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: 811-07803
| Name of Registrant: | Vanguard Scottsdale Funds |
| Address of Registrant: | P.O. Box 2600 |
| Valley Forge, PA 19482 |
| Name and address of agent for service: | Heidi Stam, Esquire |
| P.O. Box 876 | |
| Valley Forge, PA 19482 |
Registrant’s telephone number, including area code: (610) 669-1000
Date of fiscal year end: August 31
Date of reporting period: September 1, 2015 – February 29, 2016
Item 1: Reports to Shareholders
Semiannual Report | February 29, 2016
Vanguard Explorer Value™ Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Advisors’ Report. | 7 |
| Fund Profile. | 11 |
| Performance Summary. | 12 |
| Financial Statements. | 13 |
| About Your Fund’s Expenses. | 24 |
| Trustees Approve Advisory Arrangements. | 26 |
| Glossary. | 28 |
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.
See the Glossary for definitions of investment terms used in this report.
About the cover: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns
| Six Months Ended February 29, 2016 | |
| Total | |
| Returns | |
| Vanguard Explorer Value Fund | -5.40% |
| Russell 2500 Value Index | -5.93 |
| Small-Cap Value Funds Average | -7.13 |
| Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
| Your Fund’s Performance at a Glance | ||||
| August 31, 2015, Through February 29, 2016 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Explorer Value Fund | $30.09 | $26.79 | $0.237 | $1.560 |
1
Chairman’s Letter
Dear Shareholder,
Vanguard Explorer Value Fund returned –5.40% for the six months ended February 29, 2016. Smaller-capitalization stocks continued to underperform large-caps. Within the small-cap arena, growth stocks posted considerably lower returns than their value counterparts.
The fund’s return, although negative, was slightly better than that of its benchmark, the Russell 2500 Value Index. The average return of small-cap value funds was even lower, by more than 1.5 percentage points.
Of the nine sectors represented in the fund, seven lost ground and only two gained. Holdings among financial, industrial, and consumer discretionary firms were notable detractors, while information technology companies and utilities did best.
Stocks mostly slumped over the fiscal half year
U.S. stocks returned about –3% for the period. Results were negative in four of the six months. Only October’s return of about 8% prevented an even weaker performance for the half year.
Fears that China’s economic slowdown would spread globally weighed on results. Oil and commodity prices, which declined through most of the period before showing some resiliency in February, also concerned investors.
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In December, the Federal Reserve increased its target for short-term interest rates to 0.25%–0.5%. Central banks in Europe and Asia, in contrast, boosted stimulus efforts to battle weak growth and low inflation.
International stocks returned about –9%, a result that would have been less severe if not for the U.S. dollar’s strength against many foreign currencies. European stocks were among the worst performers.
Bonds registered gains as investors cut their risk
The broad U.S. taxable bond market returned 2.20% over the six months. Most of the gains came in January and February as investors sought safe-haven assets amid stock market turmoil. The yield of the 10-year U.S. Treasury note closed at 1.74% in February, down from 2.18% six months earlier. (Bond prices and yields move in opposite directions.)
The Fed’s target rate, which stayed anchored at 0%–0.25% until the small rise in December, kept a lid on returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 3.13%. Bonds globally have been buoyed by negative interest rates. In December the European Central Bank cut a key rate further into negative territory, and in late January the Bank of Japan adopted a negative-rate policy.
| Market Barometer | |||
| Total Returns | |||
| Periods Ended February 29, 2016 | |||
| Six | One | Five Years | |
| Months | Year | (Annualized) | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | -2.03% | -7.21% | 9.92% |
| Russell 2000 Index (Small-caps) | -10.16 | -14.97 | 6.11 |
| Russell 3000 Index (Broad U.S. market) | -2.68 | -7.84 | 9.61 |
| FTSE All-World ex US Index (International) | -9.12 | -16.79 | -0.89 |
| Bonds | |||
| Barclays U.S. Aggregate Bond Index (Broad taxable market) | 2.20% | 1.50% | 3.60% |
| Barclays Municipal Bond Index (Broad tax-exempt market) | 3.62 | 3.95 | 5.45 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.06 | 0.04 |
| CPI | |||
| Consumer Price Index | -0.51% | 1.02% | 1.39% |
3
Your fund lost some ground in a downbeat environment
The fund’s three advisors, Frontier Capital Management, Cardinal Capital Management, and Sterling Capital Management, use different but complementary approaches to find smaller companies that they expect will outperform small-cap value stocks over the long term.
In a rocky period for stocks, the Explorer Value Fund’s total return was underwater. But a combination of the advisors’ sector allocations and stock picking prevented the fund from losing as much as its benchmark index.
The fund’s largest sector, financials, returned about –5%, trailing the index by about 2 percentage points. The fund’s real estate investment trust (REIT) portfolio hurt relative performance as the specter of higher rates raised concerns about REITs’ future debt financing costs.
The fund outperformed thanks to selections in information technology (+4%), notably among electronic equipment specialists, and in health care, where the fund’s holdings recorded losses (–8%) but the index’s stocks did worse (–16%).
| Expense Ratios | ||
| Your Fund Compared With Its Peer Group | ||
| Peer Group | ||
| Fund | Average | |
| Explorer Value Fund | 0.65% | 1.33% |
| The fund expense ratio shown is from the prospectus dated December 22, 2015, and represents estimated costs for the current fiscal year. For the six months ended February 29, 2016, the fund’s annualized expense ratio was 0.58%. The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2015. | ||
| Peer group: Small-Cap Value Funds. | ||
4
Relative results also were aided by an underweight position in the troubled energy segment, which returned –38% in the benchmark index. Sinking oil and natural gas prices continued to stress the sector. The fund’s relative performance also benefited from holding energy stocks that didn’t do as badly as the sector overall.
One beneficiary of tumbling energy prices has been the utilities sector. Lower energy costs help utility companies’ bottom line, and the fund’s energy holdings returned 18%. However, the fund had a smaller weighting in the sector than the index did, hurting relative performance.
The continuing decline in commodity prices hit the fund’s industrial and materials holdings, while investor pessimism contributed to a decline among consumer-related stocks.
For more about the advisors’ strategies and the fund’s positioning during the six months, see the Advisors’ Report that follows this letter.
Doing what’s best for clients: That’s how we were built
It’s hard for me to believe, but this year will be my 30th with Vanguard. I knew little about the company when I started in June 1986, but I soon learned what makes Vanguard unique.
Simply put, we’re built differently.
We don’t have stockholders or outside owners. Instead, Vanguard is owned by its funds, which in turn are owned by you—Vanguard clients.
| A note on expense ratios |
| The Expense Ratios table in each shareholder report’s Chairman’s Letter displays fund expense ratios from the most recent prospectus. These figures include the funds’ actual operating expenses. For some funds, the figures also include “acquired fund fees and expenses,” which result from the funds’ holdings in business development companies (BDCs). |
| Although the Securities and Exchange Commission requires that BDC costs be included in a fund’s expense ratio, these fees are not incurred by the fund. They have no impact on a fund’s total return or on its tracking error relative to an index. A footnote to the Expense Ratios table reports an annualized calculation of the fund’s actual expenses for the period, a more relevant tally of the operating costs incurred by shareholders. |
5
This structure matters because it ensures that our interests are completely aligned with those of our clients. We never have to weigh what’s best for clients against what’s best for the company’s owners; their interests are one and the same. Our client-owned structure is what allows us to run our funds at cost, and it’s why Vanguard’s expense ratios remain among the lowest in the industry.
At the same time, we continually dedicate resources to enhance Vanguard’s service and investment capabilities. We aspire to provide the highest possible quality at the lowest possible price. That was true 30 years ago, it’s true today, and it will remain our focus for decades to come. After all, we’re built to put the long-term interests of our clients first.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 11, 2016
6
Advisors’ Report
For the half year ended February 29, 2016, Vanguard Explorer Value Fund returned –5.40%. Your fund is managed by three independent advisors, a strategy that enhances the fund’s 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 fund assets each manages, and brief descriptions of their investment strategies are presented in the table below. The advisors have also prepared a discussion of the investment environment that existed during the half year and of how their portfolio positioning reflects this assessment. (Please note that the Frontier and Sterling discussions refer to industry sectors as defined by Russell classifications, rather than by the Global Industry Classification Standard used elsewhere in this report.) These comments were prepared on March 15, 2016.
Frontier Capital Management Co., LLC
Portfolio Managers:
Thomas W. Duncan, Jr.,
Senior Vice President
William A. Teichner, CFA,
Senior Vice President
Our portion of the fund benefited from both stock and sector selection, with our strongest holdings in financial services and information technology.
| Vanguard Explorer Value Fund Investment Advisors | ||||
| Fund Assets Managed | ||||
| Investment Advisor | % | $ Million | Investment Strategy | |
| Frontier Capital Management Co., | 34 | 94 | The advisor selects stocks by identifying companies it | |
| LLC | believes are underpriced relative to their long-term | |||
| value. These companies are generally inexpensive and | ||||
| have low price-to-book and price-to-earnings ratios. | ||||
| Cardinal Capital Management, | 32 | 88 | The advisor seeks stocks that are able to generate | |
| L.L.C. | excess cash flow and reinvest the cash to increase | |||
| shareholder value. | ||||
| Sterling Capital Management LLC | 31 | 85 | The advisor searches for stocks of quality companies | |
| selling at large discounts compared with their | ||||
| underlying value. It defines quality stocks as those that | ||||
| generate considerable cash flow, reinvest in | ||||
| opportunities with attractive returns, and have a | ||||
| competitive advantage within their business sector. | ||||
| Cash Investments | 3 | 7 | 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. | ||||
7
The portfolio’s ten best contributors were spread across four sectors and included four technology holdings, three financial companies, two utilities, and one producer durables position.
The top contributor was Ingram Micro, a major distributor of technology-related products. In February, the company agreed to be acquired by China-based Tianjin Tianhai Investment Co. The all-cash transaction values Ingram at $38.90 per share, a 31% premium to its price before the deal. Ingram jumped to $36 on the announcement and should rise further upon completion of the transaction.
The portfolio’s ten largest detractors were spread over six sectors and included three holdings from materials and processing, three from producer durables, and one each from energy, consumer discretionary, financial services, and technology.
One of the biggest detractors was Boise Cascade, a manufacturer of plywood and engineered wood products and a distributor of building materials. The company’s financial results have been hurt by declining profits in its plywood business because of rising competition from Brazilian imports related to the strong U.S. dollar and weak domestic demand in Brazil. We believe that the stock is attractive based on its longer-term earnings potential and expect that over time the company will increase its revenues and improve its profitability as the U.S. housing market continues to recover.
During the period we bought 11 new stocks across five sectors and sold nine others across four sectors. The net effect was an increase in producer durables, consumer discretionary, and materials and processing companies and a reduction in technology and energy holdings. As is typical for us, the changes were related to company-specific reasons rather than top-down positioning.
Cardinal Capital Management, L.L.C.
Portfolio Managers:
Eugene Fox III, Managing Partner
Robert B. Kirkpatrick, CFA,
Managing Partner
Rachel D. Matthews, Partner
During the period, domestic economic data was mixed but much better than in many other developed countries. GDP grew moderately and employment growth picked up after a weak third quarter, but industrial production fell because of the impact of the strong U.S. dollar and sustained weakness in commodity prices. Although the unemployment rate approached historical levels of full employment, wage growth remained tepid. Nonetheless, the Federal Reserve finally took its first well-telegraphed step to normalize interest rates by raising the federal funds rate 25 basis points.
Within our portion of the fund, stock selection in the financial sector and the absence of investments in utilities were the primary detractors from relative
8
performance. Specifically, the stock price of PacWest Bancorp, a West Coast bank, declined because of a change in investors’ expectations for further rate increases and the perception that the bank’s high interest margins may be more susceptible to pressure than the margins of its less profitable peers. Shares of Howard Hughes Corp., a real estate owner and developer, fell as a result of its exposure in Houston, which has been hurt by the decline in the price of oil.
Offsetting this performance somewhat was strong stock selection in the energy and consumer discretionary sectors. The stock price of World Fuel Services increased, amid the energy sector’s significant decline; the fuel logistics supplier is more leveraged to the volatility of oil prices than the absolute level. In consumer discretionary, the share price of theme park operator Six Flags Entertainment rose sharply after the company provided more details on its international licensing agreements and aggressively repurchased its shares.
Looking forward, we expect U.S. economic growth to remain moderate, inflation benign, and the dollar strong. The price of oil is likely to remain low, as supply still exceeds demand. Economic uncertainty remains outside the United States, primarily because major economic regions have different monetary policies, as well as sensitivity to low oil prices and the strong U.S. dollar. However, the renewed slowdown in the global growth environment, weakness in emerging markets, and current foreign
central bank policies have made additional rate increases less likely. The merger and acquisition market should remain strong as long as reasonably priced capital is available because growth is scarce, and value can be created through consolidation.
Sterling Capital Management LLC
Portfolio Managers:
Eduardo A. Brea, CFA,
Managing Director
Timothy P. Beyer, CFA,
Managing Director
Investors lurched toward “risk off” positioning, as economically sensitive sectors underperformed defensive and yield-oriented equities during the period. Corporate credit yields widened. Our portfolio was affected equally by sector and stock selection.
We continue to find better values in more cyclical areas of the market. Stock selection was meaningfully positive in the producer durables sector. Mistras Group (+49%) and Itron (+33%) took aggressive action to address their cost structures that trumped weak end markets and preserved earnings power. Axiall, which produces chlor-alkali, was another noteworthy holding; it received an unsolicited cash and stock offer from Westlake Chemical at a 100% premium to its absurdly low trading price in early January, confirming its significant value. We believe its intrinsic value to be significantly higher still.
9
Banks also performed poorly during the period. Low interest rates undermine earnings power for lenders. We believe our intrinsic value targets will be realized through higher interest rates or consolidation in the industry, which is picking up in earnest among smaller-capitalization banks. Negative outliers included Popular (–9%) and Bancorp (–35%). Bancorp is struggling because high regulatory costs are depressing results. Those costs are transitory, however, and its prepaid debit card franchise is quite valuable.
Finally, the consumer discretionary sector was a mixed bag, with gains by Regis (+32%) and Interpublic (+19%) more than offset by the performance of retail-oriented stocks such as Elizabeth Arden (–43%), Ascena Retail Group (–30%), and Crocs (–34%). Hertz Global Holdings (–53%) continues to frustrate value investors. Despite significant consolidation in the car rental business, industry pricing power has been soft. Other investor concerns include ride-sharing services such as Uber and strong new-car sales, which can reduce the value for used fleet vehicles for rental companies such as Hertz. We remain convinced, however, that activist pressure and the spin-off of the company’s materials-handling subsidiary will result in significant upside for the stock.
10
Explorer Value Fund
Fund Profile
As of February 29, 2016
| Portfolio Characteristics | |||
| Russell | DJ | ||
| 2500 | U.S. Total | ||
| Value | Market | ||
| Fund | Index | FA Index | |
| Number of Stocks | 176 | 1,684 | 3,906 |
| Median Market Cap | $2.3B | $3.1B | $50.4B |
| Price/Earnings Ratio | 21.2x | 23.8x | 20.1x |
| Price/Book Ratio | 1.5x | 1.5x | 2.5x |
| Return on Equity | 9.7% | 8.8% | 17.5% |
| Earnings Growth | |||
| Rate | 6.6% | 8.1% | 8.4% |
| Dividend Yield | 1.8% | 2.5% | 2.2% |
| Foreign Holdings | 0.4% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 30% | — | — |
| Ticker Symbol | VEVFX | — | — |
| Expense Ratio1 | 0.65% | — | — |
| 30-Day SEC Yield | 1.15% | — | — |
| Short-Term Reserves | 3.8% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ | |||
| U.S. | |||
| Russell | Total | ||
| 2500 | Market | ||
| Value | FA | ||
| Fund | Index | Index | |
| Consumer Discretionary 11.7% | 9.0% | 13.6% | |
| Consumer Staples | 2.1 | 3.0 | 9.4 |
| Energy | 2.8 | 4.4 | 5.9 |
| Financials | 37.3 | 39.4 | 17.4 |
| Health Care | 5.3 | 4.4 | 14.2 |
| Industrials | 15.4 | 13.2 | 10.7 |
| Information Technology | 15.6 | 10.0 | 19.7 |
| Materials | 6.3 | 5.3 | 3.1 |
| Telecommunication | |||
| Services | 0.0 | 0.9 | 2.5 |
| Utilities | 3.5 | 10.4 | 3.5 |
| Volatility Measures | ||
| Russell | DJ | |
| 2500 | U.S. Total | |
| Value | Market | |
| Index | FA Index | |
| R-Squared | 0.96 | 0.82 |
| Beta | 1.05 | 1.08 |
| These measures show the degree and timing of the fund’s | ||
| fluctuations compared with the indexes over 36 months. | ||
| Ten Largest Holdings (% of total net assets) | ||
| Ligand Pharmaceuticals | ||
| Inc. | Biotechnology | 1.6% |
| American Capital Ltd. | Asset Management | |
| & Custody Banks | 1.6 | |
| BWX Technologies Inc. | Aerospace & | |
| Defense | 1.3 | |
| Popular Inc. | Regional Banks | 1.3 |
| Endurance Specialty | ||
| Holdings Ltd. | Reinsurance | 1.2 |
| KAR Auction Services | Diversified Support | |
| Inc. | Services | 1.2 |
| Itron Inc. | Electronic Equipment | |
| & Instruments | 1.2 | |
| PacWest Bancorp | Regional Banks | 1.1 |
| Willis Towers Watson | ||
| plc | Insurance Brokers | 1.1 |
| Howard Hughes Corp. | Real Estate | |
| Development | 1.1 | |
| Top Ten | 12.7% | |
| The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratio shown is from the prospectus dated December 22, 2015, and represents estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratio was 0.58%.
11
Explorer Value Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): March 30, 2010, Through February 29, 2016
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
| Inception | One | Five | Since | |
| Date | Year | Years | Inception | |
| Explorer Value Fund | 3/30/2010 | -2.77% | 10.28% | 11.85% |
See Financial Highlights for dividend and capital gains information.
12
Explorer Value Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Common Stocks (94.1%)1 | |||
| Consumer Discretionary (10.9%) | |||
| MDC Partners Inc. Class A | 131,225 | 2,798 | |
| Six Flags Entertainment | |||
| Corp. | 52,770 | 2,684 | |
| Chico’s FAS Inc. | 199,376 | 2,544 | |
| * | Ascena Retail Group Inc. | 294,981 | 2,493 |
| Lithia Motors Inc. Class A | 24,100 | 2,235 | |
| Wendy’s Co. | 208,527 | 1,954 | |
| * | Crocs Inc. | 172,004 | 1,684 |
| News Corp. Class B | 138,755 | 1,583 | |
| * | Modine Manufacturing Co. | 164,316 | 1,558 |
| American Eagle Outfitters | |||
| Inc. | 96,179 | 1,468 | |
| Gentex Corp. | 89,500 | 1,303 | |
| Guess? Inc. | 53,935 | 1,151 | |
| * | Regis Corp. | 79,700 | 1,142 |
| Kohl’s Corp. | 20,315 | 948 | |
| * | Global Eagle Entertainment | ||
| Inc. | 90,787 | 816 | |
| * | LGI Homes Inc. | 33,067 | 785 |
| * | Deckers Outdoor Corp. | 13,805 | 781 |
| DSW Inc. Class A | 25,029 | 656 | |
| * | Career Education Corp. | 222,736 | 561 |
| * | Boot Barn Holdings Inc. | 41,223 | 419 |
| * | Skullcandy Inc. | 102,410 | 362 |
| * | Del Taco Restaurants Inc. | 8,039 | 87 |
| 30,012 | |||
| Consumer Staples (1.9%) | |||
| Pinnacle Foods Inc. | 36,800 | 1,589 | |
| * | Central Garden & Pet Co. | ||
| Class A | 100,556 | 1,361 | |
| Medifast Inc. | 40,800 | 1,238 | |
| *,^ | Elizabeth Arden Inc. | 172,100 | 1,067 |
| 5,255 | |||
| Energy (2.7%) | |||
| World Fuel Services Corp. | 56,770 | 2,657 | |
| * | Concho Resources Inc. | 23,910 | 2,158 |
| * | Carrizo Oil & Gas Inc. | 42,884 | 922 |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| ^ | Noble Corp. plc | 96,350 | 803 |
| *,^ | Southwestern Energy Co. | 124,050 | 717 |
| Denbury Resources Inc. | 82,125 | 105 | |
| 7,362 | |||
| Financials (35.4%) | |||
| * | American Capital Ltd. | 318,481 | 4,360 |
| Popular Inc. | 131,167 | 3,476 | |
| Endurance Specialty | |||
| Holdings Ltd. | 54,250 | 3,378 | |
| PacWest Bancorp | 97,945 | 3,152 | |
| * | Willis Towers Watson plc | 26,878 | 3,046 |
| * | Howard Hughes Corp. | 32,380 | 3,005 |
| Investment Technology | |||
| Group Inc. | 154,750 | 2,835 | |
| * | Navigators Group Inc. | 34,944 | 2,830 |
| BGC Partners Inc. Class A | 306,000 | 2,644 | |
| Argo Group International | |||
| Holdings Ltd. | 46,773 | 2,607 | |
| WSFS Financial Corp. | 85,977 | 2,605 | |
| Leucadia National Corp. | 171,500 | 2,478 | |
| * | Affiliated Managers Group | ||
| Inc. | 17,825 | 2,472 | |
| Columbia Banking System | |||
| Inc. | 85,600 | 2,468 | |
| Starwood Property Trust | |||
| Inc. | 139,600 | 2,449 | |
| Ryman Hospitality | |||
| Properties Inc. | 51,090 | 2,446 | |
| Assured Guaranty Ltd. | 94,575 | 2,346 | |
| Medical Properties Trust | |||
| Inc. | 200,900 | 2,324 | |
| Aspen Insurance Holdings | |||
| Ltd. | 51,587 | 2,305 | |
| * | Enstar Group Ltd. | 14,525 | 2,296 |
| Renasant Corp. | 67,992 | 2,123 | |
| * | Markel Corp. | 2,475 | 2,120 |
| First Horizon National Corp. | 166,233 | 1,998 | |
| * | E*TRADE Financial Corp. | 83,450 | 1,958 |
| Flushing Financial Corp. | 92,953 | 1,919 | |
13
Explorer Value Fund
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| * | Forest City Realty Trust Inc. | ||
| Class A | 98,400 | 1,835 | |
| National Retail Properties | |||
| Inc. | 41,644 | 1,832 | |
| First Midwest Bancorp Inc. | 106,805 | 1,784 | |
| Gaming and Leisure | |||
| Properties Inc. | 63,400 | 1,660 | |
| Hersha Hospitality Trust | |||
| Class A | 79,725 | 1,605 | |
| EPR Properties | 24,660 | 1,535 | |
| MB Financial Inc. | 49,700 | 1,517 | |
| Selective Insurance Group | |||
| Inc. | 43,980 | 1,477 | |
| Washington Federal Inc. | 68,829 | 1,459 | |
| United Financial Bancorp | |||
| Inc. | 120,000 | 1,390 | |
| First Citizens BancShares | |||
| Inc. Class A | 5,925 | 1,387 | |
| * | CBRE Group Inc. Class A | 53,591 | 1,362 |
| * | Colony Starwood Homes | 59,740 | 1,312 |
| Lincoln National Corp. | 33,925 | 1,239 | |
| Great Western Bancorp Inc. | 48,200 | 1,186 | |
| Parkway Properties Inc. | 87,370 | 1,170 | |
| Mack-Cali Realty Corp. | 58,293 | 1,160 | |
| James River Group | |||
| Holdings Ltd. | 39,425 | 1,152 | |
| Radian Group Inc. | 100,825 | 1,089 | |
| * | FNFV Group | 92,850 | 944 |
| STAG Industrial Inc. | 49,000 | 860 | |
| Rayonier Inc. | 38,500 | 840 | |
| * | iStar Inc. | 94,550 | 800 |
| * | Texas Capital Bancshares | ||
| Inc. | 17,085 | 552 | |
| * | Bancorp Inc. | 78,650 | 375 |
| 97,162 | |||
| Health Care (4.8%) | |||
| * | Ligand Pharmaceuticals Inc. | 49,050 | 4,526 |
| * | Allscripts Healthcare | ||
| Solutions Inc. | 206,200 | 2,582 | |
| * | Laboratory Corp. of | ||
| America Holdings | 16,025 | 1,760 | |
| * | Myriad Genetics Inc. | 38,059 | 1,332 |
| * | Air Methods Corp. | 35,850 | 1,302 |
| * | Globus Medical Inc. | 36,200 | 880 |
| * | Merit Medical Systems Inc. | 31,386 | 590 |
| * | Akorn Inc. | 8,380 | 223 |
| 13,195 | |||
| Industrials (14.5%) | |||
| BWX Technologies Inc. | 110,200 | 3,515 | |
| KAR Auction Services Inc. | 95,400 | 3,378 | |
| * | FTI Consulting Inc. | 63,374 | 2,086 |
| * | Genesee & Wyoming Inc. | ||
| Class A | 35,700 | 2,025 | |
| EnPro Industries Inc. | 38,850 | 2,016 | |
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| Tetra Tech Inc. | 71,700 | 1,974 | |
| * | Teledyne Technologies Inc. | 23,142 | 1,971 |
| * | Babcock & Wilcox | ||
| Enterprises Inc. | 91,900 | 1,795 | |
| * | Beacon Roofing Supply Inc. | 43,242 | 1,561 |
| Kaman Corp. | 34,000 | 1,494 | |
| * | KLX Inc. | 50,950 | 1,426 |
| Brady Corp. Class A | 48,799 | 1,275 | |
| HNI Corp. | 34,234 | 1,157 | |
| * | Thermon Group Holdings | ||
| Inc. | 65,500 | 1,110 | |
| Altra Industrial Motion Corp. | 43,646 | 1,061 | |
| Encore Wire Corp. | 25,595 | 925 | |
| * | Jacobs Engineering Group | ||
| Inc. | 23,600 | 912 | |
| CEB Inc. | 16,330 | 886 | |
| AGCO Corp. | 17,625 | 872 | |
| Briggs & Stratton Corp. | 36,750 | 782 | |
| MSA Safety Inc. | 17,873 | 781 | |
| * | Saia Inc. | 29,188 | 766 |
| Primoris Services Corp. | 35,473 | 758 | |
| Actuant Corp. Class A | 30,482 | 714 | |
| * | MRC Global Inc. | 57,935 | 692 |
| * | Hertz Global Holdings Inc. | 74,125 | 630 |
| * | Wesco Aircraft Holdings Inc. | 48,004 | 614 |
| Celadon Group Inc. | 66,133 | 593 | |
| * | WESCO International Inc. | 12,717 | 560 |
| * | BMC Stock Holdings Inc. | 32,535 | 496 |
| * | Furmanite Corp. | 84,843 | 473 |
| * | Performant Financial Corp. | 176,401 | 291 |
| Interface Inc. Class A | 13,364 | 213 | |
| Harsco Corp. | 2,261 | 9 | |
| 39,811 | |||
| Information Technology (14.6%) | |||
| * | Itron Inc. | 84,233 | 3,356 |
| Ingram Micro Inc. | 56,139 | 2,010 | |
| * | ACI Worldwide Inc. | 102,800 | 1,918 |
| j2 Global Inc. | 25,820 | 1,887 | |
| * | QLogic Corp. | 144,709 | 1,865 |
| InterDigital Inc. | 35,740 | 1,777 | |
| * | Fairchild Semiconductor | ||
| International Inc. Class A | 86,238 | 1,730 | |
| * | II-VI Inc. | 76,025 | 1,669 |
| Western Union Co. | 87,375 | 1,596 | |
| * | NCR Corp. | 67,008 | 1,565 |
| * | Qorvo Inc. | 33,600 | 1,515 |
| Convergys Corp. | 58,100 | 1,498 | |
| * | Insight Enterprises Inc. | 56,513 | 1,475 |
| *,^ | Knowles Corp. | 126,875 | 1,444 |
| * | ON Semiconductor Corp. | 169,370 | 1,421 |
| IAC/InterActiveCorp | 29,180 | 1,296 | |
| Jabil Circuit Inc. | 61,748 | 1,287 | |
| * | Lattice Semiconductor | ||
| Corp. | 193,403 | 1,224 | |
14
Explorer Value Fund
| Market | |||
| Value• | |||
| Shares | ($000) | ||
| DST Systems Inc. | 11,455 | 1,198 | |
| * | Orbotech Ltd. | 51,100 | 1,157 |
| * | Anixter International Inc. | 26,000 | 1,114 |
| * | MicroStrategy Inc. Class A | 5,975 | 961 |
| * | DHI Group Inc. | 121,050 | 942 |
| * | Semtech Corp. | 43,278 | 829 |
| Littelfuse Inc. | 6,063 | 689 | |
| * | FormFactor Inc. | 89,590 | 681 |
| American Software Inc. | |||
| Class A | 62,700 | 589 | |
| * | Ultratech Inc. | 25,413 | 515 |
| * | Integrated Device | ||
| Technology Inc. | 26,410 | 513 | |
| * | Ciber Inc. | 225,277 | 451 |
| 40,172 | |||
| Materials (6.0%) | |||
| Silgan Holdings Inc. | 52,800 | 2,705 | |
| * | Axalta Coating Systems Ltd. | 61,124 | 1,587 |
| FMC Corp. | 39,400 | 1,483 | |
| Axiall Corp. | 72,550 | 1,444 | |
| Compass Minerals | |||
| International Inc. | 20,200 | 1,370 | |
| PH Glatfelter Co. | 64,250 | 1,180 | |
| * | Kraton Performance | ||
| Polymers Inc. | 67,023 | 1,151 | |
| Schnitzer Steel Industries | |||
| Inc. | 76,875 | 1,125 | |
| Eagle Materials Inc. | 18,469 | 1,116 | |
| Cabot Corp. | 20,510 | 913 | |
| * | Boise Cascade Co. | 37,130 | 622 |
| Albemarle Corp. | 10,300 | 579 | |
| TimkenSteel Corp. | 61,375 | 474 | |
| * | Chemtura Corp. | 18,100 | 457 |
| * | LSB Industries Inc. | 20,305 | 119 |
| 16,325 | |||
| Utilities (3.3%) | |||
| Portland General Electric Co. | 57,858 | 2,201 | |
| Unitil Corp. | 35,443 | 1,394 | |
| Piedmont Natural Gas Co. | |||
| Inc. | 22,663 | 1,346 | |
| South Jersey Industries Inc. | 48,325 | 1,230 | |
| Southwest Gas Corp. | 19,651 | 1,199 | |
| MDU Resources Group Inc. | 59,544 | 1,084 | |
| Westar Energy Inc. Class A | 13,726 | 597 | |
| 9,051 | |||
| Total Common Stocks | |||
| (Cost $246,377) | 258,345 | ||
| Market | ||
| Value• | ||
| Shares | ($000) | |
| Temporary Cash Investments (5.8%)1 | ||
| Money Market Fund (5.6%) | ||
| 2,3 Vanguard Market | ||
| Liquidity Fund, 0.475% | 15,214,617 | 15,215 |
| Face | ||
| Amount | ||
| ($000) | ||
| U.S. Government and Agency Obligations (0.2%) | ||
| 4,5 Freddie Mac Discount | ||
| Notes, 0.220%, 4/15/16 | 600 | 600 |
| Total Temporary Cash Investments | ||
| (Cost $15,815) | 15,815 | |
| Total Investments (99.9%) | ||
| (Cost $262,192) | 274,160 | |
| Amount | ||
| ($000) | ||
| Other Assets and Liabilities (0.1%) | ||
| Other Assets | ||
| Investment in Vanguard | 25 | |
| Receivables for Investment Securities Sold | 2,528 | |
| Receivables for Accrued Income | 242 | |
| Receivables for Capital Shares Issued | 402 | |
| Total Other Assets | 3,197 | |
| Liabilities | ||
| Payables for Investment Securities | ||
| Purchased | (1,223) | |
| Collateral for Securities on Loan | (782) | |
| Payables to Investment Advisor | (259) | |
| Payables for Capital Shares Redeemed | (280) | |
| Payables to Vanguard | (385) | |
| Other Liabilities | (25) | |
| Total Liabilities | (2,954) | |
| Net Assets (100%) | ||
| Applicable to 10,242,366 outstanding | ||
| $.001 par value shares of beneficial | ||
| interest (unlimited authorization) | 274,403 | |
| Net Asset Value Per Share | $26.79 | |
15
Explorer Value Fund
| At February 29, 2016, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 264,460 |
| Overdistributed Net Investment Income | (347) |
| Accumulated Net Realized Losses | (1,343) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 11,968 |
| Futures Contracts | (335) |
| Net Assets | 274,403 |
• 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 $705,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 96.5% and 3.4%, 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 Includes $782,000 of collateral received for securities on loan.
4 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.
