Facilities Authority Revenue (Washington University)	3.652%	8/15/57	100	105
10	New Jersey Economic Development Authority Revenue (State Pension Funding)	7.425%	2/15/29	225	282
	New Jersey Transportation Trust Fund Authority Transportation Program Revenue	4.081%	6/15/39	75	75
	New Jersey Transportation Trust Fund Authority Transportation Program Revenue	4.131%	6/15/42	100	99
	New Jersey Transportation Trust Fund Authority Transportation System Revenue	6.104%	12/15/28	100	104
	New Jersey Transportation Trust Fund Authority Transportation System Revenue	6.561%	12/15/40	400	528
	New Jersey Turnpike Authority Revenue	7.414%	1/1/40	100	157
	New Jersey Turnpike Authority Revenue	7.102%	1/1/41	400	610
	New York City NY GO	6.246%	6/1/35	25	25
	New York City NY GO	5.517%	10/1/37	50	64
	New York City NY GO	6.271%	12/1/37	100	139
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.750%	6/15/41	50	70
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.952%	6/15/42	50	72
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	6.011%	6/15/42	50	72
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.440%	6/15/43	100	137
	New York City NY Municipal Water Finance Authority Water & Sewer System Revenue	5.882%	6/15/44	175	255
	New York City NY Transitional Finance Authority Future Tax Revenue	5.767%	8/1/36	150	186
	New York City NY Transitional Finance Authority Future Tax Revenue	5.508%	8/1/37	100	127
	New York City NY Transitional Finance Authority Future Tax Revenue	5.572%	11/1/38	75	95
	New York Metropolitan Transportation Authority Revenue (Dedicated Tax Fund)	7.336%	11/15/39	400	626
	New York Metropolitan Transportation Authority Revenue (Transit Revenue)	5.871%	11/15/39	50	64
	New York State Dormitory Authority Revenue	3.142%	7/1/43	75	74
	New York State Dormitory Authority Revenue (Personal Income Tax)	3.110%	2/15/39	50	50
	New York State Dormitory Authority Revenue (Personal Income Tax)	5.628%	3/15/39	100	123
	New York State Dormitory Authority Revenue (Personal Income Tax)	3.190%	2/15/43	50	50
	New York State Thruway Authority	2.900%	1/1/35	75	75
	New York State Thruway Authority	3.500%	1/1/42	50	50
	New York State Urban Development Corp. Revenue (Personal Income Tax)	3.900%	3/15/33	100	107
	New York State Urban Development Corp. Revenue (Personal Income Tax)	5.770%	3/15/39	150	182
	North Texas Tollway Authority System Revenue	6.718%	1/1/49	150	235
	Ohio State University General Receipts Revenue	4.910%	6/1/40	100	127
	Ohio State University General Receipts Revenue	3.798%	12/1/46	100	111

408

Total Bond Market Index Portfolio

				Face			Market
			Maturity	Amount			Value•
		Coupon	Date		($000	)		($000	)
	Ohio State University General Receipts Revenue	4.800%	6/1/11		100			127
	Ohio Water Development Authority Water Pollution Control Loan Fund Revenue	4.879%	12/1/34		75			88
	Oregon Department of Transportation Highway User Tax Revenue	5.834%	11/15/34		150			200
	Oregon GO	5.762%	6/1/23		135			145
	Oregon GO	5.892%	6/1/27		75			89
11	Oregon School Boards Association GO	5.528%	6/30/28		50			59
	Pennsylvania Public School Building Authority Lease Revenue (School District of Philadelphia)	5.000%	9/15/27		50			58
	Pennsylvania Turnpike Commission Revenue	5.511%	12/1/45		50			66
	Port Authority of New York & New Jersey Revenue	6.040%	12/1/29		75			97
	Port Authority of New York & New Jersey Revenue	4.960%	8/1/46		250			323
	Port Authority of New York & New Jersey Revenue	5.310%	8/1/46		100			111
	Port Authority of New York & New Jersey Revenue	4.031%	9/1/48		30			34
	Port Authority of New York & New Jersey Revenue	4.926%	10/1/51		100			130
	Port Authority of New York & New Jersey Revenue	4.458%	10/1/62		550			674
	Port Authority of New York & New Jersey Revenue	4.810%	10/15/65		100			126
	Port Authority of New York & New Jersey Revenue	3.287%	8/1/69		100			95
	Princeton University	5.700%	3/1/39		200			277
	Regents of the University of California Revenue	3.063%	7/1/25		100			105
	Regional Transportation District of Colorado Sales Tax Revenue	5.844%	11/1/50		100			145
	Rutgers State University New Jersey Revenue	5.665%	5/1/40		50			65
	Rutgers State University New Jersey Revenue	3.270%	5/1/43		25			25
	Rutgers State University New Jersey Revenue	3.915%	5/1/19		75			74
	Sales Tax Securitization Corp. Illinois Revenue	3.587%	1/1/43		75			74
	Sales Tax Securitization Corp. Illinois Revenue	3.820%	1/1/48		50			50
	Sales Tax Securitization Corp. Illinois Revenue	4.787%	1/1/48		100			116
	Salt River Project Arizona Agricultural Improvement & Power District Revenue	4.839%	1/1/41		150			187
	San Antonio TX Electric & Gas Systems Revenue	5.985%	2/1/39		125			172
	San Antonio TX Electric & Gas Systems Revenue	5.808%	2/1/41		125			172
	San Diego County CA Water Authority Revenue	6.138%	5/1/49		100			142
	San Francisco CA City & County Public Utilities Commission Water Revenue	6.950%	11/1/50		100			152
	San Jose California Redevelopment Agency Successor Agency Tax Allocation	3.375%	8/1/34		100			103
	Santa Clara Valley CA Transportation Authority Sales Tax Revenue	5.876%	4/1/32		200			245
	South Carolina Public Service Authority Revenue	2.388%	12/1/23		50			50
	South Carolina Public Service Authority Revenue	6.454%	1/1/50		100			147

	Texas A&M University System Revenue Financing System Revenue	3.100%	7/1/49	75	73
	Texas GO	5.517%	4/1/39	50	67
	Texas GO	3.211%	4/1/44	225	227
	Texas Private Activity Surface Transportation Corp. Revenue	3.922%	12/31/49	125	126
	Texas Transportation Commission Revenue	5.178%	4/1/30	175	211
	Texas Transportation Commission Revenue	4.681%	4/1/40	50	61
	University of California Regents Medical Center Revenue	6.548%	5/15/48	250	361
	University of California Regents Medical Center Revenue	6.583%	5/15/49	50	72
	University of California Revenue	5.946%	5/15/45	175	235
	University of California Revenue	4.858%	5/15/12	175	216
	University of California Revenue	4.767%	5/15/15	100	121
	University of Nebraska Student Fee Revenue	3.037%	10/1/49	25	24
	University of Pittsburgh-of the Commonwealth System of Higher Education	3.555%	9/15/19	250	242
	University of Southern California	5.250%	10/1/11	100	141
	University of Texas Permanent University Fund Revenue	3.376%	7/1/47	50	53
	University of Texas Revenue	3.354%	8/15/47	50	52
	University of Texas System Revenue Financing System Revenue	4.794%	8/15/46	75	93
	University of Virginia Revenue	4.179%	9/1/17	50	59
	Utah GO	4.554%	7/1/24	50	53
	Utah GO	3.539%	7/1/25	50	52
	Washington GO	5.140%	8/1/40	150	191
	Wisconsin Annual Appropriation Revenue	3.954%	5/1/36	250	267
	Wisconsin General Fund Annual Appropriation Revenue	3.154%	5/1/27	100	104
11	Wisconsin GO	5.700%	5/1/26	70	79
Total Taxable Municipal Bonds (Cost $24,262)					28,768

			Shares
Temporary Cash Investment (2.1%)
Money Market Fund (2.1%)
12	Vanguard Market Liquidity Fund (Cost $92,087)	1.816%	920,860	92,095
Total Investments (101.2%) (Cost $4,189,529)				4,351,047
				Amount
				($000	)
Other Assets and Liabilities (-1.2%)
Other Assets
Investment in Vanguard				192
Receivables for Investment Securities Sold				31,750
Receivables for Accrued Income				26,098
Receivables for Capital Shares Issued				15,803
Other Assets				1,364
Total Other Assets				75,207
Liabilities
Payables for Investment Securities Purchased				(120,857	)
Payables for Capital Shares Redeemed				(3,977	)
Payables to Vanguard				(1,417	)
Total Liabilities				(126,251	)
Net Assets (100%)
Applicable to 352,196,029 outstanding $.001 par value shares of beneficial interest (unlimited authorization)				4,300,003
Net Asset Value Per Share				$12.21

409

Total Bond Market Index Portfolio

At December 31, 2019, net assets consisted of:

	Amount
		($000	)
Paid-in Capital		4,040,937
Total Distributable Earnings (Loss)		259,066
Net Assets		4,300,003

• See Note A in Notes to Financial Statements.

1 U.S. government-guaranteed.

2 The issuer was placed under federal conservatorship in September 2008; since that time, its daily operations have been managed by the Federal Housing Finance Agency and it receives capital from the U.S. Treasury, as needed to maintain a positive net worth, in exchange for senior preferred stock.

3 The average or expected maturity is shorter than the final maturity shown because of the possibility of interim principal payments and prepayments or the possibility of the issue being called.

4 Includes securities purchased on a when-issued or delayed-delivery basis for which the portfolio has not taken delivery as of December 31, 2019.

5 Adjustable-rate security; rate shown is effective rate at period end. Certain adjustable-rate securities are not based on a published reference rate and spread but are determined by the issuer or agent based on current market conditions.

6 Security exempt from registration under Rule 144A of the Securities Act of 1933. Such securities may be sold in transactions exempt from registration, normally to qualified institutional buyers. At December 31, 2019, the aggregate value of these securities was $37,158,000, representing 0.9% of net assets.

7 Guaranteed by the Government of Japan.

8 Guaranteed by the Federal Republic of Germany.

9 Guaranteed by the Republic of Austria.

10 Scheduled principal and interest payments are guaranteed by National Public Finance Guarantee Corp.

11 Scheduled principal and interest payments are guaranteed by AGM (Assured Guaranty Municipal Corporation).

12 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

CMT—Constant Maturing Treasury Rate.

GO—General Obligation Bond.

LIBOR—London Interbank Offered Rate.

REIT—Real Estate Investment Trust.

TBA—To Be Announced.

UMBS—Uniform Mortgage-Backed Securities.

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

410

Total Bond Market Index Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000	)
Investment Income
Income
Interest1	113,167
Total Income	113,167
Expenses
The Vanguard Group—Note B
Investment Advisory Services	135
Management and Administrative	4,757
Marketing and Distribution	465
Custodian Fees	51
Auditing Fees	82
Shareholders’ Reports	40
Trustees’ Fees and Expenses	2
Total Expenses	5,532
Net Investment Income	107,635
Realized Net Gain (Loss)
Investment Securities Sold1	8,036
Futures Contracts	(8	)
Realized Net Gain (Loss)	8,028
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	204,615
Futures Contracts	—
Change in Unrealized Appreciation (Depreciation)	204,615
Net Increase (Decrease) in Net Assets Resulting from Operations	320,278

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the portfolio were $1,887,000, $4,000, and $4,000, respectively. Purchases and sales are for temporary cash investment purposes.

Statement of Changes in Net Assets

	Year Ended December 31,
	2019			2018
	($000		)	($000		)
Increase (Decrease) in Net Assets
Operations
Net Investment Income		107,635			94,491
Realized Net Gain (Loss)		8,028			(11,812	)
Change in Unrealized Appreciation (Depreciation)		204,615			(87,509	)
Net Increase (Decrease) in Net Assets Resulting from Operations		320,278			(4,830	)
Distributions
Net Investment Income		(97,897	)		(79,188	)
Realized Capital Gain1		—			(6,703	)
Total Distributions		(97,897	)		(85,891	)
Capital Share Transactions
Issued		1,031,614			657,403
Issued in Lieu of Cash Distributions		97,897			85,891
Redeemed		(586,442	)		(616,385	)
Net Increase (Decrease) from Capital Share Transactions		543,069			126,909
Total Increase (Decrease)		765,450			36,188
Net Assets
Beginning of Period		3,534,553			3,498,365
End of Period		4,300,003			3,534,553

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $0 and $0, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

411

Total Bond Market Index Portfolio

Financial Highlights

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$11.54	$11.86	$11.77	$11.79	$12.07
Investment Operations
Net Investment Income	.3241	.3131	.2921	.283	.276
Net Realized and Unrealized Gain (Loss) on Investments	.657	(.343)	.119	.007	(.233)
Total from Investment Operations	.981	(.030)	.411	.290	.043
Distributions
Dividends from Net Investment Income	(.311)	(.267)	(.283)	(.277)	(.272)
Distributions from Realized Capital Gains	—	(.023)	(.038)	(.033)	(.051)
Total Distributions	(.311)	(.290)	(.321)	(.310)	(.323)
Net Asset Value, End of Period	$12.21	$11.54	$11.86	$11.77	$11.79
Total Return	8.67%	-0.21%	3.57%	2.47%	0.33%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$4,300	$3,535	$3,498	$2,985	$2,799
Ratio of Total Expenses to Average Net Assets	0.14%	0.14%	0.15%	0.15%	0.15%
Ratio of Net Investment Income to Average Net Assets	2.72%	2.74%	2.48%	2.41%	2.43%
Portfolio Turnover Rate2	80%	89%	91%	104%	149%

1 Calculated based on average shares outstanding.

2 Includes 19%, 26%, 24%, 33%, and 61% attributable to mortgage-dollar-roll activity.

Notes to Financial Statements

The Total Bond Market Index Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts. Certain of the portfolio’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries.

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

1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds and temporary cash investments are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Structured debt securities, including mortgages and asset-backed securities, are valued using the latest bid prices or using valuations based on a matrix system that considers such factors as issuer, tranche, nominal or option-adjusted spreads, weighted average coupon, weighted average maturity, credit enhancements, and collateral. 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 portfolio’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.

412

Total Bond Market Index Portfolio

2. Futures Contracts: The portfolio 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 portfolio 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 portfolio 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 portfolio’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).

During the year ended December 31, 2019, the portfolio’s average investments in long and short futures contracts represented 0% and less than 1% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The portfolio had no open futures contracts at December 31, 2019.

3. To Be Announced (TBA) Transactions: A TBA transaction is an agreement to buy or sell mortgage-backed securities with agreed-upon characteristics (face amount, coupon, maturity) for settlement at a future date. The portfolio may be a seller of TBA transactions to reduce its exposure to the mortgage-backed securities market or in order to sell mortgage-backed securities it owns under delayed-delivery arrangements. When the portfolio is a buyer of TBA transactions, it maintains cash or short-term investments in an amount sufficient to meet the purchase price at the settlement date of the TBA transaction. The primary risk associated with TBA transactions is that a counterparty may default on its obligations. The portfolio mitigates its counterparty risk by, among other things, performing a credit analysis of counterparties, allocating transactions among numerous counterparties, and monitoring its exposure to each counterparty. The portfolio may also enter into a Master Securities Forward Transaction Agreement (MSFTA) with certain counterparties and require them to transfer collateral as security for their performance. In the absence of a default, the collateral pledged or received by the portfolio cannot be repledged, resold, or rehypothecated. Under an MSFTA, upon a counterparty default (including bankruptcy), the portfolio may terminate any TBA transactions with that counterparty, determine the net amount owed by either party in accordance with its master netting arrangements, and sell or retain any collateral held up to the net amount owed to the portfolio under the master netting arrangements.

4. Mortgage Dollar Rolls: The portfolio enters into mortgage-dollar-roll transactions, in which the portfolio sells mortgage-backed securities to a dealer and simultaneously agrees to purchase similar securities in the future at a predetermined price. The proceeds of the securities sold in mortgage-dollar-roll transactions are typically invested in high-quality short-term fixed income securities. The portfolio forgoes principal and interest paid on the securities sold, and is compensated by interest earned on the proceeds of the sale and by a lower price on the securities to be repurchased. The portfolio has also entered into mortgage-dollar-roll transactions in which the portfolio buys mortgage-backed securities from a dealer pursuant to a TBA transaction and simultaneously agrees to sell similar securities in the future at a predetermined price. The securities bought in mortgage-dollar-roll transactions are used to cover an open TBA sell position. The portfolio continues to earn interest on mortgage-backed security pools already held and receives a lower price on the securities to be sold in the future. The portfolio accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the portfolio’s portfolio turnover rate. Amounts to be received or paid in connection with open mortgage dollar rolls are included in Receivables for Investment Securities Sold or Payables for Investment Securities Purchased in the Statement of Net Assets.

5. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

413

Total Bond Market Index Portfolio

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

7. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

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

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $192,000, representing less than 0.01% of the portfolio’s net assets and 0.08% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.  Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

The following table summarizes the market value of the portfolio’s investments as of December 31, 2019, based on the inputs used to value them:

	Level 1			Level 2			Level 3
Investments		($000	)		($000	)		($000	)
U.S. Government and Agency Obligations		—			2,804,700			—
Asset-Backed/Commercial Mortgage-Backed Securities		—			110,185			—
Corporate Bonds		—			1,139,256			—
Sovereign Bonds		—			176,043			—
Taxable Municipal Bonds		—			28,768			—
Temporary Cash Investments		92,095			—			—
Total		92,095			4,258,952			—

414

Total Bond Market Index Portfolio

D.  Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and straddles. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
		($000	)
Undistributed Ordinary Income		102,457
Undistributed Long-Term Gains		—
Capital Loss Carryforwards (Non-expiring)*		(3,796	)
Net Unrealized Gains (Losses)		161,512

* The fund used capital loss carryforwards of $7,998,000 to offset taxable capital gains realized during the year ended December 31, 2019.

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount
		($000	)
Tax Cost		4,189,535
Gross Unrealized Appreciation		169,713
Gross Unrealized Depreciation		(8,201	)
Net Unrealized Appreciation (Depreciation)		161,512

E.  During the year ended December 31, 2019, the portfolio purchased $362,538,000 of investment securities and sold $240,631,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $3,311,534,000 and $2,895,396,000, respectively.

F.  Capital shares issued and redeemed were:

	Year Ended December 31,
	2019			2018
	Shares			Shares
		(000	)		(000	)
Issued		86,771			57,508
Issued in Lieu of Cash Distributions		8,535			7,574
Redeemed		(49,300	)		(53,952	)
Net Increase (Decrease) in Shares Outstanding		46,006			11,130

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 37% of the portfolio’s net assets. If this shareholder were to redeem its investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

G.       Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

415

Total Bond Market Index Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Total Bond Market Index Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Total Bond Market Index Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian, transfer agent and brokers; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

416

Total Bond Market Index Portfolio

BLOOMBERG is a trademark and service mark of Bloomberg Finance L.P. BARCLAYS is a trademark and service mark of Barclays Bank Plc, used under license. Bloomberg Finance L.P. and its affiliates, including Bloomberg Index Services Limited (BISL) (collectively, Bloomberg), or Bloomberg’s licensors, own all proprietary rights in the Bloomberg Barclays U.S. Aggregate Float Adjusted Index (the Index or Bloomberg Barclays Index).

Neither Barclays Bank Plc, Barclays Capital Inc., or any affiliate (collectively Barclays) or Bloomberg is the issuer or producer of the Total Bond Market Index Portfolio and neither Bloomberg nor Barclays has any responsibilities, obligations or duties to investors in the Total Bond Market Index Portfolio. The Index is licensed for use by The Vanguard Group, Inc. (Vanguard) as the sponsor of the Total Bond Market Index Portfolio. Bloomberg and Barclays’ only relationship with Vanguard in respect of the Index is the licensing of the Index, which is determined, composed and calculated by BISL, or any successor thereto, without regard to the Issuer or the Total Bond Market Index Portfolio or the owners of the Total Bond Market Index Portfolio.

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Total International Stock Market Index Portfolio

Your Portfolio’s Performance at a Glance

•   The Total International Stock Market Index Portfolio of Vanguard Variable Insurance Fund returned 21.55% for the 12 months ended December 31, 2019, closely tracking the performance of its benchmark, the FTSE Global All Cap ex US Index, which returned 21.80%. Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

•   Global stock prices rose amid optimism that U.S.-China trade tensions were easing and that a trade deal might be signed in early 2020. Inversions of the U.S. Treasury yield curve, historically a signal of recession, raised concerns midway through the year. But the curve returned to its normal pattern in the second half as the Federal Reserve cut short-term interest rates three times. Other major central banks pursued more accommodative monetary policies as well.

•   As a fund of funds, the Total International Stock Market Index Portfolio seeks to capture the returns of its target benchmark by investing in underlying funds that offer broad coverage of emerging markets and developed markets outside the U.S. The portfolio provides diversified exposure to multiple regions, markets, and industry sectors and includes stocks from across the market-capitalization spectrum.

•   All of the portfolio’s underlying funds posted double-digit gains for the year, including Vanguard Developed Markets Index Fund and Vanguard FTSE All-World ex-US Index Fund, which together make up more than half of its holdings.

Market Barometer
		Average Annual Total Returns
		Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

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Total International Stock Market Index Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A typical portfolio’s expenses are expressed as a percentage of its average net assets. The Total International Stock Market Index Portfolio has no direct expenses, but bears its proportionate share of the expenses of the underlying funds in which it invests. These indirect expenses make up the acquired fund fees and expenses, also expressed as a percentage of average net assets. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your portfolio 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 costs were calculated using the acquired fund fees and expenses for the Total International Stock Market Index Portfolio.

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

•   Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•   Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only. The portfolio’s expense figure does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Total International Stock Market Index Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,073.83	$0.57
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.65	0.56

The calculations are based on the Total International Stock Market Index Portfolio’s acquired fund fees and expenses for the most recent six-month period. The Total International Stock Market Index Portfolio’s annualized expense figure for that period is 0.11%. The dollar amounts shown as “Expenses Paid” are equal to the annualized average weighted expense ratio for the underlying funds, multiplied by the average account value over the period, multiplied by the number of days in period, then divided by the number of days in the recent 12-month period (184/365).

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Total International Stock Market Index Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: September 7, 2017–December 31, 2019

Initial Investment of $10,000

 

		Average Annual Total Returns
		Periods Ended December 31, 2019
				Since		Final Value
		One		Inception		of a $10,000
		Year		(9/7/2017	)	Investment
	Total International Stock Market Index Portfolio	21.55	%	4.10	%	$10,975
	FTSE Global All Cap ex US Index	21.80		4.45		11,059

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

See Financial Highlights for dividend and capital gains information.

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Total International Stock Market Index Portfolio

Allocation to Underlying Funds

As of December 31, 2019

Vanguard Developed Markets Index Fund Admiral Shares	27.7	%
Vanguard FTSE All-World ex-US Index Fund Admiral Shares	27.6
Vanguard Emerging Markets Stock Index Fund Admiral Shares	14.2
Vanguard European Stock Index Fund Admiral Shares	13.0
Vanguard Pacific Stock Index Fund Admiral Shares	9.4
Vanguard FTSE All-World ex-US Small-Cap Index Fund Admiral Shares	6.9
Vanguard FTSE Canada All Cap Index ETF	1.2

421

Total International Stock Market Index Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

		Market
		Value•
	Shares	($000	)
Investment Companies (99.9%)
International Stock Funds (99.9%)
Vanguard Developed Markets Index Fund Admiral Shares	7,857,832	111,110
Vanguard FTSE All-World ex-US Index Fund Admiral Shares	3,325,056	111,024
Vanguard Emerging Markets Stock Index Fund Admiral Shares	1,545,847	57,119
Vanguard European Stock Index Fund Admiral Shares	714,619	52,231
Vanguard Pacific Stock Index Fund Admiral Shares	437,150	37,595
Vanguard FTSE All-World ex-US Small-Cap Index Fund Admiral Shares	1,010,534	27,739
Vanguard FTSE Canada All Cap Index ETF	186,542	4,942
Total Investment Companies (Cost $394,395)		401,760
Temporary Cash Investment (0.1%)
Money Market Fund (0.1%)
1  Vanguard Market Liquidity Fund, 1.816%(Cost $179)	1,793	179
Total Investments (100.0%) (Cost $394,574)		401,939
Other Assets and Liabilities (0.0%)
Other Assets		345
Liabilities		(294	)
		51
Net Assets (100%)
Applicable to 18,803,894 outstanding $.001 par value shares of beneficial interest (unlimited authorization)		401,990
Net Asset Value Per Share		$21.38

	Amount
	($000	)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value—Affiliated Funds	401,939
Receivables for Capital Shares Issued	314
Receivables for Accrued Income	31
Total Assets	402,284
Liabilities
Payables for Investment Securities Purchased	182
Payables for Capital Shares Redeemed	112
Total Liabilities	294
Net Assets	401,990

At December 31, 2019, net assets consisted of:
	Amount
	($000	)
Paid-in Capital	381,368
Total Distributable Earnings (Loss)	20,622
Net Assets	401,990

• 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.

422

Total International Stock Market Index Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
		($000	)
Investment Income
Income
Income Distributions Received from Affiliated Funds		10,258
Interest		3
Other Income		38
Net Investment Income—Note B		10,299
Realized Net Gain (Loss)
Affiliated Funds Sold		2,764
Futures Contracts		455
Foreign Currencies		12
Realized Net Gain (Loss)		3,231
Change in Unrealized Appreciation (Depreciation)
Affiliated Funds		40,185
Futures Contracts		69
Change in Unrealized Appreciation (Depreciation)		40,254
Net Increase (Decrease) in Net Assets Resulting from Operations		53,784

Statement of Changes in Net Assets

	Year Ended December 31,
	2019		2018
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	10,299		4,759
Realized Net Gain (Loss)	3,231		(5	)
Change in Unrealized Appreciation (Depreciation)	40,254		(34,587	)
Net Increase (Decrease) in Net Assets Resulting from Operations	53,784		(29,833	)
Distributions
Net Investment Income	(4,990	)	(635	)
Realized Capital Gain1	(29	)	(64	)
Total Distributions	(5,019	)	(699	)
Capital Share Transactions
Issued	207,150		180,119
Issued in Lieu of Cash Distributions	5,019		699
Redeemed	(59,021	)	(21,027	)
Net Increase (Decrease) from Capital Share Transactions	153,148		159,791
Total Increase (Decrease)	201,913		129,259
Net Assets
Beginning of Period	200,077		70,818
End of Period	401,990		200,077

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $29,000 and $64,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

423

Total International Stock Market Index Portfolio

Financial Highlights

					Sept. 7,
	Year Ended				20171to
	December 31,				Dec. 31,
For a Share Outstanding Throughout Each Period	2019		2018		2017
Net Asset Value, Beginning of Period	$17.94		$21.15		$20.00
Investment Operations
Net Investment Income2	.691		.646		.341
Capital Gain Distributions Received2	—		—		—
Net Realized and Unrealized Gain (Loss) on Investments	3.134		(3.716	)	.809
Total from Investment Operations	3.825		(3.070	)	1.150
Distributions
Dividends from Net Investment Income	(.383	)	(.127	)	—
Distributions from Realized Capital Gains	(.002	)	(.013	)	—
Total Distributions	(.385	)	(.140	)	—
Net Asset Value, End of Period	$21.38		$17.94		$21.15
Total Return	21.55	%	-14.62	%	5.75	%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$402		$200		$71
Ratio of Total Expenses to Average Net Assets	—		—		—
Acquired Fund Fees and Expenses	0.11	%	0.11	%	0.11	%3
Ratio of Net Investment Income to Average Net Assets	3.50	%	3.23	%	5.20	%3
Portfolio Turnover Rate	15	%	6	%	5	%

1 Inception.

2 Calculated based on average shares outstanding.

3 Annualized.

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

424

Total International Stock Market Index Portfolio

Notes to Financial Statements

The Total International Stock Market Index Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio seeks to match the return of its target index by investing in selected Vanguard funds and portfolios. Financial statements and other information about each underlying fund and portfolio are available on vanguard.com. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts.