5 Securities with a value of $400,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Explorer Value Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 2,043 |
| Interest1 | 26 |
| Securities Lending | 30 |
| Total Income | 2,099 |
| Expenses | |
| Investment Advisory Fees—Note B | |
| Basic Fee | 510 |
| Performance Adjustment | 19 |
| The Vanguard Group—Note C | |
| Management and Administrative | 269 |
| Marketing and Distribution | 19 |
| Custodian Fees | 7 |
| Shareholders’ Reports | 3 |
| Total Expenses | 827 |
| Net Investment Income | 1,272 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 377 |
| Futures Contracts | (1,314) |
| Realized Net Gain (Loss) | (937) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (16,547) |
| Futures Contracts | 403 |
| Change in Unrealized Appreciation (Depreciation) | (16,144) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (15,809) |
| 1 Interest income from an affiliated company of the fund was $25,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
17
Explorer Value Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 1,272 | 2,419 |
| Realized Net Gain (Loss) | (937) | 17,919 |
| Change in Unrealized Appreciation (Depreciation) | (16,144) | (30,227) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (15,809) | (9,889) |
| Distributions | ||
| Net Investment Income | (2,298) | (2,556) |
| Realized Capital Gain1 | (15,125) | (14,878) |
| Total Distributions | (17,423) | (17,434) |
| Capital Share Transactions | ||
| Issued | 25,120 | 53,864 |
| Issued in Lieu of Cash Distributions | 16,350 | 16,524 |
| Redeemed | (25,108) | (74,410) |
| Net Increase (Decrease) from Capital Share Transactions | 16,362 | (4,022) |
| Total Increase (Decrease) | (16,870) | (31,345) |
| Net Assets | ||
| Beginning of Period | 291,273 | 322,618 |
| End of Period2 | 274,403 | 291,273 |
| 1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $252,000 and $4,803,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. 2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of ($347,000) and $679,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
18
Explorer Value Fund
Financial Highlights
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $30.09 | $32.97 | $29.39 | $23.44 | $21.94 | $18.09 |
| Investment Operations | ||||||
| Net Investment Income | .133 | .259 | .251 | .255 | .232 | .190 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (1.636) | (1.284) | 5.539 | 6.429 | 2.476 | 3.991 |
| Total from Investment Operations | (1.503) | (1.025) | 5.790 | 6.684 | 2.708 | 4.181 |
| Distributions | ||||||
| Dividends from Net Investment Income | (. 237) | (. 272) | (.168) | (. 290) | (.189) | (.135) |
| Distributions from Realized Capital Gains | (1.560) | (1.583) | (2.042) | (.444) | (1.019) | (.196) |
| Total Distributions | (1.797) | (1.855) | (2.210) | (.734) | (1.208) | (.331) |
| Net Asset Value, End of Period | $26.79 | $30.09 | $32.97 | $29.39 | $23.44 | $21.94 |
| Total Return1 | -5.40% | -3.12% | 20.34% | 29.19% | 13.10% | 23.04% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $274 | $291 | $323 | $222 | $123 | $116 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets2 | 0.58% | 0.56% | 0.57% | 0.60% | 0.59% | 0.57% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 0.89% | 0.78% | 0.83% | 0.88% | 1.00% | 0.82% |
| Portfolio Turnover Rate | 30% | 35% | 36% | 46% | 38% | 41% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Total returns do not include account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable account service fees.
2 Includes performance-based investment advisory fee increases (decreases) of 0.01%, (0.02%), (0.02%), 0.04%, 0.03%, and 0.01%.
See accompanying Notes, which are an integral part of the Financial Statements.
19
Explorer Value Fund
Notes to Financial Statements
Vanguard Explorer Value Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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 fund’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 acquired over 60 days to maturity 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. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objective of maintaining full exposure to the stock market while maintaining liquidity. The fund 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 fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 six months ended February 29, 2016, the fund’s average investments in long and short futures contracts represented 3% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
20
Explorer Value Fund
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund 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 on the next business day. The fund 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 fund 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 fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund 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.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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 fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, 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. 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 Frontier Capital Management Co., LLC, Cardinal Capital Management, L.L.C., and Sterling Capital Management LLC each provide investment advisory services to a portion of the fund for a fee calculated at an annual percentage rate of average net assets managed by the advisor. The basic fee of Frontier Capital Management Co., LLC, is subject to quarterly adjustments based on performance relative to the Russell 2000 Value Index for the preceding three years. The basic fee of Cardinal Capital Management, L.L.C., is subject to quarterly adjustments based on performance relative to the Russell Mid-Cap Value Custom Cap-Range Index for periods prior to March 1, 2015, and the new benchmark, Russell 3000
21
Explorer Value Fund
Value Custom Index, beginning March 1, 2015, for the preceding three years. The new benchmark will be fully phased in by February 2018. The basic fee of Sterling Capital Management LLC is subject to quarterly adjustments based on performance relative to the Russell 2500 Value Index for the preceding three years.
Vanguard manages the cash reserves of the fund as described below.
For the six months ended February 29, 2016, the aggregate investment advisory fee represented an effective annual basic rate of 0.36% of the fund’s average net assets, before a net increase of $19,000 (0.01%) based on performance.
C. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund 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 fund 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 fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $25,000, representing 0.01% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
D. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 258,345 | — | — |
| Temporary Cash Investments | 15,215 | 600 | — |
| Futures Contracts—Liabilities1 | (24) | — | — |
| Total | 273,536 | 600 | — |
| 1 Represents variation margin on the last day of the reporting period. |
22
Explorer Value Fund
E. At February 29, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini Russell 2000 Index | March 2016 | 62 | 6,397 | (335) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
F. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
At February 29, 2016, the cost of investment securities for tax purposes was $262,192,000. Net unrealized appreciation of investment securities for tax purposes was $11,968,000, consisting of unrealized gains of $40,129,000 on securities that had risen in value since their purchase and $28,161,000 in unrealized losses on securities that had fallen in value since their purchase.
G. During the six months ended February 29, 2016, the fund purchased $42,361,000 of investment securities and sold $40,312,000 of investment securities, other than temporary cash investments.
H. Capital shares issued and redeemed were:
| Six Months Ended | Year Ended | |
| February 29, 2016 | August 31, 2015 | |
| Shares | Shares | |
| (000) | (000) | |
| Issued | 876 | 1,703 |
| Issued in Lieu of Cash Distributions | 569 | 548 |
| Redeemed | (883) | (2,356) |
| Net Increase (Decrease) in Shares Outstanding | 562 | (105) |
I. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
23
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
24
| Six Months Ended February 29, 2016 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Explorer Value Fund | 8/31/2015 | 2/29/2016 | Period |
| Based on Actual Fund Return | $1,000.00 | $946.00 | $2.81 |
| Based on Hypothetical 5% Yearly Return | 1,000.00 | 1,021.98 | 2.92 |
| The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratio for that period is 0.58%. 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 (182/366). | |||
25
Trustees Approve Advisory Arrangements
The board of trustees of Vanguard Explorer Value Fund has renewed the fund’s investment advisory arrangements with Cardinal Capital Management, L.L.C. (Cardinal), Frontier Capital Management Co., LLC (Frontier), and Sterling Capital Management LLC (Sterling). The board determined that renewing the fund’s advisory arrangements was in the best interests of the fund and its shareholders.
The board based its decisions upon an evaluation of each advisor’s investment staff, portfolio management process, and performance. The trustees considered the factors discussed below, among others. However, no single factor determined whether the board approved the arrangements. Rather, it was the totality of the circumstances that drove the board’s decision.
Nature, extent, and quality of services
The board reviewed the quality of the fund’s investment management services since its inception in 2010, and took into account the organizational depth and stability of each advisor. The board considered the following:
Cardinal. Founded in 1995, Cardinal is an investment advisor that manages small- and mid-cap value portfolios. Cardinal utilizes fundamental research to analyze a company’s ability to generate free cash flow and deploy that cash flow efficiently, enhancing shareholder value. Cardinal’s analysts engage extensively with company management teams to understand their capital allocation decisions. Cardinal seeks to purchase companies that can generate superior cash flow and make value-creating capital allocation decisions at suppressed valuations. Cardinal has advised a portion of the fund since the fund’s inception.
Frontier. Founded in 1980, Frontier is an investment advisor with a long history of investing in small- and mid-cap stocks. Frontier employs a relative value approach that focuses on identifying companies with solid business models, unrecognized earnings power, and attractive valuations. The portfolio managers are supported by Frontier’s deep team of sector-focused analysts and other small- and mid-cap portfolio managers. Frontier has advised a portion of the fund since the fund’s inception.
Sterling. Founded in 1970, Sterling is an investment advisor that manages fixed income and equity portfolios, with the latter focused on small- and mid-sized companies. Sterling uses a value-oriented strategy that seeks to identify stocks of quality companies selling at large discounts compared with the underlying value of the business. Sterling defines quality companies as those that generate considerable cash flow, offer reinvestment opportunities with attractive returns, and enjoy competitive advantages in their business sector. Sterling has advised a portion of the fund since the fund’s inception.
The board concluded that each advisor’s experience, stability, depth, and performance, among other factors, warranted continuation of the advisory arrangements.
Investment performance
The board considered the performance of the fund and each advisor since the fund’s inception, including any periods of outperformance or underperformance relative to a benchmark index and peer group. The board concluded that the performance was such that each advisory arrangement should continue. Information about the fund’s performance since inception can be found in the Performance Summary section of this report.
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Cost
The board concluded that the fund’s expense ratio was well below the average expense ratio charged by funds in its peer group and that the fund’s advisory fee rate was also well below its peer-group average. Information about the fund’s expenses appears in the About Your Fund’s Expenses section of this report as well as in the Financial Statements section, which also includes information about the fund’s advisory fee rate.
The board did not consider profitability of Cardinal, Frontier, or Sterling 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 fund’s shareholders benefit from economies of scale because of breakpoints in the advisory fee schedule for Cardinal, Frontier, and Sterling. The breakpoints reduce the effective rate of the fees as the fund’s assets managed by each advisor increase.
The board will consider whether to renew the advisory arrangements again after a one-year period.
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
28
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
29
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
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 196 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
| InterestedTrustee1 | Rajiv L. Gupta |
| Born 1945. Trustee Since December 2001.2 Principal | |
| F. William McNabb III | Occupation(s) During the Past Five Years and Other |
| Born 1957. Trustee Since July 2009. Chairman of | Experience: Chairman and Chief Executive Officer |
| the Board. Principal Occupation(s) During the Past | (retired 2009) and President (2006–2008) of |
| Five Years and Other Experience: Chairman of the | Rohm and Haas Co. (chemicals); Director of Tyco |
| Board of The Vanguard Group, Inc., and of each of | International PLC (diversified manufacturing and |
| the investment companies served by The Vanguard | services), HP Inc. (printer and personal computer |
| Group, since January 2010; Director of The Vanguard | manufacturing), and Delphi Automotive PLC |
| Group since 2008; Chief Executive Officer and | (automotive components); Senior Advisor at |
| President of The Vanguard Group, and of each of | New Mountain Capital. |
| the investment companies served by The Vanguard | |
| Group, since 2008; Director of Vanguard Marketing | Amy Gutmann |
| Corporation; Managing Director of The Vanguard | Born 1949. Trustee Since June 2006. Principal |
| Group (1995–2008). | Occupation(s) During the Past Five Years and |
| Other Experience: President of the University of | |
| IndependentTrustees | Pennsylvania; Christopher H. Browne Distinguished |
| Professor of Political Science, School of Arts and | |
| Emerson U. Fullwood | Sciences, and Professor of Communication, Annenberg |
| Born 1948. Trustee Since January 2008. Principal | School for Communication, with secondary faculty |
| Occupation(s) During the Past Five Years and Other | appointments in the Department of Philosophy, School |
| Experience: Executive Chief Staff and Marketing | of Arts and Sciences, and at the Graduate School of |
| Officer for North America and Corporate Vice President | Education, University of Pennsylvania; Trustee of the |
| (retired 2008) of Xerox Corporation (document manage- | National Constitution Center; Chair of the Presidential |
| ment products and services); Executive in Residence | Commission for the Study of Bioethical Issues. |
| and 2009–2010 Distinguished Minett Professor at | |
| the Rochester Institute of Technology; Lead Director | JoAnn Heffernan Heisen |
| of SPX FLOW, Inc. (multi-industry manufacturing); | Born 1950. Trustee Since July 1998. Principal |
| Director of the United Way of Rochester, the University | Occupation(s) During the Past Five Years and |
| of Rochester Medical Center, Monroe Community | Other Experience: Corporate Vice President and |
| College Foundation, North Carolina A&T University, | Chief Global Diversity Officer (retired 2008) and |
| and Roberts Wesleyan College. | Member of the Executive Committee (1997–2008) |
| of Johnson & Johnson (pharmaceuticals/medical | |
| devices/consumer products); Director of Skytop | |
| Lodge Corporation (hotels) and the Robert Wood | |
| Johnson Foundation; Member of the Advisory | |
| Board of the Institute for Women’s Leadership | |
| at Rutgers University. | |
| F. Joseph Loughrey | Executive Officers | |
| Born 1949. Trustee Since October 2009. Principal | ||
| Occupation(s) During the Past Five Years and Other | Glenn Booraem | |
| Experience: President and Chief Operating Officer | Born 1967. Treasurer Since May 2015. Principal | |
| (retired 2009) of Cummins Inc. (industrial machinery); | Occupation(s) During the Past Five Years and | |
| Chairman of the Board of Hillenbrand, Inc. (specialized | Other Experience: Principal of The Vanguard Group, | |
| consumer services), and of Oxfam America; Director | Inc.; Treasurer of each of the investment companies | |
| of SKF AB (industrial machinery), Hyster-Yale Materials | served by The Vanguard Group; Controller of each of | |
| Handling, Inc. (forklift trucks), the Lumina Foundation | the investment companies served by The Vanguard | |
| for Education, and the V Foundation for Cancer | Group (2010–2015); Assistant Controller of each of | |
| Research; Member of the Advisory Council for the | the investment companies served by The Vanguard | |
| College of Arts and Letters and of the Advisory Board | Group (2001–2010). | |
| to the Kellogg Institute for International Studies, both | ||
| at the University of Notre Dame. | Thomas J. Higgins | |
| Born 1957. Chief Financial Officer Since September | ||
| Mark Loughridge | 2008. Principal Occupation(s) During the Past Five | |
| Born 1953. Trustee Since March 2012. Principal | Years and Other Experience: Principal of The Vanguard | |
| Occupation(s) During the Past Five Years and Other | Group, Inc.; Chief Financial Officer of each of the | |
| Experience: Senior Vice President and Chief Financial | investment companies served by The Vanguard Group; | |
| Officer (retired 2013) at IBM (information technology | Treasurer of each of the investment companies served | |
| services); Fiduciary Member of IBM’s Retirement Plan | by The Vanguard Group (1998–2008). | |
| Committee (2004–2013); Director of the Dow Chemical | ||
| Company; Member of the Council on Chicago Booth. | Peter Mahoney | |
| Born 1974. Controller Since May 2015. Principal | ||
| Scott C. Malpass | Occupation(s) During the Past Five Years and | |
| Born 1962. Trustee Since March 2012. Principal | Other Experience: Head of Global Fund Accounting | |
| Occupation(s) During the Past Five Years and Other | at The Vanguard Group, Inc.; Controller of each of the | |
| Experience: Chief Investment Officer and Vice | investment companies served by The Vanguard Group; | |
| President at the University of Notre Dame; Assistant | Head of International Fund Services at The Vanguard | |
| Professor of Finance at the Mendoza College of | Group (2008–2014). | |
| Business at Notre Dame; Member of the Notre Dame | ||
| 403(b) Investment Committee, the Board of Advisors | Heidi Stam | |
| for Spruceview Capital Partners, and the Investment | Born 1956. Secretary Since July 2005. Principal | |
| Advisory Committee of Major League Baseball; Board | Occupation(s) During the Past Five Years and Other | |
| Member of TIFF Advisory Services, Inc., and Catholic | Experience: Managing Director of The Vanguard | |
| Investment Services, Inc. (investment advisors). | Group, Inc.; General Counsel of The Vanguard Group; | |
| Secretary of The Vanguard Group and of each of the | ||
| André F. Perold | investment companies served by The Vanguard Group; | |
| Born 1952. Trustee Since December 2004. Principal | Director and Senior Vice President of Vanguard | |
| Occupation(s) During the Past Five Years and Other | Marketing Corporation. | |
| Experience: George Gund Professor of Finance and | ||
| Banking, Emeritus at the Harvard Business School | Vanguard Senior ManagementTeam | |
| (retired 2011); Chief Investment Officer and Managing | Mortimer J. Buckley | James M. Norris |
| Partner of HighVista Strategies LLC (private investment | Kathleen C. Gubanich | Thomas M. Rampulla |
| firm); Director of Rand Merchant Bank; Overseer of | Martha G. King | Glenn W. Reed |
| the Museum of Fine Arts Boston. | John T. Marcante | Karin A. Risi |
| Chris D. McIsaac | ||
| Peter F. Volanakis | ||
| Born 1955. Trustee Since July 2009. Principal | Chairman Emeritus and Senior Advisor | |
| Occupation(s) During the Past Five Years and Other | John J. Brennan | |
| Experience: President and Chief Operating Officer | Chairman, 1996–2009 | |
| (retired 2010) of Corning Incorporated (communications | Chief Executive Officer and President, 1996–2008 | |
| equipment); Trustee of Colby-Sawyer College and | ||
| Chairman of its Finance and Enrollment Committee; | Founder | |
| Member of the Advisory Board of the Norris Cotton | John C. Bogle | |
| Cancer Center. | Chairman and Chief Executive Officer, 1974–1996 | |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
 | |
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| This material may be used in conjunction | |
| with the offering of shares of any Vanguard | |
| fund only if preceded or accompanied by | |
| the fund’s current prospectus. | |
| All comparative mutual fund data are from Lipper, a | |
| Thomson Reuters Company, or Morningstar, Inc., unless | |
| otherwise noted. | |
| 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, 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 sec.gov. | |
| You can review and copy information about your fund at | |
| the SEC’s Public Reference Room in Washington, D.C. To | |
| find out more about this public service, call the SEC at | |
| 202-551-8090. Information about your fund is also | |
| available on the SEC’s website, and you can receive | |
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| Commission, Washington, DC 20549-1520. | |
| © 2016 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q16902 042016 | |
Semiannual Report | February 29, 2016
Vanguard Russell 1000 Index Funds
Vanguard Russell 1000 Index Fund
Vanguard Russell 1000 Value Index Fund
Vanguard Russell 1000 Growth Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Russell 1000 Index Fund. | 8 |
| Russell 1000 Value Index Fund. | 23 |
| Russell 1000 Growth Index Fund. | 38 |
| About Your Fund’s Expenses. | 53 |
| Glossary. | 55 |
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.
See the Glossary for definitions of investment terms used in this report.
About the cover: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns
| Six Months Ended February 29, 2016 | |
| Total | |
| Returns | |
| Vanguard Russell 1000 Index Fund | |
| ETF Shares | |
| Market Price | -2.16% |
| Net Asset Value | -2.10 |
| Institutional Shares | -2.08 |
| Russell 1000 Index | -2.03 |
| Large-Cap Core Funds Average | -3.04 |
| Large-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Vanguard Russell 1000 Value Index Fund | |
| ETF Shares | |
| Market Price | -2.95% |
| Net Asset Value | -2.91 |
| Institutional Shares | -2.88 |
| Russell 1000 Value Index | -2.87 |
| Large-Cap Value Funds Average | -4.90 |
| Large-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Vanguard Russell 1000 Growth Index Fund | |
| ETF Shares | |
| Market Price | -1.28% |
| Net Asset Value | -1.27 |
| Institutional Shares | -1.25 |
| Russell 1000 Growth Index | -1.22 |
| Large-Cap Growth Funds Average | -4.43 |
Large-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
1
Chairman’s Letter
Dear Shareholder,
After posting mostly strong returns in the years since the financial crisis of 2008–2009, the broad U.S. stock market sagged over the six months ended February 29, 2016. Growth stocks were ahead of value stocks, both finished with negative returns, and large-capitalization stocks outperformed mid- and small-caps.
All three funds reviewed in this report successfully tracked their target indexes and surpassed the average returns of their peers. Vanguard Russell 1000 Growth Index Fund returned about –1%, and Vanguard Russell 1000 Value Index Fund finished at about –3%. Vanguard Russell 1000 Index Fund, a blend of growth and value stocks, returned about –2%.
Stocks mostly slumped over the fiscal half year
U.S. stocks returned about –3% for the period. Results were negative in four of the six months. Only October’s return of about 8% prevented an even weaker performance for the half year.
Fears that China’s economic slowdown would spread globally weighed on results. Oil and commodity prices, which declined through most of the period before showing some resilience in February, also concerned investors.
2
In December, the Federal Reserve increased its target for short-term interest rates to 0.25%–0.5%. Central banks in Europe and Asia, in contrast, boosted stimulus efforts to battle weak growth and low inflation.
International stocks returned about –9%, a result that would have been less severe if not for the U.S. dollar’s strength against many foreign currencies. European stocks were among the worst performers.
Bonds registered gains as investors cut their risk
The broad U.S. taxable bond market returned 2.20% over the six months. Most of the gains came in January and February as investors sought safe-haven assets amid stock market turmoil.
The yield of the 10-year U.S. Treasury note ended February at 1.74%, down from 2.18% six months earlier. (Bond prices and yields move in opposite directions.)
The Fed’s target rate, which had stayed anchored at 0%–0.25% until the small rise in December, kept a lid on returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 3.13%. Bonds globally have been buoyed by negative interest rates. In December the European Central Bank cut a key rate further into negative territory, and in late January the Bank of Japan adopted a negative-rate policy.
| Market Barometer | |||
| Total Returns | |||
| Periods Ended February 29, 2016 | |||
| Six | One | Five Years | |
| Months | Year | (Annualized) | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | -2.03% | -7.21% | 9.92% |
| Russell 2000 Index (Small-caps) | -10.16 | -14.97 | 6.11 |
| Russell 3000 Index (Broad U.S. market) | -2.68 | -7.84 | 9.61 |
| FTSE All-World ex US Index (International) | -9.12 | -16.79 | -0.89 |
| Bonds | |||
| Barclays U.S. Aggregate Bond Index (Broad taxable market) | 2.20% | 1.50% | 3.60% |
| Barclays Municipal Bond Index (Broad tax-exempt market) | 3.62 | 3.95 | 5.45 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.06 | 0.04 |
| CPI | |||
| Consumer Price Index | -0.51% | 1.02% | 1.39% |
3
Utilities led the field; energy stocks lagged
The three Russell 1000 Index Funds provide exposure to the largest companies in the U.S. stock market. Investors may choose to invest broadly in the large-cap segment of the market through the Russell 1000 Index Fund, which represents more than 90% of the market’s total value. Or they may focus on the growth or value segment through one of the other funds.
Although stocks of all capitalizations declined over the six months, large-caps fared noticeably better than mid- and small-caps. When markets are volatile, investors tend to gravitate more toward larger companies, which generally provide more predictable earnings, steadier returns, and higher yields.
In a similar vein, the industry sectors viewed as defensive tend to be more attractive to investors during periods of uncertainty or volatility. When the economic picture and the financial markets are unsettled, companies that meet consumers’ primary needs are likely to be more resilient. That was certainly the case over the recent six-month period, as utilities and consumer staples outpaced the other industry sectors.
Utilities stocks were the top performers for all three funds, with returns in the neighborhood of 12%. These companies generally deliver relatively large dividends and reliable results as they provide essentials such as electricity, natural gas, water, telephone service, and wireless
| Expense Ratios | |||
| Your Fund Compared With Its Peer Group | |||
| ETF | Institutional | Peer Group | |
| Shares | Shares | Average | |
| Russell 1000 Index Fund | 0.12% | 0.08% | 1.11% |
| Russell 1000 Value Index Fund | 0.12 | 0.08 | 1.10 |
| Russell 1000 Growth Index Fund | 0.12 | 0.08 | 1.17 |
The fund expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the funds’ annualized expense ratios were: for the Russell 1000 Index Fund, 0.11% for ETF Shares and 0.07% for Institutional Shares; for the Russell 1000 Value Index Fund, 0.11% for ETF Shares and 0.07% for Institutional Shares; and for the Russell 1000 Growth Index Fund, 0.10% for ETF Shares and 0.07% for Institutional Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2015.
Peer groups: For the Russell 1000 Index Fund, Large-Cap Core Funds; for the Russell 1000 Value Index Fund, Large-Cap Value Funds; and for the Russell 1000 Growth Index Fund, Large-Cap Growth Funds.
4
communication. Electrical and telecommunications utilities contributed most of the sector’s returns over the period.
Next in line for all three funds were consumer staples stocks. Returns ranged from more than 7% for the Value Index Fund to nearly 9% for the Growth Index Fund. Most of the returns came from personal care, soft drink, and tobacco companies.
The energy sector recorded the poorest results for all three funds. Returns ranged from about –11% for the Value Index Fund to about –41% for the Growth Index Fund,
| Vanguard’s growth translates into lower costs for you |
| Research indicates that lower-cost investments have tended to outperform higher-cost ones. So it’s little wonder that funds with lower expense ratios—including those at Vanguard—have dominated the industry’s cash inflows in recent years. |
| Vanguard has long been a low-cost leader, with expenses well below those of many other investment management companies. That cost difference remains a powerful advantage for Vanguard clients. Why? Because a lower expense ratio allows a fund to pass along a greater share of its returns to its investors. |
| What’s more, as you can see in the chart below, we’ve been able to lower our costs continually as our assets under management have grown. Our steady growth has not been an explicit business objective. Rather, we focus on putting our clients’ interests first at all times, and giving them the best chance for investment success. But economies of scale—the cost efficiencies that come with our growth—have allowed us to keep lowering our fund costs, even as we invest in our people and technology. |
| The benefit of economies of scale |
5
which had less than 1% exposure to the troubled sector. Although lower oil prices helped consumers, they punished the energy industry in general. Crude oil producers, gas pipeline firms, and oil well equipment and services companies hurt results most. As a group, integrated oil and gas companies declined but held up better than others in the sector. Some of the giants in this segment advanced.
The financial services sector detracted from the returns of all three funds, particularly the Value Index Fund, which had an exposure of about 30% on average. Commercial and investment banks, asset managers, insurance companies, and consumer lenders struggled. All three funds also were saddled with negative results from health care, materials and processing, and consumer discretionary stocks. The producer durables sector held up better, producing single-digit gains; the technology sector was mostly flat.
Doing what’s best for clients: That’s how we were built
It’s hard for me to believe, but this year will be my 30th with Vanguard. I knew little about the company when I started in June 1986, but I soon learned what makes Vanguard unique.
Simply put, we’re built differently.
We don’t have stockholders or outside owners. Instead, Vanguard is owned by its funds, which in turn are owned by you—Vanguard clients.
This structure matters because it ensures that our interests are completely aligned with those of our clients. We never have to weigh what’s best for clients against what’s best for the company’s owners; their interests are one and the same. Our client-owned structure is what allows us to run our funds at cost, and it’s why Vanguard’s expense ratios remain among the lowest in the industry. (See the insight box on page 5 for more on this.)
At the same time, we continually dedicate resources to enhance Vanguard’s service and investment capabilities. We aspire to provide the highest possible quality at the lowest possible price. That was true 30 years ago, it’s true today, and it will remain our focus for decades to come. After all, we’re built to put the long-term interests of our clients first.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2016
6
| Your Fund’s Performance at a Glance | ||||
| August 31, 2015, Through February 29, 2016 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Russell 1000 Index Fund | ||||
| ETF Shares | $91.37 | $88.51 | $0.976 | $0.000 |
| Institutional Shares | 176.99 | 171.45 | 1.919 | 0.000 |
| Vanguard Russell 1000 Value Index Fund | ||||
| ETF Shares | $84.77 | $81.17 | $1.165 | $0.000 |
| Institutional Shares | 165.50 | 158.48 | 2.300 | 0.000 |
| Vanguard Russell 1000 Growth Index Fund | ||||
| ETF Shares | $98.24 | $96.22 | $0.798 | $0.000 |
| Institutional Shares | 188.88 | 185.00 | 1.563 | 0.000 |
7
Russell 1000 Index Fund
Fund Profile
As of February 29, 2016
| Share-Class Characteristics | ||
| ETF | Institutional | |
| Shares | Shares | |
| Ticker Symbol | VONE | VRNIX |
| Expense Ratio1 | 0.12% | 0.08% |
| 30-Day SEC Yield | 2.10% | 2.15% |
| Portfolio Characteristics | |||
| DJ | |||
| U.S. | |||
| Russell | Total | ||
| 1000 | Market | ||
| Fund | Index FA Index | ||
| Number of Stocks | 1,027 | 1,025 | 3,906 |
| Median Market Cap | $57.8B | $57.8B | $50.4B |
| Price/Earnings Ratio | 19.6x | 19.5x | 20.1x |
| Price/Book Ratio | 2.6x | 2.6x | 2.5x |
| Return on Equity | 18.2% | 18.0% | 17.5% |
| Earnings Growth Rate | 8.3% | 8.3% | 8.4% |
| Dividend Yield | 2.2% | 2.2% | 2.2% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 4% | — | — |
| Short-Term Reserves | 0.0% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ | |||
| U.S. | |||
| Total | |||
| Russell | Market | ||
| 1000 | FA | ||
| Fund | Index | Index | |
| Consumer Discretionary 14.9% | 15.0% | 15.0% | |
| Consumer Staples | 8.9 | 8.9 | 8.5 |
| Energy | 6.3 | 6.2 | 6.0 |
| Financial Services | 18.7 | 18.7 | 19.3 |
| Health Care | 14.1 | 14.1 | 14.1 |
| Materials & Processing | 3.5 | 3.5 | 3.6 |
| Producer Durables | 10.9 | 11.0 | 10.9 |
| Technology | 16.8 | 16.7 | 16.7 |
| Utilities | 5.9 | 5.9 | 5.9 |
| Volatility Measures | ||
| DJ | ||
| Russell | U.S. Total | |
| 1000 | Market | |
| Index | FA Index | |
| R-Squared | 1.00 | 1.00 |
| Beta | 1.00 | 0.99 |
| These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
| Ten Largest Holdings (% of total net assets) | ||
| Apple Inc. | Computer | |
| Technology | 2.9% | |
| Alphabet Inc. | Computer Services | |
| Software & Systems | 2.1 | |
| Microsoft Corp. | Computer Services | |
| Software & Systems | 2.1 | |
| Exxon Mobil Corp. | Oil: Integrated | 1.7 |
| Johnson & Johnson | Pharmaceuticals | 1.5 |
| General Electric Co. | Diversified | |
| Manufacturing | ||
| Operations | 1.4 | |
| Berkshire Hathaway Inc. | Insurance: Multi-Line | 1.3 |
| Facebook Inc. | Computer Services | |
| Software & Systems | 1.2 | |
| AT&T Inc. | Utilities: | |
| Telecommunications | 1.2 | |
| Wells Fargo & Co. | Banks: Diversified | 1.1 |
| Top Ten | 16.5% | |
| The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratios were 0.11% for ETF Shares and 0.07% for Institutional Shares.
8
Russell 1000 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 29, 2016
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
| Inception | One | Five | Since | |
| Date | Year | Years | Inception | |
| ETF Shares | 9/20/2010 | |||
| Market Price | 0.78% | 12.31% | 13.90% | |
| Net Asset Value | 0.82 | 12.31 | 13.90 | |
| Institutional Shares | 10/15/2010 | 0.87 | 12.36 | 13.46 |
See Financial Highlights for dividend and capital gains information.