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

1. Security Valuation: Investments are valued at the net asset value of each underlying Vanguard fund determined as of the close of the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. 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.

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

3. Futures Contracts: The portfolio uses stock and bond futures contracts to a limited extent, with the objectives of maintaining full exposure to the market and maintaining its target asset allocation. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of investments held by the portfolio 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 portfolio 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 portfolio’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

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 futures gains (losses).

During the year ended December 31, 2019, the portfolio’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of the notional amounts at each quarter-end during the period. The portfolio had no open futures contracts at December 31, 2019.

4. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2017–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

6. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of

425

Total International Stock Market Index Portfolio

the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and borne by the funds in which the portfolio invests (see Note B). Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

7. Other: Income and capital gain distributions received are recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold. 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.

B.  In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the portfolio and all other expenses incurred by the portfolio during the period ended December 31, 2019, were borne by the underlying Vanguard funds in which the portfolio invests. The portfolio’s trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard.

C.  Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

At December 31, 2019, 100% of the market value of the portfolio’s investments was determined based on Level 1 inputs.

D.  Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

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

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and unrealized gains on passive foreign investment companies. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000)
Undistributed Ordinary Income	13,291
Undistributed Long-Term Gains	143
Capital Loss Carryforwards (Non-expiring)	—
Net Unrealized Gains (Losses)	7,188

426

Total International Stock Market Index Portfolio

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000)
Tax Cost	394,751
Gross Unrealized Appreciation	11,094
Gross Unrealized Depreciation	(3,906)
Net Unrealized Appreciation (Depreciation)	7,188

E.  Capital shares issued and redeemed were:

	Year Ended December 31,
	2019	2018
	Shares	Shares
	(000)	(000)
Issued	10,380	8,863
Issued in Lieu of Cash Distributions	260	33
Redeemed	(2,988)	(1,092)
Net Increase (Decrease) in Shares Outstanding	7,652	7,804

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 52% of the portfolio’s net assets.

F.  Transactions during the period in affiliated underlying Vanguard funds were as follows:

		Current Period Transactions
	Dec. 31,		Proceeds	Realized				Dec. 31,
	2018		from	Net	Change in		Capital Gain	2019
	Market	Purchases	Securities	Gain	Unrealized		Distributions	Market
	Value	at Cost	Sold	(Loss)	App. (Dep.)	Income	Received	Value
	($000)	($000)	($000)	($000)	($000)	($000)	($000)	($000)
Vanguard Market Liquidity Fund	3,401	NA1	NA1	—	—	56	—	179
Vanguard Developed Markets Index Fund	54,990	54,341	10,495	670	11,604	2,767	—	111,110
Vanguard Emerging Markets Stock Index Fund	28,452	32,230	9,420	647	5,210	1,528	—	57,119
Vanguard European Stock Index Fund	26,881	24,697	5,790	297	6,146	1,405	—	52,231
Vanguard FTSE Canada All Cap Index ETF	—	4,764	—	—	178	56	—	4,942
Vanguard FTSE All-World ex-US Index Fund	54,711	54,419	10,084	698	11,280	2,821	—	111,024
Vanguard FTSE All-World ex-US Small-Cap Index Fund Investor Shares2	12,993	9,224	2,476	174	2,728	176	—	—
Vanguard FTSE All-World ex-US Small-Cap Index Fund Admiral Shares2	—	5,635	589	30	20	574	—	27,739
Vanguard Pacific Stock Index Fund	18,385	19,825	3,882	248	3,019	875	—	37,595
Total	199,813	205,135	42,736	2,764	40,185	10,258	—	401,939

1 Not applicable—purchases and sales are for temporary cash investment purposes.

2 On September 9, 2019, the portfolio’s underlying investment in Vanguard FTSE All-World ex-US Small-Cap Index Fund Investor Shares converted to Vanguard FTSE All-World ex-US Small-Cap Index Fund Admiral Shares.

G.  Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

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Total International Stock Market Index Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Total International Stock Market Index Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets and statement of assets and liabilities of Total International Stock Market Index Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the periods indicated therein (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the periods indicated therein in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian and transfer agent. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Total International Stock Market Index Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio designates to shareholders foreign source income of $10,632,000 and foreign taxes paid of $799,000. Shareholders will receive more detailed information with their Form 1099-DIV in January 2020 to determine the calendar-year amounts to be included on their 2019 tax returns.

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London Stock Exchange Group companies include FTSE International Limited (“FTSE”), Frank Russell Company (“Russell”), MTS Next Limited (“MTS”), and FTSE TMX Global Debt Capital Markets Inc. (“FTSE TMX”). All rights reserved. “FTSE^®”, “Russell^®”, “MTS^®”, “FTSE TMX^®” and “FTSE Russell” and other service marks and trademarks related to the FTSE or Russell indexes are trademarks of the London Stock Exchange Group companies and are used by FTSE, MTS, FTSE TMX and Russell under license. All information is provided for information purposes only. Every effort is made to ensure that all information given in this publication is accurate, but no responsibility or liability can be accepted by the London Stock Exchange Group companies nor its licensors for any errors or for any loss from use of this publication. Neither the London Stock Exchange Group companies nor any of their licensors make any claim, prediction, warranty or representation whatsoever, expressly or impliedly, either as to the results to be obtained from the use of the Indices or the fitness or suitability of the Indices for any particular purpose to which they might be put. The London Stock Exchange Group companies do not provide investment advice and nothing in this document should be taken as constituting financial or investment advice. The London Stock Exchange Group companies make no representation regarding the advisability of investing in any asset. A decision to invest in any such asset should not be made in reliance on any information herein. Indexes cannot be invested in directly. Inclusion of an asset in an index is not a recommendation to buy, sell or hold that asset. The general information contained in this publication should not be acted upon without obtaining specific legal, tax, and investment advice from a licensed professional. No part of this information may be reproduced, stored in a retrieval system or transmitted in any form or by any means, electronic, mechanical, photocopying, recording or otherwise, without prior written permission of the London Stock Exchange Group companies. Distribution of the London Stock Exchange Group companies’ index values and the use of their indexes to create financial products require a license with FTSE, FTSE TMX, MTS and/or Russell and/or its licensors.

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Your Portfolio’s Performance at a Glance

•   For the 12 months ended December 31, 2019, the Total Stock Market Index Portfolio of Vanguard Variable Insurance Fund returned 30.75%, in line with the 30.90% return of its benchmark index after factoring in the portfolio’s expenses.

•   The portfolio, which invests in the VVIF Equity Index Portfolio and Vanguard Extended Market Index Fund, provides exposure to every segment, size, and style of the U.S. equity market.

•   Stocks benefited from accommodative monetary policies from the Federal Reserve and other major central banks and better-than-expected corporate earnings during the 12 months. Large-capitalization stocks outpaced mid- and small-caps, and growth stocks beat their value counterparts.

•   The portfolio recorded an average annual return of 13.27% over the past ten years, in line with its benchmark average of 13.40%.

•   Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer
	Average Annual Total Returns
	Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

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About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A typical portfolio’s expenses are expressed as a percentage of its average net assets. The Total Stock Market Index Portfolio has no direct expenses, but bears its proportionate share of the expenses of the underlying funds in which it invests. These indirect expenses make up the acquired fund fees and expenses, also expressed as a percentage of average net assets. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your portfolio 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 costs were calculated using the acquired fund fees and expenses for the Total Stock Market Index Portfolio.

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

•    Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•    Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only. The portfolio’s expense figure does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Total Stock Market Index Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,102.21	$0.69
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.55	0.66

The calculations are based on the Total Stock Market Index Portfolio’s acquired fund fees and expenses for the most recent six-month period. The Total Stock Market Index Portfolio’s annualized expense figure for that period is 0.13%. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (184/365).

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Total Stock Market Index Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019

Initial Investment of $10,000

 

		Average Annual Total Returns			Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	Total Stock Market Index Portfolio	30.75%	11.08%	13.27	$34,774
	S&P Total Market Index	30.90	11.20	13.40	35,154

See Financial Highlights for dividend and capital gains information.

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Total Stock Market Index Portfolio

Allocation to Underlying Funds

As of December 31, 2019

Vanguard Variable Insurance Fund Equity Index Portfolio	83.7	%
Vanguard Extended Market Index Fund Admiral Shares	16.3

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Total Stock Market Index Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

		Market
		Value•
	Shares	($000	)
Investment Companies (100.0%)
U.S. Stock Funds (100.0%)
Vanguard Variable Insurance Fund—Equity Index Portfolio	48,374,161	2,307,447
Vanguard Extended Market Index Fund Admiral Shares	4,699,442	449,314
Total Investment Companies (Cost $1,965,183)		2,756,761
Temporary Cash Investment (0.0%)
Money Market Fund (0.0%)
1Vanguard Market Liquidity Fund, 1.816% (Cost $13)	124	13
Total Investments (100.0%) (Cost $1,965,196)		2,756,774
Other Assets and Liabilities (0.0%)
Other Assets		1,139
Liabilities		(1,218	)
		(79	)
Net Assets (100%)
Applicable to 64,395,806 outstanding $.001 par value shares of beneficial interest (unlimited authorization)		2,756,695
Net Asset Value Per Share		$42.81
		Amount
		($000	)
Statement of Assets and Liabilities
Assets
Investments in Securities, at Value—Affiliated Funds		2,756,774
Receivables for Investment Securities Sold		581
Receivables for Capital Shares Issued		557
Receivables for Accrued Income		1
Total Assets		2,757,913
Liabilities
Payables for Investment Securities Purchased		1
Payables for Capital Shares Redeemed		1,217
Total Liabilities		1,218
Net Assets		2,756,695
At December 31, 2019, net assets consisted of:
		Amount
		($000	)
Paid-in Capital		1,835,055
Total Distributable Earnings (Loss)		921,640
Net Assets		2,756,695

• 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.

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Total Stock Market Index Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000	)
Investment Income
Income
Income Distributions Received from Affiliated Funds	43,273
Net Investment Income—Note B	43,273
Realized Net Gain (Loss)
Capital Gain Distributions Received from Affiliated Funds	49,187
Affiliated Funds Sold	39,952
Realized Net Gain (Loss)	89,139
Change in Unrealized Appreciation (Depreciation) from Affiliated Funds	502,495
Net Increase (Decrease) in Net Assets Resulting from Operations	634,907

Statement of Changes in Net Assets

	Year Ended December 31,
	2019		2018
	($000	)	($000	)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	43,273		34,940
Realized Net Gain (Loss)	89,139		66,456
Change in Unrealized Appreciation (Depreciation)	502,495		(219,589	)
Net Increase (Decrease) in Net Assets Resulting from Operations	634,907		(118,193	)
Distributions
Net Investment Income	(37,038	)	(32,762	)
Realized Capital Gain1	(66,316	)	(83,757	)
Total Distributions	(103,354	)	(116,519	)
Capital Share Transactions
Issued	322,975		278,054
Issued in Lieu of Cash Distributions	103,354		116,519
Redeemed	(248,175	)	(217,186	)
Net Increase (Decrease) from Capital Share Transactions	178,154		177,387
Total Increase (Decrease)	709,707		(57,325	)
Net Assets
Beginning of Period	2,046,988		2,104,313
End of Period	2,756,695		2,046,988

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $0 and $1,049,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

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Total Stock Market Index Portfolio

Financial Highlights

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$34.26	$38.26	$34.10	$32.06	$33.46
Investment Operations
Net Investment Income	.6941	.6031	.6041	.710	.480
Capital Gain Distributions Received	.7891	.4941	.8901	.478	.672
Net Realized and Unrealized Gain (Loss) on Investments	8.792	(2.964)	5.270	2.598	(1.019)
Total from Investment Operations	10.275	(1.867)	6.764	3.786	.133
Distributions
Dividends from Net Investment Income	(.618)	(.600)	(.699)	(.484)	(.433)
Distributions from Realized Capital Gains	(1.107)	(1.533)	(1.905)	(1.262)	(1.100)
Total Distributions	(1.725)	(2.133)	(2.604)	(1.746)	(1.533)
Net Asset Value, End of Period	$42.81	$34.26	$38.26	$34.10	$32.06
Total Return	30.75%	-5.34%	20.97%	12.56%	0.37%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$2,757	$2,047	$2,104	$1,735	$1,699
Ratio of Total Expenses to Average Net Assets	—	—	—	—	—
Acquired Fund Fees and Expenses	0.13%	0.13%	0.15%	0.16%	0.16%
Ratio of Net Investment Income to Average Net Assets	1.79%	1.59%	1.71%	2.10%	1.53%
Portfolio Turnover Rate	4%	5%	6%	9%	5%

1 Calculated based on average shares outstanding.

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

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Total Stock Market Index Portfolio

Notes to Financial Statements

The Total Stock Market Index Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio seeks to match the return of its target index by investing in selected Vanguard funds and portfolios. The Portfolio invests a substantial amount of its assets in VVIF Equity Index Portfolio. The accompanying financial statements of VVIF Equity Index Portfolio should be read in conjunction with the financial statements of the portfolio. Financial statements and other information about each underlying fund and portfolio are available on vanguard.com. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts.

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

1. Security Valuation: Investments are valued at the net asset value of each underlying Vanguard fund determined as of the close of the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date.

2. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

4. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and borne by the funds in which the portfolio invests (see Note B). Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

5. Other: Income and capital gain distributions received are recorded on the ex-dividend date. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.