9
Russell 1000 Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2016
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| Common Stocks | |||
| Consumer Discretionary | |||
| Amazon.com Inc. | 37,044 | 20,468 | 1.1% |
| Walt Disney Co. | 165,044 | 15,765 | 0.8% |
| Home Depot Inc. | 126,396 | 15,688 | 0.8% |
| Comcast Corp. Class A | 243,555 | 14,060 | 0.8% |
| McDonald’s Corp. | 93,057 | 10,905 | 0.6% |
| Wal-Mart Stores Inc. | 153,258 | 10,167 | 0.6% |
| Starbucks Corp. | 145,646 | 8,478 | 0.5% |
| NIKE Inc. Class B | 131,596 | 8,105 | 0.4% |
| Consumer Discretionary—Other † | 174,408 | 9.3% | |
| 278,044 | 14.9% | ||
| Consumer Staples | |||
| Procter & Gamble Co. | 263,705 | 21,173 | 1.1% |
| Coca-Cola Co. | 381,198 | 16,441 | 0.9% |
| PepsiCo Inc. | 143,670 | 14,054 | 0.8% |
| Philip Morris International Inc. | 150,701 | 13,718 | 0.7% |
| Altria Group Inc. | 190,850 | 11,751 | 0.6% |
| CVS Health Corp. | 109,540 | 10,644 | 0.6% |
| Consumer Staples—Other † | 77,475 | 4.1% | |
| 165,256 | 8.8% | ||
| Energy | |||
| Exxon Mobil Corp. | 406,467 | 32,578 | 1.7% |
| Chevron Corp. | 182,838 | 15,256 | 0.8% |
| Schlumberger Ltd. | 123,292 | 8,843 | 0.5% |
| Energy—Other † | 60,112 | 3.2% | |
| 116,789 | 6.2% | ||
| Financial Services | |||
| Berkshire Hathaway Inc. Class B | 180,811 | 24,259 | 1.3% |
| Wells Fargo & Co. | 452,781 | 21,244 | 1.1% |
| JPMorgan Chase & Co. | 360,681 | 20,306 | 1.1% |
| Visa Inc. Class A | 190,492 | 13,790 | 0.7% |
10
Russell 1000 Index Fund
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| Bank of America Corp. | 1,021,280 | 12,786 | 0.7% |
| Citigroup Inc. | 295,168 | 11,467 | 0.6% |
| MasterCard Inc. Class A | 97,105 | 8,440 | 0.5% |
| Financial Services—Other † | 235,333 | 12.6% | |
| 347,625 | 18.6% | ||
| Health Care | |||
| Johnson & Johnson | 269,555 | 28,360 | 1.5% |
| Pfizer Inc. | 598,418 | 17,755 | 0.9% |
| Merck & Co. Inc. | 274,775 | 13,796 | 0.7% |
| Gilead Sciences Inc. | 143,021 | 12,479 | 0.7% |
| Allergan plc | 38,088 | 11,050 | 0.6% |
| UnitedHealth Group Inc. | 92,693 | 11,040 | 0.6% |
| Medtronic plc | 138,344 | 10,706 | 0.6% |
| Amgen Inc. | 73,829 | 10,504 | 0.6% |
| Bristol-Myers Squibb Co. | 161,726 | 10,016 | 0.5% |
| AbbVie Inc. | 160,610 | 8,771 | 0.5% |
| Celgene Corp. | 76,966 | 7,760 | 0.4% |
| Health Care—Other † | 119,612 | 6.4% | |
| 261,849 | 14.0% | ||
| Materials & Processing † | 64,694 | 3.5% | |
| 1Other † | 3 | 0.0% | |
| Producer Durables | |||
| General Electric Co. | 914,005 | 26,634 | 1.5% |
| 3M Co. | 61,552 | 9,656 | 0.5% |
| Boeing Co. | 67,092 | 7,929 | 0.4% |
| United Technologies Corp. | 81,350 | 7,860 | 0.4% |
| Producer Durables—Other † | 151,558 | 8.1% | |
| 203,637 | 10.9% | ||
| Technology | |||
| Apple Inc. | 560,432 | 54,188 | 2.9% |
| Microsoft Corp. | 787,030 | 40,044 | 2.1% |
| Facebook Inc. Class A | 210,331 | 22,489 | 1.2% |
| Alphabet Inc. Class A | 28,016 | 20,094 | 1.1% |
| Alphabet Inc. Class C | 28,593 | 19,951 | 1.1% |
| Intel Corp. | 461,349 | 13,651 | 0.7% |
| Cisco Systems Inc. | 494,640 | 12,950 | 0.7% |
| International Business Machines Corp. | 88,161 | 11,552 | 0.6% |
| Oracle Corp. | 307,433 | 11,307 | 0.6% |
| Technology—Other † | 105,624 | 5.7% | |
| 311,850 | 16.7% | ||
| Utilities | |||
| AT&T Inc. | 591,644 | 21,861 | 1.1% |
| Verizon Communications Inc. | 396,341 | 20,106 | 1.1% |
| Utilities—Other † | 68,888 | 3.7% | |
| 110,855 | 5.9% | ||
| Total Common Stocks (Cost $1,775,671) | 1,860,602 | 99.5%2 | |
11
Russell 1000 Index Fund
| Market | Percentage | |||
| Value• | of Net | |||
| Coupon | Shares | ($000) | Assets | |
| Temporary Cash Investments | ||||
| Money Market Fund | ||||
| 3,4 Vanguard Market Liquidity Fund | 0.475% | 5,766,919 | 5,767 | 0.3% |
| 5U.S. Government and Agency Obligations † | 699 | 0.0% | ||
| Total Temporary Cash Investments (Cost $6,466) | 6,466 | 0.3%2 | ||
| 6Total Investments (Cost $1,782,137) | 1,867,068 | 99.8% | ||
| Amount | ||||
| $000) | ||||
| Other Assets and Liabilities | ||||
| Other Assets | ||||
| Investment in Vanguard | 168 | |||
| Receivables for Investment Securities Sold | 2,456 | |||
| Receivables for Accrued Income | 4,328 | |||
| Receivables for Capital Shares Issued | 389 | |||
| Other Assets | 1 | |||
| Total Other Assets | 7,342 | 0.4% | ||
| Liabilities | ||||
| Payables for Investment Securities Purchased | (1,121) | |||
| Collateral for Securities on Loan | (2,765) | |||
| Payables for Capital Shares Redeemed | (1) | |||
| Payables to Vanguard | (497) | |||
| Other Liabilities | (43) | |||
| Total Liabilities | (4,427) | (0.2%) | ||
| Net Assets | 1,869,983 | 100.0% | ||
12
Russell 1000 Index Fund
| At February 29, 2016, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 1,790,579 |
| Undistributed Net Investment Income | 5,759 |
| Accumulated Net Realized Losses | (11,210) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 84,931 |
| Futures Contracts | (76) |
| Net Assets | 1,869,983 |
| ETF Shares—Net Assets | |
| Applicable to 6,600,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 584,136 |
| Net Asset Value Per Share—ETF Shares | $88.51 |
| Institutional Shares—Net Assets | |
| Applicable to 7,499,768 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,285,847 |
| Net Asset Value Per Share—Institutional Shares | $171.45 |
• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 “Other” represents securities that are not classified by the fund’s benchmark index.
2 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and -0.2%, respectively, of net assets.
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 Includes $2,765,000 of collateral received for securities on loan.
5 Securities with a value of $399,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $2,643,000.
See accompanying Notes, which are an integral part of the Financial Statements.
13
Russell 1000 Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 19,595 |
| Interest1 | 15 |
| Securities Lending | 80 |
| Total Income | 19,690 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 174 |
| Management and Administrative—ETF Shares | 180 |
| Management and Administrative—Institutional Shares | 234 |
| Marketing and Distribution—ETF Shares | 24 |
| Marketing and Distribution—Institutional Shares | 18 |
| Custodian Fees | 115 |
| Shareholders’ Reports—ETF Shares | 4 |
| Shareholders’ Reports—Institutional Shares | 1 |
| Total Expenses | 750 |
| Net Investment Income | 18,940 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 10,595 |
| Futures Contracts | (941) |
| Realized Net Gain (Loss) | 9,654 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (72,393) |
| Futures Contracts | 317 |
| Change in Unrealized Appreciation (Depreciation) | (72,076) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (43,482) |
| 1 Interest income from an affiliated company of the fund was $14,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
Russell 1000 Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 18,940 | 31,173 |
| Realized Net Gain (Loss) | 9,654 | 126,340 |
| Change in Unrealized Appreciation (Depreciation) | (72,076) | (161,151) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (43,482) | (3,638) |
| Distributions | ||
| Net Investment Income | ||
| ETF Shares | (5,923) | (8,056) |
| Institutional Shares | (13,951) | (21,001) |
| Realized Capital Gain | ||
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (19,874) | (29,057) |
| Capital Share Transactions | ||
| ETF Shares | 90,308 | 142,037 |
| Institutional Shares | 78,065 | 331,383 |
| Net Increase (Decrease) from Capital Share Transactions | 168,373 | 473,420 |
| Total Increase (Decrease) | 105,017 | 440,725 |
| Net Assets | ||
| Beginning of Period | 1,764,966 | 1,324,241 |
| End of Period1 | 1,869,983 | 1,764,966 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $5,759,000 and $6,693,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
15
Russell 1000 Index Fund
Financial Highlights
| ETF Shares | ||||||
| Six Months | Sept. 20, | |||||
| Ended | 20101 to | |||||
| Year Ended August 31, | ||||||
| For a Share Outstanding | February 29, | Aug. 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $91.37 | $92.70 | $75.40 | $64.29 | $55.94 | $51.78 |
| Investment Operations | ||||||
| Net Investment Income | .903 | 1.679 | 1.553 | 1.444 | 1.176 | .736 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (2.787) | (1.355) | 17.272 | 11.068 | 8.307 | 3.957 |
| Total from Investment Operations | (1.884) | .324 | 18.825 | 12.512 | 9.483 | 4.693 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.976) | (1.654) | (1.525) | (1.402) | (1.133) | (.533) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.976) | (1.654) | (1.525) | (1.402) | (1.133) | (.533) |
| Net Asset Value, End of Period | $88.51 | $91.37 | $92.70 | $75.40 | $64.29 | $55.94 |
| Total Return | -2.10% | 0.29% | 25.18% | 19.70% | 17.19% | 9.02% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $584 | $514 | $380 | $219 | $148 | $14 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.11% | 0.12% | 0.12% | 0.12% | 0.12% | 0.12%2 |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 2.07% | 1.84% | 1.85% | 2.09% | 2.06% | 1.86%2 |
| Portfolio Turnover Rate 3 | 4% | 4% | 7% | 11% | 36% | 20% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
16
Russell 1000 Index Fund
Financial Highlights
| Institutional Shares | ||||||
| Six Months | Oct. 15, | |||||
| Ended | 20101 to | |||||
| Year Ended August 31, | ||||||
| For a Share Outstanding | February 29, | Aug. 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $176.99 | $179.58 | $146.04 | $124.53 | $108.35 | $103.49 |
| Investment Operations | ||||||
| Net Investment Income | 1.775 | 3.329 | 3.060 | 2.850 | 2.314 | 1.348 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (5.396) | (2.641) | 33.485 | 21.424 | 16.100 | 4.569 |
| Total from Investment Operations | (3.621) | .688 | 36.545 | 24.274 | 18.414 | 5.917 |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.919) | (3.278) | (3.005) | (2.764) | (2.234) | (1.057) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.919) | (3.278) | (3.005) | (2.764) | (2.234) | (1.057) |
| Net Asset Value, End of Period | $171.45 | $176.99 | $179.58 | $146.04 | $124.53 | $108.35 |
| Total Return | -2.08% | 0.33% | 25.24% | 19.73% | 17.25% | 5.67% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $1,286 | $1,251 | $944 | $677 | $334 | $178 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08%2 |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 2.11% | 1.88% | 1.89% | 2.13% | 2.10% | 1.90%2 |
| Portfolio Turnover Rate 3 | 4% | 4% | 7% | 11% | 36% | 20% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,
including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
17
Russell 1000 Index Fund
Notes to Financial Statements
Vanguard Russell 1000 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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 fund’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 acquired over 60 days to maturity 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. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund 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 fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 six months ended February 29, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
18
Russell 1000 Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund 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 on the next business day. The fund 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 fund 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 fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund 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.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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 fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, 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. 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.
19
Russell 1000 Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $168,000, representing 0.01% of the fund’s net assets and 0.07% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 1,860,602 | — | — |
| Temporary Cash Investments | 5,767 | 699 | — |
| Futures Contracts—Assets1 | 1 | — | — |
| Futures Contracts—Liabilities1 | (43) | — | — |
| Total | 1,866,327 | 699 | — |
| 1 Represents variation margin on the last day of the reporting period. |
20
Russell 1000 Index Fund
D. At February 29, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini S&P 500 Index | March 2016 | 96 | 9,262 | (76) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $20,279,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. At August 31, 2015, the fund had available capital losses totaling $936,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $1,782,137,000.
Net unrealized appreciation of investment securities for tax purposes was $84,931,000, consisting of unrealized gains of $211,828,000 on securities that had risen in value since their purchase and $126,897,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $263,008,000 of investment securities and sold $96,419,000 of investment securities, other than temporary cash investments. Purchases and sales include $131,640,000 and $55,601,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
21
Russell 1000 Index Fund
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2016 | August 31, 2015 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued | 157,794 | 1,700 | 495,727 | 5,225 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (67,486) | (725) | (353,690) | (3,700) |
| Net Increase (Decrease)—ETF Shares | 90,308 | 975 | 142,037 | 1,525 |
| Institutional Shares | ||||
| Issued | 112,078 | 622 | 546,260 | 2,966 |
| Issued in Lieu of Cash Distributions | 12,786 | 72 | 19,253 | 105 |
| Redeemed | (46,799) | (263) | (234,130) | (1,260) |
| Net Increase (Decrease)—Institutional Shares | 78,065 | 431 | 331,383 | 1,811 |
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
22
Russell 1000 Value Index Fund
Fund Profile
As of February 29, 2016
| Share-Class Characteristics | ||
| ETF | Institutional | |
| Shares | Shares | |
| Ticker Symbol | VONV | VRVIX |
| Expense Ratio1 | 0.12% | 0.08% |
| 30-Day SEC Yield | 2.65% | 2.70% |
| Portfolio Characteristics | |||
| DJ | |||
| Russell | U.S. | ||
| 1000 | Total | ||
| Value | Market | ||
| Fund | Index | FA Index | |
| Number of Stocks | 686 | 686 | 3,906 |
| Median Market Cap | $51.4B | $51.4B | $50.4B |
| Price/Earnings Ratio | 17.9x | 17.7x | 20.1x |
| Price/Book Ratio | 1.7x | 1.7x | 2.5x |
| Return on Equity | 12.9% | 12.9% | 17.5% |
| Earnings Growth Rate | 3.9% | 3.9% | 8.4% |
| Dividend Yield | 2.8% | 2.8% | 2.2% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 3% | — | — |
| Short-Term Reserves | 0.0% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ | |||
| U.S. | |||
| Russell | Total | ||
| 1000 | Market | ||
| Value | FA | ||
| Fund | Index | Index | |
| Consumer Discretionary | 6.5% | 6.5% | 15.0% |
| Consumer Staples | 6.4 | 6.4 | 8.5 |
| Energy | 12.5 | 12.4 | 6.0 |
| Financial Services | 28.6 | 28.6 | 19.3 |
| Health Care | 12.1 | 12.1 | 14.1 |
| Materials & Processing | 3.0 | 3.0 | 3.6 |
| Producer Durables | 10.2 | 10.3 | 10.9 |
| Technology | 10.9 | 10.9 | 16.7 |
| Utilities | 9.8 | 9.8 | 5.9 |
| Volatility Measures | ||
| Russell | DJ | |
| 1000 | U.S. Total | |
| Value | Market | |
| Index | FA Index | |
| R-Squared | 1.00 | 0.96 |
| Beta | 1.00 | 0.96 |
| These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
| Ten Largest Holdings (% of total net assets) | ||
| Exxon Mobil Corp. | Oil: Integrated | 3.6% |
| General Electric Co. | Diversified | |
| Manufacturing | ||
| Operations | 3.0 | |
| Johnson & Johnson | Pharmaceuticals | 2.7 |
| Berkshire Hathaway Inc. | Insurance: Multi-Line | 2.5 |
| Wells Fargo & Co. | Banks: Diversified | 2.4 |
| Procter & Gamble Co. | Personal Care | 2.3 |
| JPMorgan Chase & Co. | Diversified Financial | |
| Services | 2.3 | |
| AT&T Inc. | Utilities: | |
| Telecommunications | 2.1 | |
| Pfizer Inc. | Pharmaceuticals | 2.0 |
| Microsoft Corp. | Computer Services | |
| Software & Systems | 1.9 | |
| Top Ten | 24.8% | |
| The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratios were 0.11% for ETF Shares and 0.07% for Institutional Shares.
23
Russell 1000 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 29, 2016
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
| Inception | One | Five | Since | |
| Date | Year | Years | Inception | |
| ETF Shares | 9/20/2010 | |||
| Market Price | -3.91% | 11.12% | 12.48% | |
| Net Asset Value | -3.90 | 11.13 | 12.48 | |
| Institutional Shares | 12/10/2010 | -3.86 | 11.19 | 11.51 |
See Financial Highlights for dividend and capital gains information.
24
Russell 1000 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2016
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| Common Stocks | |||
| Consumer Discretionary | |||
| Wal-Mart Stores Inc. | 294,814 | 19,558 | 1.1% |
| Ford Motor Co. | 729,650 | 9,128 | 0.5% |
| General Motors Co. | 299,378 | 8,814 | 0.5% |
| Target Corp. | 109,101 | 8,559 | 0.5% |
| Consumer Discretionary—Other † | 65,685 | 3.8% | |
| 111,744 | 6.4% | ||
| Consumer Staples | |||
| Procter & Gamble Co. | 506,298 | 40,651 | 2.4% |
| Philip Morris International Inc. | 145,249 | 13,222 | 0.8% |
| Mondelez International Inc. Class A | 303,740 | 12,311 | 0.7% |
| Walgreens Boots Alliance Inc. | 136,364 | 10,765 | 0.6% |
| Consumer Staples—Other † | 33,451 | 1.9% | |
| 110,400 | 6.4% | ||
| Energy | |||
| Exxon Mobil Corp. | 780,817 | 62,583 | 3.6% |
| Chevron Corp. | 351,043 | 29,291 | 1.7% |
| Schlumberger Ltd. | 208,378 | 14,945 | 0.8% |
| Occidental Petroleum Corp. | 143,583 | 9,881 | 0.6% |
| Phillips 66 | 101,068 | 8,024 | 0.5% |
| ConocoPhillips | 229,860 | 7,776 | 0.4% |
| Energy—Other † | 82,548 | 4.8% | |
| 215,048 | 12.4% | ||
| Financial Services | |||
| * Berkshire Hathaway Inc. Class B | 324,782 | 43,576 | 2.5% |
| Wells Fargo & Co. | 869,357 | 40,790 | 2.4% |
| JPMorgan Chase & Co. | 692,503 | 38,988 | 2.2% |
| Bank of America Corp. | 1,960,739 | 24,548 | 1.4% |
| Citigroup Inc. | 565,871 | 21,984 | 1.3% |
| Goldman Sachs Group Inc. | 80,790 | 12,081 | 0.7% |
| US Bancorp | 312,751 | 12,047 | 0.7% |
25
Russell 1000 Value Index Fund
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| American International Group Inc. | 230,956 | 11,594 | 0.7% |
| * Chubb Ltd. | 86,635 | 10,009 | 0.6% |
| PNC Financial Services Group Inc. | 96,558 | 7,851 | 0.5% |
| American Express Co. | 129,785 | 7,213 | 0.4% |
| Morgan Stanley | 286,245 | 7,070 | 0.4% |
| MetLife Inc. | 174,989 | 6,923 | 0.4% |
| Financial Services—Other † | 248,245 | 14.3% | |
| 492,919 | 28.5% | ||
| Health Care | |||
| Johnson & Johnson | 451,115 | 47,462 | 2.7% |
| Pfizer Inc. | 1,149,006 | 34,091 | 2.0% |
| Merck & Co. Inc. | 466,822 | 23,439 | 1.4% |
| Medtronic plc | 265,889 | 20,577 | 1.2% |
| * Allergan plc | 40,165 | 11,652 | 0.7% |
| Abbott Laboratories | 278,034 | 10,771 | 0.6% |
| Health Care—Other † | 61,053 | 3.5% | |
| 209,045 | 12.1% | ||
| Materials & Processing | |||
| Dow Chemical Co. | 181,167 | 8,807 | 0.5% |
| Materials & Processing—Other † | 43,083 | 2.5% | |
| 51,890 | 3.0% | ||
| Producer Durables | |||
| General Electric Co. | 1,756,174 | 51,175 | 2.9% |
| United Technologies Corp. | 141,816 | 13,702 | 0.8% |
| Danaher Corp. | 89,623 | 8,001 | 0.5% |
| Raytheon Co. | 56,895 | 7,046 | 0.4% |
| Producer Durables—Other † | 95,450 | 5.5% | |
| 175,374 | 10.1% | ||
| Technology | |||
| Microsoft Corp. | 653,634 | 33,257 | 1.9% |
| Cisco Systems Inc. | 949,477 | 24,857 | 1.4% |
| Intel Corp. | 823,908 | 24,379 | 1.4% |
| QUALCOMM Inc. | 237,956 | 12,086 | 0.7% |
| International Business Machines Corp. | 75,315 | 9,869 | 0.6% |
| Oracle Corp. | 236,105 | 8,684 | 0.5% |
| EMC Corp. | 332,160 | 8,679 | 0.5% |
| Technology—Other † | 65,439 | 3.8% | |
| 187,250 | 10.8% | ||
| Utilities | |||
| AT&T Inc. | 968,950 | 35,803 | 2.1% |
| Duke Energy Corp. | 128,836 | 9,570 | 0.6% |
| NextEra Energy Inc. | 82,771 | 9,338 | 0.5% |
| Southern Co. | 169,329 | 8,158 | 0.5% |
| Dominion Resources Inc. | 105,068 | 7,346 | 0.4% |
| Utilities—Other † | 99,025 | 5.7% | |
| 169,240 | 9.8% | ||
| Total Common Stocks (Cost $1,788,005) | 1,722,910 | 99.5%1 |
26
Russell 1000 Value Index Fund
| Market | Percentage | |||
| Value• | of Net | |||
| Coupon | Shares | ($000) | Assets | |
| Temporary Cash Investments | ||||
| Money Market Fund | ||||
| 2,3 Vanguard Market Liquidity Fund | 0.475% | 2,825,000 | 2,825 | 0.2% |
| 4U.S. Government and Agency Obligations † | 1,799 | 0.1% | ||
| Total Temporary Cash Investments (Cost $4,624) | 4,624 | 0.3%1 | ||
| 5Total Investments (Cost $1,792,629) | 1,727,534 | 99.8% | ||
| Amount | ||||
| ($000) | ||||
| Other Assets and Liabilities | ||||
| Other Assets | ||||
| Investment in Vanguard | 154 | |||
| Receivables for Investment Securities Sold | 2,572 | |||
| Receivables for Accrued Income | 5,763 | |||
| Receivables for Capital Shares Issued | 1,152 | |||
| Other Assets | 1 | |||
| Total Other Assets | 9,642 | 0.6% | ||
| Liabilities | ||||
| Payables for Investment Securities Purchased | (3,464) | |||
| Collateral for Securities on Loan | (2,018) | |||
| Payables for Capital Shares Redeemed | (205) | |||
| Payables to Vanguard | (502) | |||
| Other Liabilities | (40) | |||
| Total Liabilities | (6,229) | (0.4%) | ||
| Net Assets | 1,730,947 | 100.0% | ||
27
Russell 1000 Value Index Fund
| At February 29, 2016, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 1,795,008 |
| Undistributed Net Investment Income | 6,694 |
| Accumulated Net Realized Losses | (5,709) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | (65,095) |
| Futures Contracts | 49 |
| Net Assets | 1,730,947 |
| ETF Shares—Net Assets | |
| Applicable to 5,400,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 438,327 |
| Net Asset Value Per Share—ETF Shares | $81.17 |
| Institutional Shares—Net Assets | |
| Applicable to 8,156,227 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,292,620 |
| Net Asset Value Per Share—Institutional Shares | $158.48 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and -0.2%, 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 Includes $2,018,000 of collateral received for securities on loan.
4 Securities with a value of $400,000 have been segregated as initial margin for open futures contracts.
5 The total value of securities on loan is $1,920,000.
See accompanying Notes, which are an integral part of the Financial Statements.
28
Russell 1000 Value Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 22,558 |
| Interest1 | 13 |
| Securities Lending | 92 |
| Total Income | 22,663 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 163 |
| Management and Administrative—ETF Shares | 154 |
| Management and Administrative—Institutional Shares | 281 |
| Marketing and Distribution—ETF Shares | 18 |
| Marketing and Distribution—Institutional Shares | 19 |
| Custodian Fees | 51 |
| Shareholders’ Reports—ETF Shares | 3 |
| Shareholders’ Reports—Institutional Shares | 1 |
| Total Expenses | 690 |
| Net Investment Income | 21,973 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 29,336 |
| Futures Contracts | (330) |
| Realized Net Gain (Loss) | 29,006 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (103,546) |
| Futures Contracts | 375 |
| Change in Unrealized Appreciation (Depreciation) | (103,171) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (52,192) |
| 1 Interest income from an affiliated company of the fund was $11,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
29
Russell 1000 Value Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 21,973 | 36,985 |
| Realized Net Gain (Loss) | 29,006 | 142,446 |
| Change in Unrealized Appreciation (Depreciation) | (103,171) | (247,952) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (52,192) | (68,521) |
| Distributions | ||
| Net Investment Income | ||
| ETF Shares | (5,950) | (7,743) |
| Institutional Shares | (18,024) | (27,223) |
| Realized Capital Gain | ||
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (23,974) | (34,966) |
| Capital Share Transactions | ||
| ETF Shares | 50,209 | 151,113 |
| Institutional Shares | 67,022 | 137,171 |
| Net Increase (Decrease) from Capital Share Transactions | 117,231 | 288,284 |
| Total Increase (Decrease) | 41,065 | 184,797 |
| Net Assets | ||
| Beginning of Period | 1,689,882 | 1,505,085 |
| End of Period1 | 1,730,947 | 1,689,882 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $6,694,000 and $8,695,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
30
Russell 1000 Value Index Fund
Financial Highlights
| ETF Shares | ||||||
| Six Months | Sept. 20, | |||||
| Ended | 20101 to | |||||
| For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | |||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $84.77 | $89.83 | $73.82 | $61.49 | $53.57 | $51.46 |
| Investment Operations | ||||||
| Net Investment Income | 1.043 | 1.990 | 1.774 | 1.610 | 1.228 | .876 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (3.478) | (5.097) | 15.967 | 12.290 | 7.833 | 1.886 |
| Total from Investment Operations | (2.435) | (3.107) | 17.741 | 13.900 | 9.061 | 2.762 |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.165) | (1.953) | (1.731) | (1.570) | (1.141) | (.652) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.165) | (1.953) | (1.731) | (1.570) | (1.141) | (.652) |
| Net Asset Value, End of Period | $81.17 | $84.77 | $89.83 | $73.82 | $61.49 | $53.57 |
| Total Return | -2.91% | -3.59% | 24.27% | 22.90% | 17.17% | 5.28% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $438 | $407 | $283 | $137 | $46 | $27 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.11% | 0.12% | 0.12% | 0.15% | 0.15% | 0.15%2 |
| Ratio of Net Investment Income to | ||||||
| Net Assets | 2.61% | 2.26% | 2.22% | 2.39% | 2.48% | 2.23%2 |
| Portfolio Turnover Rate 3 | 3% | 18% | 16% | 26% | 29% | 39% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Inception.
2 Annualized.
3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
31
Russell 1000 Value Index Fund
Financial Highlights
| Institutional Shares | ||||||
| Six Months | Dec. 10, | |||||
| Ended | 20101 to | |||||
| For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | |||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $165.50 | $175.38 | $144.13 | $120.04 | $104.59 | $108.03 |
| Investment Operations | ||||||
| Net Investment Income | 2.061 | 3.946 | 3.528 | 3.228 | 2.474 | 1.239 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (6.781) | (9.955) | 31.182 | 24.017 | 15.262 | (3.373) |
| Total from Investment Operations | (4.720) | (6.009) | 34.710 | 27.245 | 17.736 | (2.134) |
| Distributions | ||||||
| Dividends from Net Investment Income | (2.300) | (3.871) | (3.460) | (3.155) | (2.286) | (1.306) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (2.300) | (3.871) | (3.460) | (3.155) | (2.286) | (1.306) |
| Net Asset Value, End of Period | $158.48 | $165.50 | $175.38 | $144.13 | $120.04 | $104.59 |
| Total Return | -2.88% | -3.55% | 24.33% | 23.00% | 17.23% | -2.06% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $1,293 | $1,283 | $1,222 | $797 | $541 | $164 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08%2 |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 2.65% | 2.30% | 2.26% | 2.46% | 2.55% | 2.30%2 |
| Portfolio Turnover Rate 3 | 3% | 18% | 16% | 26% | 29% | 39% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Inception. 2 Annualized. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
32
Russell 1000 Value Index Fund
Notes to Financial Statements
Vanguard Russell 1000 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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 fund’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 acquired over 60 days to maturity 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. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund 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 fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 six months ended February 29, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
33
Russell 1000 Value Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund 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 on the next business day. The fund 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 fund 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 fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund 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.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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 fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, 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. 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.
34
Russell 1000 Value Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $154,000, representing 0.01% of the fund’s net assets and 0.06% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2��Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 1,722,910 | — | — |
| Temporary Cash Investments | 2,825 | 1,799 | — |
| Futures Contracts—Assets1 | 1 | — | — |
| Futures Contracts—Liabilities1 | (34) | — | — |
| Total | 1,725,702 | 1,799 | — |
| 1 Represents variation margin on the last day of the reporting period. |
35
Russell 1000 Value Index Fund
D. At February 29, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini S&P 500 Index | March 2016 | 81 | 7,814 | 49 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $26,886,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $7,372,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $1,792,637,000. Net unrealized depreciation of investment securities for tax purposes was $65,103,000, consisting of unrealized gains of $117,617,000 on securities that had risen in value since their purchase and $182,720,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $257,557,000 of investment securities and sold $134,987,000 of investment securities, other than temporary cash investments. Purchases and sales include $106,994,000 and $111,175,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
36
Russell 1000 Value Index Fund
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2016 | August 31, 2015 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued | 171,791 | 2,050 | 589,698 | 6,475 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (121,582) | (1,450) | (438,585) | (4,825) |
| Net Increase (Decrease)—ETF Shares | 50,209 | 600 | 151,113 | 1,650 |
| Institutional Shares | ||||
| Issued | 155,747 | 949 | 406,222 | 2,305 |
| Issued in Lieu of Cash Distributions | 17,165 | 106 | 25,336 | 144 |
| Redeemed | (105,890) | (651) | (294,387) | (1,665) |
| Net Increase (Decrease)—Institutional Shares | 67,022 | 404 | 137,171 | 784 |
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
37
Russell 1000 Growth Index Fund
Fund Profile
As of February 29, 2016
| Share-Class Characteristics | ||
| ETF | Institutional | |
| Shares | Shares | |
| Ticker Symbol | VONG | VRGWX |
| Expense Ratio1 | 0.12% | 0.08% |
| 30-Day SEC Yield | 1.59% | 1.64% |
| Portfolio Characteristics | |||
| DJ | |||
| Russell | U.S. | ||
| 1000 | Total | ||
| Growth | Market | ||
| Fund | Index FA Index | ||
| Number of Stocks | 641 | 638 | 3,906 |
| Median Market Cap | $67.9B | $66.0B | $50.4B |
| Price/Earnings Ratio | 21.6x | 21.6x | 20.1x |
| Price/Book Ratio | 5.2x | 5.2x | 2.5x |
| Return on Equity | 24.0% | 23.6% | 17.5% |
| Earnings Growth Rate | 12.4% | 12.4% | 8.4% |
| Dividend Yield | 1.7% | 1.7% | 2.2% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 2% | — | — |
| Short-Term Reserves | 0.1% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ | |||
| U.S. | |||
| Russell | Total | ||
| 1000 | Market | ||
| Growth | FA | ||
| Fund | Index | Index | |
| Consumer Discretionary 22.8% | 22.9% | 15.0% | |
| Consumer Staples | 11.2 | 11.2 | 8.5 |
| Energy | 0.5 | 0.5 | 6.0 |
| Financial Services | 9.5 | 9.4 | 19.3 |
| Health Care | 15.9 | 15.8 | 14.1 |
| Materials & Processing | 3.9 | 3.9 | 3.6 |
| Producer Durables | 11.6 | 11.7 | 10.9 |
| Technology | 22.2 | 22.2 | 16.7 |
| Utilities | 2.4 | 2.4 | 5.9 |
| Volatility Measures | ||
| DJ | ||
| U.S. Total | ||
| Russell 1000 | Market | |
| Growth Index | FA Index | |
| R-Squared | 1.00 | 0.96 |
| Beta | 1.00 | 1.01 |
| These measures show the degree and timing of the fund’s | ||
| fluctuations compared with the indexes over 36 months. | ||
| Ten Largest Holdings (% of total net assets) | ||
| Apple Inc. | Computer | |
| Technology | 5.6% | |
| Alphabet Inc. | Computer Services | |
| Software & Systems | 4.1 | |
| Microsoft Corp. | Computer Services | |
| Software & Systems | 2.3 | |
| Facebook Inc. | Computer Services | |
| Software & Systems | 2.3 | |
| Amazon.com Inc. | Diversified Retail | 2.1 |
| Verizon Communications | Utilities: | |
| Inc. | Telecommunications | 1.9 |
| Coca-Cola Co. | Beverage: Soft | |
| Drinks | 1.7 | |
| Walt Disney Co. | Entertainment | 1.6 |
| Home Depot Inc. | Specialty Retail | 1.6 |
| PepsiCo Inc. | Beverage: Soft | |
| Drinks | 1.5 | |
| Top Ten | 24.7% | |
| The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratios were 0.10% for ETF Shares and 0.07% for Institutional Shares.
38
Russell 1000 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 29, 2016
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. Securities and Exchange Commission rules require that we provide this information.
| Inception | One | Five | Since | |
| Date | Year | Years | Inception | |
| ETF Shares | 9/20/2010 | |||
| Market Price | 5.55% | 13.36% | 15.20% | |
| Net Asset Value | 5.52 | 13.36 | 15.19 | |
| Institutional Shares | 12/6/2010 | 5.57 | 13.43 | 13.65 |
See Financial Highlights for dividend and capital gains information.