B.   In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. The FSA provides that expenses otherwise allocable to Vanguard funds-of-funds may be reduced or eliminated to the extent of savings realized by the underlying Vanguard funds by virtue of being part of a fund-of-funds. Accordingly, all expenses for services provided by Vanguard to the portfolio and all other expenses incurred by the portfolio during the period ended December 31, 2019, were borne by the underlying Vanguard funds in which the portfolio invests. The portfolio’s trustees and officers are also trustees and officers, respectively, of the underlying Vanguard funds, as well as directors and employees, respectively, of Vanguard.

C.   Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

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Total Stock Market Index Portfolio

At December 31, 2019, 100% of the market value of the portfolio’s investments was determined based on Level 1 inputs.

D.   Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	41,658
Undistributed Long-Term Gains	88,404
Capital Loss Carryforwards	—
Net Unrealized Gains (Losses)	791,578

As of December 31, 2019, gross unrealized appreciation and depreciation for investments based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	1,965,196
Gross Unrealized Appreciation	791,591
Gross Unrealized Depreciation	(13	)
Net Unrealized Appreciation (Depreciation)	791,578

E.   Capital shares issued and redeemed were:

	Year Ended December 31,
	2019		2018
	Shares		Shares
	(000	)	(000	)
Issued	8,273		7,370
Issued in Lieu of Cash Distributions	2,779		3,121
Redeemed	(6,412	)	(5,731	)
Net Increase (Decrease) in Shares Outstanding	4,640		4,760

At December 31, 2019, one shareholder, an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders, was the record or beneficial owner of 54% of the portfolio’s net assets.

F.   Transactions during the period in affiliated underlying Vanguard funds were as follows:

			Current Period Transactions
	Dec. 31,				Proceeds		Realized								Dec. 31,
	2018				from		Net		Change in				Capital Gain		2019
	Market		Purchases		Securities		Gain		Unrealized				Distributions		Market
	Value		at Cost		Sold		(Loss	)	App. (Dep.	)	Income		Received		Value
	($000	)	($000	)	($000	)	($000	)	($000	)	($000	)	($000	)	($000	)
Vanguard Extended Market Index Fund	344,094		41,997		27,718		9,190		81,751		5,699		—		449,314
Vanguard Market Liquidity Fund	2,752		NA1		NA1		(1	)	—		8		—		13
Vanguard Variable Insurance Fund—Equity Index Portfolio	1,703,774		232,324		80,158		30,763		420,744		37,566		49,187		2,307,447
Total	2,050,620		274,321		107,876		39,952		502,495		43,273		49,187		2,756,774

1   Not applicable—purchases and sales are for temporary cash investment purposes.

G.   Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

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Total Stock Market Index Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Total Stock Market Index Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets and statement of assets and liabilities of Total Stock Market Index Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the transfer agent. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Vanguard Total Stock Market Index Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $66,316,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For corporate shareholders, 90.8% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

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Total Stock Market Index Portfolio

The S&P Total Market Index is a product of S&P Dow Jones Indices LLC, a division of S&P Global, or its affiliates (“SPDJI”), and has been licensed for use by Vanguard. Standard & Poor’s^® and S&P^® are registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”) and Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The trademarks have been licensed to SPDJI and have been sublicensed for use for certain purposes by Vanguard. Vanguard Total Stock Market Index Portfolio is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of the Vanguard Total Stock Market Index Portfolio or any member of the public regarding the advisability of investing in securities generally or in Vanguard Total Stock Market Index Portfolio particularly or the ability of the S&P Total Market Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P Total Market Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The S&P Total Market Index is determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or the Vanguard Total Stock Market Index Portfolio. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard Total Stock Market Index Portfolio into consideration in determining, composing or calculating the S&P Total Market Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices, and amount of Vanguard Total Stock Market Index Portfolio or the timing of the issuance or sale of Vanguard Total Stock Market Index Portfolio or in the determination or calculation of the equation by which Vanguard Total Stock Market Index Portfolio is to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of Vanguard Total Stock Market Index Portfolio. There is no assurance that investment products based on the S&P Total Market Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.

S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P TOTAL MARKET INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF THE VANGUARD TOTAL STOCK MARKET INDEX PORTFOLIO, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P TOTAL MARKET INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.

440

Equity Index Portfolio

Your Portfolio’s Performance at a Glance

•   For the 12 months ended December 31, 2019, the Equity Index Portfolio of Vanguard Variable Insurance Fund returned 31.30%, in line with the 31.49% return of its benchmark index after factoring in the portfolio’s expenses.

•   Stocks benefited from accommodative monetary policies from the Federal Reserve and other major central banks and better-than-expected corporate earnings during the 12 months. Large-capitalization stocks outpaced mid- and small-caps, and growth stocks beat their value counterparts.

•   The portfolio benefited most from its holdings in information technology, financials, and communication services.

•   The portfolio recorded an average annual return of 13.40% for the past ten years, in line with its benchmark average of 13.56%.

•   Please note that the portfolio returns in Vanguard Variable Insurance Fund are different from those in Vanguard Variable Annuity (and other plans that invest in the fund), which take into account insurance-related expenses.

Market Barometer
		Average Annual Total Returns
		Periods Ended December 31, 2019
	One Year	Three Years	Five Years
Stocks
Russell 1000 Index (Large-caps)	31.43%	15.05%	11.48%
Russell 2000 Index (Small-caps)	25.53	8.59	8.23
Russell 3000 Index (Broad U.S. market)	31.02	14.57	11.24
FTSE All-World ex US Index (International)	21.81	9.96	5.83
Bonds
Bloomberg Barclays U.S. Aggregate Bond Index (Broad taxable market)	8.72%	4.03%	3.05%
Bloomberg Barclays Municipal Bond Index (Broad tax-exempt market)	7.54	4.72	3.53
FTSE Three-Month U.S. Treasury Bill Index	2.25	1.65	1.04
CPI
Consumer Price Index	2.29%	2.10%	1.82%

441

Equity Index Portfolio

About Your Portfolio’s Expenses

As a shareholder of the portfolio, 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 portfolio’s gross income, directly reduce the investment return of the portfolio.

A portfolio’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 portfolio 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 portfolio’s costs in two ways:

•   Based on actual portfolio 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 portfolio’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 portfolio. 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 portfolio under the heading “Expenses Paid During Period.”

•   Based on hypothetical 5% yearly return. This section is intended to help you compare your portfolio’s costs with those of other mutual funds. It assumes that the portfolio 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 portfolio’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 portfolio’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 compareongoingcosts only and do not reflect transaction costs incurred by the portfolio for buying and selling securities. The portfolio’s expense ratio does not reflect additional fees and expenses associated with the annuity or life insurance program through which you invest.

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 portfolio’s expenses in the Financial Statements section. For additional information on operating expenses and other shareholder costs, please refer to the prospectus.

Six Months Ended December 31, 2019
	Beginning	Ending	Expenses
	Account Value	Account Value	Paid During
Equity Index Portfolio	6/30/2019	12/31/2019	Period
Based on Actual Portfolio Return	$1,000.00	$1,108.53	$0.74
Based on Hypothetical 5% Yearly Return	1,000.00	1,024.50	$0.71

The calculations are based on expenses incurred in the most recent six-month period. The portfolio’s annualized six-month expense ratio for that period is 0.14%. 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 recent 12-month period (184/365).

442

Equity Index Portfolio

Performance Summary

All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the portfolio. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on portfolio distributions or on the sale of portfolio shares. Nor do the returns reflect fees and expenses associated with the annuity or life insurance program through which a shareholder invests. If these fees and expenses were included, the portfolio’s returns would be lower.

Cumulative Performance: December 31, 2009–December 31, 2019

Initial Investment of $10,000

		Average Annual Total Returns			Final Value
		Periods Ended December 31, 2019			of a $10,000
		One Year	Five Years	Ten Years	Investment
	Equity Index Portfolio	31.30%	11.55%	13.40%	$35,166
	S&P 500 Index	31.49	11.70	13.56	35,666
	Dow Jones U.S. Total Stock Market Float Adjusted Index	30.90	11.18	13.43	35,251

See Financial Highlights for dividend and capital gains information.

443

Equity Index Portfolio

Sector Diversification

As of December 31, 2019

Communication Services	10.4%
Consumer Discretionary	9.7
Consumer Staples	7.2
Energy	4.3
Financials	13.0
Health Care	14.2
Industrials	9.1
Information Technology	23.2
Materials	2.7
Real Estate	2.9
Utilities	3.3

The table reflects the portfolio’s equity exposure, based on its investments in stocks and stock index futures. Any holdings in short-term reserves are excluded. Sector categories are based on the Global Industry Classification Standard (“GICS”), except for the “Other” category (if applicable), which includes securities that have not been provided a GICS classification as of the effective reporting period.

The Global Industry Classification Standard (“GICS”) was developed by and is the exclusive property and a service mark of MSCI Inc. (“MSCI”) and Standard and Poor’s, a division of McGraw-Hill Companies, Inc. (“S&P”), and is licensed for use by Vanguard. Neither MSCI, S&P nor any third party involved in making or compiling the GICS or any GICS classification makes any express or implied warranties or representations with respect to such standard or classification (or the results to be obtained by the use thereof), and all such parties hereby expressly disclaim all warranties of originality, accuracy, completeness, merchantability or fitness for a particular purpose with respect to any such standard or classification. Without limiting any of the foregoing, in no event shall MSCI, S&P, any of its affiliates or any third party involved in making or compiling the GICS or any GICS classification have any liability for any direct, indirect, special, punitive, consequential or any other damages (including lost profits) even if notified of the possibility of such damages.

444

Equity Index Portfolio

Financial Statements

Statement of Net Assets

As of December 31, 2019

The portfolio 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 portfolio’s Form N-PORT reports are available on the SEC’s website at www.sec.gov.

			Market
			Value•
		Shares	($000)
Common Stocks (99.4%)1
Communication Services (10.3%)
*	Facebook Inc. Class A	577,310	118,493
*	Alphabet Inc. Class C	72,211	96,548
*	Alphabet Inc. Class A	71,372	95,595
	AT&T Inc.	1,752,449	68,486
	Walt Disney Co.	432,394	62,537
	Verizon Communications Inc.	992,155	60,918
	Comcast Corp. Class A	1,089,103	48,977
*	Netflix Inc.	105,138	34,020
*	Charter Communications Inc. Class A	37,611	18,244
	Activision Blizzard Inc.	184,305	10,952
*	Electronic Arts Inc.	70,042	7,530
*	Twitter Inc.	186,254	5,970
*	T-Mobile US Inc.	75,950	5,956
	ViacomCBS Inc. Class B	129,668	5,442
	Omnicom Group Inc.	52,251	4,233
*	Take-Two Interactive Software Inc.	27,192	3,329
	Fox Corp. Class A	85,582	3,173
	CenturyLink Inc.	235,800	3,115
*	Discovery Inc. Series C	80,628	2,458
*	Live Nation Entertainment Inc.	33,726	2,410
*	DISH Network Corp. Class A	61,432	2,179
	Interpublic Group of Cos. Inc.	93,330	2,156
	News Corp. Class A	110,023	1,556
	Fox Corp. Class B	38,277	1,393
*	Discovery Inc. Series A	37,907	1,241
	News Corp. Class B	12,487	181
			667,092
Consumer Discretionary (9.7%)
*	Amazon.com Inc.	99,911	184,620
	Home Depot Inc.	261,686	57,147
	McDonald’s Corp.	180,654	35,699
	NIKE Inc. Class B	298,992	30,291
	Starbucks Corp.	283,276	24,906
	Lowe’s Cos. Inc.	183,875	22,021
*	Booking Holdings Inc.	10,041	20,621
	TJX Cos. Inc.	290,877	17,761
	Target Corp.	121,556	15,585
	General Motors Co.	301,722	11,043
	Ross Stores Inc.	86,754	10,100
	Marriott International Inc. Class A	65,085	9,856
	Dollar General Corp.	61,067	9,525
	Ford Motor Co.	934,365	8,690
*	O’Reilly Automotive Inc.	18,148	7,954
	VF Corp.	78,624	7,836
	Hilton Worldwide Holdings Inc.	67,676	7,506
	Yum! Brands Inc.	72,543	7,307
*	AutoZone Inc.	5,715	6,808
	eBay Inc.	183,449	6,624
	Aptiv plc	61,265	5,818
	Las Vegas Sands Corp.	81,149	5,603
	Royal Caribbean Cruises Ltd.	41,235	5,505
*	Dollar Tree Inc.	56,825	5,344
*	Chipotle Mexican Grill Inc. Class A	6,135	5,136
	Carnival Corp.	96,154	4,887
	Best Buy Co. Inc.	54,650	4,798
	DR Horton Inc.	80,515	4,247
	MGM Resorts International	123,705	4,116
	Genuine Parts Co.	34,889	3,706
	Lennar Corp. Class A	66,408	3,705
	Expedia Group Inc.	33,565	3,630
*	Ulta Beauty Inc.	13,732	3,476
	Tiffany & Co.	25,932	3,466
*	CarMax Inc.	39,501	3,463
	Garmin Ltd.	34,574	3,373
	Wynn Resorts Ltd.	23,215	3,224
	Hasbro Inc.	30,470	3,218
	Darden Restaurants Inc.	29,457	3,211
*	NVR Inc.	834	3,176
*	Norwegian Cruise Line Holdings Ltd.	50,948	2,976
	Advance Auto Parts Inc.	16,657	2,668
	Tractor Supply Co.	28,472	2,660
*	LKQ Corp.	73,701	2,631
	PulteGroup Inc.	61,103	2,371
	Whirlpool Corp.	15,126	2,232
	BorgWarner Inc.	49,420	2,144
*	Mohawk Industries Inc.	14,225	1,940
	Kohl’s Corp.	37,467	1,909
	PVH Corp.	17,743	1,866
	Tapestry Inc.	66,031	1,781
	Newell Brands Inc.	91,185	1,753
	Leggett & Platt Inc.	31,487	1,600
	Ralph Lauren Corp. Class A	11,900	1,395
*	Capri Holdings Ltd.	36,285	1,384
	Harley-Davidson Inc.	36,867	1,371
	Hanesbrands Inc.	86,582	1,286
	Macy’s Inc.	73,934	1,257
	H&R Block Inc.	46,949	1,102
	Nordstrom Inc.	25,631	1,049
	L Brands Inc.	55,576	1,007
*,^	Under Armour Inc. Class A	46,263	999
	Gap Inc.	50,910	900
*	Under Armour Inc. Class C	45,229	867
	Lennar Corp. Class B	1,030	46
			626,196
Consumer Staples (7.2%)
	Procter & Gamble Co.	598,253	74,722
	Coca-Cola Co.	925,112	51,205
	PepsiCo Inc.	334,534	45,721
	Walmart Inc.	340,295	40,441
	Philip Morris International Inc.	373,246	31,759
	Costco Wholesale Corp.	105,974	31,148
	Altria Group Inc.	448,148	22,367
	Mondelez International Inc. Class A	345,368	19,023
	Colgate-Palmolive Co.	205,612	14,154
	Kimberly-Clark Corp.	82,232	11,311
	Estee Lauder Cos. Inc. Class A	53,392	11,028
	Walgreens Boots Alliance Inc.	179,879	10,606
	Sysco Corp.	122,366	10,467
	General Mills Inc.	144,955	7,764
	Constellation Brands Inc. Class A	40,188	7,626
	Tyson Foods Inc. Class A	70,805	6,446
	Archer-Daniels-Midland Co.	133,597	6,192
*	Monster Beverage Corp.	91,595	5,821
	Kroger Co.	192,411	5,578
	Hershey Co.	35,580	5,230
	McCormick & Co. Inc.	29,648	5,032
	Kraft Heinz Co.	149,463	4,802
	Clorox Co.	30,111	4,623
	Church & Dwight Co. Inc.	58,915	4,144
	Kellogg Co.	59,649	4,125
	Conagra Brands Inc.	116,853	4,001
	Lamb Weston Holdings Inc.	35,105	3,020
	Hormel Foods Corp.	66,824	3,014
	Brown-Forman Corp. Class B	43,605	2,948
	JM Smucker Co.	27,417	2,855
��	Molson Coors Brewing Co. Class B	44,960	2,423
	Campbell Soup Co.	40,424	1,998
	Coty Inc. Class A	70,883	797
			462,391
Energy (4.3%)
	Exxon Mobil Corp.	1,015,102	70,834
	Chevron Corp.	453,635	54,668
	ConocoPhillips	263,270	17,120
	Schlumberger Ltd.	332,214	13,355
	Phillips 66	106,608	11,877
	EOG Resources Inc.	139,601	11,693
	Kinder Morgan Inc.	467,361	9,894
	Marathon Petroleum Corp.	155,793	9,387
	Valero Energy Corp.	98,527	9,227
	Occidental Petroleum Corp.	214,354	8,834
	ONEOK Inc.	99,108	7,500
	Williams Cos. Inc.	290,862	6,899
	Pioneer Natural Resources Co.	39,752	6,017
	Halliburton Co.	210,696	5,156
	Concho Resources Inc.	48,270	4,227
	Hess Corp.	62,151	4,152
	Baker Hughes Co. Class A	155,953	3,997
	Diamondback Energy Inc.	38,675	3,591
	Noble Energy Inc.	114,490	2,844
	Marathon Oil Corp.	191,490	2,600
	Devon Energy Corp.	92,641	2,406
	National Oilwell Varco Inc.	92,356	2,314
	Apache Corp.	90,006	2,303
	TechnipFMC plc	100,593	2,157
	HollyFrontier Corp.	35,543	1,802

445

Equity Index Portfolio

			Market
			Value•
		Shares	($000)
	Cabot Oil & Gas Corp.	97,645	1,700
	Cimarex Energy Co.	24,374	1,279
	Helmerich & Payne Inc.	26,103	1,186
			279,019
Financials (12.9%)
	JPMorgan Chase & Co.	752,435	104,889
*	Berkshire Hathaway Inc. Class B	437,823	99,167
	Bank of America Corp.	1,942,181	68,404
	Wells Fargo & Co.	923,324	49,675
	Citigroup Inc.	523,776	41,844
	US Bancorp	340,918	20,213
	American Express Co.	160,955	20,037
	Truist Financial Corp.	321,697	18,118
	Goldman Sachs Group Inc.	76,459	17,580
	CME Group Inc.	85,964	17,255
	Chubb Ltd.	108,717	16,923
	PNC Financial Services Group Inc.	105,099	16,777
	S&P Global Inc.	58,624	16,007
	Morgan Stanley	295,128	15,087
	BlackRock Inc.	28,289	14,221
	Marsh & McLennan Cos. Inc.	121,057	13,487
	Charles Schwab Corp.	274,275	13,045
	Intercontinental Exchange Inc.	133,555	12,361
	Aon plc	56,158	11,697
	Capital One Financial Corp.	111,734	11,499
	American International Group Inc.	208,725	10,714
	Progressive Corp.	140,247	10,153
	Bank of New York Mellon Corp.	201,333	10,133
	MetLife Inc.	187,574	9,561
	Aflac Inc.	176,067	9,314
	Moody’s Corp.	38,947	9,246
	Prudential Financial Inc.	96,476	9,044
	Allstate Corp.	77,686	8,736
	Travelers Cos. Inc.	61,915	8,479
*	Berkshire Hathaway Inc. Class A	21	7,131
	State Street Corp.	87,241	6,901
	T. Rowe Price Group Inc.	56,043	6,828
	Discover Financial Services	75,182	6,377
	Willis Towers Watson plc	30,839	6,228
	Northern Trust Corp.	50,831	5,400
	M&T Bank Corp.	31,660	5,374
	MSCI Inc. Class A	20,336	5,250
	Hartford Financial Services Group Inc.	86,390	5,250
	Fifth Third Bancorp	170,283	5,235
	Synchrony Financial	142,636	5,136
	Ameriprise Financial Inc.	30,400	5,064
	KeyCorp	236,396	4,785
	First Republic Bank	40,416	4,747
	Arthur J Gallagher & Co.	44,695	4,256
	Citizens Financial Group Inc.	104,378	4,239
	Regions Financial Corp.	231,638	3,975
	Cincinnati Financial Corp.	36,489	3,837
	Huntington Bancshares Inc.	248,048	3,741
	MarketAxess Holdings Inc.	9,088	3,445
	Principal Financial Group Inc.	62,045	3,412
	Loews Corp.	61,390	3,222
	Cboe Global Markets Inc.	26,640	3,197
*	SVB Financial Group	12,394	3,111
	Nasdaq Inc.	27,580	2,954
	Lincoln National Corp.	47,637	2,811
	Everest Re Group Ltd.	9,808	2,715
	Raymond James Financial Inc.	29,688	2,656
	Globe Life Inc.	23,846	2,510
	Comerica Inc.	34,500	2,475
	E*TRADE Financial Corp.	54,349	2,466
	WR Berkley Corp.	34,736	2,400
	Zions Bancorp NA	40,798	2,118
	Assurant Inc.	14,586	1,912
	People’s United Financial Inc.	106,292	1,796
	Franklin Resources Inc.	66,742	1,734
	Invesco Ltd.	89,065	1,601
	Unum Group	49,546	1,445
			831,400
Health Care (14.1%)
	Johnson & Johnson	631,389	92,101
	UnitedHealth Group Inc.	227,287	66,818
	Merck & Co. Inc.	610,782	55,551
	Pfizer Inc.	1,327,673	52,018
	Abbott Laboratories	423,980	36,827
	Medtronic plc	321,536	36,478
	Bristol-Myers Squibb Co.	562,369	36,098
	Amgen Inc.	142,542	34,363
	AbbVie Inc.	354,771	31,411
	Thermo Fisher Scientific Inc.	96,195	31,251
	Eli Lilly & Co.	202,699	26,641
	Danaher Corp.	153,350	23,536
	CVS Health Corp.	312,110	23,187
	Gilead Sciences Inc.	303,516	19,722
	Anthem Inc.	60,831	18,373
	Cigna Corp.	89,588	18,320
	Becton Dickinson and Co.	64,882	17,646
*	Intuitive Surgical Inc.	27,726	16,390
	Stryker Corp.	77,237	16,215
	Zoetis Inc.	114,258	15,122
*	Boston Scientific Corp.	334,354	15,119
	Allergan plc	78,753	15,055
*	Vertex Pharmaceuticals Inc.	61,684	13,506
*	Biogen Inc.	43,289	12,845
*	Illumina Inc.	35,266	11,699
*	Edwards Lifesciences Corp.	50,030	11,671
	Humana Inc.	31,769	11,644
	Baxter International Inc.	122,469	10,241
	HCA Healthcare Inc.	63,476	9,382
	Zimmer Biomet Holdings Inc.	49,334	7,384
*	Regeneron Pharmaceuticals Inc.	19,163	7,195
*	IQVIA Holdings Inc.	43,289	6,689
	Agilent Technologies Inc.	74,258	6,335
*	Centene Corp.	99,274	6,241
	McKesson Corp.	43,230	5,980
*	Alexion Pharmaceuticals Inc.	53,090	5,742
	Cerner Corp.	75,351	5,530
*	IDEXX Laboratories Inc.	20,579	5,374
	ResMed Inc.	34,487	5,344
*	Align Technology Inc.	17,211	4,803
*	Mettler-Toledo International Inc.	5,836	4,630
	Teleflex Inc.	11,094	4,176
*	WellCare Health Plans Inc.	12,067	3,985
*	Laboratory Corp. of America Holdings	23,310	3,943
	Cooper Cos. Inc.	11,904	3,825
*	Incyte Corp.	42,929	3,749
*	Waters Corp.	15,472	3,615
	Cardinal Health Inc.	70,237	3,553
	Quest Diagnostics Inc.	32,348	3,454
*	Hologic Inc.	64,272	3,356
	STERIS plc	20,374	3,105
*	Varian Medical Systems Inc.	21,843	3,102
	AmerisourceBergen Corp. Class A	36,028	3,063
	Dentsply Sirona Inc.	53,455	3,025
	Universal Health Services Inc. Class B	19,248	2,761
	PerkinElmer Inc.	26,711	2,594
*	Mylan NV	123,531	2,483
*	Henry Schein Inc.	35,202	2,349
*	ABIOMED Inc.	10,806	1,843
	Perrigo Co. plc	32,577	1,683
*	DaVita Inc.	21,432	1,608
			911,749
Industrials (9.0%)
	Boeing Co.	128,265	41,784
	Honeywell International Inc.	171,403	30,338
	Union Pacific Corp.	166,545	30,110
	United Technologies Corp.	194,638	29,149
	3M Co.	137,967	24,340
	General Electric Co.	2,095,232	23,383
	Lockheed Martin Corp.	59,542	23,184
	United Parcel Service Inc. Class B	168,103	19,678
	Caterpillar Inc.	132,592	19,581
	Raytheon Co.	66,806	14,680
	CSX Corp.	186,562	13,500
	Deere & Co.	75,542	13,088
	Northrop Grumman Corp.	37,600	12,933
	Illinois Tool Works Inc.	70,161	12,603
	Norfolk Southern Corp.	62,555	12,144
	Emerson Electric Co.	146,140	11,145
	Waste Management Inc.	93,617	10,669
	L3Harris Technologies Inc.	53,029	10,493
	General Dynamics Corp.	56,225	9,915
	Eaton Corp. plc	99,169	9,393
	Roper Technologies Inc.	24,959	8,841
	FedEx Corp.	57,590	8,708
	Delta Air Lines Inc.	138,054	8,073
	Ingersoll-Rand plc	57,459	7,637
	Johnson Controls International plc	185,035	7,533
*	IHS Markit Ltd.	96,162	7,246
	TransDigm Group Inc.	11,946	6,690
	Cummins Inc.	36,747	6,576
	PACCAR Inc.	82,955	6,562
	Parker-Hannifin Corp.	30,820	6,343
	Southwest Airlines Co.	113,602	6,132
	Stanley Black & Decker Inc.	36,471	6,045
	Verisk Analytics Inc. Class A	39,311	5,871
	Rockwell Automation Inc.	27,721	5,618
	AMETEK Inc.	54,838	5,470
	Fortive Corp.	70,966	5,421
	Cintas Corp.	20,113	5,412
	Fastenal Co.	137,593	5,084
*	United Airlines Holdings Inc.	52,229	4,601
	Republic Services Inc. Class A	50,553	4,531
*	Copart Inc.	49,102	4,465
	Equifax Inc.	29,051	4,071
	Dover Corp.	34,891	4,021
	Kansas City Southern	23,807	3,646
	WW Grainger Inc.	10,459	3,541
	Xylem Inc.	43,256	3,408
	Westinghouse Air Brake Technologies Corp.	43,689	3,399
	Masco Corp.	68,235	3,275