39
Russell 1000 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2016
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| Common Stocks | |||
| Consumer Discretionary | |||
| * Amazon.com Inc. | 82,630 | 45,655 | 2.1% |
| Walt Disney Co. | 367,827 | 35,135 | 1.6% |
| Home Depot Inc. | 281,643 | 34,958 | 1.6% |
| Comcast Corp. Class A | 490,211 | 28,300 | 1.3% |
| McDonald’s Corp. | 207,603 | 24,329 | 1.1% |
| Starbucks Corp. | 324,944 | 18,915 | 0.9% |
| NIKE Inc. Class B | 293,629 | 18,085 | 0.8% |
| Costco Wholesale Corp. | 95,329 | 14,302 | 0.7% |
| * Priceline Group Inc. | 11,232 | 14,211 | 0.7% |
| Lowe’s Cos. Inc. | 206,107 | 13,918 | 0.7% |
| Time Warner Cable Inc. | 61,258 | 11,692 | 0.5% |
| TJX Cos. Inc. | 147,457 | 10,927 | 0.5% |
| Consumer Discretionary—Other † | 219,292 | 10.2% | |
| 489,719 | 22.7% | ||
| Consumer Staples | |||
| Coca-Cola Co. | 850,066 | 36,663 | 1.7% |
| PepsiCo Inc. | 320,029 | 31,305 | 1.5% |
| Altria Group Inc. | 400,638 | 24,667 | 1.1% |
| CVS Health Corp. | 226,457 | 22,005 | 1.0% |
| Philip Morris International Inc. | 167,112 | 15,212 | 0.7% |
| Colgate-Palmolive Co. | 171,819 | 11,278 | 0.5% |
| Kraft Heinz Co. | 128,378 | 9,888 | 0.5% |
| Consumer Staples—Other † | 89,085 | 4.1% | |
| 240,103 | 11.1% | ||
| Energy † | 10,835 | 0.5% | |
| Financial Services | |||
| Visa Inc. Class A | 424,405 | 30,723 | 1.4% |
| MasterCard Inc. Class A | 216,513 | 18,819 | 0.9% |
40
Russell 1000 Growth Index Fund
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| Simon Property Group Inc. | 67,468 | 12,801 | 0.6% |
| * PayPal Holdings Inc. | 263,195 | 10,038 | 0.5% |
| Financial Services—Other † | 130,221 | 6.0% | |
| 202,602 | 9.4% | ||
| Health Care | |||
| Gilead Sciences Inc. | 318,640 | 27,801 | 1.3% |
| Amgen Inc. | 164,646 | 23,426 | 1.1% |
| UnitedHealth Group Inc. | 196,103 | 23,356 | 1.1% |
| Bristol-Myers Squibb Co. | 360,955 | 22,354 | 1.0% |
| AbbVie Inc. | 358,364 | 19,570 | 0.9% |
| * Celgene Corp. | 171,734 | 17,316 | 0.8% |
| Eli Lilly & Co. | 211,902 | 15,257 | 0.7% |
| * Biogen Inc. | 48,261 | 12,520 | 0.6% |
| * Allergan plc | 38,411 | 11,143 | 0.5% |
| Health Care—Other † | 167,896 | 7.8% | |
| 340,639 | 15.8% | ||
| Materials & Processing † | 83,497 | 3.9% | |
| 1Other † | 6 | 0.0% | |
| Producer Durables | |||
| 3M Co. | 137,429 | 21,558 | 1.0% |
| Boeing Co. | 149,797 | 17,703 | 0.8% |
| Honeywell International Inc. | 169,244 | 17,153 | 0.8% |
| Union Pacific Corp. | 189,564 | 14,949 | 0.7% |
| United Parcel Service Inc. Class B | 151,904 | 14,666 | 0.7% |
| Accenture plc Class A | 136,050 | 13,640 | 0.6% |
| Lockheed Martin Corp. | 42,218 | 9,110 | 0.4% |
| Producer Durables—Other † | 141,381 | 6.6% | |
| 250,160 | 11.6% | ||
| Technology | |||
| Apple Inc. | 1,248,821 | 120,748 | 5.6% |
| Microsoft Corp. | 994,319 | 50,591 | 2.4% |
| * Facebook Inc. Class A | 469,163 | 50,163 | 2.3% |
| * Alphabet Inc. Class A | 62,496 | 44,823 | 2.1% |
| * Alphabet Inc. Class C | 63,765 | 44,493 | 2.1% |
| Oracle Corp. | 411,621 | 15,139 | 0.7% |
| International Business Machines Corp. | 109,154 | 14,302 | 0.7% |
| Texas Instruments Inc. | 225,278 | 11,944 | 0.6% |
| * salesforce.com inc | 142,186 | 9,633 | 0.4% |
| * Adobe Systems Inc. | 108,481 | 9,237 | 0.4% |
| Technology—Other † | 106,496 | 4.9% | |
| 477,569 | 22.2% | ||
| Utilities | |||
| Verizon Communications Inc. | 820,448 | 41,621 | 2.0% |
| Utilities—Other † | 9,185 | 0.4% | |
| 50,806 | 2.4% | ||
| Total Common Stocks (Cost $1,897,667) | 2,145,936 | 99.6%2 | |
41
Russell 1000 Growth Index Fund
| Market | Percentage | |||
| Value• | of Net | |||
| Coupon | Shares | ($000) | Assets | |
| Temporary Cash Investments | ||||
| Money Market Fund | ||||
| 3,4 Vanguard Market Liquidity Fund | 0.475% | 8,951,812 | 8,952 | 0.4% |
| 5U.S. Government and Agency Obligations † | 599 | 0.0% | ||
| Total Temporary Cash Investments (Cost $9,551) | 9,551 | 0.4%2 | ||
| 6Total Investments (Cost $1,907,218) | 2,155,487 | 100.0% | ||
| Amount | ||||
| ($000) | ||||
| Other Assets and Liabilities | ||||
| Other Assets | ||||
| Investment in Vanguard | 192 | |||
| Receivables for Investment Securities Sold | 3,064 | |||
| Receivables for Accrued Income | 2,945 | |||
| Receivables for Capital Shares Issued | 1,110 | |||
| Other Assets | 1 | |||
| Total Other Assets | 7,312 | 0.4% | ||
| Liabilities | ||||
| Payables for Investment Securities Purchased | (1,132) | |||
| Collateral for Securities on Loan | (5,968) | |||
| Payables for Capital Shares Redeemed | (64) | |||
| Payables to Vanguard | (578) | |||
| Other Liabilities | (99) | |||
| Total Liabilities | (7,841) | (0.4%) | ||
| Net Assets | 2,154,958 | 100.0% | ||
42
Russell 1000 Growth Index Fund
| At February 29, 2016, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 1,944,502 |
| Undistributed Net Investment Income | 4,909 |
| Accumulated Net Realized Losses | (42,719) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | 248,269 |
| Futures Contracts | (3) |
| Net Assets | 2,154,958 |
| ETF Shares—Net Assets | |
| Applicable to 5,251,711 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 505,329 |
| Net Asset Value Per Share—ETF Shares | $96.22 |
| Institutional Shares—Net Assets | |
| Applicable to 8,917,015 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 1,649,629 |
| Net Asset Value Per Share—Institutional Shares | $185.00 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 “Other” represents securities that are not classified by the fund’s benchmark index.
2 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 99.9% and 0.1%, respectively, of net assets.
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 Includes $5,968,000 of collateral received for securities on loan.
5 Securities with a value of $400,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $5,750,000.
See accompanying Notes, which are an integral part of the Financial Statements.
43
Russell 1000 Growth Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 17,428 |
| Interest1 | 8 |
| Securities Lending | 96 |
| Total Income | 17,532 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 197 |
| Management and Administrative—ETF Shares | 179 |
| Management and Administrative—Institutional Shares | 371 |
| Marketing and Distribution—ETF Shares | 20 |
| Marketing and Distribution—Institutional Shares | 23 |
| Custodian Fees | 44 |
| Shareholders’ Reports—ETF Shares | 3 |
| Shareholders’ Reports—Institutional Shares | 1 |
| Total Expenses | 838 |
| Net Investment Income | 16,694 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 14,601 |
| Futures Contracts | (278) |
| Realized Net Gain (Loss) | 14,323 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (62,260) |
| Futures Contracts | 193 |
| Change in Unrealized Appreciation (Depreciation) | (62,067) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (31,050) |
| 1 Interest income from an affiliated company of the fund was $8,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
44
Russell 1000 Growth Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 16,694 | 28,226 |
| Realized Net Gain (Loss) | 14,323 | 139,295 |
| Change in Unrealized Appreciation (Depreciation) | (62,067) | (107,235) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (31,050) | 60,286 |
| Distributions | ||
| Net Investment Income | ||
| ETF Shares | (3,898) | (5,242) |
| Institutional Shares | (13,068) | (22,086) |
| Realized Capital Gain | ||
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (16,966) | (27,328) |
| Capital Share Transactions | ||
| ETF Shares | 64,964 | 156,308 |
| Institutional Shares | 126,040 | 67,889 |
| Net Increase (Decrease) from Capital Share Transactions | 191,004 | 224,197 |
| Total Increase (Decrease) | 142,988 | 257,155 |
| Net Assets | ||
| Beginning of Period | 2,011,970 | 1,754,815 |
| End of Period1 | 2,154,958 | 2,011,970 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $4,909,000 and $5,181,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
45
Russell 1000 Growth Index Fund
Financial Highlights
| ETF Shares | ||||||
| Six Months | Sept. 20, | |||||
| Ended | 20101 to | |||||
| For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | |||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $98.24 | $95.74 | $77.02 | $67.41 | $58.31 | $52.12 |
| Investment Operations | ||||||
| Net Investment Income | .764 | 1.466 | 1.293 | 1.226 | .900 | .579 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (1.986) | 2.481 | 18.713 | 9.611 | 9.023 | 6.044 |
| Total from Investment Operations | (1.222) | 3.947 | 20.006 | 10.837 | 9.923 | 6.623 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.798) | (1.447) | (1.286) | (1.227) | (.823) | (.433) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.798) | (1.447) | (1.286) | (1.227) | (.823) | (.433) |
| Net Asset Value, End of Period | $96.22 | $98.24 | $95.74 | $77.02 | $67.41 | $58.31 |
| Total Return | -1.27% | 4.11% | 26.15% | 16.27% | 17.18% | 12.69% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $505 | $452 | $295 | $148 | $76 | $52 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.10% | 0.12% | 0.12% | 0.15% | 0.15% | 0.15%2 |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 1.58% | 1.47% | 1.51% | 1.73% | 1.59% | 1.47%2 |
| Portfolio Turnover Rate 3 | 2% | 20% | 18% | 29% | 25% | 30% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Inception. 2 Annualized. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
46
Russell 1000 Growth Index Fund
Financial Highlights
| Institutional Shares | ||||||
| Six Months | Dec. 6, | |||||
| Ended | 20101 to | |||||
| Year Ended August 31, | ||||||
| For a Share Outstanding | February 29, | Aug. 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $188.88 | $184.06 | $148.07 | $129.59 | $112.09 | $110.81 |
| Investment Operations | ||||||
| Net Investment Income | 1.499 | 2.882 | 2.544 | 2.446 | 1.812 | .879 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (3.816) | 4.782 | 35.986 | 18.488 | 17.342 | 1.278 |
| Total from Investment Operations | (2.317) | 7.664 | 38.530 | 20.934 | 19.154 | 2.157 |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.563) | (2.844) | (2.540) | (2.454) | (1.654) | (.877) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.563) | (2.844) | (2.540) | (2.454) | (1.654) | (.877) |
| Net Asset Value, End of Period | $185.00 | $188.88 | $184.06 | $148.07 | $129.59 | $112.09 |
| Total Return | -1.25% | 4.15% | 26.20% | 16.35% | 17.26% | 1.92% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $1,650 | $1,560 | $1,460 | $992 | $576 | $154 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08%2 |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 1.61% | 1.51% | 1.55% | 1.80% | 1.66% | 1.54%2 |
| Portfolio Turnover Rate 3 | 2% | 20% | 18% | 29% | 25% | 30% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Inception. 2 Annualized. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
47
Russell 1000 Growth Index Fund
Notes to Financial Statements
Vanguard Russell 1000 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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 fund’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 acquired over 60 days to maturity 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. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund 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 fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 six months ended February 29, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
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Russell 1000 Growth Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund 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 on the next business day. The fund 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 fund 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 fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund 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.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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 fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, 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. 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.
49
Russell 1000 Growth Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $192,000, representing 0.01% of the fund’s net assets and 0.08% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 2,145,936 | — | — |
| Temporary Cash Investments | 8,952 | 599 | — |
| Futures Contracts—Assets1 | 1 | — | — |
| Futures Contracts—Liabilities1 | (40) | — | — |
| Total | 2,154,849 | 599 | — |
| 1 Represents variation margin on the last day of the reporting period. |
50
Russell 1000 Growth Index Fund
D. At February 29, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini S&P 500 Index | March 2016 | 81 | 7,814 | (3) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $14,959,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $41,430,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $1,907,218,000. Net unrealized appreciation of investment securities for tax purposes was $248,269,000, consisting of unrealized gains of $340,264,000 on securities that had risen in value since their purchase and $91,995,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $245,435,000 of investment securities and sold $58,152,000 of investment securities, other than temporary cash investments. Purchases and sales include $77,509,000 and $37,053,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
51
Russell 1000 Growth Index Fund
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2016 | August 31, 2015 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued | 107,782 | 1,075 | 591,973 | 5,900 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (42,818) | (425) | (435,665) | (4,375) |
| Net Increase (Decrease)—ETF Shares | 64,964 | 650 | 156,308 | 1,525 |
| Institutional Shares | ||||
| Issued | 194,637 | 1,019 | 431,791 | 2,235 |
| Issued in Lieu of Cash Distributions | 12,338 | 64 | 20,780 | 109 |
| Redeemed | (80,935) | (424) | (384,682) | (2,019) |
| Net Increase (Decrease)—Institutional Shares | 126,040 | 659 | 67,889 | 325 |
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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| Six Months Ended February 29, 2016 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 8/31/2015 | 2/29/2016 | Period | |
| Based on Actual Fund Return | |||
| Russell 1000 Index Fund | |||
| ETF Shares | $1,000.00 | $979.03 | $0.54 |
| Institutional Shares | 1,000.00 | 979.25 | 0.34 |
| Russell 1000 Value Index Fund | |||
| ETF Shares | $1,000.00 | $970.89 | $0.54 |
| Institutional Shares | 1,000.00 | 971.17 | 0.34 |
| Russell 1000 Growth Index Fund | |||
| ETF Shares | $1,000.00 | $987.26 | $0.49 |
| Institutional Shares | 1,000.00 | 987.48 | 0.35 |
| Based on Hypothetical 5% Yearly Return | |||
| Russell 1000 Index Fund | |||
| ETF Shares | $1,000.00 | $1,024.32 | $0.55 |
| Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
| Russell 1000 Value Index Fund | |||
| ETF Shares | $1,000.00 | $1,024.32 | $0.55 |
| Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
| Russell 1000 Growth Index Fund | |||
| ETF Shares | $1,000.00 | $1,024.37 | $0.50 |
| Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
| The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Russell 1000 Index Fund, 0.11% for ETF Shares and 0.07% for Institutional Shares; for the Russell 1000 Value Index Fund, 0.11% for ETF Shares and 0.07% for Institutional Shares; and for the Russell 1000 Growth Index Fund, 0.10% for ETF Shares and 0.07% for Institutional Shares. The dollar amounts shown as ”Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366). | |||
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
55
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
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 196 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
| InterestedTrustee1 | Rajiv L. Gupta |
| Born 1945. Trustee Since December 2001.2 Principal | |
| F. William McNabb III | Occupation(s) During the Past Five Years and Other |
| Born 1957. Trustee Since July 2009. Chairman of | Experience: Chairman and Chief Executive Officer |
| the Board. Principal Occupation(s) During the Past | (retired 2009) and President (2006–2008) of |
| Five Years and Other Experience: Chairman of the | Rohm and Haas Co. (chemicals); Director of Tyco |
| Board of The Vanguard Group, Inc., and of each of | International PLC (diversified manufacturing and |
| the investment companies served by The Vanguard | services), HP Inc. (printer and personal computer |
| Group, since January 2010; Director of The Vanguard | manufacturing), and Delphi Automotive PLC |
| Group since 2008; Chief Executive Officer and | (automotive components); Senior Advisor at |
| President of The Vanguard Group, and of each of | New Mountain Capital. |
| the investment companies served by The Vanguard | |
| Group, since 2008; Director of Vanguard Marketing | Amy Gutmann |
| Corporation; Managing Director of The Vanguard | Born 1949. Trustee Since June 2006. Principal |
| Group (1995–2008). | Occupation(s) During the Past Five Years and |
| Other Experience: President of the University of | |
| Independent Trustees | Pennsylvania; Christopher H. Browne Distinguished |
| Professor of Political Science, School of Arts and | |
| Emerson U. Fullwood | Sciences, and Professor of Communication, Annenberg |
| Born 1948. Trustee Since January 2008. Principal | School for Communication, with secondary faculty |
| Occupation(s) During the Past Five Years and Other | appointments in the Department of Philosophy, School |
| Experience: Executive Chief Staff and Marketing | of Arts and Sciences, and at the Graduate School of |
| Officer for North America and Corporate Vice President | Education, University of Pennsylvania; Trustee of the |
| (retired 2008) of Xerox Corporation (document manage- | National Constitution Center; Chair of the Presidential |
| ment products and services); Executive in Residence | Commission for the Study of Bioethical Issues. |
| and 2009–2010 Distinguished Minett Professor at | |
| the Rochester Institute of Technology; Lead Director | JoAnn Heffernan Heisen |
| of SPX FLOW, Inc. (multi-industry manufacturing); | Born 1950. Trustee Since July 1998. Principal |
| Director of the United Way of Rochester, the University | Occupation(s) During the Past Five Years and |
| of Rochester Medical Center, Monroe Community | Other Experience: Corporate Vice President and |
| College Foundation, North Carolina A&T University, | Chief Global Diversity Officer (retired 2008) and |
| and Roberts Wesleyan College. | Member of the Executive Committee (1997–2008) |
| of Johnson & Johnson (pharmaceuticals/medical | |
| devices/consumer products); Director of Skytop | |
| Lodge Corporation (hotels) and the Robert Wood | |
| Johnson Foundation; Member of the Advisory | |
| Board of the Institute for Women’s Leadership | |
| at Rutgers University. | |
| F. Joseph Loughrey | Executive Officers | |
| Born 1949. Trustee Since October 2009. Principal | ||
| Occupation(s) During the Past Five Years and Other | Glenn Booraem | |
| Experience: President and Chief Operating Officer | Born 1967. Treasurer Since May 2015. Principal | |
| (retired 2009) of Cummins Inc. (industrial machinery); | Occupation(s) During the Past Five Years and | |
| Chairman of the Board of Hillenbrand, Inc. (specialized | Other Experience: Principal of The Vanguard Group, | |
| consumer services), and of Oxfam America; Director | Inc.; Treasurer of each of the investment companies | |
| of SKF AB (industrial machinery), Hyster-Yale Materials | served by The Vanguard Group; Controller of each of | |
| Handling, Inc. (forklift trucks), the Lumina Foundation | the investment companies served by The Vanguard | |
| for Education, and the V Foundation for Cancer | Group (2010–2015); Assistant Controller of each of | |
| Research; Member of the Advisory Council for the | the investment companies served by The Vanguard | |
| College of Arts and Letters and of the Advisory Board | Group (2001–2010). | |
| to the Kellogg Institute for International Studies, both | ||
| at the University of Notre Dame. | Thomas J. Higgins | |
| Born 1957. Chief Financial Officer Since September | ||
| Mark Loughridge | 2008. Principal Occupation(s) During the Past Five | |
| Born 1953. Trustee Since March 2012. Principal | Years and Other Experience: Principal of The Vanguard | |
| Occupation(s) During the Past Five Years and Other | Group, Inc.; Chief Financial Officer of each of the | |
| Experience: Senior Vice President and Chief Financial | investment companies served by The Vanguard Group; | |
| Officer (retired 2013) at IBM (information technology | Treasurer of each of the investment companies served | |
| services); Fiduciary Member of IBM’s Retirement Plan | by The Vanguard Group (1998–2008). | |
| Committee (2004–2013); Director of the Dow Chemical | ||
| Company; Member of the Council on Chicago Booth. | Peter Mahoney | |
| Born 1974. Controller Since May 2015. Principal | ||
| Scott C. Malpass | Occupation(s) During the Past Five Years and | |
| Born 1962. Trustee Since March 2012. Principal | Other Experience: Head of Global Fund Accounting | |
| Occupation(s) During the Past Five Years and Other | at The Vanguard Group, Inc.; Controller of each of the | |
| Experience: Chief Investment Officer and Vice | investment companies served by The Vanguard Group; | |
| President at the University of Notre Dame; Assistant | Head of International Fund Services at The Vanguard | |
| Professor of Finance at the Mendoza College of | Group (2008–2014). | |
| Business at Notre Dame; Member of the Notre Dame | ||
| 403(b) Investment Committee, the Board of Advisors | Heidi Stam | |
| for Spruceview Capital Partners, and the Investment | Born 1956. Secretary Since July 2005. Principal | |
| Advisory Committee of Major League Baseball; Board | Occupation(s) During the Past Five Years and Other | |
| Member of TIFF Advisory Services, Inc., and Catholic | Experience: Managing Director of The Vanguard | |
| Investment Services, Inc. (investment advisors). | Group, Inc.; General Counsel of The Vanguard Group; | |
| Secretary of The Vanguard Group and of each of the | ||
| André F. Perold | investment companies served by The Vanguard Group; | |
| Born 1952. Trustee Since December 2004. Principal | Director and Senior Vice President of Vanguard | |
| Occupation(s) During the Past Five Years and Other | Marketing Corporation. | |
| Experience: George Gund Professor of Finance and | ||
| Banking, Emeritus at the Harvard Business School | Vanguard Senior ManagementTeam | |
| (retired 2011); Chief Investment Officer and Managing | Mortimer J. Buckley | James M. Norris |
| Partner of HighVista Strategies LLC (private investment | Kathleen C. Gubanich | Thomas M. Rampulla |
| firm); Director of Rand Merchant Bank; Overseer of | Martha G. King | Glenn W. Reed |
| the Museum of Fine Arts Boston. | John T. Marcante | Karin A. Risi |
| Chris D. McIsaac | ||
| Peter F. Volanakis | ||
| Born 1955. Trustee Since July 2009. Principal | Chairman Emeritus and Senior Advisor | |
| Occupation(s) During the Past Five Years and Other | ||
| Experience: President and Chief Operating Officer | John J. Brennan | |
| (retired 2010) of Corning Incorporated (communications | Chairman, 1996–2009 | |
| equipment); Trustee of Colby-Sawyer College and | Chief Executive Officer and President, 1996–2008 | |
| Chairman of its Finance and Enrollment Committee; | ||
| Member of the Advisory Board of the Norris Cotton | Founder | |
| Cancer Center. | ||
| John C. Bogle | ||
| Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
 | |
| P.O. Box 2600 | |
| Valley Forge, PA 19482-2600 | |
| Connect with Vanguard® > vanguard.com | |
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| This material may be used in conjunction | advisability of investing in the products. |
| with the offering of shares of any Vanguard | |
| fund only if preceded or accompanied by | |
| the fund’s current prospectus. | |
| All comparative mutual fund data are from Lipper, a | |
| Thomson Reuters Company, or Morningstar, Inc., unless | |
| otherwise noted. | |
| 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, 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 sec.gov. | |
| You can review and copy information about your fund at | |
| the SEC’s Public Reference Room in Washington, D.C. To | |
| find out more about this public service, call the SEC at | |
| 202-551-8090. Information about your fund is also | |
| available on the SEC’s website, and you can receive | |
| copies of this information, for a fee, by sending a | |
| request in either of two ways: via email addressed to | |
| publicinfo@sec.gov or via regular mail addressed to the | |
| Public Reference Section, Securities and Exchange | |
| Commission, Washington, DC 20549-1520. | |
| © 2016 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q18482 042016 | |
Semiannual Report | February 29, 2016
Vanguard Russell 2000 Index Funds
Vanguard Russell 2000 Index Fund
Vanguard Russell 2000 Value Index Fund
Vanguard Russell 2000 Growth Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Russell 2000 Index Fund. | 8 |
| Russell 2000 Value Index Fund. | 23 |
| Russell 2000 Growth Index Fund. | 38 |
| About Your Fund’s Expenses. | 53 |
| Glossary. | 55 |
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.
See the Glossary for definitions of investment terms used in this report.
About the cover: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns
| Six Months Ended February 29, 2016 | |
| Total | |
| Returns | |
| Vanguard Russell 2000 Index Fund | |
| ETF Shares | |
| Market Price | -10.18% |
| Net Asset Value | -10.14 |
| Institutional Shares | -10.10 |
| Russell 2000 Index | -10.16 |
| Small-Cap Core Funds Average | -8.34 |
| Small-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Vanguard Russell 2000 Value Index Fund | |
| ETF Shares | |
| Market Price | -6.80% |
| Net Asset Value | -6.79 |
| Institutional Shares | -6.72 |
| Russell 2000 Value Index | -6.73 |
| Small-Cap Value Funds Average | -7.13 |
| Small-Cap Value Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | |
| Vanguard Russell 2000 Growth Index Fund | |
| ETF Shares | |
| Market Price | -13.46% |
| Net Asset Value | -13.43 |
| Institutional Shares | -13.38 |
| Russell 2000 Growth Index | -13.47 |
| Small-Cap Growth Funds Average | -13.61 |
Small-Cap Growth Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company.
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
1
Chairman’s Letter
Dear Shareholder,
U.S. stocks ended in negative territory for the six months ended February 29, 2016. Small-capitalization stocks fared worst as investors grew more risk-averse in a volatile market environment. Within the small-cap arena, growth stocks posted considerably lower returns than their value counterparts.
Returns for the Vanguard Russell 2000 Index Funds ranged from –13.43% for the Russell 2000 Growth Index Fund to –6.79% for the Russell 2000 Value Index Fund. The Russell 2000 Index Fund, which includes both growth and value stocks, returned –10.14%. (The returns cited in this letter are for ETF Shares based on net asset value.)
Each fund met its objective of closely tracking its target index. The Growth and Value Index Funds exceeded the average returns of their fund peers. The Russell 2000 Index Fund trailed the average return of its peers.
Stocks mostly slumped over the fiscal half year
U.S. stocks returned about –3% for the period. Results were negative in four of the six months. Only October’s return of about 8% prevented an even weaker performance for the half year.
2
Fears that China’s economic slowdown would spread globally weighed on results. Oil and commodity prices, which declined through most of the period before showing some resiliency in February, also concerned investors.
In December, the Federal Reserve increased its target for short-term interest rates to 0.25%–0.5%. Central banks in Europe and Asia, in contrast, boosted stimulus efforts to battle weak growth and low inflation.
International stocks returned about –9%, a result that would have been less severe if not for the U.S. dollar’s strength against many foreign currencies. European stocks were among the worst performers.
Bonds registered gains as investors cut their risk
The broad U.S. taxable bond market returned 2.20% over the six months. Most of the gains came in January and February as investors sought safe-haven assets amid stock market turmoil. The yield of the 10-year U.S. Treasury note closed at 1.74% in February, down from 2.18% six months earlier. (Bond prices and yields move in opposite directions.)
The Fed’s target rate, which stayed anchored at 0%–0.25% until the small rise in December, kept a lid on returns for money market funds and savings accounts.
| Market Barometer | |||
| Total Returns | |||
| Periods Ended February 29, 2016 | |||
| Six | One | Five Years | |
| Months | Year | (Annualized) | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | -2.03% | -7.21% | 9.92% |
| Russell 2000 Index (Small-caps) | -10.16 | -14.97 | 6.11 |
| Russell 3000 Index (Broad U.S. market) | -2.68 | -7.84 | 9.61 |
| FTSE All-World ex US Index (International) | -9.12 | -16.79 | -0.89 |
| Bonds | |||
| Barclays U.S. Aggregate Bond Index (Broad taxable market) | 2.20% | 1.50% | 3.60% |
| Barclays Municipal Bond Index (Broad tax-exempt market) | 3.62 | 3.95 | 5.45 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.06 | 0.04 |
| CPI | |||
| Consumer Price Index | -0.51% | 1.02% | 1.39% |
3
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 3.13%. Bonds globally have been buoyed by negative interest rates. In December the European Central Bank cut a key rate further into negative territory, and in late January the Bank of Japan adopted a negative-rate policy.
In a rocky period for stocks, small-caps were punished
The three Russell 2000 Index Funds covered in this report represent the small-cap segment of the broad U.S. stock market.
Although small-cap stocks generally have greater potential for growth than large-caps, they’re usually more vulnerable to setbacks in times of market uncertainty.
During the most recent fiscal period, investors were wary of smaller companies, which tend to lack the diverse business lines or the resources and cash reserves of larger firms.
Small-cap growth stocks, which have led their value counterparts in recent years, took a back seat this time around. Growth stocks are typically priced at a premium compared to the rest of the market because of their perceived stronger earnings potential.
The Growth Index Fund recorded the poorest return because of its outsized exposure to health care stocks, which declined in all three funds. High valuations, especially among biotechnology stocks,
| Expense Ratios | |||
| Your Fund Compared With Its Peer Group | |||
| ETF | Institutional | Peer Group | |
| Shares | Shares | Average | |
| Russell 2000 Index Fund | 0.15% | 0.08% | 1.25% |
| Russell 2000 Value Index Fund | 0.20 | 0.08 | 1.33 |
| Russell 2000 Growth Index Fund | 0.20 | 0.08 | 1.36 |
The fund expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the funds’ annualized expense ratios were: for the Russell 2000 Index Fund, 0.14% for ETF Shares and 0.07% for Institutional Shares; for the Russell 2000 Value Index Fund, 0.19% for ETF Shares and 0.07% for Institutional Shares; and for the Russell 2000 Growth Index Fund, 0.18% for ETF Shares and 0.07% for Institutional Shares. The peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2015.
Peer groups: For the Russell 2000 Index Fund, Small-Cap Core Funds; for the Russell 2000 Value Index Fund, Small-Cap Value Funds; and for the Russell 2000 Growth Index Fund, Small-Cap Growth Funds.
4
were a concern. Merger and acquisition activity, which in other periods has buoyed biotech and pharmaceutical stocks, slowed.
Technology holdings weighed on the performance of the Russell 2000 Index Fund and the Growth Index Fund, as investors worried about the U.S. economy’s growth prospects. Consumer discretionary stocks fell in all three funds as consumers spent less on nonessential items.
The financial services sector was another source of weakness for all three funds. Banks and providers of consumer finance and credit services struggled in the low interest rate environment.
| Vanguard’s growth translates into lower costs for you |
| Research indicates that lower-cost investments have tended to outperform higher-cost ones. So it’s little wonder that funds with lower expense ratios—including those at Vanguard—have dominated the industry’s cash inflows in recent years. |
| Vanguard has long been a low-cost leader, with expenses well below those of many other investment management companies. That cost difference remains a powerful advantage for Vanguard clients. Why? Because a lower expense ratio allows a fund to pass along a greater share of its returns to its investors. |
| What’s more, as you can see in the chart below, we’ve been able to lower our costs continually as our assets under management have grown. Our steady growth has not been an explicit business objective. Rather, we focus on putting our clients’ interests first at all times, and giving them the best chance for investment success. But economies of scale—the cost efficiencies that come with our growth—have allowed us to keep lowering our fund costs, even as we invest in our people and technology. |
| The benefit of economies of scale |
5
Energy stocks declined most. The plunge in oil prices hit energy companies hard, with the sector’s returns ranging from –41% to –45% across the three funds.
The utilities sector was the top performer for all three funds, with returns around 10%. Investors were drawn to these stocks because they generally deliver relatively reliable returns and large dividends, an attractive feature in a volatile and low-interest rate environment.
Doing what’s best for clients: That’s how we were built
It’s hard for me to believe, but this year will be my 30th with Vanguard. I knew little about the company when I started in June 1986, but I soon learned what makes Vanguard unique.
Simply put, we’re built differently.
We don’t have stockholders or outside owners. Instead, Vanguard is owned by its funds, which in turn are owned by you—Vanguard clients.
This structure matters because it ensures that our interests are completely aligned with those of our clients. We never have to weigh what’s best for clients against what’s best for the company’s owners; their interests are one and the same. Our client-owned structure is what allows us to run our funds at cost, and it’s why Vanguard’s expense ratios remain among the lowest in the industry. (See the insight box on page 5 for more on this.)