446

Equity Index Portfolio

			Market
			Value•
		Shares	($000)
	Expeditors International of Washington Inc.	40,915	3,192
	IDEX Corp.	18,274	3,143
*	United Rentals Inc.	18,060	3,012
	Jacobs Engineering Group Inc.	32,573	2,926
	Old Dominion Freight Line Inc.	15,302	2,904
	Arconic Inc.	93,043	2,863
	Allegion plc	22,270	2,773
	American Airlines Group Inc.	93,752	2,689
	CH Robinson Worldwide Inc.	32,528	2,544
	Huntington Ingalls Industries Inc.	9,788	2,456
	Textron Inc.	54,744	2,442
	JB Hunt Transport Services Inc.	20,404	2,383
	Snap-on Inc.	13,135	2,225
	Fortune Brands Home & Security Inc.	33,475	2,187
	Alaska Air Group Inc.	29,477	1,997
	Pentair plc	40,215	1,845
	Robert Half International Inc.	28,132	1,776
	Nielsen Holdings plc	85,151	1,729
	AO Smith Corp.	32,910	1,568
	Flowserve Corp.	31,307	1,558
	Quanta Services Inc.	34,051	1,386
	Rollins Inc.	33,685	1,117
			581,045
Information Technology (23.1%)
	Apple Inc.	1,001,977	294,231
	Microsoft Corp.	1,830,140	288,613
	Visa Inc. Class A	410,650	77,161
	Mastercard Inc. Class A	212,955	63,586
	Intel Corp.	1,043,559	62,457
	Cisco Systems Inc.	1,017,763	48,812
*	Adobe Inc.	116,124	38,299
*	salesforce.com Inc.	212,786	34,607
	NVIDIA Corp.	146,818	34,546
	Accenture plc Class A	152,333	32,077
*	PayPal Holdings Inc.	281,686	30,470
	Broadcom Inc.	95,160	30,072
	Texas Instruments Inc.	224,242	28,768
	International Business Machines Corp.	212,466	28,479
	Oracle Corp.	519,725	27,535
	QUALCOMM Inc.	273,926	24,168
	Fidelity National Information Services Inc.	147,425	20,505
	Automatic Data Processing Inc.	103,785	17,695
	Intuit Inc.	62,442	16,355
*	Fiserv Inc.	136,995	15,841
*	Micron Technology Inc.	265,584	14,283
	Applied Materials Inc.	221,593	13,526
	Global Payments Inc.	72,083	13,159
*	ServiceNow Inc.	45,242	12,773
*	Advanced Micro Devices Inc.	267,151	12,252
	Analog Devices Inc.	88,346	10,499
	Lam Research Corp.	34,799	10,175
*	Autodesk Inc.	52,783	9,684
	Cognizant Technology Solutions Corp. Class A	131,352	8,146
	Amphenol Corp. Class A	71,110	7,696
	TE Connectivity Ltd.	80,249	7,691
	HP Inc.	355,478	7,305
	KLA Corp.	37,844	6,743
	Motorola Solutions Inc.	41,096	6,622
	Paychex Inc.	76,409	6,499
	Microchip Technology Inc.	57,326	6,003
*	FleetCor Technologies Inc.	20,816	5,989
	Xilinx Inc.	60,328	5,898
	Corning Inc.	184,537	5,372
*	ANSYS Inc.	20,533	5,285
*	Synopsys Inc.	36,091	5,024
	Skyworks Solutions Inc.	40,881	4,942
	CDW Corp.	34,476	4,925
	Hewlett Packard Enterprise Co.	310,513	4,925
*	VeriSign Inc.	24,794	4,777
*	Cadence Design Systems Inc.	67,224	4,663
*	Keysight Technologies Inc.	44,993	4,618
	Western Digital Corp.	71,388	4,531
	Maxim Integrated Products Inc.	64,963	3,996
*	Fortinet Inc.	34,063	3,637
	NortonLifeLock Inc.	137,740	3,515
	NetApp Inc.	54,830	3,413
	Broadridge Financial Solutions Inc.	27,543	3,403
*	Akamai Technologies Inc.	38,828	3,354
*	Gartner Inc.	21,496	3,313
	Seagate Technology plc	55,545	3,305
	Citrix Systems Inc.	29,409	3,261
*	Qorvo Inc.	27,923	3,245
*	Zebra Technologies Corp.	12,553	3,207
	Leidos Holdings Inc.	31,967	3,129
	Western Union Co.	100,812	2,700
	Jack Henry & Associates Inc.	18,501	2,695
*	Arista Networks Inc.	12,983	2,641
	DXC Technology Co.	61,270	2,303
*	F5 Networks Inc.	14,627	2,043
	Juniper Networks Inc.	80,114	1,973
	FLIR Systems Inc.	32,314	1,683
	Xerox Holdings Corp.	44,500	1,641
*	IPG Photonics Corp.	8,509	1,233
	Alliance Data Systems Corp.	9,809	1,101
			1,489,073
Materials (2.6%)
	Linde plc	128,862	27,435
	Air Products & Chemicals Inc.	52,876	12,425
	Ecolab Inc.	60,155	11,609
	Sherwin-Williams Co.	19,708	11,500
	DuPont de Nemours Inc.	177,749	11,412
	Dow Inc.	177,906	9,737
	Newmont Goldcorp Corp.	196,646	8,544
	PPG Industries Inc.	56,726	7,572
	LyondellBasell Industries NV Class A	61,602	5,820
	Corteva Inc.	179,713	5,312
	Ball Corp.	78,495	5,076
	Freeport-McMoRan Inc.	348,269	4,569
	Vulcan Materials Co.	31,715	4,567
	International Paper Co.	94,099	4,333
	Amcor plc	388,930	4,216
	Martin Marietta Materials Inc.	14,989	4,192
	Nucor Corp.	72,792	4,097
	Celanese Corp. Class A	29,027	3,574
	International Flavors & Fragrances Inc.	25,569	3,299
	FMC Corp.	31,145	3,109
	Westrock Co.	61,998	2,660
	Avery Dennison Corp.	20,017	2,619
	Eastman Chemical Co.	32,621	2,586
	Packaging Corp. of America	22,654	2,537
	CF Industries Holdings Inc.	52,302	2,497
	Albemarle Corp.	25,372	1,853
	Mosaic Co.	83,663	1,810
	Sealed Air Corp.	36,974	1,473
			170,433
Real Estate (2.9%)
	American Tower Corp.	106,260	24,421
	Crown Castle International Corp.	99,743	14,178
	Prologis Inc.	151,543	13,508
	Equinix Inc.	20,456	11,940
	Simon Property Group Inc.	73,636	10,969
	Welltower Inc.	97,336	7,960
	Public Storage	36,035	7,674
	AvalonBay Communities Inc.	33,496	7,024
	Equity Residential	83,726	6,775
	SBA Communications Corp. Class A	27,016	6,511
	Digital Realty Trust Inc.	50,075	5,996
	Realty Income Corp.	78,184	5,757
	Weyerhaeuser Co.	178,793	5,399
	Ventas Inc.	89,430	5,164
*	CBRE Group Inc. Class A	80,334	4,924
	Essex Property Trust Inc.	15,859	4,771
	Boston Properties Inc.	34,510	4,757
	Alexandria Real Estate Equities Inc.	27,646	4,467
	Healthpeak Properties Inc.	118,842	4,096
	Mid-America Apartment Communities Inc.	27,339	3,605
	UDR Inc.	70,406	3,288
	Extra Space Storage Inc.	31,120	3,287
	Host Hotels & Resorts Inc.	172,322	3,197
	Duke Realty Corp.	88,342	3,063
	Regency Centers Corp.	40,102	2,530
	Vornado Realty Trust	37,905	2,521
	Iron Mountain Inc.	69,123	2,203
	Federal Realty Investment Trust	16,806	2,163
	Kimco Realty Corp.	101,049	2,093
	Apartment Investment & Management Co.	35,620	1,840
	SL Green Realty Corp.	19,511	1,793
	Macerich Co.	1,770	48
			187,922
Utilities (3.3%)
	NextEra Energy Inc.	117,247	28,393
	Dominion Energy Inc.	197,439	16,352
	Southern Co.	251,561	16,024
	Duke Energy Corp.	174,914	15,954
	American Electric Power Co. Inc.	118,482	11,198
	Exelon Corp.	233,252	10,634
	Sempra Energy	67,616	10,242
	Xcel Energy Inc.	125,783	7,986
	Consolidated Edison Inc.	79,726	7,213
	Public Service Enterprise Group Inc.	121,309	7,163
	WEC Energy Group Inc.	75,645	6,977
	Eversource Energy	77,646	6,605
	Edison International	86,033	6,488
	FirstEnergy Corp.	129,604	6,299
	PPL Corp.	173,481	6,224
	DTE Energy Co.	46,078	5,984
	Entergy Corp.	47,760	5,722

447

Equity Index Portfolio

			Market
			Value•
		Shares	($000)
	American Water Works Co. Inc.	43,374	5,328
	Ameren Corp.	59,075	4,537
	CMS Energy Corp.	68,142	4,282
	Evergy Inc.	54,752	3,564
	CenterPoint Energy Inc.	120,685	3,291
	Atmos Energy Corp.	28,687	3,209
	AES Corp.	159,530	3,175
	Alliant Energy Corp.	57,752	3,160
	NiSource Inc.	89,391	2,489
	Pinnacle West Capital Corp.	26,897	2,419
	NRG Energy Inc.	60,211	2,393
			213,305
Total Common Stocks (Cost $3,704,149)			6,419,625
Temporary Cash Investments (0.8%)1
Money Market Fund (0.8%)
2,3	Vanguard Market Liquidity Fund, 1.816%	477,431	47,748
		Face
		Amount
		($000)
U.S. Government and Agency Obligations (0.0%)
4	United States Treasury Bill, 1.546%, 3/26/20	1,000	996
4	United States Treasury Bill, 1.527%–1.541%, 4/30/20	1,470	1,463
			2,459
Total Temporary Cash Investments (Cost $50,210)			50,207
Total Investments (100.2%) (Cost $3,754,359)			6,469,832

	Amount
	($000)
Other Assets and Liabilities (-0.2%)
Other Assets
Investment in Vanguard	280
Receivables for Investment Securities Sold	37
Receivables for Accrued Income	6,569
Receivables for Capital Shares Issued	511
Variation Margin Receivable—Futures Contracts	94
Total Other Assets	7,491
Liabilities
Payables for Investment Securities Purchased	(15,083)
Collateral for Securities on Loan	(264)
Payables for Capital Shares Redeemed	(1,992)
Payables to Vanguard	(1,966)
Total Liabilities	(19,305)
Net Assets (100%)
Applicable to 135,394,379 outstanding $.001 par value shares of beneficial interest (unlimited authorization)	6,458,018
Net Asset Value Per Share	$47.70

At December 31, 2019, net assets consisted of:
	Amount
	($000)
Paid-in Capital	3,511,475
Total Distributable Earnings (Loss)	2,946,543
Net Assets	6,458,018

• See Note A in Notes to Financial Statements.

* Non-income-producing security.

^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $259,000.

1 The portfolio invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the portfolio’s effective common stock and temporary cash investment positions represent 100.0% and 0.2%, respectively, of net assets.

2 Collateral of $264,000 was received for securities on loan.

3 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.

4 Securities with a value of $1,549,000 have been segregated as initial margin for open futures contracts.

Derivative Financial Instruments Outstanding as of Period End
Futures Contracts
					($000)
					Value and
		Number of			Unrealized
		Long (Short	)	Notional	Appreciation
	Expiration	Contracts		Amount	(Depreciation)
Long Futures Contracts
E-mini S&P 500 Index	March 2020	243		39,258	596

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

448

Equity Index Portfolio

Statement of Operations

	Year Ended
	December 31, 2019
	($000)
Investment Income
Income
Dividends	114,609
Interest1	618
Securities Lending—Net	84
Total Income	115,311
Expenses
The Vanguard Group—Note B
Investment Advisory Services	854
Management and Administrative	6,511
Marketing and Distribution	525
Custodian Fees	21
Auditing Fees	75
Shareholders’ Reports	41
Trustees’ Fees and Expenses	3
Total Expenses	8,030
Net Investment Income	107,281
Realized Net Gain (Loss)
Investment Securities Sold1	124,531
Futures Contracts	7,573
Realized Net Gain (Loss)	132,104
Change in Unrealized Appreciation (Depreciation)
Investment Securities1	1,295,700
Futures Contracts	296
Change in Unrealized Appreciation (Depreciation)	1,295,996
Net Increase (Decrease) in Net Assets Resulting from Operations	1,535,381

1 Interest income, realized net gain (loss), and change in unrealized appreciation (depreciation) from an affiliated company of the portfolio were $582,000, ($2,000), and ($4,000), respectively. Purchases and sales are for temporary cash investment purposes.

Statement of Changes in Net Assets

	Year Ended December 31,
	2019	2018
	($000)	($000)
Increase (Decrease) in Net Assets
Operations
Net Investment Income	107,281	103,632
Realized Net Gain (Loss)	132,104	138,799
Change in Unrealized Appreciation (Depreciation)	1,295,996	(473,810)
Net Increase (Decrease) in Net Assets Resulting from Operations	1,535,381	(231,379)
Distributions
Net Investment Income	(107,141)	(88,315)
Realized Capital Gain1	(140,285)	(85,966)
Total Distributions	(247,426)	(174,281)
Capital Share Transactions
Issued	584,985	560,449
Issued in Lieu of Cash Distributions	247,426	174,281
Redeemed	(596,018)	(573,178)
Net Increase (Decrease) from Capital Share Transactions	236,393	161,552
Total Increase (Decrease)	1,524,348	(244,108)
Net Assets
Beginning of Period	4,933,670	5,177,778
End of Period	6,458,018	4,933,670

1 Includes fiscal 2019 and 2018 short-term gain distributions totaling $347,000 and $2,110,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes.

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

449

Equity Index Portfolio

Financial Highlights

For a Share Outstanding			Year Ended December 31,
Throughout Each Period	2019	2018	2017	2016	2015
Net Asset Value, Beginning of Period	$38.03	$41.17	$35.63	$33.25	$34.44
Investment Operations
Net Investment Income	.8051	.8041	.6991	.704	.7592
Net Realized and Unrealized Gain (Loss) on Investments	10.791	(2.556)	6.734	3.055	(.338)
Total from Investment Operations	11.596	(1.752)	7.433	3.759	.421
Distributions
Dividends from Net Investment Income	(.834)	(.703)	(.699)	(.759)	(.569)
Distributions from Realized Capital Gains	(1.092)	(.685)	(1.194)	(.620)	(1.042)
Total Distributions	(1.926)	(1.388)	(1.893)	(1.379)	(1.611)
Net Asset Value, End of Period	$47.70	$38.03	$41.17	$35.63	$33.25
Total Return	31.30%	-4.51%	21.66%	11.81%	1.27%
Ratios/Supplemental Data
Net Assets, End of Period (Millions)	$6,458	$4,934	$5,178	$4,329	$3,985
Ratio of Total Expenses to Average Net Assets	0.14%	0.14%	0.15%	0.15%	0.15%
Ratio of Net Investment Income to Average Net Assets	1.87%	1.94%	1.85%	2.08%	2.31%2
Portfolio Turnover Rate	4%	5%	5%	7%	4%

1 Calculated based on average shares outstanding.

2 Net investment income per share and the ratio of net investment income to average net assets include $.13 and 0.35%, respectively, resulting from a special dividend from Medtronic plc in January 2015.