At the same time, we continually dedicate resources to enhance Vanguard’s service and investment capabilities. We aspire to provide the highest possible quality at the lowest possible price. That was true 30 years ago, it’s true today, and it will remain our focus for decades to come. After all, we’re built to put the long-term interests of our clients first.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 16, 2016
6
| Your Fund’s Performance at a Glance | ||||
| August 31, 2015, Through February 29, 2016 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Russell 2000 Index Fund | ||||
| ETF Shares | $92.71 | $82.31 | $1.107 | $0.000 |
| Institutional Shares | 177.40 | 157.44 | 2.256 | 0.000 |
| Vanguard Russell 2000 Value Index Fund | ||||
| ETF Shares | $81.88 | $74.80 | $1.621 | $0.000 |
| Institutional Shares | 161.59 | 147.52 | 3.397 | 0.000 |
| Vanguard Russell 2000 Growth Index Fund | ||||
| ETF Shares | $104.34 | $89.69 | $0.735 | $0.000 |
| Institutional Shares | 198.85 | 170.84 | 1.621 | 0.000 |
7
Russell 2000 Index Fund
Fund Profile
As of February 29, 2016
| Share-Class Characteristics | ||
| ETF | Institutional | |
| Shares | Shares | |
| Ticker Symbol | VTWO | VRTIX |
| Expense Ratio1 | 0.15% | 0.08% |
| 30-Day SEC Yield | 1.50% | 1.61% |
| Portfolio Characteristics | |||
| DJ | |||
| U.S. | |||
| Russell | Total | ||
| 2000 | Market | ||
| Fund | Index FA Index | ||
| Number of Stocks | 1,980 | 1,967 | 3,906 |
| Median Market Cap | $1.6B | $1.6B | $50.4B |
| Price/Earnings Ratio | 29.4x | 29.2x | 20.1x |
| Price/Book Ratio | 1.9x | 1.9x | 2.5x |
| Return on Equity | 11.0% | 11.0% | 17.5% |
| Earnings Growth Rate | 9.9% | 9.9% | 8.4% |
| Dividend Yield | 1.7% | 1.7% | 2.2% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 7% | — | — |
| Short-Term Reserves | -0.1% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ | |||
| U.S. | |||
| Total | |||
| Russell | Market | ||
| 2000 | FA | ||
| Fund | Index | Index | |
| Consumer Discretionary 15.0% | 15.0% | 15.0% | |
| Consumer Staples | 3.6 | 3.5 | 8.5 |
| Energy | 2.0 | 2.0 | 6.0 |
| Financial Services | 27.2 | 27.2 | 19.3 |
| Health Care | 13.8 | 13.8 | 14.1 |
| Materials & Processing | 5.9 | 5.9 | 3.6 |
| Producer Durables | 12.3 | 12.4 | 10.9 |
| Technology | 14.7 | 14.7 | 16.7 |
| Utilities | 5.5 | 5.5 | 5.9 |
| Volatility Measures | ||
| DJ | ||
| Russell | U.S. Total | |
| 2000 | Market | |
| Index | FA Index | |
| R-Squared | 1.00 | 0.75 |
| Beta | 1.00 | 1.15 |
| These measures show the degree and timing of the fund’s | ||
| fluctuations compared with the indexes over 36 months. | ||
| Ten Largest Holdings (% of total net assets) | ||
| STERIS plc | Medical & Dental | |
| Instruments & | ||
| Supplies | 0.4% | |
| CubeSmart | Specialized REITs | 0.3 |
| TreeHouse Foods Inc. | Foods | 0.3 |
| Piedmont Natural Gas | Utilities: Gas | |
| Co. Inc. | Distributors | 0.3 |
| Vail Resorts Inc. | Leisure Time | 0.3 |
| West Pharmaceutical | Medical & Dental | |
| Services Inc. | Instruments & | |
| Supplies | 0.3 | |
| MarketAxess Holdings | Securities Brokerage | |
| Inc. | & Services | 0.3 |
| Post Holdings Inc. | Foods | 0.3 |
| Burlington Stores Inc. | Specialty Retail | 0.3 |
| Sovran Self Storage Inc. | Specialized REITs | 0.3 |
| Top Ten | 3.1% | |
| The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratios were 0.14% for ETF Shares and 0.07% for Institutional Shares.
8
Russell 2000 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 29, 2016
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Inception | One | Five | Since | |
| Date | Year | Years | Inception | |
| ETF Shares | 9/20/2010 | |||
| Market Price | -4.43% | 9.14% | 11.99% | |
| Net Asset Value | -4.42 | 9.16 | 12.00 | |
| Institutional Shares | 12/22/2010 | -4.35 | 9.23 | 9.01 |
See Financial Highlights for dividend and capital gains information.
9
Russell 2000 Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2016
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| Common Stocks | |||
| Consumer Discretionary | |||
| Vail Resorts Inc. | 21,673 | 2,761 | 0.3% |
| Burlington Stores Inc. | 44,800 | 2,511 | 0.3% |
| Pool Corp. | 25,889 | 2,078 | 0.2% |
| Consumer Discretionary—Other † | 128,285 | 14.2% | |
| 135,635 | 15.0% | ||
| Consumer Staples | |||
| TreeHouse Foods Inc. | 33,530 | 2,831 | 0.3% |
| Post Holdings Inc. | 36,587 | 2,541 | 0.3% |
| Casey’s General Stores Inc. | 23,083 | 2,437 | 0.3% |
| Consumer Staples—Other † | 24,369 | 2.7% | |
| 32,178 | 3.6% | ||
| Energy † | 17,910 | 2.0% | |
| Financial Services | |||
| CubeSmart | 99,168 | 2,965 | 0.3% |
| MarketAxess Holdings Inc. | 22,175 | 2,627 | 0.3% |
| Sovran Self Storage Inc. | 23,399 | 2,491 | 0.3% |
| Highwoods Properties Inc. | 55,879 | 2,434 | 0.3% |
| First American Financial Corp. | 64,400 | 2,385 | 0.3% |
| Investors Bancorp Inc. | 207,199 | 2,345 | 0.3% |
| EPR Properties | 33,976 | 2,114 | 0.3% |
| Heartland Payment Systems Inc. | 21,745 | 2,034 | 0.2% |
| Sun Communities Inc. | 30,086 | 2,032 | 0.2% |
| Euronet Worldwide Inc. | 30,844 | 2,022 | 0.2% |
| Umpqua Holdings Corp. | 131,036 | 1,971 | 0.2% |
| FirstMerit Corp. | 98,663 | 1,937 | 0.2% |
| CNO Financial Group Inc. | 110,769 | 1,931 | 0.2% |
| DCT Industrial Trust Inc. | 52,899 | 1,914 | 0.2% |
| Gramercy Property Trust | 249,400 | 1,883 | 0.2% |
10
Russell 2000 Index Fund
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| Fair Isaac Corp. | 18,459 | 1,837 | 0.2% |
| Webster Financial Corp. | 53,957 | 1,813 | 0.2% |
| Financial Services—Other † | 209,262 | 23.1% | |
| 245,997 | 27.2% | ||
| Health Care | |||
| STERIS plc | 50,771 | 3,266 | 0.4% |
| West Pharmaceutical Services Inc. | 42,908 | 2,661 | 0.3% |
| WellCare Health Plans Inc. | 26,167 | 2,352 | 0.3% |
| Amsurg Corp. | 32,085 | 2,183 | 0.2% |
| ABIOMED Inc. | 24,805 | 1,985 | 0.2% |
| PAREXEL International Corp. | 32,777 | 1,924 | 0.2% |
| HealthSouth Corp. | 54,394 | 1,916 | 0.2% |
| Team Health Holdings Inc. | 42,972 | 1,915 | 0.2% |
| Neurocrine Biosciences Inc. | 50,888 | 1,872 | 0.2% |
| Health Care—Other † | 104,152 | 11.5% | |
| 124,226 | 13.7% | ||
| Materials & Processing | |||
| Berry Plastics Group Inc. | 70,938 | 2,208 | 0.2% |
| Materials & Processing—Other † | 51,247 | 5.7% | |
| 53,455 | 5.9% | ||
| 1Other † | 155 | 0.0% | |
| Producer Durables | |||
| Curtiss-Wright Corp. | 28,261 | 1,995 | 0.2% |
| MAXIMUS Inc. | 39,150 | 1,925 | 0.2% |
| Producer Durables—Other † | 107,385 | 11.9% | |
| 111,305 | 12.3% | ||
| Technology | |||
| Manhattan Associates Inc. | 43,864 | 2,424 | 0.3% |
| Tyler Technologies Inc. | 20,007 | 2,407 | 0.3% |
| Microsemi Corp. | 64,536 | 2,235 | 0.2% |
| Guidewire Software Inc. | 41,772 | 2,056 | 0.2% |
| FEI Co. | 24,698 | 2,006 | 0.2% |
| EPAM Systems Inc. | 29,076 | 1,988 | 0.2% |
| Cavium Inc. | 32,954 | 1,960 | 0.2% |
| ViaSat Inc. | 25,425 | 1,856 | 0.2% |
| Take-Two Interactive Software Inc. | 50,406 | 1,814 | 0.2% |
| Technology—Other † | 113,894 | 12.6% | |
| 132,640 | 14.6% | ||
| Utilities | |||
| Piedmont Natural Gas Co. Inc. | 46,973 | 2,791 | 0.3% |
| IDACORP Inc. | 29,929 | 2,124 | 0.3% |
| j2 Global Inc. | 28,640 | 2,093 | 0.2% |
| WGL Holdings Inc. | 29,544 | 2,015 | 0.2% |
| Portland General Electric Co. | 52,737 | 2,007 | 0.2% |
| ONE Gas Inc. | 31,252 | 1,812 | 0.2% |
| Utilities—Other † | 37,263 | 4.1% | |
| 50,105 | 5.5% | ||
| Total Common Stocks (Cost $1,090,469) | 903,606 | 99.8%2 | |
11
Russell 2000 Index Fund
| Market | Percentage | |||
| Value• | of Net | |||
| Coupon | Shares | ($000) | Assets | |
| Temporary Cash Investments | ||||
| Money Market Fund | ||||
| 3,4 Vanguard Market Liquidity Fund | 0.475% | 15,320,491 | 15,320 | 1.6% |
| 5U.S. Government and Agency Obligations † | 500 | 0.1% | ||
| Total Temporary Cash Investments (Cost $15,820) | 15,820 | 1.7%2 | ||
| 6Total Investments (Cost $1,106,289) | 919,426 | 101.5% | ||
| Amount | ||||
| ($000) | ||||
| Other Assets and Liabilities | ||||
| Other Assets | ||||
| Investment in Vanguard | 78 | |||
| Receivables for Investment Securities Sold | 1,290 | |||
| Receivables for Accrued Income | 724 | |||
| Receivables for Capital Shares Issued | 70 | |||
| Other Assets | 160 | |||
| Total Other Assets | 2,322 | 0.3% | ||
| Liabilities | ||||
| Payables for Investment Securities Purchased | (3,311) | |||
| Collateral for Securities on Loan | (12,364) | |||
| Payables for Capital Shares Redeemed | (31) | |||
| Payables to Vanguard | (281) | |||
| Other Liabilities | (11) | |||
| Total Liabilities | (15,998) | (1.8%) | ||
| Net Assets | 905,750 | 100.0% | ||
12
Russell 2000 Index Fund
| At February 29, 2016, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 1,112,972 |
| Undistributed Net Investment Income | 506 |
| Accumulated Net Realized Losses | (20,962) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | (186,863) |
| Futures Contracts | 97 |
| Net Assets | 905,750 |
| ETF Shares—Net Assets | |
| Applicable to 6,450,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 530,914 |
| Net Asset Value Per Share—ETF Shares | $82.31 |
| Institutional Shares—Net Assets | |
| Applicable to 2,380,817 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 374,836 |
| Net Asset Value Per Share—Institutional Shares | $157.44 |
• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent
1% or less of net assets.
1 “Other” represents securities that are not classified by the fund’s benchmark index.
2 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.1% and 1.4%, respectively, of net assets.
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 Includes $12,364,000 of collateral received for securities on loan.
5 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $11,378,000.
See accompanying Notes, which are an integral part of the Financial Statements.
13
Russell 2000 Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 7,152 |
| Interest1 | 9 |
| Securities Lending | 909 |
| Total Income | 8,070 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 86 |
| Management and Administrative—ETF Shares | 189 |
| Management and Administrative—Institutional Shares | 12 |
| Marketing and Distribution—ETF Shares | 23 |
| Marketing and Distribution—Institutional Shares | 6 |
| Custodian Fees | 222 |
| Shareholders’ Reports—ETF Shares | 13 |
| Shareholders’ Reports—Institutional Shares | 1 |
| Total Expenses | 552 |
| Net Investment Income | 7,518 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 47,447 |
| Futures Contracts | (1,257) |
| Realized Net Gain (Loss) | 46,190 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (155,794) |
| Futures Contracts | 415 |
| Change in Unrealized Appreciation (Depreciation) | (155,379) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (101,671) |
| 1 Interest income from an affiliated company of the fund was $8,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
14
Russell 2000 Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 7,518 | 11,162 |
| Realized Net Gain (Loss) | 46,190 | 99,230 |
| Change in Unrealized Appreciation (Depreciation) | (155,379) | (125,717) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (101,671) | (15,325) |
| Distributions | ||
| Net Investment Income | ||
| ETF Shares | (6,665) | (5,355) |
| Institutional Shares | (7,401) | (3,706) |
| Realized Capital Gain | ||
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (14,066) | (9,061) |
| Capital Share Transactions | ||
| ETF Shares | 43,746 | 188,644 |
| Institutional Shares | (104,665) | 223,654 |
| Net Increase (Decrease) from Capital Share Transactions | (60,919) | 412,298 |
| Total Increase (Decrease) | (176,656) | 387,912 |
| Net Assets | ||
| Beginning of Period | 1,082,406 | 694,494 |
| End of Period1 | 905,750 | 1,082,406 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $506,000 and $7,050,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
15
Russell 2000 Index Fund
Financial Highlights
| ETF Shares | ||||||
| Six Months | Sept. 20, | |||||
| Ended | 20101 to | |||||
| For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | |||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $92.71 | $93.72 | $80.46 | $64.74 | $57.66 | $52.78 |
| Investment Operations | ||||||
| Net Investment Income | . 569 | 1.224 2 | 1.054 | 1.161 | .8692 | .575 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (9.862) | (1.163) | 13.163 | 15.604 | 6.749 | 4.531 |
| Total from Investment Operations | (9.293) | .061 | 14.217 | 16.765 | 7.618 | 5.106 |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.107) | (1.071) | (.957) | (1.045) | (.538) | (.226) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.107) | (1.071) | (.957) | (1.045) | (.538) | (.226) |
| Net Asset Value, End of Period | $82.31 | $92.71 | $93.72 | $80.46 | $64.74 | $57.66 |
| Total Return | -10.14% | 0.03% | 17.69% | 26.23% | 13.30% | 9.64% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $531 | $554 | $375 | $257 | $149 | $29 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.14% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15%3 |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 1.54% | 1.28% | 1.23% | 1.71% | 1.45% | 1.14%3 |
| Portfolio Turnover Rate 4 | 7% | 17% | 16% | 32% | 35% | 34% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Inception. 2 Calculated based on average shares outstanding. 3 Annualized. 4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
16
Russell 2000 Index Fund
Financial Highlights
| Institutional Shares | ||||||
| Six Months | Dec. 22, | |||||
| Ended | 20101 to | |||||
| For a Share Outstanding | February 29, | Year Ended August 31 | Aug. 31, | |||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $177.40 | $179.29 | $153.88 | $123.77 | $110.21 | $119.33 |
| Investment Operations | ||||||
| Net Investment Income | 1.151 | 2.4532 | 2.110 | 2.306 | 1.7332 | .652 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (18.855) | (2.212) | 25.206 | 29.858 | 12.899 | (9.340) |
| Total from Investment Operations | (17.704) | .241 | 27.316 | 32.164 | 14.632 | (8.688) |
| Distributions | ||||||
| Dividends from Net Investment Income | (2.256) | (2.131) | (1.906) | (2.054) | (1.072) | (.432) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (2.256) | (2.131) | (1.906) | (2.054) | (1.072) | (.432) |
| Net Asset Value, End of Period | $157.44 | $177.40 | $179.29 | $153.88 | $123.77 | $110.21 |
| Total Return | -10.10% | 0.11% | 17.78% | 26.33% | 13.37% | -7.31% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $375 | $528 | $320 | $278 | $202 | $78 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08%3 |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 1.61% | 1.35% | 1.30% | 1.78% | 1.52% | 1.21%3 |
| Portfolio Turnover Rate 4 | 7% | 17% | 16% | 32% | 35% | 34% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Inception. 2 Calculated based on average shares outstanding. 3 Annualized. 4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
17
Russell 2000 Index Fund
Notes to Financial Statements
Vanguard Russell 2000 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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 fund’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 acquired over 60 days to maturity 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. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund 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 fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 six months ended February 29, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
18
Russell 2000 Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund 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 on the next business day. The fund 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 fund 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 fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund 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.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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 fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, 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. 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.
19
Russell 2000 Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $78,000, representing 0.01% of the fund’s net assets and 0.03% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 903,368 | — | 238 |
| Temporary Cash Investments | 15,320 | 500 | — |
| Futures Contracts—Liabilities1 | (11) | — | — |
| Total | 918,677 | 500 | 238 |
| 1 Represents variation margin on the last day of the reporting period. |
20
Russell 2000 Index Fund
D. At February 29, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini Russell 2000 Index | March 2016 | 30 | 3,095 | 97 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $44,039,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $23,326,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $1,106,421,000. Net unrealized depreciation of investment securities for tax purposes was $186,995,000, consisting of unrealized gains of $44,213,000 on securities that had risen in value since their purchase and $231,208,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $191,802,000 of investment securities and sold $254,250,000 of investment securities, other than temporary cash investments. Purchases and sales include $78,903,000 and $217,981,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
21
Russell 2000 Index Fund
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2016 | August 31, 2015 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued | 266,131 | 2,975 | 647,425 | 6,700 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (222,385) | (2,500) | (458,781) | (4,725) |
| Net Increase (Decrease)—ETF Shares | 43,746 | 475 | 188,644 | 1,975 |
| Institutional Shares | ||||
| Issued | 104,968 | 616 | 316,346 | 1,709 |
| Issued in Lieu of Cash Distributions | 6,819 | 39 | 3,416 | 19 |
| Redeemed | (216,452) | (1,253) | (96,108) | (532) |
| Net Increase (Decrease)—Institutional Shares | (104,665) | (598) | 223,654 | 1,196 |
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
22
Russell 2000 Value Index Fund
Fund Profile
As of February 29, 2016
| Share-Class Characteristics | ||
| ETF | Institutional | |
| Shares | Shares | |
| Ticker Symbol | VTWV | VRTVX |
| Expense Ratio1 | 0.20% | 0.08% |
| 30-Day SEC Yield | 2.23% | 2.36% |
| Portfolio Characteristics | |||
| DJ | |||
| Russell | U.S. | ||
| 2000 | Total | ||
| Value | Market | ||
| Fund | Index FA Index | ||
| Number of Stocks | 1,339 | 1,332 | 3,906 |
| Median Market Cap | $1.5B | $1.5B | $50.4B |
| Price/Earnings Ratio | 23.8x | 23.6x | 20.1x |
| Price/Book Ratio | 1.4x | 1.4x | 2.5x |
| Return on Equity | 7.9% | 7.8% | 17.5% |
| Earnings Growth Rate | 7.0% | 7.0% | 8.4% |
| Dividend Yield | 2.5% | 2.6% | 2.2% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 7% | — | — |
| Short-Term Reserves | 0.0% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ | |||
| U.S. | |||
| Russell | Total | ||
| 2000 | Market | ||
| Value | FA | ||
| Fund | Index | Index | |
| Consumer Discretionary | 10.4% | 10.4% | 15.0% |
| Consumer Staples | 3.3 | 3.2 | 8.5 |
| Energy | 3.0 | 3.0 | 6.0 |
| Financial Services | 43.3 | 43.5 | 19.3 |
| Health Care | 4.3 | 4.2 | 14.1 |
| Materials & Processing | 4.5 | 4.5 | 3.6 |
| Producer Durables | 12.1 | 12.1 | 10.9 |
| Technology | 9.8 | 9.8 | 16.7 |
| Utilities | 9.3 | 9.3 | 5.9 |
| Volatility Measures | ||
| Russell | DJ | |
| 2000 | U.S. Total | |
| Value | Market | |
| Index | FA Index | |
| R-Squared | 1.00 | 0.72 |
| Beta | 1.00 | 1.07 |
| These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
| Ten Largest Holdings (% of total net assets) | ||
| TreeHouse Foods Inc. | Foods | 0.6% |
| Piedmont Natural Gas | Utilities: Gas | |
| Co. Inc. | Distributors | 0.6 |
| Post Holdings Inc. | Foods | 0.5 |
| Highwoods Properties | ||
| Inc. | Office REITs | 0.5 |
| First American Financial | Insurance: | |
| Corp. | Property-Casualty | 0.5 |
| Investors Bancorp Inc. | Banks: Diversified | 0.5 |
| IDACORP Inc. | Utilities: Electrical | 0.5 |
| EPR Properties | Specialized REITs | 0.5 |
| WGL Holdings Inc. | Utilities: Gas | |
| Distributors | 0.4 | |
| Portland General Electric | ||
| Co. | Utilities: Electrical | 0.4 |
| Top Ten | 5.0% | |
| The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratios were 0.19% for ETF Shares and 0.07% for Institutional Shares.
23
Russell 2000 Value Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 29, 2016
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Inception | One | Five | Since | |
| Date | Year | Years | Inception | |
| ETF Shares | 9/20/2010 | |||
| Market Price | -7.59% | 7.50% | 10.13% | |
| Net Asset Value | -7.59 | 7.50 | 10.12 | |
| Institutional Shares | 7/13/2012 | -7.47 | — | 10.30 |
See Financial Highlights for dividend and capital gains information.
24
Russell 2000 Value Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2016
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| Common Stocks | |||
| Consumer Discretionary | |||
| * Houghton Mifflin Harcourt Co. | 27,392 | 515 | 0.3% |
| Consumer Discretionary—Other † | 16,729 | 10.0% | |
| 17,244 | 10.3% | ||
| Consumer Staples | |||
| * TreeHouse Foods Inc. | 12,115 | 1,023 | 0.6% |
| * Post Holdings Inc. | 13,246 | 920 | 0.6% |
| Consumer Staples—Other † | 3,603 | 2.1% | |
| 5,546 | 3.3% | ||
| Energy † | 5,081 | 3.0% | |
| Financial Services | |||
| Highwoods Properties Inc. | 20,231 | 881 | 0.5% |
| First American Financial Corp. | 23,317 | 863 | 0.5% |
| Investors Bancorp Inc. | 75,018 | 849 | 0.5% |
| EPR Properties | 12,301 | 766 | 0.5% |
| Umpqua Holdings Corp. | 47,443 | 714 | 0.4% |
| FirstMerit Corp. | 35,662 | 700 | 0.4% |
| CNO Financial Group Inc. | 40,001 | 697 | 0.4% |
| DCT Industrial Trust Inc. | 19,112 | 692 | 0.4% |
| Gramercy Property Trust | 90,251 | 681 | 0.4% |
| Webster Financial Corp. | 19,528 | 656 | 0.4% |
| Healthcare Realty Trust Inc. | 21,599 | 627 | 0.4% |
| Sun Communities Inc. | 9,175 | 620 | 0.4% |
| Prosperity Bancshares Inc. | 15,070 | 610 | 0.4% |
| LaSalle Hotel Properties | 24,308 | 592 | 0.4% |
| RLI Corp. | 9,295 | 583 | 0.4% |
| Medical Properties Trust Inc. | 50,347 | 583 | 0.4% |
| PrivateBancorp Inc. | 16,920 | 581 | 0.4% |
| New Residential Investment Corp. | 49,598 | 581 | 0.3% |
25
Russell 2000 Value Index Fund
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| Sunstone Hotel Investors Inc. | 44,917 | 579 | 0.3% |
| Education Realty Trust Inc. | 13,610 | 540 | 0.3% |
| FNB Corp. | 43,662 | 536 | 0.3% |
| United Bankshares Inc. | 14,954 | 524 | 0.3% |
| First Industrial Realty Trust Inc. | 23,844 | 513 | 0.3% |
| MB Financial Inc. | 16,180 | 494 | 0.3% |
| Financial Services—Other † | 56,961 | 33.9% | |
| 72,423 | 43.2% | ||
| Health Care | |||
| * Amsurg Corp. | 8,787 | 598 | 0.4% |
| Owens & Minor Inc. | 13,586 | 535 | 0.3% |
| Health Care—Other † | 5,890 | 3.5% | |
| 7,023 | 4.2% | ||
| Materials & Processing † | 7,398 | 4.4% | |
| 1Other † | 19 | 0.0% | |
| Producer Durables | |||
| Curtiss-Wright Corp. | 9,668 | 682 | 0.4% |
| EMCOR Group Inc. | 13,488 | 619 | 0.4% |
| Convergys Corp. | 21,280 | 549 | 0.3% |
| Producer Durables—Other † | 18,295 | 10.9% | |
| 20,145 | 12.0% | ||
| Technology | |||
| SYNNEX Corp. | 6,188 | 582 | 0.3% |
| * Tech Data Corp. | 7,889 | 555 | 0.3% |
| * CACI International Inc. Class A | 5,208 | 503 | 0.3% |
| * Fairchild Semiconductor International Inc. Class A | 25,074 | 503 | 0.3% |
| Technology—Other † | 14,181 | 8.5% | |
| 16,324 | 9.7% | ||
| Utilities | |||
| Piedmont Natural Gas Co. Inc. | 16,946 | 1,007 | 0.6% |
| IDACORP Inc. | 10,830 | 769 | 0.4% |
| WGL Holdings Inc. | 10,697 | 729 | 0.4% |
| Portland General Electric Co. | 19,094 | 727 | 0.4% |
| ONE Gas Inc. | 11,314 | 656 | 0.4% |
| New Jersey Resources Corp. | 18,411 | 637 | 0.4% |
| Black Hills Corp. | 11,012 | 617 | 0.4% |
| Southwest Gas Corp. | 10,080 | 615 | 0.4% |
| Laclede Group Inc. | 9,321 | 611 | 0.4% |
| NorthWestern Corp. | 10,123 | 601 | 0.4% |
| Cleco Corp. | 13,010 | 597 | 0.3% |
| ALLETE Inc. | 10,494 | 556 | 0.3% |
| PNM Resources Inc. | 17,145 | 547 | 0.3% |
| Avista Corp. | 13,411 | 507 | 0.3% |
| Utilities—Other † | 6,313 | 3.8% | |
| 15,489 | 9.2% | ||
| Total Common Stocks (Cost $195,295) | 166,692 | 99.3%2 | |
26
Russell 2000 Value Index Fund
| Market | Percentage | |||
| Value• | of Net | |||
| Coupon | Shares | ($000) | Assets | |
| Temporary Cash Investments | ||||
| Money Market Fund | ||||
| 3,4 Vanguard Market Liquidity Fund | 0.475% | 1,028,000 | 1,028 | 0.6% |
| 5U.S. Government and Agency Obligations † | 600 | 0.4% | ||
| Total Temporary Cash Investments (Cost $1,628) | 1,628 | 1.0%2 | ||
| 6Total Investments (Cost $196,923) | 168,320 | 100.3% | ||
| Amount | ||||
| ($000) | ||||
| Other Assets and Liabilities | ||||
| Other Assets | ||||
| Investment in Vanguard | 14 | |||
| Receivables for Investment Securities Sold | 323 | |||
| Receivables for Accrued Income | 175 | |||
| Receivables for Capital Shares Issued | 563 | |||
| Other Assets | 42 | |||
| Total Other Assets | 1,117 | 0.7% | ||
| Liabilities | ||||
| Payables for Investment Securities Purchased | (595) | |||
| Collateral for Securities on Loan | (937) | |||
| Payables for Capital Shares Redeemed | (3) | |||
| Payables to Vanguard | (45) | |||
| Other Liabilities | (3) | |||
| Total Liabilities | (1,583) | (1.0%) | ||
| Net Assets | 167,854 | 100.0% | ||
27
Russell 2000 Value Index Fund
| At February 29, 2016, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 205,076 |
| Undistributed Net Investment Income | 70 |
| Accumulated Net Realized Losses | (8,714) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | (28,603) |
| Futures Contracts | 25 |
| Net Assets | 167,854 |
| ETF Shares—Net Assets | |
| Applicable to 1,150,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 86,022 |
| Net Asset Value Per Share—ETF Shares | $74.80 |
| Institutional Shares—Net Assets | |
| Applicable to 554,722 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 81,832 |
| Net Asset Value Per Share—Institutional Shares | $147.52 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 “Other” represents securities that are not classified by the fund’s benchmark index.
2 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 0.3%, respectively, of net assets.
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 Includes $937,000 of collateral received for securities on loan.
5 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $867,000.
See accompanying Notes, which are an integral part of the Financial Statements.
28
Russell 2000 Value Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 1,449 |
| Interest1 | 1 |
| Securities Lending | 68 |
| Total Income | 1,518 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 15 |
| Management and Administrative—ETF Shares | 45 |
| Management and Administrative—Institutional Shares | 4 |
| Marketing and Distribution—ETF Shares | 3 |
| Marketing and Distribution—Institutional Shares | 1 |
| Custodian Fees | 28 |
| Shareholders’ Reports—ETF Shares | 2 |
| Shareholders’ Reports—Institutional Shares | — |
| Total Expenses | 98 |
| Net Investment Income | 1,420 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 327 |
| Futures Contracts | (306) |
| Realized Net Gain (Loss) | 21 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (12,961) |
| Futures Contracts | 69 |
| Change in Unrealized Appreciation (Depreciation) | (12,892) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (11,451) |
| 1 Interest income from an affiliated company of the fund was $1,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
29
Russell 2000 Value Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 1,420 | 2,926 |
| Realized Net Gain (Loss) | 21 | 11,893 |
| Change in Unrealized Appreciation (Depreciation) | (12,892) | (21,977) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (11,451) | (7,158) |
| Distributions | ||
| Net Investment Income | ||
| ETF Shares | (1,517) | (1,353) |
| Institutional Shares | (1,558) | (1,497) |
| Realized Capital Gain | ||
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (3,075) | (2,850) |
| Capital Share Transactions | ||
| ETF Shares | 19,773 | 8,868 |
| Institutional Shares | 18,365 | (6,380) |
| Net Increase (Decrease) from Capital Share Transactions | 38,138 | 2,488 |
| Total Increase (Decrease) | 23,612 | (7,520) |
| Net Assets | ||
| Beginning of Period | 144,242 | 151,762 |
| End of Period1 | 167,854 | 144,242 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $70,000 and $1,725,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
30
Russell 2000 Value Index Fund
Financial Highlights
| ETF Shares | ||||||
| Six Months | Sept. 20, | |||||
| Ended | 20101 to | |||||
| For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | |||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $81.88 | $87.76 | $75.48 | $61.97 | $55.14 | $52.39 |
| Investment Operations | ||||||
| Net Investment Income | .702 | 1.530 | 1.284 | 1.639 | 1.1262 | .9212 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (6.161) | (5.907) | 12.219 | 13.109 | 6.424 | 2.249 |
| Total from Investment Operations | (5.459) | (4.377) | 13.503 | 14.748 | 7.550 | 3.170 |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.621) | (1.503) | (1.223) | (1.238) | (.720) | (.420) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.621) | (1.503) | (1.223) | (1.238) | (.720) | (.420) |
| Net Asset Value, End of Period | $74.80 | $81.88 | $87.76 | $75.48 | $61.97 | $55.14 |
| Total Return | -6.79% | -5.10% | 17.92% | 24.14% | 13.81% | 5.98% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $86 | $74 | $70 | $45 | $19 | $17 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.19% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20%3 |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 2.08% | 1.80% | 1.83% | 2.12% | 2.02% | 1.79%3 |
| Portfolio Turnover Rate 4 | 7% | 28% | 36% | 60% | 40% | 101% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Inception. 2 Calculated based on average shares outstanding. 3 Annualized. 4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
31
Russell 2000 Value Index Fund
Financial Highlights
| Institutional Shares | |||||
| Six Months | July 13, | ||||
| Ended | 20121 to | ||||
| February 29, | Year Ended August 31, | Aug. 31, | |||
| For a Share Outstanding Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
| Net Asset Value, Beginning of Period | $161.59 | $173.15 | $148.87 | $122.12 | $120.40 |
| Investment Operations | |||||
| Net Investment Income | 1.468 | 3.195 | 2.724 | 3.360 | .2762 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | (12.141) | (11.619) | 24.103 | 25.888 | 1.444 |
| Total from Investment Operations | (10.673) | (8.424) | 26.827 | 29.248 | 1.720 |
| Distributions | |||||
| Dividends from Net Investment Income | (3.397) | (3.136) | (2.547) | (2.498) | — |
| Distributions from Realized Capital Gains | — | — | — | — | — |
| Total Distributions | (3.397) | (3.136) | (2.547) | (2.498) | — |
| Net Asset Value, End of Period | $147.52 | $161.59 | $173.15 | $148.87 | $122.12 |
| Total Return | -6.72% | -4.97% | 18.07% | 24.29% | 1.43% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $82 | $71 | $82 | $51 | $6 |
| Ratio of Total Expenses to | |||||
| Average Net Assets | 0.07% | 0.08% | 0.08% | 0.08% | 0.08%3 |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 2.20% | 1.92% | 1.95% | 2.24% | 2.14%3 |
| Portfolio Turnover Rate 4 | 7% | 28% | 36% | 60% | 40% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Inception. 2 Calculated based on average shares outstanding. 3 Annualized. 4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
32
Russell 2000 Value Index Fund
Notes to Financial Statements
Vanguard Russell 2000 Value Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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 fund’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 acquired over 60 days to maturity 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. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund 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 fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 six months ended February 29, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
33
Russell 2000 Value Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund 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 on the next business day. The fund 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 fund 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 fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund 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.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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 fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, 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. 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.