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

450

Equity Index Portfolio

Notes to Financial Statements

The Equity Index Portfolio, a portfolio of Vanguard Variable Insurance Funds, is registered under the Investment Company Act of 1940 as an open-end investment company. The portfolio’s shares are only available for purchase by separate accounts of insurance companies as investments for variable annuity plans, variable life insurance contracts, or other variable benefit insurance contracts.

A.       The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The portfolio 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. Equity securities are valued at the latest quoted sales prices or official closing prices taken from the primary market in which each security trades; such securities not traded on the valuation date are valued at the mean of the latest quoted bid and asked prices. Securities for which market quotations are not readily available, or whose values have been materially affected by events occurring before the portfolio’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. 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.

2. Futures Contracts: The portfolio uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, maintaining liquidity, and minimizing transaction costs. The portfolio may purchase futures contracts to immediately invest incoming cash in the market, or sell futures in response to cash outflows, thereby simulating a fully invested position in the underlying index while maintaining a cash balance for liquidity. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the portfolio 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 portfolio 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 portfolio’s performance and requires daily settlement of variation margin representing changes in the market value of each contract. Any assets pledged as initial margin for open contracts are noted in the Statement of Net Assets.

Futures contracts are valued at their quoted daily settlement prices. The notional amounts of the contracts are not recorded in the Statement of Net Assets. Fluctuations in the value of the contracts are recorded in the Statement of Net Assets 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 futures gains (losses).

During the year ended December 31, 2019, the portfolio’s average investments in long and short futures contracts represented less than 1% and 0%, respectively, of net assets, based on the average of the notional amounts at each quarter-end during the period.

3. Federal Income Taxes: The portfolio intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the portfolio’s tax positions taken for all open federal income tax years (December 31, 2016–2019), and has concluded that no provision for federal income tax is required in the portfolio’s financial statements.

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

5. Securities Lending: To earn additional income, the portfolio lends its securities to qualified institutional borrowers. Security loans are subject to termination by the portfolio at any time, and are required to be secured at all times by collateral in an amount at least equal to the market value of securities loaned. Daily market fluctuations could cause the value of loaned securities to be more or less than the value of the collateral received. When this occurs, the collateral is adjusted and settled before the opening of the market on the next business day. The portfolio further mitigates its counterparty risk by entering into securities lending transactions only with a diverse group of prequalified counterparties, monitoring their financial strength, and entering into master securities lending agreements with its counterparties.

451

Equity Index Portfolio

The master securities lending agreements provide that, in the event of a counterparty’s default (including bankruptcy), the portfolio may terminate any loans with that borrower, determine the net amount owed, and sell or retain the collateral up to the net amount owed to the portfolio; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the event of a default, the portfolio may experience delays and costs in recovering the securities loaned. The portfolio invests cash collateral received in Vanguard Market Liquidity Fund, and records a liability in the Statement of Net Assets for the return of the collateral, during the period the securities are on loan. Securities lending income represents fees charged to borrowers plus income earned on invested cash collateral, less expenses associated with the loan. During the term of the loan, the portfolio is entitled to all distributions made on or in respect of the loaned securities.

6. Credit Facility: The portfolio 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 that may be renewed annually; each fund is individually liable for its borrowings, if any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, and are subject to the portfolio’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.10% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the portfolio’s board of trustees and included in Management and Administrative expenses on the portfolio’s Statement of Operations. Any borrowings under this facility bear interest at a rate based upon the higher of the one-month London Interbank Offered Rate, federal funds effective rate, or overnight bank funding rate plus an agreed-upon spread.

The portfolio had no borrowings outstanding at December 31, 2019, or at any time during the period then ended.

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

B.       In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the portfolio, Vanguard furnishes to the portfolio 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 portfolio based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the portfolio’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets. All other costs of operations payable to Vanguard are generally settled twice a month.

Upon the request of Vanguard, the portfolio may invest up to 0.40% of its net assets as capital in Vanguard. At December 31, 2019, the portfolio had contributed to Vanguard capital in the amount of $280,000, representing less than 0.01% of the portfolio’s net assets and 0.11% of Vanguard’s capital received pursuant to the FSA. The portfolio’s trustees and officers are also directors and employees, respectively, of Vanguard.

C.       Various inputs may be used to determine the value of the portfolio’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 portfolio’s own assumptions used to determine the fair value of investments). Any investments valued with significant unobservable inputs are noted on the Statement of Net Assets.

452

Equity Index Portfolio

The following table summarizes the market value of the portfolio’s investments and derivatives as of December 31, 2019, based on the inputs used to value them:

	Level 1		Level 2		Level 3
Investments	($000	)	($000	)	($000	)
Common Stocks	6,419,625		—		—
Temporary Cash Investments	47,748		2,459		—
Futures Contracts—Assets1	94		—		—
Total	6,467,467		2,459		—

1 Represents variation margin on the last day of the reporting period.

D.       Permanent differences between book-basis and tax-basis components of net assets, if any, are reclassified among capital accounts in the financial statements to reflect their tax character. These reclassifications have no effect on net assets or net asset value per share.

Temporary differences between book-basis and tax-basis components of total distributable earnings (loss) arise when certain items of income, gain, or loss are recognized in different periods for financial statement and tax purposes; these differences will reverse at some time in the future. The differences are primarily related to the tax deferral of losses on wash sales and the realization of unrealized gains or losses on certain futures contracts. As of period end, the tax-basis components of total distributable earnings (loss) are detailed in the table as follows:

	Amount
	($000	)
Undistributed Ordinary Income	105,297
Undistributed Long-Term Gains	127,272
Capital Loss Carryforwards (Non-expiring)	—
Net Unrealized Gains (Losses)	2,715,473

As of December 31, 2019, gross unrealized appreciation and depreciation for investments and derivatives based on cost for U.S. federal income tax purposes were as follows:

	Amount
	($000	)
Tax Cost	3,754,359
Gross Unrealized Appreciation	3,036,531
Gross Unrealized Depreciation	(321,058	)
Net Unrealized Appreciation (Depreciation)	2,715,473

E.       During the year ended December 31, 2019, the portfolio purchased $335,753,000 of investment securities and sold $242,628,000 of investment securities, other than temporary cash investments.

F.       Capital shares issued and redeemed were:

	Year Ended December 31,
	2019		2018
	Shares		Shares
	(000	)	(000	)
Issued	13,588		13,586
Issued in Lieu of Cash Distributions	6,019		4,242
Redeemed	(13,957	)	(13,844	)
Net Increase (Decrease) in Shares Outstanding	5,650		3,984

At December 31, 2019, two shareholders (an insurance company separate account whose holdings in the portfolio represent the indirect investment of Vanguard Variable Annuity contract holders and Total Stock Market Index Portfolio), were each the record or beneficial owner of 25% or more of the portfolio’s net assets, with a combined ownership of 63%. If any of these shareholders were to redeem their investment in the portfolio, the redemption might result in an increase in the portfolio’s expense ratio, cause the portfolio to incur higher transaction costs, or lead to the realization of taxable capital gains.

G.       Management has determined that no events or transactions occurred subsequent to December 31, 2019, that would require recognition or disclosure in these financial statements.

453

Equity Index Portfolio

Report of Independent Registered Public Accounting Firm

To the Board of Trustees of Vanguard Variable Insurance Funds and Shareholders of Equity Index Portfolio

Opinion on the Financial Statements

We have audited the accompanying statement of net assets of Equity Index Portfolio (one of the portfolios constituting Vanguard Variable Insurance Funds, referred to hereafter as the “Portfolio”) as of December 31, 2019, the related statement of operations for the year ended December 31, 2019, the statement of changes in net assets for each of the two years in the period ended December 31, 2019, including the related notes, and the financial highlights for each of the five years in the period ended December 31, 2019 (collectively referred to as the “financial statements”). In our opinion, the financial statements present fairly, in all material respects, the financial position of the Portfolio as of December 31, 2019, the results of its operations for the year then ended, the changes in its net assets for each of the two years in the period ended December 31, 2019 and the financial highlights for each of the five years in the period ended December 31, 2019 in conformity with accounting principles generally accepted in the United States of America.

Basis for Opinion

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

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

Our audits included performing procedures to assess the risks of material misstatement of the financial statements, whether due to error or fraud, and performing procedures that respond to those risks. Such procedures included examining, on a test basis, evidence regarding the amounts and disclosures in the financial statements. Our audits also included evaluating the accounting principles used and significant estimates made by management, as well as evaluating the overall presentation of the financial statements. Our procedures included confirmation of securities owned as of December 31, 2019 by correspondence with the custodian and brokers and by agreement to the underlying ownership records of the transfer agent; when replies were not received from brokers, we performed other auditing procedures. We believe that our audits provide a reasonable basis for our opinion.

/s/PricewaterhouseCoopers LLP

Philadelphia, Pennsylvania

February 18, 2020

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

Special 2019 tax information (unaudited) for corporate shareholders only for Equity Index Portfolio, a portfolio of Vanguard Variable Insurance Funds

This information for the fiscal year ended December 31, 2019, is included pursuant to provisions of the Internal Revenue Code for corporate shareholders only.

The portfolio distributed $139,938,000 as capital gain dividends (20% rate gain distributions) to shareholders during the fiscal year.

For corporate shareholders, 95.4% of investment income (dividend income plus short-term gains, if any) qualifies for the dividends-received deduction.

454

Equity Index Portfolio

The S&P 500 Index is a product of S&P Dow Jones Indices LLC, a division of S&P Global, or its affiliates (“SPDJI”), and has been licensed for use by Vanguard. Standard & Poor’s^®, and S&P^®are registered trademarks of Standard & Poor’s Financial Services LLC, a division of S&P Global (“S&P”) and Dow Jones^® is a registered trademark of Dow Jones Trademark Holdings LLC (“Dow Jones”). The trademarks have been licensed to SPDJI and have been sublicensed for use for certain purposes by Vanguard. Vanguard Equity Index Portfolio is not sponsored, endorsed, sold or promoted by SPDJI, Dow Jones, S&P, any of their respective affiliates (collectively, “S&P Dow Jones Indices”). S&P Dow Jones Indices make no representation or warranty, express or implied, to the owners of the Vanguard Equity Index Portfolio or any member of the public regarding the advisability of investing in securities generally or in Vanguard Equity Index Portfolio particularly or the ability of the S&P 500 Index to track general market performance. S&P Dow Jones Indices’ only relationship to Vanguard with respect to the S&P 500 Index is the licensing of the Index and certain trademarks, service marks and/or trade names of S&P Dow Jones Indices and/or its licensors. The S&P 500 Index is determined, composed and calculated by S&P Dow Jones Indices without regard to Vanguard or the Vanguard Equity Index Portfolio. S&P Dow Jones Indices have no obligation to take the needs of Vanguard or the owners of Vanguard Equity Index Portfolio into consideration in determining, composing or calculating the S&P 500 Index. S&P Dow Jones Indices are not responsible for and have not participated in the determination of the prices, and amount of Vanguard Equity Index Portfolio or the timing of the issuance or sale of Vanguard Equity Index Portfolio or in the determination or calculation of the equation by which Vanguard Equity Index Portfolio is to be converted into cash, surrendered or redeemed, as the case may be. S&P Dow Jones Indices have no obligation or liability in connection with the administration, marketing or trading of Vanguard Equity Index Portfolio. There is no assurance that investment products based on the S&P 500 Index will accurately track index performance or provide positive investment returns. S&P Dow Jones Indices LLC is not an investment advisor. Inclusion of a security within an index is not a recommendation by S&P Dow Jones Indices to buy, sell, or hold such security, nor is it considered to be investment advice.

S&P DOW JONES INDICES DOES NOT GUARANTEE THE ADEQUACY, ACCURACY, TIMELINESS AND/OR THE COMPLETENESS OF THE S&P 500 INDEX OR ANY DATA RELATED THERETO OR ANY COMMUNICATION, INCLUDING BUT NOT LIMITED TO, ORAL OR WRITTEN COMMUNICATION (INCLUDING ELECTRONIC COMMUNICATIONS) WITH RESPECT THERETO. S&P DOW JONES INDICES SHALL NOT BE SUBJECT TO ANY DAMAGES OR LIABILITY FOR ANY ERRORS, OMISSIONS, OR DELAYS THEREIN. S&P DOW JONES INDICES MAKE NO EXPRESS OR IMPLIED WARRANTIES, AND EXPRESSLY DISCLAIMS ALL WARRANTIES, OF MERCHANTABILITY OR FITNESS FOR A PARTICULAR PURPOSE OR USE OR AS TO RESULTS TO BE OBTAINED BY VANGUARD, OWNERS OF THE VANGUARD EQUITY INDEX PORTFOLIO, OR ANY OTHER PERSON OR ENTITY FROM THE USE OF THE S&P 500 INDEX OR WITH RESPECT TO ANY DATA RELATED THERETO. WITHOUT LIMITING ANY OF THE FOREGOING, IN NO EVENT WHATSOEVER SHALL S&P DOW JONES INDICES BE LIABLE FOR ANY INDIRECT, SPECIAL, INCIDENTAL, PUNITIVE, OR CONSEQUENTIAL DAMAGES INCLUDING BUT NOT LIMITED TO, LOSS OF PROFITS, TRADING LOSSES, LOST TIME OR GOODWILL, EVEN IF THEY HAVE BEEN ADVISED OF THE POSSIBILITY OF SUCH DAMAGES, WHETHER IN CONTRACT, TORT, STRICT LIABILITY, OR OTHERWISE. THERE ARE NO THIRD PARTY BENEFICIARIES OF ANY AGREEMENTS OR ARRANGEMENTS BETWEEN S&P DOW JONES INDICES AND VANGUARD, OTHER THAN THE LICENSORS OF S&P DOW JONES INDICES.