34
Russell 2000 Value Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $14,000, representing 0.01% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 166,647 | — | 45 |
| Temporary Cash Investments | 1,028 | 600 | — |
| Futures Contracts—Liabilities1 | (3) | — | — |
| Total | 167,672 | 600 | 45 |
| 1 Represents variation margin on the last day of the reporting period. |
35
Russell 2000 Value Index Fund
D. At February 29, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini Russell 2000 Index | March 2016 | 11 | 1,135 | 25 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $583,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $8,192,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $196,943,000. Net unrealized depreciation of investment securities for tax purposes was $28,623,000, consisting of unrealized gains of $7,008,000 on securities that had risen in value since their purchase and $35,631,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $50,282,000 of investment securities and sold $13,708,000 of investment securities, other than temporary cash investments. Purchases and sales include $21,573,000 and $7,975,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
36
Russell 2000 Value Index Fund
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2016 | August 31, 2015 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued | 29,055 | 375 | 175,714 | 2,000 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (9,282) | (125) | (166,846) | (1,900) |
| Net Increase (Decrease)—ETF Shares | 19,773 | 250 | 8,868 | 100 |
| Institutional Shares | ||||
| Issued | 26,312 | 172 | 15,832 | 93 |
| Issued in Lieu of Cash Distributions | 1,558 | 10 | 1,497 | 9 |
| Redeemed | (9,505) | (64) | (23,709) | (136) |
| Net Increase (Decrease)—Institutional Shares | 18,365 | 118 | (6,380) | (34) |
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
37
Russell 2000 Growth Index Fund
Fund Profile
As of February 29, 2016
| Share-Class Characteristics | ||
| ETF | Institutional | |
| Shares | Shares | |
| Ticker Symbol | VTWG | VRTGX |
| Expense Ratio1 | 0.20% | 0.08% |
| 30-Day SEC Yield | 0.65% | 0.78% |
| Portfolio Characteristics | |||
| DJ | |||
| Russell | U.S. | ||
| 2000 | Total | ||
| Growth | Market | ||
| Fund | Index | FA Index | |
| Number of Stocks | 1,195 | 1,185 | 3,906 |
| Median Market Cap | $1.7B | $1.7B | $50.4B |
| Price/Earnings Ratio | 38.9x | 38.4x | 20.1x |
| Price/Book Ratio | 3.4x | 3.4x | 2.5x |
| Return on Equity | 14.9% | 14.9% | 17.5% |
| Earnings Growth Rate | 13.1% | 13.1% | 8.4% |
| Dividend Yield | 0.9% | 0.9% | 2.2% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 9% | — | — |
| Short-Term Reserves | 0.1% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ | |||
| U.S. | |||
| Russell | Total | ||
| 2000 | Market | ||
| Growth | FA | ||
| Fund | Index | Index | |
| Consumer Discretionary 19.8% | 19.9% | 15.0% | |
| Consumer Staples | 3.8 | 3.8 | 8.5 |
| Energy | 0.9 | 0.9 | 6.0 |
| Financial Services | 10.4 | 10.3 | 19.3 |
| Health Care | 23.6 | 23.7 | 14.1 |
| Materials & Processing | 7.5 | 7.4 | 3.6 |
| Producer Durables | 12.6 | 12.6 | 10.9 |
| Technology | 19.7 | 19.8 | 16.7 |
| Utilities | 1.7 | 1.6 | 5.9 |
| Volatility Measures | ||
| DJ | ||
| U.S. Total | ||
| Russell 2000 | Market | |
| Growth Index | FA Index | |
| R-Squared | 1.00 | 0.71 |
| Beta | 1.00 | 1.24 |
| These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
| Ten Largest Holdings (% of total net assets) | ||
| STERIS plc | Medical & Dental | |
| Instruments & | ||
| Supplies | 0.7% | |
| Vail Resorts Inc. | Leisure Time | 0.6 |
| West Pharmaceutical | Medical & Dental | |
| Services Inc. | Instruments & | |
| Supplies | 0.6 | |
| MarketAxess Holdings | Securities Brokerage | |
| Inc. | & Services | 0.6 |
| Casey's General Stores | Drug & Grocery Store | |
| Inc. | Chains | 0.6 |
| Manhattan Associates | Computer Services | |
| Inc. | Software & Systems | 0.5 |
| Tyler Technologies Inc. | Computer Services | |
| Software & Systems | 0.5 | |
| WellCare Health Plans | Health Care | |
| Inc. | Management | |
| Services | 0.5 | |
| CubeSmart | Specialized REITs | 0.5 |
| Burlington Stores Inc. | Specialty Retail | 0.5 |
| Top Ten | 5.6% | |
| The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six
months ended February 29, 2016, the annualized expense ratios were 0.18% for ETF Shares and 0.07% for Institutional Shares.
38
Russell 2000 Growth Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 29, 2016
| Average Annual Total Returns: Periods Ended December 31, 2015 | ||||
| This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. | ||||
| Securities and Exchange Commission rules require that we provide this information. | ||||
| Inception | One | Five | Since | |
| Date | Year | Years | Inception | |
| ETF Shares | 9/20/2010 | |||
| Market Price | -1.37% | 10.58% | 13.67% | |
| Net Asset Value | -1.35 | 10.62 | 13.68 | |
| Institutional Shares | 5/25/2011 | -1.24 | — | 10.03 |
See Financial Highlights for dividend and capital gains information.
39
Russell 2000 Growth Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2016
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| Common Stocks | |||
| Consumer Discretionary | |||
| Vail Resorts Inc. | 17,961 | 2,288 | 0.6% |
| * Burlington Stores Inc. | 33,327 | 1,868 | 0.5% |
| Pool Corp. | 21,523 | 1,728 | 0.5% |
| * Buffalo Wild Wings Inc. | 9,374 | 1,487 | 0.4% |
| Texas Roadhouse Inc. Class A | 34,528 | 1,440 | 0.4% |
| * Cimpress NV | 16,180 | 1,427 | 0.4% |
| ^ Cracker Barrel Old Country Store Inc. | 8,867 | 1,313 | 0.4% |
| American Eagle Outfitters Inc. | 85,324 | 1,302 | 0.4% |
| * Tenneco Inc. | 28,514 | 1,298 | 0.3% |
| Cheesecake Factory Inc. | 24,051 | 1,200 | 0.3% |
| Consumer Discretionary—Other † | 57,596 | 15.6% | |
| 72,947 | 19.8% | ||
| Consumer Staples | |||
| Casey’s General Stores Inc. | 19,197 | 2,027 | 0.6% |
| Consumer Staples—Other † | 11,951 | 3.2% | |
| 13,978 | 3.8% | ||
| Energy † | 3,199 | 0.9% | |
| Financial Services | |||
| MarketAxess Holdings Inc. | 18,450 | 2,186 | 0.6% |
| CubeSmart | 64,476 | 1,928 | 0.5% |
| Sovran Self Storage Inc. | 16,966 | 1,806 | 0.5% |
| Heartland Payment Systems Inc. | 18,054 | 1,688 | 0.5% |
| * Euronet Worldwide Inc. | 25,650 | 1,681 | 0.5% |
| Fair Isaac Corp. | 15,316 | 1,524 | 0.4% |
| Bank of the Ozarks Inc. | 38,468 | 1,456 | 0.4% |
| CyrusOne Inc. | 29,974 | 1,188 | 0.3% |
| Financial Services—Other † | 24,496 | 6.6% | |
| 37,953 | 10.3% | ||
40
Russell 2000 Growth Index Fund
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| Health Care | |||
| STERIS plc | 42,066 | 2,706 | 0.8% |
| West Pharmaceutical Services Inc. | 35,562 | 2,206 | 0.6% |
| * WellCare Health Plans Inc. | 21,726 | 1,953 | 0.5% |
| * ABIOMED Inc. | 20,591 | 1,647 | 0.5% |
| * PAREXEL International Corp. | 27,213 | 1,597 | 0.4% |
| HealthSouth Corp. | 45,130 | 1,590 | 0.4% |
| * Team Health Holdings Inc. | 35,528 | 1,583 | 0.4% |
| * Neurocrine Biosciences Inc. | 42,137 | 1,550 | 0.4% |
| * Anacor Pharmaceuticals Inc. | 20,220 | 1,290 | 0.4% |
| * Prestige Brands Holdings Inc. | 25,795 | 1,261 | 0.4% |
| * Molina Healthcare Inc. | 19,370 | 1,202 | 0.3% |
| * Myriad Genetics Inc. | 34,257 | 1,199 | 0.3% |
| Health Care—Other † | 67,171 | 18.2% | |
| 86,955 | 23.6% | ||
| Materials & Processing | |||
| PolyOne Corp. | 43,991 | 1,184 | 0.3% |
| Materials & Processing—Other † | 26,210 | 7.1% | |
| 27,394 | 7.4% | ||
| 1Other † | 98 | 0.0% | |
| Producer Durables | |||
| MAXIMUS Inc. | 32,505 | 1,598 | 0.4% |
| Healthcare Services Group Inc. | 35,263 | 1,251 | 0.3% |
| * Generac Holdings Inc. | 34,111 | 1,185 | 0.3% |
| Producer Durables—Other † | 42,143 | 11.5% | |
| 46,177 | 12.5% | ||
| Technology | |||
| * Manhattan Associates Inc. | 36,401 | 2,012 | 0.5% |
| * Tyler Technologies Inc. | 16,638 | 2,002 | 0.5% |
| * Microsemi Corp. | 49,238 | 1,705 | 0.5% |
| * Guidewire Software Inc. | 34,618 | 1,704 | 0.5% |
| FEI Co. | 20,502 | 1,666 | 0.5% |
| * EPAM Systems Inc. | 24,131 | 1,650 | 0.4% |
| * Cavium Inc. | 27,282 | 1,623 | 0.4% |
| * Synaptics Inc. | 18,166 | 1,475 | 0.4% |
| * Aspen Technology Inc. | 42,121 | 1,389 | 0.4% |
| Blackbaud Inc. | 23,199 | 1,311 | 0.4% |
| * ViaSat Inc. | 17,929 | 1,309 | 0.4% |
| * Integrated Device Technology Inc. | 66,845 | 1,298 | 0.4% |
| * Ciena Corp. | 60,875 | 1,248 | 0.3% |
| * Ellie Mae Inc. | 14,503 | 1,220 | 0.3% |
| Technology—Other † | 50,956 | 13.8% | |
| 72,568 | 19.7% | ||
| Utilities | |||
| j2 Global Inc. | 23,782 | 1,738 | 0.5% |
| Utilities—Other † | 4,313 | 1.2% | |
| 6,051 | 1.7% | ||
| Total Common Stocks (Cost $429,298) | 367,320 | 99.7%2 | |
41
Russell 2000 Growth Index Fund
| Market | Percentage | |||
| Value• | of Net | |||
| Coupon | Shares | ($000) | Assets | |
| Temporary Cash Investments | ||||
| Money Market Fund | ||||
| 3,4 Vanguard Market Liquidity Fund | 0.475% | 9,694,796 | 9,695 | 2.6% |
| 5U.S. Government and Agency Obligations † | 200 | 0.1% | ||
| Total Temporary Cash Investments (Cost $9,895) | 9,895 | 2.7%2 | ||
| Total Investments (Cost $439,193) | 377,215 | 102.4% | ||
| Amount | ||||
| ($000) | ||||
| Other Assets and Liabilities | ||||
| Other Assets | ||||
| Investment in Vanguard | 34 | |||
| Receivables for Investment Securities Sold | 309 | |||
| Receivables for Accrued Income | 193 | |||
| Receivables for Capital Shares Issued | 325 | |||
| Other Assets | 8 | |||
| Total Other Assets | 869 | 0.2% | ||
| Liabilities | ||||
| Payables for Investment Securities Purchased | (318) | |||
| Collateral for Securities on Loan | (9,266) | |||
| Payables for Capital Shares Redeemed | (9) | |||
| Payables to Vanguard | (105) | |||
| Other Liabilities | (3) | |||
| Total Liabilities | (9,701) | (2.6%) | ||
| Net Assets | 368,383 | 100.0% | ||
42
Russell 2000 Growth Index Fund
| At February 29, 2016, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 447,879 |
| Undistributed Net Investment Income | 379 |
| Accumulated Net Realized Losses | (17,924) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | (61,978) |
| Futures Contracts | 27 |
| Net Assets | 368,383 |
| ETF Shares—Net Assets | |
| Applicable to 1,325,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 118,837 |
| Net Asset Value Per Share—ETF Shares | $89.69 |
| Institutional Shares—Net Assets | |
| Applicable to 1,460,713 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 249,546 |
| Net Asset Value Per Share—Institutional Shares | $170.84 |
• 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 $8,523,000.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 “Other” represents securities that are not classified by the fund’s benchmark index.
2 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and 2.4%, respectively, of net assets.
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 Includes $9,266,000 of collateral received for securities on loan.
5 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
See accompanying Notes, which are an integral part of the Financial Statements.
43
Russell 2000 Growth Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 1,460 |
| Interest1 | 6 |
| Securities Lending | 457 |
| Total Income | 1,923 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 35 |
| Management and Administrative—ETF Shares | 91 |
| Management and Administrative—Institutional Shares | 37 |
| Marketing and Distribution—ETF Shares | 5 |
| Marketing and Distribution—Institutional Shares | 4 |
| Custodian Fees | 38 |
| Shareholders’ Reports—ETF Shares | 3 |
| Shareholders’ Reports—Institutional Shares | — |
| Total Expenses | 213 |
| Net Investment Income | 1,710 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 7,626 |
| Futures Contracts | (50) |
| Realized Net Gain (Loss) | 7,576 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (67,086) |
| Futures Contracts | (32) |
| Change in Unrealized Appreciation (Depreciation) | (67,118) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (57,832) |
| 1 Interest income from an affiliated company of the fund was $4,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
44
Russell 2000 Growth Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 1,710 | 2,326 |
| Realized Net Gain (Loss) | 7,576 | 30,695 |
| Change in Unrealized Appreciation (Depreciation) | (67,118) | (20,057) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (57,832) | 12,964 |
| Distributions | ||
| Net Investment Income | ||
| ETF Shares | (1,024) | (705) |
| Institutional Shares | (1,793) | (1,350) |
| Realized Capital Gain | ||
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (2,817) | (2,055) |
| Capital Share Transactions | ||
| ETF Shares | (8,721) | 45,567 |
| Institutional Shares | 102,149 | 7,835 |
| Net Increase (Decrease) from Capital Share Transactions | 93,428 | 53,402 |
| Total Increase (Decrease) | 32,779 | 64,311 |
| Net Assets | ||
| Beginning of Period | 335,604 | 271,293 |
| End of Period1 | 368,383 | 335,604 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $379,000 and $1,486,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
45
Russell 2000 Growth Index Fund
Financial Highlights
| ETF Shares | ||||||
| Six Months | Sept. 20, | |||||
| Ended | 20101 to | |||||
| For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | |||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $104.34 | $99.83 | $85.58 | $67.37 | $60.02 | $53.17 |
| Investment Operations | ||||||
| Net Investment Income | . 394 | .680 | .646 | .699 | . 402 2 | .258 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (14.309) | 4.471 | 14.153 | 18.073 | 7.133 | 6.762 |
| Total from Investment Operations | (13.915) | 5.151 | 14.799 | 18.772 | 7.535 | 7.020 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.735) | (. 641) | (. 549) | (. 562) | (.185) | (.170) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.735) | (. 641) | (. 549) | (. 562) | (.185) | (.170) |
| Net Asset Value, End of Period | $89.69 | $104.34 | $99.83 | $85.58 | $67.37 | $60.02 |
| Total Return | -13.43% | 5.17% | 17.30% | 28.07% | 12.58% | 13.18% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $119 | $149 | $100 | $68 | $20 | $12 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.18% | 0.20% | 0.20% | 0.20% | 0.20% | 0.20%3 |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 0.86% | 0.67% | 0.60% | 0.96% | 0.63% | 0.45%3 |
| Portfolio Turnover Rate 4 | 9% | 34% | 35% | 50% | 51% | 78% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Inception. 2 Calculated based on average shares outstanding. 3 Annualized. 4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
46
Russell 2000 Growth Index Fund
Financial Highlights
| Institutional Shares | ||||||
| Six Months | May 25, | |||||
| Ended | 20111 to | |||||
| For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | |||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $198.85 | $190.26 | $162.99 | $128.23 | $114.21 | $128.54 |
| Investment Operations | ||||||
| Net Investment Income | .865 | 1.478 | 1.412 | 1.412 | .8592 | .228 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (27.254) | 8.565 | 26.992 | 34.504 | 13.616 | (14.558) |
| Total from Investment Operations | (26.389) | 10.043 | 28.404 | 35.916 | 14.475 | (14.330) |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.621) | (1.453) | (1.134) | (1.156) | (.455) | — |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.621) | (1.453) | (1.134) | (1.156) | (.455) | — |
| Net Asset Value, End of Period | $170.84 | $198.85 | $190.26 | $162.99 | $128.23 | $114.21 |
| Total Return | -13.38% | 5.29% | 17.44% | 28.23% | 12.72% | -11.15% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $250 | $187 | $171 | $185 | $87 | $22 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08%3 |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 0.97% | 0.79% | 0.72% | 1.08% | 0.75% | 0.57%3 |
| Portfolio Turnover Rate 4 | 9% | 34% | 35% | 50% | 51% | 78% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Inception. 2 Calculated based on average shares outstanding. 3 Annualized. 4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
47
Russell 2000 Growth Index Fund
Notes to Financial Statements
Vanguard Russell 2000 Growth Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. ETF Shares are listed for trading on NYSE Arca; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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 fund’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 acquired over 60 days to maturity 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. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund 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 fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 six months ended February 29, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
48
Russell 2000 Growth Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund 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 on the next business day. The fund 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 fund 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 fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund 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.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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 fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, 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. 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.
49
Russell 2000 Growth Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $34,000, representing 0.01% of the fund’s net assets and 0.01% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest
rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine
the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 367,212 | — | 108 |
| Temporary Cash Investments | 9,695 | 200 | — |
| Futures Contracts—Liabilities1 | (3) | — | — |
| Total | 376,904 | 200 | 108 |
| 1 Represents variation margin on the last day of the reporting period. |
50
Russell 2000 Growth Index Fund
D. At February 29, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini Russell 2000 Index | March 2016 | 9 | 929 | 27 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $4,980,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
For tax purposes, at August 31, 2015, the fund had available capital losses totaling $20,440,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $439,193,000.
Net unrealized depreciation of investment securities for tax purposes was $61,978,000, consisting of unrealized gains of $22,724,000 on securities that had risen in value since their purchase and $84,702,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $132,195,000 of investment securities and sold $39,425,000 of investment securities, other than temporary cash investments. Purchases and sales include $12,548,000 and $22,308,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
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Russell 2000 Growth Index Fund
| G. Capital share transactions for each class of shares were: | ||||
| Six Months Ended | Year Ended | |||
| February 29, 2016 | August 31, 2015 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued | 14,685 | 150 | 224,830 | 2,100 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (23,406) | (250) | (179,263) | (1,675) |
| Net Increase (Decrease)—ETF Shares | (8,721) | (100) | 45,567 | 425 |
| Institutional Shares | ||||
| Issued | 125,922 | 649 | 61,431 | 310 |
| Issued in Lieu of Cash Distributions | 1,793 | 9 | 1,350 | 7 |
| Redeemed | (25,566) | (137) | (54,946) | (278) |
| Net Increase (Decrease)—Institutional Shares | 102,149 | 521 | 7,835 | 39 |
At February 29, 2016, one shareholder was the record or beneficial owner of 27% of the fund’s net assets. If the shareholder were to redeem its investment in the fund, the redemption might result in an increase in the fund’s expense ratio, cause the fund to incur higher transaction costs, or lead to the realization of taxable capital gains.
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
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About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
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| Six Months Ended February 29, 2016 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 8/31/2015 | 2/29/2016 | Period | |
| Based on Actual Fund Return | |||
| Russell 2000 Index Fund | |||
| ETF Shares | $1,000.00 | $898.65 | $0.66 |
| Institutional Shares | 1,000.00 | 899.03 | 0.33 |
| Russell 2000 Value Index Fund | |||
| ETF Shares | $1,000.00 | $932.15 | $0.91 |
| Institutional Shares | 1,000.00 | 932.80 | 0.34 |
| Russell 2000 Growth Index Fund | |||
| ETF Shares | $1,000.00 | $865.72 | $0.83 |
| Institutional Shares | 1,000.00 | 866.21 | 0.32 |
| Based on Hypothetical 5% Yearly Return | |||
| Russell 2000 Index Fund | |||
| ETF Shares | $1,000.00 | $1,024.17 | $0.70 |
| Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
| Russell 2000 Value Index Fund | |||
| ETF Shares | $1,000.00 | $1,023.92 | $0.96 |
| Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
| Russell 2000 Growth Index Fund | |||
| ETF Shares | $1,000.00 | $1,023.97 | $0.91 |
| Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
| The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Russell 2000 Index Fund, 0.14% for ETF Shares and 0.07% for Institutional Shares; for the Russell 2000 Value Index Fund, 0.19% for ETF Shares and 0.07% for Institutional Shares; and for the Russell 2000 Growth Index Fund, 0.18% for ETF Shares and 0.07% for Institutional Shares. The dollar amounts shown as “Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366). | |||
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
55
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
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 196 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
| InterestedTrustee1 | Rajiv L. Gupta |
| Born 1945. Trustee Since December 2001.2 Principal | |
| F. William McNabb III | Occupation(s) During the Past Five Years and Other |
| Born 1957. Trustee Since July 2009. Chairman of | Experience: Chairman and Chief Executive Officer |
| the Board. Principal Occupation(s) During the Past | (retired 2009) and President (2006–2008) of |
| Five Years and Other Experience: Chairman of the | Rohm and Haas Co. (chemicals); Director of Tyco |
| Board of The Vanguard Group, Inc., and of each of | International PLC (diversified manufacturing and |
| the investment companies served by The Vanguard | services), HP Inc. (printer and personal computer |
| Group, since January 2010; Director of The Vanguard | manufacturing), and Delphi Automotive PLC |
| Group since 2008; Chief Executive Officer and | (automotive components); Senior Advisor at |
| President of The Vanguard Group, and of each of | New Mountain Capital. |
| the investment companies served by The Vanguard | |
| Group, since 2008; Director of Vanguard Marketing | Amy Gutmann |
| Corporation; Managing Director of The Vanguard | Born 1949. Trustee Since June 2006. Principal |
| Group (1995–2008). | Occupation(s) During the Past Five Years and |
| Other Experience: President of the University of | |
| IndependentTrustees | Pennsylvania; Christopher H. Browne Distinguished |
| Professor of Political Science, School of Arts and | |
| Emerson U. Fullwood | Sciences, and Professor of Communication, Annenberg |
| Born 1948. Trustee Since January 2008. Principal | School for Communication, with secondary faculty |
| Occupation(s) During the Past Five Years and Other | appointments in the Department of Philosophy, School |
| Experience: Executive Chief Staff and Marketing | of Arts and Sciences, and at the Graduate School of |
| Officer for North America and Corporate Vice President | Education, University of Pennsylvania; Trustee of the |
| (retired 2008) of Xerox Corporation (document manage- | National Constitution Center; Chair of the Presidential |
| ment products and services); Executive in Residence | Commission for the Study of Bioethical Issues. |
| and 2009–2010 Distinguished Minett Professor at | |
| the Rochester Institute of Technology; Lead Director | JoAnn Heffernan Heisen |
| of SPX FLOW, Inc. (multi-industry manufacturing); | Born 1950. Trustee Since July 1998. Principal |
| Director of the United Way of Rochester, the University | Occupation(s) During the Past Five Years and |
| of Rochester Medical Center, Monroe Community | Other Experience: Corporate Vice President and |
| College Foundation, North Carolina A&T University, | Chief Global Diversity Officer (retired 2008) and |
| and Roberts Wesleyan College. | Member of the Executive Committee (1997–2008) |
| of Johnson & Johnson (pharmaceuticals/medical | |
| devices/consumer products); Director of Skytop | |
| Lodge Corporation (hotels) and the Robert Wood | |
| Johnson Foundation; Member of the Advisory | |
| Board of the Institute for Women’s Leadership | |
| at Rutgers University. |
| F. Joseph Loughrey | Executive Officers | |
| Born 1949. Trustee Since October 2009. Principal | ||
| Occupation(s) During the Past Five Years and Other | Glenn Booraem | |
| Experience: President and Chief Operating Officer | Born 1967. Treasurer Since May 2015. Principal | |
| (retired 2009) of Cummins Inc. (industrial machinery); | Occupation(s) During the Past Five Years and | |
| Chairman of the Board of Hillenbrand, Inc. (specialized | Other Experience: Principal of The Vanguard Group, | |
| consumer services), and of Oxfam America; Director | Inc.; Treasurer of each of the investment companies | |
| of SKF AB (industrial machinery), Hyster-Yale Materials | served by The Vanguard Group; Controller of each of | |
| Handling, Inc. (forklift trucks), the Lumina Foundation | the investment companies served by The Vanguard | |
| for Education, and the V Foundation for Cancer | Group (2010–2015); Assistant Controller of each of | |
| Research; Member of the Advisory Council for the | the investment companies served by The Vanguard | |
| College of Arts and Letters and of the Advisory Board | Group (2001–2010). | |
| to the Kellogg Institute for International Studies, both | ||
| at the University of Notre Dame. | Thomas J. Higgins | |
| Born 1957. Chief Financial Officer Since September | ||
| Mark Loughridge | 2008. Principal Occupation(s) During the Past Five | |
| Born 1953. Trustee Since March 2012. Principal | Years and Other Experience: Principal of The Vanguard | |
| Occupation(s) During the Past Five Years and Other | Group, Inc.; Chief Financial Officer of each of the | |
| Experience: Senior Vice President and Chief Financial | investment companies served by The Vanguard Group; | |
| Officer (retired 2013) at IBM (information technology | Treasurer of each of the investment companies served | |
| services); Fiduciary Member of IBM’s Retirement Plan | by The Vanguard Group (1998–2008). | |
| Committee (2004–2013); Director of the Dow Chemical | ||
| Company; Member of the Council on Chicago Booth. | Peter Mahoney | |
| Born 1974. Controller Since May 2015. Principal | ||
| Scott C. Malpass | Occupation(s) During the Past Five Years and | |
| Born 1962. Trustee Since March 2012. Principal | Other Experience: Head of Global Fund Accounting | |
| Occupation(s) During the Past Five Years and Other | at The Vanguard Group, Inc.; Controller of each of the | |
| Experience: Chief Investment Officer and Vice | investment companies served by The Vanguard Group; | |
| President at the University of Notre Dame; Assistant | Head of International Fund Services at The Vanguard | |
| Professor of Finance at the Mendoza College of | Group (2008–2014). | |
| Business at Notre Dame; Member of the Notre Dame | ||
| 403(b) Investment Committee, the Board of Advisors | Heidi Stam | |
| for Spruceview Capital Partners, and the Investment | Born 1956. Secretary Since July 2005. Principal | |
| Advisory Committee of Major League Baseball; Board | Occupation(s) During the Past Five Years and Other | |
| Member of TIFF Advisory Services, Inc., and Catholic | Experience: Managing Director of The Vanguard | |
| Investment Services, Inc. (investment advisors). | Group, Inc.; General Counsel of The Vanguard Group; | |
| Secretary of The Vanguard Group and of each of the | ||
| André F. Perold | investment companies served by The Vanguard Group; | |
| Born 1952. Trustee Since December 2004. Principal | Director and Senior Vice President of Vanguard | |
| Occupation(s) During the Past Five Years and Other | Marketing Corporation. | |
| Experience: George Gund Professor of Finance and | ||
| Banking, Emeritus at the Harvard Business School | Vanguard Senior ManagementTeam | |
| (retired 2011); Chief Investment Officer and Managing | Mortimer J. Buckley | James M. Norris |
| Partner of HighVista Strategies LLC (private investment | Kathleen C. Gubanich | Thomas M. Rampulla |
| firm); Director of Rand Merchant Bank; Overseer of | Martha G. King | Glenn W. Reed |
| the Museum of Fine Arts Boston. | John T. Marcante | Karin A. Risi |
| Chris D. McIsaac | ||
| Peter F. Volanakis | ||
| Born 1955. Trustee Since July 2009. Principal | ||
| Occupation(s) During the Past Five Years and Other | Chairman Emeritus and Senior Advisor | |
| Experience: President and Chief Operating Officer | John J. Brennan | |
| (retired 2010) of Corning Incorporated (communications | Chairman, 1996–2009 | |
| equipment); Trustee of Colby-Sawyer College and | Chief Executive Officer and President, 1996–2008 | |
| Chairman of its Finance and Enrollment Committee; | ||
| Member of the Advisory Board of the Norris Cotton | Founder | |
| Cancer Center. | John C. Bogle | |
| Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
 | |
| P.O. Box 2600 | |
| Valley Forge, PA 19482-2600 | |
| Connect with Vanguard® > vanguard.com | |
| Fund Information > 800-662-7447 | The Russell Indexes and Russell® are registered |
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| Q18512 042016 | |
Semiannual Report | February 29, 2016
Vanguard Russell 3000 Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 2 |
| Fund Profile. | 7 |
| Performance Summary. | 8 |
| Financial Statements. | 9 |
| About Your Fund’s Expenses. | 22 |
| Glossary. | 24 |
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.
See the Glossary for definitions of investment terms used in this report.
About the cover: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns
| Six Months Ended February 29, 2016 | |
| Total | |
| Returns | |
| Vanguard Russell 3000 Index Fund | |
| ETF Shares | |
| Market Price | -2.77% |
| Net Asset Value | -2.69 |
| Institutional Shares | -2.66 |
| Russell 3000 Index | -2.68 |
| Multi-Cap Core Funds Average | -5.12 |
| Multi-Cap Core Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. |
Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623.
For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV.
| Your Fund’s Performance at a Glance | ||||
| August 31, 2015, Through February 29, 2016 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Russell 3000 Index Fund | ||||
| ETF Shares | $91.43 | $88.05 | $0.954 | $0.000 |
| Institutional Shares | 176.98 | 170.41 | 1.919 | 0.000 |
1
Chairman’s Letter
Dear Shareholder,
After being tugged back and forth, the broad U.S. stock market finished the six months ended February 29, 2016, in the red. Vanguard Russell 3000 Index Fund returned –2.69% for ETF Shares (based on net asset value) and a bit better for Institutional Shares.
Your fund closely tracked the return of its benchmark index, which represents nearly 100% of the U.S. stock market. This index includes growth- and value-oriented stocks of large companies (the Russell 1000 Index) and medium-sized to smaller ones (the Russell 2000 Index). Although negative, the fund’s return outpaced the average return of multi-capitalization core peer funds by about two percentage points.
Stocks mostly slumped in the fiscal half year
Fears that China’s economic slowdown would spread globally weighed on investors at home and abroad. So, too, did falling oil and commodity prices—a trend often interpreted as a sign of economic weakness.
The broad U.S. market posted negative results in four of the six months. Its half-year total return of about –3% would have been even weaker if not for October’s return of about 8%.
2
In December, the Federal Reserve increased its target for short-term interest rates to 0.25%–0.5%. Central banks in Europe and Asia, in contrast, boosted stimulus efforts to battle weak growth and low inflation.
International stocks returned about –9%, a result that would have been less severe if not for the U.S. dollar’s strength against some foreign currencies. European stocks were among the worst performers.
Bonds registered gains as investors cut their risk
The broad U.S. taxable bond market returned 2.20% over the six months. Most of the gains came in January and February as investors sought safe-haven assets amid stock market turmoil. The yield of the 10-year U.S. Treasury note closed at 1.74% in February, down from 2.18% six months earlier. (Bond prices and yields move in opposite directions.)
The Fed’s target rate, which had stayed anchored at 0%–0.25% until the small rise in December, kept a lid on returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned about 3% when translated into U.S. dollars, and a bit more in local currencies. Bonds globally have been buoyed by negative interest rates. In December the European Central
| Market Barometer | |||
| Total Returns | |||
| Periods Ended February 29, 2016 | |||
| Six | One | Five Years | |
| Months | Year | (Annualized) | |
| Stocks | |||
| Russell 1000 Index (Large-caps) | -2.03% | -7.21% | 9.92% |
| Russell 2000 Index (Small-caps) | -10.16 | -14.97 | 6.11 |
| Russell 3000 Index (Broad U.S. market) | -2.68 | -7.84 | 9.61 |
| FTSE All-World ex US Index (International) | -9.12 | -16.79 | -0.89 |
| Bonds | |||
| Barclays U.S. Aggregate Bond Index (Broad taxable market) | 2.20% | 1.50% | 3.60% |
| Barclays Municipal Bond Index (Broad tax-exempt market) | 3.62 | 3.95 | 5.45 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.06 | 0.04 |
| CPI | |||
| Consumer Price Index | -0.51% | 1.02% | 1.39% |
3
Bank cut a key rate further into negative territory, and in late January the Bank of Japan adopted a negative-rate policy.
There were few ports amid market storms
Anyone hoping that markets might become a bit more settled after the Fed’s long-anticipated December interest rate increase would have been disappointed. In January, many U.S. and international stock markets fell into or near bear-market territory, in part because of concerns about global economic growth. (A decline of 20% or more lasting at least two months generally qualifies as a bear market for stocks.)
For the six months, large-company stocks held up better than their smaller peers in the Russell family of indexes. The Russell 1000 Index—which makes up the bulk of your fund’s benchmark—returned about –2%, compared with about –10% for the Russell 2000 Index.