455

The People Who Govern Your Fund

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

A majority of Vanguard’s board members are independent, meaning that they have no affiliation with Vanguard or the funds they oversee, apart from the sizable personal investments they have made as private individuals. The independent board members have distinguished backgrounds in business, academia, and public service. Each of the trustees and executive officers oversees 213 Vanguard funds.

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

Interested Trustee¹

Mortimer J. Buckley

Born in 1969. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: chairman of the board (January 2019– present) of Vanguard and of each of the investment companies served by Vanguard; chief executive officer (January 2018–present) of Vanguard; chief executive officer, president, and trustee (January 2018–present) of each of the investment companies served by Vanguard; president and director (2017–present) of Vanguard; and president (February 2018–present) of Vanguard Marketing Corporation. Chief investment officer (2013–2017), managing director (2002–2017), head of the Retail Investor Group (2006–2012), and chief information officer (2001–2006) of Vanguard. Chairman of the board (2011–2017) and trustee (2009–2017) of the Children’s Hospital of Philadelphia; trustee (2018–present) of The Shipley School.

Independent Trustees

Emerson U. Fullwood

Born in 1948. Trustee since January 2008. Principal occupation(s) during the past five years and other experience: executive chief staff and marketing officer for North America and corporate vice president (retired 2008) of Xerox Corporation (document management products and services). Former president of the Worldwide Channels Group, Latin America, and Worldwide Customer Service and executive chief staff officer of Developing Markets of Xerox. Executive in residence and 2009–2010 Distinguished Minett Professor at the Rochester Institute of Technology. Director of SPX FLOW, Inc. (multi-industry manufacturing). Director of the University of Rochester Medical Center, the Monroe Community College Foundation, the United Way of Rochester, North Carolina A&T University, and Roberts Wesleyan College. Trustee of the University of Rochester.

Amy Gutmann

Born in 1949. Trustee since June 2006. Principal occupation(s) during the past five years and other experience: president (2004–present) of the University of Pennsylvania. Christopher H. Browne Distinguished Professor of Political Science, School of Arts and Sciences, and professor of communication, Annenberg School for Communication, with secondary faculty appointments in the Department of Philosophy, School of Arts and Sciences, and at the Graduate School of Education, University of Pennsylvania. Trustee of the National Constitution Center.

F. Joseph Loughrey

Born in 1949. Trustee since October 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2009) and vice chairman of the board (2008–2009) of Cummins Inc. (industrial machinery). Chairman of the board of Hillenbrand, Inc. (specialized consumer services), and the Lumina Foundation. Director of the V Foundation and Oxfam America. Member of the advisory council for the College of Arts and Letters and chair of the advisory board to the Kellogg Institute for International Studies, both at the University of Notre Dame.

Mark Loughridge

Born in 1953. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: senior vice president and chief financial officer (retired 2013) of IBM (information technology services). Fiduciary member of IBM’s Retirement Plan Committee (2004–2013), senior vice president and general manager (2002–2004) of IBM Global Financing, vice president and controller (1998–2002) of IBM, and a variety of other prior management roles at IBM. Member of the Council on Chicago Booth.

Scott C. Malpass

Born in 1962. Trustee since March 2012. Principal occupation(s) during the past five years and other experience: chief investment officer (1989–present) and vice president (1996–present) of the University of Notre Dame. Assistant professor of finance at the Mendoza College of Business, University of Notre Dame, and member of the Notre Dame 403(b) Investment Committee. Chairman of the board of TIFF Advisory Services, Inc. Member of the board of Catholic Investment Services, Inc. (investment advisors) and the board of superintendence of the Institute for the Works of Religion.

Deanna Mulligan

Born in 1963. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: president (2010–present) and chief executive officer (2011–present) of The Guardian Life Insurance Company of America. Chief operating officer (2010–2011) and executive vice president (2008–2010) of Individual Life and Disability of The Guardian Life Insurance Company of America. Member of the board of The Guardian Life Insurance Company of America, the American Council of Life Insurers, the Partnership for New York City (business leadership), and the Committee Encouraging Corporate Philanthropy. Trustee of the Economic Club of New York and the Bruce Museum (arts and science). Member of the Advisory Council for the Stanford Graduate School of Business.

André F. Perold

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

Sarah Bloom Raskin

Born in 1961. Trustee since January 2018. Principal occupation(s) during the past five years and other experience: deputy secretary (2014–2017) of the United States Department of the Treasury. Governor (2010–2014) of the Federal Reserve Board. Commissioner (2007–2010) of financial regulation for the State of Maryland. Member of the board of directors (2012–2014) of Neighborhood Reinvestment Corporation. Director (2017–present) of i(x) Investments; director (2017–present) of Reserve Trust. Rubinstein Fellow (2017–present) of Duke University; trustee (2017–present) of Amherst College.

Peter F. Volanakis

Born in 1955. Trustee since July 2009. Principal occupation(s) during the past five years and other experience: president and chief operating officer (retired 2010) of Corning Incorporated (communications equipment) and director of Corning Incorporated (2000–2010) and Dow Corning (2001–2010). Director (2012) of SPX Corporation (multi-industry manufacturing). Overseer of the Amos Tuck School of Business Administration, Dartmouth College (2001–2013). Chairman of the board of trustees of Colby-Sawyer College. Member of the board of Hypertherm Inc. (industrial cutting systems, software, and consumables).

1 Mr. Buckley is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.

456

Executive Officers

John Bendl

Born in 1970. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief financial officer (October 2019–present) of each of the investment companies served by Vanguard. Chief accounting officer, treasurer, and controller of Vanguard (2017–present). Partner (2003–2016) at KPMG (audit, tax, and advisory services).

Glenn Booraem

Born in 1967. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Investment stewardship officer (2017–present), treasurer (2015–2017), controller (2010–2015), and assistant controller (2001–2010) of each of the investment companies served by Vanguard.

Christine M. Buchanan

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

David Cermak

Born in 1960. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present) of each of the investment companies served by Vanguard. Managing director and head (2017–present) of Vanguard Investments Singapore. Managing director and head (2017–2019) of Vanguard Investments Hong Kong. Representative director and head (2014–2017) of Vanguard Investments Japan.

Thomas J. Higgins

Born in 1957. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Finance director (October 2019–present), chief financial officer (2008–2019), and treasurer (1998–2008) of each of the investment companies served by Vanguard.

Peter Mahoney

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

Anne E. Robinson

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

Michael Rollings

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

John E. Schadl

Born in 1972. Principal occupation(s) during the past five years and other experience: principal of Vanguard. Chief compliance officer (2019–present) of Vanguard and of each of the investment companies served by Vanguard. Assistant vice president (May 2019–present) of Vanguard Marketing Corporation.

Vanguard Senior Management Team
Joseph Brennan	Chris D. McIsaac
Mortimer J. Buckley	James M. Norris
Gregory Davis	Thomas M. Rampulla
John James	Karin A. Risi
Martha G. King	Anne E. Robinson
John T. Marcante	Michael Rollings

 

 P.O. Box 2600

 Valley Forge, PA 19482-2600

Connect with Vanguard^® > vanguard.com

Fund Information> 800 - 662-7447

Annuity and Insurance Services> 800-522-5555

Institutional Investor Services> 800-523-1036

Text Telephone for People

Who Are Deaf or Hard of Hearing> 800-749-7273

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

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

All comparative mutual fund data are from Morningstar, Inc., unless otherwise noted.

You can review information about your portfolio 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.

Source for Bloomberg Barclays indexes: Bloomberg Index Services Limited. Copyright 2020, Bloomberg. All rights reserved.

CFA^®is a trademark owned by CFA Institute.

© 2020 The Vanguard Group, Inc.

All rights reserved.

Vanguard Marketing Corporation, Distributor.

Q690 022020

Item 2: Code of Ethics. The Registrant has adopted a code of ethics that applies to the Registrant’s principal executive officer, principal financial officer, principal accounting officer or controller or persons performing similar functions. The Code of Ethics was amended during the reporting period covered by this report to make certain technical, non-material changes.

Item 3: Audit Committee Financial Expert. All members of the Audit Committee have been determined by the Registrant’s Board of Trustees to be Audit Committee Financial Experts and to be independent: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.

Item 4: Principal Accountant Fees and Services.

(a)        Audit Fees.

Audit Fees of the Registrant.

Fiscal Year Ended December 31, 2019: $569,000
Fiscal Year Ended December 31, 2018: $588,000

Aggregate Audit Fees of Registered Investment Companies in the Vanguard Group.

Fiscal Year Ended December 31, 2019: $9,568,215
Fiscal Year Ended December 31, 2018: $9,734,277

Includes fees billed in connection with audits of the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(b)        Audit-Related Fees.

Fiscal Year Ended December 31, 2019: $3,012,031
Fiscal Year Ended December 31, 2018: $5,581,336

Includes fees billed in connection with assurance and related services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(c)       Tax Fees.

Fiscal Year Ended December 31, 2019: $357,238
Fiscal Year Ended December 31, 2018: $347,985

Includes fees billed in connection with tax compliance, planning, and advice services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(d)       All Other Fees.

Fiscal Year Ended December 31, 2019: $0
Fiscal Year Ended December 31, 2018: $0

Includes fees billed for services related to tax reported information provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(e)        (1) Pre-Approval Policies. The policy of the Registrant’s Audit Committee is to consider, and, if appropriate, approve before the principal accountant is engaged for such services, all specific audit and non-audit services provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant. In making a determination, the Audit Committee considers whether the services are consistent with maintaining the principal accountant’s independence.

In the event of a contingency situation in which the principal accountant is needed to provide services in between scheduled Audit Committee meetings, the Chairman of the Audit Committee would be called on to consider and, if appropriate, pre-approve audit or permitted non-audit services in an amount sufficient to complete services through the next Audit Committee meeting, and to determine if such services would be consistent with maintaining the accountant’s independence. At the next scheduled Audit Committee meeting, services and fees would be presented to the Audit Committee for formal consideration, and, if appropriate, approval by the entire Audit Committee. The Audit Committee would again consider whether such services and fees are consistent with maintaining the principal accountant’s independence.

The Registrant’s Audit Committee is informed at least annually of all audit and non-audit services provided by the principal accountant to the Vanguard complex, whether such services are provided to: the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., or other entities controlled by The Vanguard Group, Inc. that provide ongoing services to the Registrant.

(2) No percentage of the principal accountant’s fees or services were approved pursuant to the waiver provision of paragraph (c)(7)(i)(C) of Rule 2-01 of Regulation S-X.

(f)        For the most recent fiscal year, over 50% of the hours worked under the principal accountant’s engagement werenot performed by persons other than full-time, permanent employees of the principal accountant.

(g)       Aggregate Non-Audit Fees.

Fiscal Year Ended December 31, 2019: $357,238
Fiscal Year Ended December 31, 2018: $347,985

Includes fees billed for non-audit services provided to the Registrant, other registered investment companies in the Vanguard complex, The Vanguard Group, Inc., and Vanguard Marketing Corporation.

(h)       For the most recent fiscal year, the Audit Committee has determined that the provision of all non-audit services was consistent with maintaining the principal accountant’s independence.

Item 5: Audit Committee of Listed Registrants.

The Registrant is a listed issuer as defined in rule 10A-3 under the Securities Exchange Act of 1934 (“Exchange Act”). The Registrant has a separately-designated standing audit committee established in accordance with Section 3(a)(58)(A) of the Exchange Act. The Registrant’s audit committee members are: F. Joseph Loughrey, Mark Loughridge, Sarah Bloom Raskin, and Peter F. Volanakis.

Item 6: Investments.

Not applicable.

Item 7: Disclosure of Proxy Voting Policies and Procedures for Closed-End Management Investment Companies.

Not applicable.

Item 8: Portfolio Managers of Closed-End Management Investment Companies.

Not applicable.

Item 9: Purchase of Equity Securities by Closed-End Management Investment Company and Affiliated Purchasers.

Not applicable.

Item 10: Submission of Matters to a Vote of Security Holders.

Not applicable.

Item 11: Controls and Procedures.

(a) Disclosure Controls and Procedures. The Principal Executive and Financial Officers concluded that the Registrant’s Disclosure Controls and Procedures are effective based on their evaluation of the Disclosure Controls and Procedures as of a date within 90 days of the filing date of this report.

(b) Internal Control Over Financial Reporting. There were no significant changes in Registrant’s Internal Control Over Financial Reporting or in other factors that could significantly affect this control subsequent to the date of the evaluation, including any corrective actions with regard to significant deficiencies and material weaknesses.

Item 12: Disclosure of Securities Lending Activities for Closed-End Management Investment Companies.

Not applicable.

Item 13: Exhibits.

(a) Code of Ethics.

(b) Certifications.

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by the undersigned, thereunto duly authorized.

	VANGUARD VARIABLE INSURANCE FUNDS
BY:	/s/ MORTIMER J. BUCKLEY*
	MORTIMER J. BUCKLEY
	CHIEF EXECUTIVE OFFICER

Date: February 19, 2020

Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.

	VANGUARD VARIABLE INSURANCE FUNDS
BY:	/s/ MORTIMER J. BUCKLEY*
	MORTIMER J. BUCKLEY
	CHIEF EXECUTIVE OFFICER

Date: February 19, 2020

	VANGUARD VARIABLE INSURANCE FUNDS
BY:	/s/ JOHN BENDL*
	JOHN BENDL
	CHIEF FINANCIAL OFFICER

Date: February 19, 2020

* By: /s/ Anne E. Robinson

Anne E. Robinson, pursuant to a Power of Attorney filed on January 18, 2018 (see file Number 33-32216) and a Power of Attorney filed on October 30, 2019 (see file Number 811-02554), Incorporated by Reference.