Among large companies, growth stocks edged out value. The reverse was true for smaller companies, as the Russell 2000 Growth Index returned about –13% and its value counterpart returned about –7%. Because performance by size and orientation typically rotates across market cycles, we encourage you to hold a diversified portfolio—including a broad-market fund such as Vanguard Russell 3000 Index Fund.
| Expense Ratios | |||
| Your Fund Compared With Its Peer Group | |||
| ETF | Institutional | Peer Group | |
| Shares | Shares | Average | |
| Russell 3000 Index Fund | 0.15% | 0.08% | 1.17% |
| The fund expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratios were 0.14% for ETF Shares and 0.07% for Institutional Shares. The peer-group expense ratio is derived from data provided by Lipper, a Thomson Reuters Company, and captures information through year-end 2015. | |||
| Peer group: Multi-Cap Core Funds. | |||
4
In a downbeat environment with scarce positive returns, only a few industry sectors in the Russell 3000 Index posted gains, led by utilities’ double-digit advance. Providers of essential electric, gas, and telecommunications services did well and contributed most of the sector’s returns.
But water utilities were the standouts—several of these companies boasted returns well above 20%.
In consumer staples, food, beverage, and tobacco companies contributed significantly to a return of about 8%. And in producer durables, double-digit gains among some conglomerates lifted returns.
| Vanguard’s growth translates into lower costs for you |
| Research indicates that lower-cost investments have tended to outperform higher-cost ones. So it’s little wonder that funds with lower expense ratios—including those at Vanguard—have dominated the industry’s cash inflows in recent years. |
| Vanguard has long been a low-cost leader, with expenses well below those of many other investment management companies. That cost difference remains a powerful advantage for Vanguard clients. Why? Because a lower expense ratio allows a fund to pass along a greater share of its returns to its investors. |
| What’s more, as you can see in the chart below, we’ve been able to lower our costs continually as our assets under management have grown. Our steady growth has not been an explicit business objective. Rather, we focus on putting our clients’ interests first at all times, and giving them the best chance for investment success. But economies of scale—the cost efficiencies that come with our growth—have allowed us to keep lowering our fund costs, even as we invest in our people and technology. |
| The benefit of economies of scale |
5
At the other end of the spectrum, the relatively small energy sector was the worst performer, with a return of about –13%. Although oil prices had seemed to find their footing, they tumbled again late in 2015 and into 2016 before recovering a bit in February. Lower prices meant reduced spending and activity, hurting most energy-related companies.
After advancing in the previous fiscal year, two of the larger sectors in the fund and its index, financial services and health care, struggled. Commercial banks, financial services companies, and pharmaceutical and biotechnology companies weighed on their respective sectors’ returns. Consumer discretionary and materials and processing declined modestly, and the technology sector was near breakeven.
Doing what’s best for clients: That’s how we were built
It’s hard for me to believe, but this year will be my 30th with Vanguard. I knew little about the company when I started in June 1986, but I soon learned what makes Vanguard unique.
Simply put, we’re built differently.
We don’t have stockholders or outside owners. Instead, Vanguard is owned by its funds, which in turn are owned by you—Vanguard clients.
This structure matters because it ensures that our interests are completely aligned with those of our clients. We never have to weigh what’s best for clients against what’s best for the company’s owners; their interests are one and the same. Our client-owned structure is what allows us to run our funds at cost. And it’s why Vanguard’s expense ratios remain among the lowest in the industry. (See the insight box on page 5 for more on this.)
At the same time, we continually dedicate resources to enhance Vanguard’s service and investment capabilities. We aspire to provide the highest possible quality at the lowest possible price. That was true 30 years ago, it’s true today, and it will remain our focus for decades to come. After all, we’re built to put the long-term interests of our clients first.
As always, thank you for entrusting your assets to Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 16, 2016
6
Russell 3000 Index Fund
Fund Profile
As of February 29, 2016
| Share-Class Characteristics | ||
| ETF | Institutional | |
| Shares | Shares | |
| Ticker Symbol | VTHR | VRTTX |
| Expense Ratio1 | 0.15% | 0.08% |
| 30-Day SEC Yield | 2.04% | 2.11% |
| Portfolio Characteristics | |||
| DJ | |||
| Russell | U.S. Total | ||
| 3000 | Market | ||
| Fund | Index | FA Index | |
| Number of Stocks | 3,007 | 2,992 | 3,906 |
| Median Market Cap | $50.7B | $50.7B | $50.4B |
| Price/Earnings Ratio | 20.1x | 20.0x | 20.1x |
| Price/Book Ratio | 2.5x | 2.5x | 2.5x |
| Return on Equity | 17.8% | 17.6% | 17.5% |
| Earnings Growth | |||
| Rate | 8.4% | 8.4% | 8.4% |
| Dividend Yield | 2.2% | 2.2% | 2.2% |
| Foreign Holdings | 0.0% | 0.0% | 0.0% |
| Turnover Rate | |||
| (Annualized) | 4% | — | — |
| Short-Term Reserves | 0.0% | — | — |
| Sector Diversification (% of equity exposure) | |||
| DJ | |||
| U.S. | |||
| Total | |||
| Russell | Market | ||
| 3000 | FA | ||
| Fund | Index | Index | |
| Consumer | |||
| Discretionary | 14.9% | 15.0% | 15.0% |
| Consumer Staples | 8.5 | 8.5 | 8.5 |
| Energy | 6.0 | 5.9 | 6.0 |
| Financial Services | 19.3 | 19.3 | 19.3 |
| Health Care | 14.1 | 14.0 | 14.1 |
| Materials & | |||
| Processing | 3.7 | 3.7 | 3.6 |
| Producer Durables | 11.0 | 11.1 | 10.9 |
| Technology | 16.6 | 16.6 | 16.7 |
| Utilities | 5.9 | 5.9 | 5.9 |
| Volatility Measures | ||
| DJ | ||
| Russell | U.S. Total | |
| 3000 | Market | |
| Index | FA Index | |
| R-Squared | 1.00 | 1.00 |
| Beta | 1.00 | 1.00 |
| These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
| Ten Largest Holdings (% of total net assets) | ||
| Apple Inc. | Computer | |
| Technology | 2.7% | |
| Alphabet Inc. | Computer Services | |
| Software & Systems | 2.0 | |
| Microsoft Corp. | Computer Services | |
| Software & Systems | 2.0 | |
| Exxon Mobil Corp. | Oil: Integrated | 1.6 |
| Johnson & Johnson | Pharmaceuticals | 1.4 |
| General Electric Co. | Diversified | |
| Manufacturing | ||
| Operations | 1.3 | |
| Berkshire Hathaway Inc. | Insurance: Multi-Line | 1.2 |
| Facebook Inc. | Computer Services | |
| Software & Systems | 1.1 | |
| AT&T Inc. | Utilities: | |
| Telecommunications | 1.1 | |
| Wells Fargo & Co. | Banks: Diversified | 1.1 |
| Top Ten | 15.5% | |
| The holdings listed exclude any temporary cash investments and equity index products. | ||
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratios were 0.14% for ETF Shares and 0.07% for Institutional Shares.
7
Russell 3000 Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
Fiscal-Year Total Returns (%): September 20, 2010, Through February 29, 2016
| Average Annual Total Returns: Periods Ended December 31, 2015 | ||||
| This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. | ||||
| Securities and Exchange Commission rules require that we provide this information. | ||||
| Inception | One | Five | Since | |
| Date | Year | Years | Inception | |
| ETF Shares | 9/20/2010 | |||
| Market Price | 0.33% | 12.03% | 13.73% | |
| Net Asset Value | 0.35 | 12.03 | 13.72 | |
| Institutional Shares | 11/1/2010 | 0.44 | 12.11 | 13.25 |
See Financial Highlights for dividend and capital gains information.
8
Russell 3000 Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2016
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| Common Stocks | |||
| Consumer Discretionary | |||
| * Amazon.com Inc. | 17,227 | 9,518 | 1.0% |
| Walt Disney Co. | 76,717 | 7,328 | 0.8% |
| Home Depot Inc. | 58,736 | 7,290 | 0.8% |
| Comcast Corp. Class A | 113,248 | 6,538 | 0.7% |
| McDonald’s Corp. | 43,385 | 5,084 | 0.5% |
| Wal-Mart Stores Inc. | 71,237 | 4,726 | 0.5% |
| Starbucks Corp. | 67,732 | 3,943 | 0.4% |
| NIKE Inc. Class B | 61,262 | 3,773 | 0.4% |
| Consumer Discretionary—Other † | 91,302 | 9.8% | |
| 139,502 | 14.9% | ||
| Consumer Staples | |||
| Procter & Gamble Co. | 122,567 | 9,841 | 1.1% |
| Coca-Cola Co. | 177,252 | 7,645 | 0.8% |
| PepsiCo Inc. | 66,752 | 6,530 | 0.7% |
| Philip Morris International Inc. | 70,069 | 6,378 | 0.7% |
| Altria Group Inc. | 88,995 | 5,479 | 0.6% |
| CVS Health Corp. | 51,086 | 4,964 | 0.5% |
| Consumer Staples—Other † | 38,394 | 4.1% | |
| 79,231 | 8.5% | ||
| Energy | |||
| Exxon Mobil Corp. | 188,893 | 15,140 | 1.6% |
| Chevron Corp. | 85,016 | 7,094 | 0.8% |
| Schlumberger Ltd. | 57,337 | 4,112 | 0.4% |
| Energy—Other † | 29,308 | 3.1% | |
| 55,654 | 5.9% | ||
| Financial Services | |||
| * Berkshire Hathaway Inc. Class B | 84,026 | 11,274 | 1.2% |
| Wells Fargo & Co. | 210,477 | 9,876 | 1.0% |
| JPMorgan Chase & Co. | 167,659 | 9,439 | 1.0% |
| Visa Inc. Class A | 88,540 | 6,409 | 0.7% |
9
Russell 3000 Index Fund
| Market | Percentage | ||
| Value• | of Net | ||
| Shares | ($000) | Assets | |
| Bank of America Corp. | 475,153 | 5,949 | 0.6% |
| Citigroup Inc. | 137,379 | 5,337 | 0.6% |
| MasterCard Inc. Class A | 45,126 | 3,922 | 0.4% |
| Financial Services—Other † | 127,967 | 13.7% | |
| 180,173 | 19.2% | ||
| Health Care | |||
| Johnson & Johnson | 125,281 | 13,181 | 1.4% |
| Pfizer Inc. | 278,298 | 8,257 | 0.9% |
| Merck & Co. Inc. | 127,782 | 6,416 | 0.7% |
| Gilead Sciences Inc. | 66,503 | 5,802 | 0.6% |
| * Allergan plc | 17,766 | 5,154 | 0.6% |
| UnitedHealth Group Inc. | 43,102 | 5,133 | 0.6% |
| Medtronic plc | 64,531 | 4,994 | 0.5% |
| Amgen Inc. | 34,419 | 4,897 | 0.5% |
| Bristol-Myers Squibb Co. | 75,176 | 4,656 | 0.5% |
| AbbVie Inc. | 74,683 | 4,078 | 0.4% |
| * Celgene Corp. | 35,830 | 3,613 | 0.4% |
| Health Care—Other † | 65,088 | 6.9% | |
| 131,269 | 14.0% | ||
| Materials & Processing † | 34,105 | 3.6% | |
| Other1 | |||
| * Leap Wireless International Inc CVR | 1,716 | 4 | 0.0% |
| Other—Other † | 9 | 0.0% | |
| 13 | 0.0% | ||
| Producer Durables | |||
| General Electric Co. | 424,880 | 12,381 | 1.3% |
| 3M Co. | 28,617 | 4,489 | 0.5% |
| Boeing Co. | 31,221 | 3,690 | 0.4% |
| United Technologies Corp. | 37,819 | 3,654 | 0.4% |
| Producer Durables—Other † | 78,891 | 8.4% | |
| 103,105 | 11.0% | ||
| Technology | |||
| Apple Inc. | 260,270 | 25,166 | 2.7% |
| Microsoft Corp. | 365,471 | 18,595 | 2.0% |
| * Facebook Inc. Class A | 97,766 | 10,453 | 1.1% |
| * Alphabet Inc. Class A | 13,027 | 9,343 | 1.0% |
| * Alphabet Inc. Class C | 13,292 | 9,275 | 1.0% |
| Intel Corp. | 214,579 | 6,349 | 0.7% |
| Cisco Systems Inc. | 230,092 | 6,024 | 0.6% |
| International Business Machines Corp. | 41,106 | 5,386 | 0.6% |
| Oracle Corp. | 143,411 | 5,275 | 0.6% |
| Technology—Other † | 59,110 | 6.3% | |
| 154,976 | 16.6% | ||
| Utilities | |||
| AT&T Inc. | 275,015 | 10,162 | 1.1% |
| Verizon Communications Inc. | 184,278 | 9,348 | 1.0% |
| Utilities—Other † | 35,924 | 3.8% | |
| 55,434 | 5.9% | ||
| Total Common Stocks (Cost $983,278) | 933,462 | 99.6%2 | |
10
Russell 3000 Index Fund
| Market | Percentage | |||
| Value• | of Net | |||
| Coupon | Shares | ($000) | Assets | |
| Temporary Cash Investments | ||||
| Money Market Fund | ||||
| 3,4 Vanguard Market Liquidity Fund | 0.475% | 1,988,543 | 1,989 | 0.2% |
| 5U.S. Government and Agency Obligations † | 400 | 0.1% | ||
| Total Temporary Cash Investments (Cost $2,388) | 2,389 | 0.3%2 | ||
| 6Total Investments (Cost $985,666) | 935,851 | 99.9% | ||
| Amount | ||||
| ($000) | ||||
| Other Assets and Liabilities | ||||
| Other Assets | ||||
| Investment in Vanguard | 83 | |||
| Receivables for Investment Securities Sold | 987 | |||
| Receivables for Accrued Income | 2,062 | |||
| Receivables for Capital Shares Issued | 59 | |||
| Total Other Assets | 3,191 | 0.3% | ||
| Liabilities | ||||
| Payables for Investment Securities Purchased | (362) | |||
| Collateral for Securities on Loan | (1,433) | |||
| Payables for Capital Shares Redeemed | (30) | |||
| Payables to Vanguard | (235) | |||
| Other Liabilities | (32) | |||
| Total Liabilities | (2,092) | (0.2%) | ||
| Net Assets | 936,950 | 100.0% | ||
| At February 29, 2016, net assets consisted of: | ||||
| Amount | ||||
| ($000) | ||||
| Paid-in Capital | 990,164 | |||
| Undistributed Net Investment Income | 2,759 | |||
| Accumulated Net Realized Losses | (6,130) | |||
| Unrealized Appreciation (Depreciation) | ||||
| Investment Securities | (49,815) | |||
| Futures Contracts | (28) | |||
| Net Assets | 936,950 | |||
11
Russell 3000 Index Fund
| Amount | |
| ($000) | |
| ETF Shares—Net Assets | |
| Applicable to 2,300,000 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 202,506 |
| Net Asset Value Per Share—ETF Shares | $88.05 |
| Institutional Shares—Net Assets | |
| Applicable to 4,309,858 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 734,444 |
| Net Asset Value Per Share—Institutional Shares | $170.41 |
• See Note A in Notes to Financial Statements.
* Non-income-producing security.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 “Other” represents securities that are not classified by the fund’s benchmark index.
2 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund’s effective common stock and temporary cash investment positions represent 100.0% and -0.1%, respectively, of net assets.
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 Includes $1,433,000 of collateral received for securities on loan.
5 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
6 The total value of securities on loan is $1,371,000.
See accompanying Notes, which are an integral part of the Financial Statements.
12
Russell 3000 Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Dividends | 10,061 |
| Interest1 | 6 |
| Securities Lending | 64 |
| Total Income | 10,131 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 85 |
| Management and Administrative—ETF Shares | 68 |
| Management and Administrative—Institutional Shares | 37 |
| Marketing and Distribution—ETF Shares | 8 |
| Marketing and Distribution—Institutional Shares | 10 |
| Custodian Fees | 201 |
| Shareholders’ Reports—ETF Shares | 3 |
| Shareholders’ Reports—Institutional Shares | — |
| Total Expenses | 412 |
| Net Investment Income | 9,719 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 27,272 |
| Futures Contracts | (100) |
| Realized Net Gain (Loss) | 27,172 |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (57,466) |
| Futures Contracts | (164) |
| Change in Unrealized Appreciation (Depreciation) | (57,630) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (20,739) |
| 1 Interest income from an affiliated company of the fund was $6,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
13
Russell 3000 Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 9,719 | 14,582 |
| Realized Net Gain (Loss) | 27,172 | 113,500 |
| Change in Unrealized Appreciation (Depreciation) | (57,630) | (135,902) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | (20,739) | (7,820) |
| Distributions | ||
| Net Investment Income | ||
| ETF Shares | (2,017) | (2,304) |
| Institutional Shares | (8,300) | (11,310) |
| Realized Capital Gain | ||
| ETF Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (10,317) | (13,614) |
| Capital Share Transactions | ||
| ETF Shares | 39,891 | 53,219 |
| Institutional Shares | (28,704) | 204,190 |
| Net Increase (Decrease) from Capital Share Transactions | 11,187 | 257,409 |
| Total Increase (Decrease) | (19,869) | 235,975 |
| Net Assets | ||
| Beginning of Period | 956,819 | 720,844 |
| End of Period1 | 936,950 | 956,819 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $2,759,000 and $3,357,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
14
Russell 3000 Index Fund
Financial Highlights
| ETF Shares | ||||||
| Six Months | Sept. 20, | |||||
| Ended | 20101 to | |||||
| For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | |||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $91.43 | $92.82 | $75.79 | $64.28 | $55.97 | $51.86 |
| Investment Operations | ||||||
| Net Investment Income | .903 | 1.649 | 1.485 | 1.313 | 1.037 | .819 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (3.329) | (1.396) | 17.004 | 11.484 | 8.255 | 3.924 |
| Total from Investment Operations | (2.426) | .253 | 18.489 | 12.797 | 9.292 | 4.743 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.954) | (1.643) | (1.459) | (1.287) | (.982) | (.633) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (.954) | (1.643) | (1.459) | (1.287) | (.982) | (.633) |
| Net Asset Value, End of Period | $88.05 | $91.43 | $92.82 | $75.79 | $64.28 | $55.97 |
| Total Return | -2.69% | 0.21% | 24.58% | 20.14% | 16.80% | 9.09% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $203 | $169 | $121 | $76 | $39 | $22 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.14% | 0.15% | 0.15% | 0.15% | 0.15% | 0.15%2 |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 2.00% | 1.76% | 1.77% | 2.03% | 1.99% | 1.71%2 |
| Portfolio Turnover Rate 3 | 4% | 4% | 8% | 16% | 20% | 32% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Inception. 2 Annualized. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
15
Russell 3000 Index Fund
Financial Highlights
| Institutional Shares | ||||||
| Six Months | Nov. 1, | |||||
| Ended | 20101 to | |||||
| For a Share Outstanding | February 29, | Year Ended August 31, | Aug. 31, | |||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $176.98 | $179.64 | $146.68 | $124.40 | $108.32 | $104.44 |
| Investment Operations | ||||||
| Net Investment Income | 1.796 | 3.318 | 2.986 | 2.630 | 2.087 | 1.494 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (6.447) | (2.689) | 32.903 | 22.226 | 15.972 | 3.650 |
| Total from Investment Operations | (4.651) | .629 | 35.889 | 24.856 | 18.059 | 5.144 |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.919) | (3.289) | (2.929) | (2.576) | (1.979) | (1.264) |
| Distributions from Realized Capital Gains | — | — | — | — | — | — |
| Total Distributions | (1.919) | (3.289) | (2.929) | (2.576) | (1.979) | (1.264) |
| Net Asset Value, End of Period | $170.41 | $176.98 | $179.64 | $146.68 | $124.40 | $108.32 |
| Total Return | -2.66% | 0.30% | 24.66% | 20.21% | 16.89% | 4.87% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $734 | $788 | $600 | $426 | $126 | $35 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.07% | 0.08% | 0.08% | 0.08% | 0.08% | 0.08%2 |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 2.07% | 1.83% | 1.84% | 2.10% | 2.06% | 1.78%2 |
| Portfolio Turnover Rate 3 | 4% | 4% | 8% | 16% | 20% | 32% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Inception. 2 Annualized. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
16
Russell 3000 Index Fund
Notes to Financial Statements
Vanguard Russell 3000 Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers two classes of shares: ETF Shares and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. 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 fund’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 acquired over 60 days to maturity 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. Other temporary cash investments are valued at amortized cost, which approximates market value.
2. Futures Contracts: The fund uses index futures contracts to a limited extent, with the objectives of maintaining full exposure to the stock market, enhancing returns, maintaining liquidity, and minimizing transaction costs. The fund 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 fund may seek to enhance returns by using futures contracts instead of the underlying securities when futures are believed to be priced more attractively than the underlying securities. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of stocks held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 six months ended February 29, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0% of net assets, respectively, based on the average of aggregate settlement values at each quarter-end during the period.
17
Russell 3000 Index Fund
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
5. Securities Lending: To earn additional income, the fund lends its securities to qualified institutional borrowers. Security loans are subject to termination by the fund 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 on the next business day. The fund 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 fund 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 fund; however, such actions may be subject to legal proceedings. While collateral mitigates counterparty risk, in the absence of a default the fund may experience delays and costs in recovering the securities loaned. The fund 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.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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 fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, 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. 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.
18
Russell 3000 Index Fund
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $83,000, representing 0.01% of the fund’s net assets and 0.03% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| Common Stocks | 931,052 | 2,392 | 18 |
| Temporary Cash Investments | 1,989 | 400 | — |
| Futures Contracts—Liabilities1 | (16) | — | — |
| Total | 933,025 | 2,792 | 18 |
| 1 Represents variation margin on the last day of the reporting period. |
19
Russell 3000 Index Fund
D. At February 29, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| E-mini S&P 500 Index | March 2016 | 37 | 3,570 | (20) |
| E-mini Russell 2000 Index | March 2016 | 1 | 103 | (8) |
| (28) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $31,228,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $1,938,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31,2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $985,673,000. Net unrealized depreciation of investment securities for tax purposes was $49,822,000, consisting of unrealized gains of $53,807,000 on securities that had risen in value since their purchase and $103,629,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $152,785,000 of investment securities and sold $137,682,000 of investment securities, other than temporary cash investments. Purchases and sales include $63,585,000 and $118,883,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
20
Russell 3000 Index Fund
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2016 | August 31, 2015 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued | 179,049 | 1,925 | 618,159 | 6,450 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (139,158) | (1,475) | (564,940) | (5,900) |
| Net Increase (Decrease)—ETF Shares | 39,891 | 450 | 53,219 | 550 |
| Institutional Shares | ||||
| Issued | 90,135 | 515 | 325,512 | 1,765 |
| Issued in Lieu of Cash Distributions | 8,159 | 46 | 11,310 | 62 |
| Redeemed | (126,998) | (702) | (132,632) | (717) |
| Net Increase (Decrease)—Institutional Shares | (28,704) | (141) | 204,190 | 1,110 |
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
21
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
22
| Six Months Ended February 29, 2016 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| Russell 3000 Index Fund | 8/31/2015 | 2/29/2016 | Period |
| Based on Actual Fund Return | |||
| ETF Shares | $1,000.00 | $973.07 | $0.69 |
| Institutional Shares | 1,000.00 | 973.38 | 0.34 |
| Based on Hypothetical 5% Yearly Return | |||
| ETF Shares | $1,000.00 | $1,024.17 | $0.70 |
| Institutional Shares | 1,000.00 | 1,024.52 | 0.35 |
| The calculations are based on expenses incurred in the most recent six-month period. The fund’s annualized six-month expense ratios for that period are 0.14% for ETF Shares and 0.07% for Institutional Shares. The dollar amounts shown as ”Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366). | |||
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Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Dividend Yield. Dividend income earned by stocks, expressed as a percentage of the aggregate market value (or of net asset value, for a fund). The yield is determined by dividing the amount of the annual dividends by the aggregate value (or net asset value) at the end of the period. For a fund, the dividend yield is based solely on stock holdings and does not include any income produced by other investments.
Earnings Growth Rate. The average annual rate of growth in earnings over the past five years for the stocks now in a fund.
Equity Exposure. A measure that reflects a fund’s investments in stocks and stock futures. Any holdings in short-term reserves are excluded.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Foreign Holdings. The percentage of a fund represented by securities or depositary receipts of companies based outside the United States.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
Median Market Cap. An indicator of the size of companies in which a fund invests; the midpoint of market capitalization (market price x shares outstanding) of a fund’s stocks, weighted by the proportion of the fund’s assets invested in each stock. Stocks representing half of the fund’s assets have market capitalizations above the median, and the rest are below it.
Price/Book Ratio. The share price of a stock divided by its net worth, or book value, per share. For a fund, the weighted average price/book ratio of the stocks it holds.
24
Price/Earnings Ratio. The ratio of a stock’s current price to its per-share earnings over the past year. For a fund, the weighted average P/E of the stocks it holds. P/E is an indicator of market expectations about corporate prospects; the higher the P/E, the greater the expectations for a company’s future growth.
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Return on Equity. The annual average rate of return generated by a company during the past five years for each dollar of shareholder’s equity (net income divided by shareholder’s equity). For a fund, the weighted average return on equity for the companies whose stocks it holds.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Turnover Rate. An indication of the fund’s trading activity. Funds with high turnover rates incur higher transaction costs and may be more likely to distribute capital gains (which may be taxable to investors). The turnover rate excludes in-kind transactions, which have minimal impact on costs.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
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 196 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
| InterestedTrustee1 | Rajiv L. Gupta |
| Born 1945. Trustee Since December 2001.2 Principal | |
| F. William McNabb III | Occupation(s) During the Past Five Years and Other |
| Born 1957. Trustee Since July 2009. Chairman of | Experience: Chairman and Chief Executive Officer |
| the Board. Principal Occupation(s) During the Past | (retired 2009) and President (2006–2008) of |
| Five Years and Other Experience: Chairman of the | Rohm and Haas Co. (chemicals); Director of Tyco |
| Board of The Vanguard Group, Inc., and of each of | International PLC (diversified manufacturing and |
| the investment companies served by The Vanguard | services), HP Inc. (printer and personal computer |
| Group, since January 2010; Director of The Vanguard | manufacturing), and Delphi Automotive PLC |
| Group since 2008; Chief Executive Officer and | (automotive components); Senior Advisor at |
| President of The Vanguard Group, and of each of | New Mountain Capital. |
| the investment companies served by The Vanguard | |
| Group, since 2008; Director of Vanguard Marketing | Amy Gutmann |
| Corporation; Managing Director of The Vanguard | Born 1949. Trustee Since June 2006. Principal |
| Group (1995–2008). | Occupation(s) During the Past Five Years and |
| Other Experience: President of the University of | |
| IndependentTrustees | Pennsylvania; Christopher H. Browne Distinguished |
| Professor of Political Science, School of Arts and | |
| Emerson U. Fullwood | Sciences, and Professor of Communication, Annenberg |
| Born 1948. Trustee Since January 2008. Principal | School for Communication, with secondary faculty |
| Occupation(s) During the Past Five Years and Other | appointments in the Department of Philosophy, School |
| Experience: Executive Chief Staff and Marketing | of Arts and Sciences, and at the Graduate School of |
| Officer for North America and Corporate Vice President | Education, University of Pennsylvania; Trustee of the |
| (retired 2008) of Xerox Corporation (document manage- | National Constitution Center; Chair of the Presidential |
| ment products and services); Executive in Residence | Commission for the Study of Bioethical Issues. |
| and 2009–2010 Distinguished Minett Professor at | |
| the Rochester Institute of Technology; Lead Director | JoAnn Heffernan Heisen |
| of SPX FLOW, Inc. (multi-industry manufacturing); | Born 1950. Trustee Since July 1998. Principal |
| Director of the United Way of Rochester, the University | Occupation(s) During the Past Five Years and |
| of Rochester Medical Center, Monroe Community | Other Experience: Corporate Vice President and |
| College Foundation, North Carolina A&T University, | Chief Global Diversity Officer (retired 2008) and |
| and Roberts Wesleyan College. | Member of the Executive Committee (1997–2008) |
| of Johnson & Johnson (pharmaceuticals/medical | |
| devices/consumer products); Director of Skytop | |
| Lodge Corporation (hotels) and the Robert Wood | |
| Johnson Foundation; Member of the Advisory | |
| Board of the Institute for Women’s Leadership | |
| at Rutgers University. |
| F. Joseph Loughrey | Executive Officers | |
| Born 1949. Trustee Since October 2009. Principal | ||
| Occupation(s) During the Past Five Years and Other | Glenn Booraem | |
| Experience: President and Chief Operating Officer | Born 1967. Treasurer Since May 2015. Principal | |
| (retired 2009) of Cummins Inc. (industrial machinery); | Occupation(s) During the Past Five Years and | |
| Chairman of the Board of Hillenbrand, Inc. (specialized | Other Experience: Principal of The Vanguard Group, | |
| consumer services), and of Oxfam America; Director | Inc.; Treasurer of each of the investment companies | |
| of SKF AB (industrial machinery), Hyster-Yale Materials | served by The Vanguard Group; Controller of each of | |
| Handling, Inc. (forklift trucks), the Lumina Foundation | the investment companies served by The Vanguard | |
| for Education, and the V Foundation for Cancer | Group (2010–2015); Assistant Controller of each of | |
| Research; Member of the Advisory Council for the | the investment companies served by The Vanguard | |
| College of Arts and Letters and of the Advisory Board | Group (2001–2010). | |
| to the Kellogg Institute for International Studies, both | ||
| at the University of Notre Dame. | Thomas J. Higgins | |
| Born 1957. Chief Financial Officer Since September | ||
| Mark Loughridge | 2008. Principal Occupation(s) During the Past Five | |
| Born 1953. Trustee Since March 2012. Principal | Years and Other Experience: Principal of The Vanguard | |
| Occupation(s) During the Past Five Years and Other | Group, Inc.; Chief Financial Officer of each of the | |
| Experience: Senior Vice President and Chief Financial | investment companies served by The Vanguard Group; | |
| Officer (retired 2013) at IBM (information technology | Treasurer of each of the investment companies served | |
| services); Fiduciary Member of IBM’s Retirement Plan | by The Vanguard Group (1998–2008). | |
| Committee (2004–2013); Director of the Dow Chemical | ||
| Company; Member of the Council on Chicago Booth. | Peter Mahoney | |
| Born 1974. Controller Since May 2015. Principal | ||
| Scott C. Malpass | Occupation(s) During the Past Five Years and | |
| Born 1962. Trustee Since March 2012. Principal | Other Experience: Head of Global Fund Accounting | |
| Occupation(s) During the Past Five Years and Other | at The Vanguard Group, Inc.; Controller of each of the | |
| Experience: Chief Investment Officer and Vice | investment companies served by The Vanguard Group; | |
| President at the University of Notre Dame; Assistant | Head of International Fund Services at The Vanguard | |
| Professor of Finance at the Mendoza College of | Group (2008–2014). | |
| Business at Notre Dame; Member of the Notre Dame | ||
| 403(b) Investment Committee, the Board of Advisors | Heidi Stam | |
| for Spruceview Capital Partners, and the Investment | Born 1956. Secretary Since July 2005. Principal | |
| Advisory Committee of Major League Baseball; Board | Occupation(s) During the Past Five Years and Other | |
| Member of TIFF Advisory Services, Inc., and Catholic | Experience: Managing Director of The Vanguard | |
| Investment Services, Inc. (investment advisors). | Group, Inc.; General Counsel of The Vanguard Group; | |
| Secretary of The Vanguard Group and of each of the | ||
| André F. Perold | investment companies served by The Vanguard Group; | |
| Born 1952. Trustee Since December 2004. Principal | Director and Senior Vice President of Vanguard | |
| Occupation(s) During the Past Five Years and Other | Marketing Corporation. | |
| Experience: George Gund Professor of Finance and | ||
| Banking, Emeritus at the Harvard Business School | Vanguard Senior ManagementTeam | |
| (retired 2011); Chief Investment Officer and Managing | Mortimer J. Buckley | James M. Norris |
| Partner of HighVista Strategies LLC (private investment | Kathleen C. Gubanich | Thomas M. Rampulla |
| firm); Director of Rand Merchant Bank; Overseer of | Martha G. King | Glenn W. Reed |
| the Museum of Fine Arts Boston. | John T. Marcante | Karin A. Risi |
| Chris D. McIsaac | ||
| Peter F. Volanakis | ||
| Born 1955. Trustee Since July 2009. Principal | Chairman Emeritus and Senior Advisor | |
| Occupation(s) During the Past Five Years and Other | John J. Brennan | |
| Experience: President and Chief Operating Officer | Chairman, 1996–2009 | |
| (retired 2010) of Corning Incorporated (communications | Chief Executive Officer and President, 1996–2008 | |
| equipment); Trustee of Colby-Sawyer College and | ||
| Chairman of its Finance and Enrollment Committee; | Founder | |
| Member of the Advisory Board of the Norris Cotton | John C. Bogle | |
| Cancer Center. | Chairman and Chief Executive Officer, 1974–1996 | |
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of the
Vanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
 | |
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| © 2016 The Vanguard Group, Inc. | |
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| Q18542 042016 | |
Semiannual Report | February 29, 2016
Vanguard Sector Bond Index Funds
Vanguard Short-Term Government Bond Index Fund
Vanguard Intermediate-Term Government Bond Index Fund
Vanguard Long-Term Government Bond Index Fund
Vanguard Short-Term Corporate Bond Index Fund
Vanguard Intermediate-Term Corporate Bond Index Fund
Vanguard Long-Term Corporate Bond Index Fund
Vanguard Mortgage-Backed Securities Index Fund
Vanguard’s Principles for Investing Success
We want to give you the best chance of investment success. These principles, grounded in Vanguard’s research and experience, can put you on the right path.
Goals. Create clear, appropriate investment goals.
Balance. Develop a suitable asset allocation using broadly diversified funds. Cost. Minimize cost.
Discipline. Maintain perspective and long-term discipline.
A single theme unites these principles: Focus on the things you can control.
We believe there is no wiser course for any investor.
| Contents | |
| Your Fund’s Total Returns. | 1 |
| Chairman’s Letter. | 4 |
| Short-Term Government Bond Index Fund. | 12 |
| Intermediate-Term Government Bond Index Fund. | 27 |
| Long-Term Government Bond Index Fund. | 42 |
| Short-Term Corporate Bond Index Fund. | 56 |
| Intermediate-Term Corporate Bond Index Fund. | 72 |
| Long-Term Corporate Bond Index Fund. | 88 |
| Mortgage-Backed Securities Index Fund. | 104 |
| About Your Fund’s Expenses. | 120 |
| Glossary. | 123 |
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.
See the Glossary for definitions of investment terms used in this report.
About the cover: Pictured is a sailing block on the Brilliant, a 1932 schooner docked in Mystic, Connecticut. A type of pulley, the sailing block helps coordinate the setting of the sails. At Vanguard, the intricate coordination of technology and people allows us to help millions of clients around the world reach their financial goals.
Your Fund’s Total Returns
| Six Months Ended February 29, 2016 | ||||
| 30-Day SEC | Income | Capital | Total | |
| Yield | Returns | Returns | Returns | |
| Vanguard Short-Term Government Bond Index Fund | ||||
| ETF Shares | 0.65% | |||
| Market Price | 0.56% | |||
| Net Asset Value | 0.54 | |||
| Admiral™ Shares | 0.65 | 0.37% | 0.19% | 0.56 |
| Institutional Shares | 0.68 | 0.39 | 0.16 | 0.55 |
| Barclays U.S. 1–3 Year Government Float Adjusted Index | 0.58 | |||
| Short U.S. Government Funds Average | 0.19 | |||
| Short U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
| Vanguard Intermediate-Term Government Bond Index Fund | ||||
| ETF Shares | 1.22% | |||
| Market Price | 3.06% | |||
| Net Asset Value | 3.08 | |||
| Admiral Shares | 1.22 | 0.85% | 2.24% | 3.09 |
| Institutional Shares | 1.25 | 0.86 | 2.25 | 3.11 |
| Barclays U.S. 3–10 Year Government Float Adjusted Index | 3.04 | |||
| Intermediate U.S. Government Funds Average | 1.89 | |||
| Intermediate U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
| Vanguard Long-Term Government Bond Index Fund | ||||
| ETF Shares | 2.37% | |||
| Market Price | 8.60% | |||
| Net Asset Value | 8.63 | |||
| Admiral Shares | 2.34 | 1.44% | 7.22% | 8.66 |
| Institutional Shares | 2.41 | 1.45 | 7.22 | 8.67 |
| Barclays U.S. Long Government Float Adjusted Index | 8.19 | |||
| General U.S. Government Funds Average | 2.10 | |||
| General U.S. Government Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
| Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623. | ||||
1
Your Fund’s Total Returns
| Six Months Ended February 29, 2016 | ||||
| 30-Day SEC | Income | Capital | Total | |
| Yield | Returns | Returns | Returns | |
| Vanguard Short-Term Corporate Bond Index Fund | ||||
| ETF Shares | 2.30% | |||
| Market Price | 0.96% | |||
| Net Asset Value | 0.72 | |||
| Admiral Shares | 2.30 | 1.02% | -0.29% | 0.73 |
| Institutional Shares | 2.33 | 1.04 | -0.34 | 0.70 |
| Barclays U.S. 1–5 Year Corporate Bond Index | 0.66 | |||
| Short-Intermediate Investment-Grade Debt Funds Average | 0.21 | |||
| Short-Intermediate Investment-Grade Debt Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
| Vanguard Intermediate-Term Corporate Bond Index Fund | ||||
| ETF Shares | 3.58% | |||
| Market Price | 2.94% | |||
| Net Asset Value | 2.24 | |||
| Admiral Shares | 3.58 | 1.71% | 0.53% | 2.24 |
| Institutional Shares | 3.61 | 1.72 | 0.53 | 2.25 |
| Barclays U.S. 5–10 Year Corporate Bond Index | 2.14 | |||
| Core Bond Funds Average | 1.17 | |||
| Core Bond Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
| Vanguard Long-Term Corporate Bond Index Fund | ||||
| ETF Shares | 4.90% | |||
| Market Price | 1.49% | |||
| Net Asset Value | 1.61 | |||
| Admiral Shares | 4.90 | 2.34% | -0.70% | 1.64 |
| Institutional Shares | 4.93 | 2.35 | -0.74 | 1.61 |
| Barclays U.S. 10+ Year Corporate Bond Index | 1.36 | |||
| Corporate Debt Funds BBB-Rated Average | 0.42 | |||
| Corporate Debt Funds BBB-Rated Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
| Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623. | ||||
2
Your Fund’s Total Returns
| Six Months Ended February 29, 2016 | ||||
| 30-Day SEC | Income | Capital | Total | |
| Yield | Returns | Returns | Returns | |
| Vanguard Mortgage-Backed Securities Index Fund | ||||
| ETF Shares | 1.97% | |||
| Market Price | 2.16% | |||
| Net Asset Value | 2.03 | |||
| Admiral Shares | 1.93 | 0.93% | 1.12% | 2.05 |
| Institutional Shares | 2.01 | 0.94 | 1.09 | 2.03 |
| Barclays U.S. MBS Float Adjusted Index | 2.04 | |||
| U.S. Mortgage Funds Average | 1.20 | |||
| U.S. Mortgage Funds Average: Derived from data provided by Lipper, a Thomson Reuters Company. | ||||
| Admiral Shares carry lower expenses and are available to investors who meet certain account-balance requirements. Institutional Shares are available to certain institutional investors who meet specific administrative, service, and account-size criteria. The Vanguard ETF® Shares shown are traded on the Nasdaq exchange and are available only through brokers. The table provides ETF returns based on both the Nasdaq market price and the net asset value for a share. U.S. Pat. Nos. 6,879,964; 7,337,138; 7,720,749; 7,925,573; 8,090,646; and 8,417,623. | ||||
| For the ETF Shares, the market price is determined by the midpoint of the bid-offer spread as of the closing time of the New York Stock Exchange (generally 4 p.m., Eastern time). The net asset value is also determined as of the NYSE closing time. For more information about how the ETF Shares' market prices have compared with their net asset value, visit vanguard.com, select your ETF, and then select the Price and Performance tab. The ETF premium/discount analysis there shows the percentages of days on which the ETF Shares' market price was above or below the NAV. | ||||
3
Chairman’s Letter
Dear Shareholder,
The bond market was pulled in different directions over the six months ended February 29, 2016. The Federal Reserve took the much-anticipated step of raising its target for overnight interest rates, which pushed down the prices of very short-term U.S. Treasury bills. Prices of other Treasuries zigzagged higher amid concerns about slowing global growth and low inflation. And with investors shying away from riskier assets, prices of higher-quality corporate bonds generally held up better than those of their lower-quality counterparts.
With the value of their portfolios rising, the three government bond funds included in this report produced returns ranging from 0.54% for Vanguard Short-Term Government Bond Index Fund to 8.63% for Vanguard Long-Term Government Bond Index Fund. (Returns and yields cited in this letter are for the funds’ ETF Shares based on net asset value, except where noted otherwise.)
Vanguard Mortgage-Backed Securities Index Fund, which also saw the value of its holdings rise, returned 2.03%.
The picture was more mixed for the three corporate bond funds covered in this report. Although prices of the bonds in Vanguard Intermediate-Term Corporate Bond Index Fund rose a little, lifting its return to 2.24% for the six months, prices edged lower in the two other funds. Including that downdraft, Vanguard Short-Term Corporate
4
Bond Index Fund returned 0.72%, and Vanguard Long-Term Corporate Bond Index Fund returned 1.61%.
Most of the funds performed in line with their benchmarks after taking expenses into account. The long-term funds, though, deviated from their benchmarks, largely because of security pricing differences that are expected to be temporary.
All seven funds outpaced their peer average returns, four of them by more than a percentage point.
On February 29, the 30-day SEC yield was down 32 basis points for the intermediate-term government fund and 33 basis points for the long-term government fund, compared with six months earlier. (A basis point is one-hundredth of a percentage point.) The yields for the five other funds rose by 5 to 45 basis points over the period.
Bonds registered gains as investors cut their risk
The broad U.S. taxable bond market returned 2.20% over the six months. Most of the gains came in January and February as investors sought safe-haven assets amid stock market turmoil. The yield of the 10-year U.S. Treasury note closed at 1.74% in February, down from 2.18% six months earlier. (Bond prices and yields move in opposite directions.)
| Market Barometer | |||
| Total Returns | |||
| Periods Ended February 29, 2016 | |||
| Six | One | Five Years | |
| Months | Year | (Annualized) | |
| Bonds | |||
| Barclays U.S. Aggregate Bond Index (Broad taxable | |||
| market) | 2.20% | 1.50% | 3.60% |
| Barclays Municipal Bond Index (Broad tax-exempt market) | 3.62 | 3.95 | 5.45 |
| Citigroup Three-Month U.S. Treasury Bill Index | 0.04 | 0.06 | 0.04 |
| Stocks | |||
| Russell 1000 Index (Large-caps) | -2.03% | -7.21% | 9.92% |
| Russell 2000 Index (Small-caps) | -10.16 | -14.97 | 6.11 |
| Russell 3000 Index (Broad U.S. market) | -2.68 | -7.84 | 9.61 |
| FTSE All-World ex US Index (International) | -9.12 | -16.79 | -0.89 |
| CPI | |||
| Consumer Price Index | -0.51% | 1.02% | 1.39% |
5
The Fed’s target rate, which had stayed anchored near zero until rising in December by a quarter percentage point to 0.25%–0.5%, kept a lid on returns for money market funds and savings accounts.
International bond markets (as measured by the Barclays Global Aggregate Index ex USD) returned 3.13%, buoyed by negative interest rates in a number of countries.
| Expense Ratios | ||||
| Your Fund Compared With Its Peer Group | ||||
| ETF | Admiral | Institutional | Peer Group | |
| Shares | Shares | Shares | Average | |
| Short-Term Government Bond Index | ||||
| Fund | 0.10% | 0.10% | 0.07% | 0.80% |
| Intermediate-Term Government Bond | ||||
| Index Fund | 0.10 | 0.10 | 0.07 | 0.96 |
| Long-Term Government Bond Index | ||||
| Fund | 0.10 | 0.10 | 0.07 | 1.09 |
| Short-Term Corporate Bond Index Fund | 0.10 | 0.10 | 0.07 | 0.81 |
| Intermediate-Term Corporate Bond | ||||
| Index Fund | 0.10 | 0.10 | 0.07 | 0.80 |
| Long-Term Corporate Bond Index Fund | 0.10 | 0.10 | 0.07 | 0.90 |
| Mortgage-Backed Securities Index | ||||
| Fund | 0.10 | 0.10 | 0.07 | 0.90 |
The fund expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the funds’ annualized expense ratios were: for the Short-Term Government Bond Index Fund, 0.09% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares; for the Intermediate-Term Government Bond Index Fund, 0.09% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares; for the Long-Term Government Bond Index Fund, 0.09% for ETF Shares, 0.09% for Admiral Shares, and 0.06% for Institutional Shares; for the Short-Term Corporate Bond Index Fund, 0.09% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares; for the Intermediate-Term Corporate Bond Index Fund, 0.09% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares; for the Long-Term Corporate Bond Index Fund, 0.08% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares; and for the Mortgage-Backed Securities Index Fund, 0.09% for ETF Shares, 0.09% for Admiral Shares, and 0.06% for Institutional Shares. Peer-group expense ratios are derived from data provided by Lipper, a Thomson Reuters Company, and capture information through year-end 2015.
Peer groups: For the Short-Term Government Bond Index Fund, Short U.S. Government Funds; for the Intermediate-Term Government Bond Index Fund, Intermediate U.S. Government Funds; for the Long-Term Government Bond Index Fund, General U.S. Government Funds; for the Short-Term Corporate Bond Index Fund, Short-Intermediate Investment-Grade Debt Funds; for the Intermediate-Term Corporate Bond Index Fund, Core Bond Funds; for the Long-Term Corporate Bond Index Fund, Corporate BBB-Rated Debt Funds; for the Mortgage-Backed Securities Index Fund, U.S. Mortgage Funds.
6
Stocks mostly slumped for the fiscal half year
U.S. stocks returned about –3% for the period. Results were negative in four of the six months. Only October’s return of about 8% prevented an even weaker performance for the half year.
Fears that China’s economic slowdown would spread globally weighed on results. Oil and commodity prices, which declined through most of the period before showing some resilience in February, also concerned investors.
International stocks returned about –9% in U.S. dollars, but they declined a little less in many local currencies. Stocks of developed European and Pacific region markets, as well as of emerging markets, were in the red.
Risk-averse environment favored Treasuries over corporate bonds
Developments in China in particular weighed on the global growth outlook over the half year. Further signs of weakness in China’s manufacturing sector, unexpected movements in its currency, and sharp corrections in mainland China stock markets fueled speculation that policymakers might not be able to engineer a soft landing for the economy. Global markets were also rattled as commodity prices slumped further and the price of oil fell to an 11-year low, pushing inflation expectations even lower.
| Yields of U.S. Treasury Securities | ||
| August 31, | February 29, | |
| Maturity | 2015 | 2016 |
| 2 years | 0.72% | 0.78% |
| 3 years | 1.02 | 0.89 |
| 5 years | 1.51 | 1.21 |
| 10 years | 2.18 | 1.74 |
| 30 years | 2.91 | 2.62 |
| Source: Vanguard. |
7
The U.S. economy seemed to be slowing as well, hindered by the strong dollar, a downturn in the energy sector, and weak overseas demand. So although the Fed’s rate increase in December pushed very short-term Treasury yields higher, investors seeking a safe harbor for their assets drove the yields of other Treasuries lower.
With central banks overseas pursuing further monetary easing, the yields of Treasuries also attracted international buyers. In January, the Bank of Japan joined the European Central Bank in setting a key interest rate below zero,
| Vanguard’s growth translates into lower costs for you |
| Research indicates that lower-cost investments have tended to outperform higher-cost ones. So it’s little wonder that funds with lower expense ratios—including those at Vanguard—have dominated the industry’s cash inflows in recent years. |
| Vanguard has long been a low-cost leader, with expenses well below those of many other investment management companies. That cost difference remains a powerful advantage for Vanguard clients. Why? Because a lower expense ratio allows a fund to pass along a greater share of its returns to its investors. |
| What’s more, as you can see in the chart below, we’ve been able to lower our costs continually as our assets under management have grown. Our steady growth has not been an explicit business objective. Rather, we focus on putting our clients’ interests first at all times, and giving them the best chance for investment success. But economies of scale—the cost efficiencies that come with our growth—have allowed us to keep lowering our fund costs, even as we invest in our people and technology. |
| The benefit of economies of scale |
8
and both continued their stimulative bond-buying programs in an attempt to spur growth and ward off deflation.
All three government bond funds benefited as investors turned more risk-averse. Rising bond prices contributed modestly to the return of the short-term government fund. But they added more than 2 percentage points to the return for Admiral and Institutional Shares of the intermediate-term government fund and roughly 7 percentage points to the returns of those shares in the long-term government fund.
The mortgage-backed securities fund, which invests in bonds of pooled mortgages issued by government agencies, saw a boost from rising prices as well. An increase in the value of its holdings bolstered the returns of its Admiral and Institutional Shares more than the income earned over the period.
The returns of investment-grade corporate bonds varied significantly by credit quality. Those rated A or higher returned well over 2%. On the other hand, BBB-rated bonds—one step above junk bonds on the quality ladder—posted slightly negative returns. Debt issued by commodity-related companies—especially those in the energy, metals, and mining segments—performed poorly.
By maturity, intermediate-term corporate bonds performed best. The value of the bonds in the short- and long-term corporate funds declined over the period, but they generated enough income to keep the funds’ returns positive.
Although it’s important to keep an eye on how your investments are performing, it’s good not to lose sight of why you have them in your portfolio. Bond returns may not be as strong going forward as we have become accustomed to in recent decades, but we believe they will continue to fulfill an important role as a diversifier for equities and other riskier assets you may hold in your portfolio.
Doing what’s best for clients: That’s how we were built
It’s hard for me to believe, but this year will be my 30th with Vanguard. I knew little about the company when I started in June 1986, but I soon learned what makes Vanguard unique.
Simply put, we’re built differently.
We don’t have stockholders or outside owners. Instead, Vanguard is owned by its funds, which in turn are owned by you—Vanguard clients.
This structure matters because it ensures that our interests are completely aligned with those of our clients. We never have to weigh what’s best for clients against what’s best for the company’s owners; their interests are one and the same. Our client-owned structure is what allows us to run our funds at cost, and it’s why
9
Vanguard’s expense ratios remain among the lowest in the industry. (See the insight box on page 8 for more on this.)
At the same time, we continually dedicate resources to enhance Vanguard’s service and investment capabilities. We aspire to provide the highest possible quality at the lowest possible price. That was true 30 years ago, it’s true today, and it will remain our focus for decades to come. After all, we’re built to put the long-term interests of our clients first.
As always, thank you for investing with Vanguard.
Sincerely,
F. William McNabb III
Chairman and Chief Executive Officer
March 14, 2016
10
| Your Fund’s Performance at a Glance | ||||
| August 31, 2015, Through February 29, 2016 | ||||
| Distributions Per Share | ||||
| Starting | Ending | Income | Capital | |
| Share Price | Share Price | Dividends | Gains | |
| Vanguard Short-Term Government Bond Index | ||||
| Fund | ||||
| ETF Shares | $61.03 | $61.12 | $0.217 | $0.024 |
| Admiral Shares | 20.35 | 20.38 | 0.076 | 0.008 |
| Institutional Shares | 25.57 | 25.60 | 0.100 | 0.010 |
| Vanguard Intermediate-Term Government | ||||
| Bond Index Fund | ||||
| ETF Shares | $64.80 | $66.22 | $0.534 | $0.027 |
| Admiral Shares | 21.86 | 22.34 | 0.182 | 0.009 |
| Institutional Shares | 27.12 | 27.72 | 0.227 | 0.011 |
| Vanguard Long-Term Government Bond Index | ||||
| Fund | ||||
| ETF Shares | $75.13 | $80.52 | $1.027 | $0.000 |
| Admiral Shares | 25.21 | 27.03 | 0.344 | 0.000 |
| Institutional Shares | 32.00 | 34.31 | 0.441 | 0.000 |
| Vanguard Short-Term Corporate Bond Index | ||||
| Fund | ||||
| ETF Shares | $79.33 | $79.03 | $0.805 | $0.063 |
| Admiral Shares | 21.57 | 21.49 | 0.221 | 0.017 |
| Institutional Shares | 26.41 | 26.30 | 0.274 | 0.021 |
| Vanguard Intermediate-Term Corporate Bond | ||||
| Index Fund | ||||
| ETF Shares | $84.39 | $84.84 | $1.423 | $0.000 |
| Admiral Shares | 22.71 | 22.83 | 0.385 | 0.000 |
| Institutional Shares | 28.06 | 28.21 | 0.478 | 0.000 |
| Vanguard Long-Term Corporate Bond Index | ||||
| Fund | ||||
| ETF Shares | $85.25 | $84.64 | $1.969 | $0.000 |
| Admiral Shares | 22.80 | 22.64 | 0.533 | 0.000 |
| Institutional Shares | 28.31 | 28.10 | 0.663 | 0.000 |
| Vanguard Mortgage-Backed Securities Index | ||||
| Fund | ||||
| ETF Shares | $53.05 | $53.42 | $0.459 | $0.240 |
| Admiral Shares | 21.20 | 21.34 | 0.195 | 0.096 |
| Institutional Shares | 28.73 | 28.91 | 0.269 | 0.130 |
11
Short-Term Government Bond Index Fund
Fund Profile
As of February 29, 2016
| Share-Class Characteristics | |||
| ETF | Admiral | Institutional | |
| Shares | Shares | Shares | |
| Ticker Symbol | VGSH | VSBSX | VSBIX |
| Expense Ratio1 | 0.10% | 0.10% | 0.07% |
| 30-Day SEC Yield | 0.65% | 0.65% | 0.68% |
| Financial Attributes | |||
| Barclays | |||
| 1–3 Year | |||
| Gov’t | Barclays | ||
| Float Adj | Aggregate | ||
| Fund | Index | FA Index | |
| Number of Bonds | 139 | 398 | 9,699 |
| Yield to Maturity | |||
| (before expenses) | 0.8% | 0.8% | 2.2% |
| Average Coupon | 1.4% | 1.4% | 3.1% |
| Average Duration | 1.9 years | 1.9 years | 5.6 years |
| Average Effective | |||
| Maturity | 1.9 years | 1.9 years | 7.8 years |
| Short-Term | |||
| Reserves | 1.5% | — | — |
| Sector Diversification (% of portfolio) | |
| Treasury/Agency | 98.7% |
| Other | 1.3 |
| 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. | |
| Volatility Measures | ||
| Barclays | ||
| 1–3 Year | ||
| Gov’t | Barclays | |
| Float Adj | Aggregate | |
| Index | FA Index | |
| R-Squared | 0.99 | 0.57 |
| Beta | 1.00 | 0.17 |
| These measures show the degree and timing of the fund’s | ||
| fluctuations compared with the indexes over 36 months. | ||
| Distribution by Effective Maturity | |
| (% of portfolio) | |
| Under 1 Year | 1.3% |
| 1 - 3 Years | 98.7 |
| Distribution by Credit Quality (% of portfolio) | |
| U.S. Government | 98.7% |
| Aaa | 1.3 |
| Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. For more information about these ratings, see the Glossary entry for Credit Quality. | |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratios were 0.09% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares.
12
Short-Term Government Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 29, 2016 | ||
| Barclays | ||
| 1–3 Year | ||
| Gov’t | ||
| Float Adj | ||
| ETF Shares Net Asset Value | Index | |
| Fiscal Year | Total Returns | Total Returns |
| 2010 | 1.69% | 1.83% |
| 2011 | 1.39 | 1.53 |
| 2012 | 0.40 | 0.50 |
| 2013 | 0.04 | 0.16 |
| 2014 | 0.70 | 0.80 |
| 2015 | 0.75 | 0.84 |
| 2016 | 0.54 | 0.58 |
| Note: For 2016, performance data reflect the six months ended February 29, 2016. | ||
| Average Annual Total Returns: Periods Ended December 31, 2015 | ||||||
| This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. | ||||||
| Securities and Exchange Commission rules require that we provide this information. | ||||||
| Since Inception | ||||||
| Inception Date | One Year | Five Years | Income | Capital | Total | |
| ETF Shares | 11/19/2009 | |||||
| Market Price | 0.45% | 0.61% | 0.79% | |||
| Net Asset Value | 0.51 | 0.63 | 0.79 | |||
| Admiral Shares | 12/28/2009 | 0.51 | 0.63 | 0.51% | 0.37% | 0.88 |
| Institutional Shares | 8/23/2010 | 0.50 | 0.65 | 0.53 | 0.09 | 0.62 |
See Financial Highlights for dividend and capital gains information.
13
Short-Term Government Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Face | Market | |||
| Maturity | Amount | Value• | ||
| Coupon | Date | ($000) | ($000) | |
| U.S. Government and Agency Obligations (98.6%) | ||||
| U.S. Government Securities (88.7%) | ||||
| United States Treasury Note/Bond | 0.750% | 3/15/17 | 21,070 | 21,080 |
| United States Treasury Note/Bond | 0.500% | 3/31/17 | 4,765 | 4,755 |
| United States Treasury Note/Bond | 1.000% | 3/31/17 | 11,585 | 11,619 |
| United States Treasury Note/Bond | 3.250% | 3/31/17 | 16,125 | 16,563 |
| United States Treasury Note/Bond | 0.875% | 4/15/17 | 13,740 | 13,764 |
| United States Treasury Note/Bond | 0.500% | 4/30/17 | 12,643 | 12,609 |
| United States Treasury Note/Bond | 0.875% | 4/30/17 | 4,540 | 4,548 |
| United States Treasury Note/Bond | 3.125% | 4/30/17 | 3,683 | 3,785 |
| United States Treasury Note/Bond | 0.875% | 5/15/17 | 14,695 | 14,723 |
| United States Treasury Note/Bond | 4.500% | 5/15/17 | 2,325 | 2,430 |
| United States Treasury Note/Bond | 8.750% | 5/15/17 | 2,330 | 2,554 |
| United States Treasury Note/Bond | 0.625% | 5/31/17 | 26,534 | 26,497 |
| United States Treasury Note/Bond | 2.750% | 5/31/17 | 19,896 | 20,397 |
| United States Treasury Note/Bond | 0.875% | 6/15/17 | 13,620 | 13,643 |
| United States Treasury Note/Bond | 0.625% | 6/30/17 | 15,275 | 15,251 |
| United States Treasury Note/Bond | 0.750% | 6/30/17 | 11,550 | 11,550 |
| United States Treasury Note/Bond | 2.500% | 6/30/17 | 12,100 | 12,380 |
| United States Treasury Note/Bond | 0.875% | 7/15/17 | 13,005 | 13,025 |
| United States Treasury Note/Bond | 0.500% | 7/31/17 | 5,000 | 4,981 |
| United States Treasury Note/Bond | 0.625% | 7/31/17 | 11,870 | 11,848 |
| United States Treasury Note/Bond | 2.375% | 7/31/17 | 10,556 | 10,795 |
| United States Treasury Note/Bond | 0.875% | 8/15/17 | 19,985 | 20,016 |
| United States Treasury Note/Bond | 4.750% | 8/15/17 | 25,760 | 27,249 |
| United States Treasury Note/Bond | 0.625% | 8/31/17 | 18,680 | 18,639 |
| United States Treasury Note/Bond | 1.875% | 8/31/17 | 7,345 | 7,464 |
| United States Treasury Note/Bond | 1.000% | 9/15/17 | 17,095 | 17,151 |
| United States Treasury Note/Bond | 0.625% | 9/30/17 | 33,560 | 33,481 |
| United States Treasury Note/Bond | 1.875% | 9/30/17 | 6,230 | 6,336 |
| United States Treasury Note/Bond | 0.875% | 10/15/17 | 9,840 | 9,854 |
| United States Treasury Note/Bond | 0.750% | 10/31/17 | 21,380 | 21,367 |
| United States Treasury Note/Bond | 1.875% | 10/31/17 | 14,184 | 14,434 |
| United States Treasury Note/Bond | 0.875% | 11/15/17 | 11,685 | 11,701 |
| United States Treasury Note/Bond | 4.250% | 11/15/17 | 11,440 | 12,107 |
| United States Treasury Note/Bond | 0.625% | 11/30/17 | 6,955 | 6,934 |
| United States Treasury Note/Bond | 0.875% | 11/30/17 | 12,397 | 12,416 |
| United States Treasury Note/Bond | 2.250% | 11/30/17 | 8,150 | 8,354 |
| United States Treasury Note/Bond | 1.000% | 12/15/17 | 16,497 | 16,556 |
14
Short-Term Government Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value• | ||
| Coupon | Date | ($000) | ($000) | |
| United States Treasury Note/Bond | 0.750% | 12/31/17 | 18,015 | 17,998 |
| United States Treasury Note/Bond | 1.000% | 12/31/17 | 6,798 | 6,823 |
| United States Treasury Note/Bond | 0.875% | 1/15/18 | 15,745 | 15,767 |
| United States Treasury Note/Bond | 0.750% | 1/31/18 | 16,806 | 16,793 |
| United States Treasury Note/Bond | 0.875% | 1/31/18 | 6,690 | 6,699 |
| United States Treasury Note/Bond | 2.625% | 1/31/18 | 16,385 | 16,951 |
| United States Treasury Note/Bond | 1.000% | 2/15/18 | 9,275 | 9,311 |
| United States Treasury Note/Bond | 3.500% | 2/15/18 | 9,850 | 10,366 |
| United States Treasury Note/Bond | 0.750% | 2/28/18 | 22,445 | 22,428 |
| United States Treasury Note/Bond | 2.750% | 2/28/18 | 6,745 | 7,003 |
| United States Treasury Note/Bond | 1.000% | 3/15/18 | 5,775 | 5,798 |
| United States Treasury Note/Bond | 0.750% | 3/31/18 | 12,270 | 12,255 |
| United States Treasury Note/Bond | 2.875% | 3/31/18 | 4,118 | 4,292 |
| United States Treasury Note/Bond | 0.750% | 4/15/18 | 18,055 | 18,030 |
| United States Treasury Note/Bond | 0.625% | 4/30/18 | 14,030 | 13,973 |
| United States Treasury Note/Bond | 1.000% | 5/15/18 | 2,750 | 2,761 |
| United States Treasury Note/Bond | 1.000% | 5/31/18 | 22,467 | 22,551 |
| United States Treasury Note/Bond | 1.125% | 6/15/18 | 9,566 | 9,632 |
| United States Treasury Note/Bond | 1.375% | 6/30/18 | 12,430 | 12,589 |
| United States Treasury Note/Bond | 2.375% | 6/30/18 | 5,596 | 5,799 |
| United States Treasury Note/Bond | 1.375% | 7/31/18 | 25,190 | 25,525 |
| United States Treasury Note/Bond | 2.250% | 7/31/18 | 6,000 | 6,204 |
| United States Treasury Note/Bond | 1.000% | 8/15/18 | 8,600 | 8,634 |
| United States Treasury Note/Bond | 1.500% | 8/31/18 | 22,955 | 23,335 |
| United States Treasury Note/Bond | 1.000% | 9/15/18 | 21,535 | 21,619 |
| United States Treasury Note/Bond | 1.375% | 9/30/18 | 19,275 | 19,537 |
| United States Treasury Note/Bond | 0.875% | 10/15/18 | 17,560 | 17,571 |
| United States Treasury Note/Bond | 1.250% | 10/31/18 | 15,687 | 15,844 |
| United States Treasury Note/Bond | 1.750% | 10/31/18 | 4,438 | 4,543 |
| United States Treasury Note/Bond | 1.250% | 11/15/18 | 12,743 | 12,870 |
| United States Treasury Note/Bond | 3.750% | 11/15/18 | 8,331 | 8,977 |
| United States Treasury Note/Bond | 1.250% | 11/30/18 | 11,000 | 11,110 |
| United States Treasury Note/Bond | 1.375% | 11/30/18 | 5,000 | 5,069 |
| United States Treasury Note/Bond | 1.250% | 12/15/18 | 14,264 | 14,407 |
| United States Treasury Note/Bond | 1.375% | 12/31/18 | 7,000 | 7,094 |
| United States Treasury Note/Bond | 1.500% | 12/31/18 | 13,510 | 13,738 |
| United States Treasury Note/Bond | 1.125% | 1/15/19 | 15,462 | 15,561 |
| United States Treasury Note/Bond | 1.250% | 1/31/19 | 10,000 | 10,102 |
| United States Treasury Note/Bond | 1.500% | 1/31/19 | 10,350 | 10,525 |
| United States Treasury Note/Bond | 0.750% | 2/15/19 | 20,028 | 19,937 |
| United States Treasury Note/Bond | 2.750% | 2/15/19 | 11,000 | 11,586 |
| United States Treasury Note/Bond | 1.375% | 2/28/19 | 10,000 | 10,131 |
| United States Treasury Note/Bond | 1.500% | 2/28/19 | 10,000 | 10,170 |
| 1,034,764 | ||||
| Agency Bonds and Notes (9.9%) | ||||
| 1 Federal Farm Credit Banks | 1.125% | 9/22/17 | 750 | 753 |
| 1 Federal Farm Credit Banks | 1.000% | 9/25/17 | 200 | 201 |
| 1 Federal Farm Credit Banks | 1.125% | 12/18/17 | 225 | 226 |
| 1 Federal Farm Credit Banks | 1.110% | 2/20/18 | 200 | 201 |
| 1 Federal Farm Credit Banks | 1.100% | 6/1/18 | 100 | 100 |
| 1 Federal Home Loan Banks | 0.875% | 3/10/17 | 125 | 125 |
| 1 Federal Home Loan Banks | 4.875% | 5/17/17 | 600 | 630 |
| 1 Federal Home Loan Banks | 0.875% | 5/24/17 | 8,410 | 8,423 |
| 1 Federal Home Loan Banks | 0.625% | 5/30/17 | 1,200 | 1,198 |
| 1 Federal Home Loan Banks | 1.000% | 6/21/17 | 3,645 | 3,654 |
15
Short-Term Government Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value• | ||
| Coupon | Date | ($000) | ($000) | |
| 1 Federal Home Loan Banks | 0.750% | 8/28/17 | 2,000 | 1,998 |
| 1 Federal Home Loan Banks | 0.625% | 10/26/17 | 1,500 | 1,495 |
| 1 Federal Home Loan Banks | 5.000% | 11/17/17 | 2,010 | 2,152 |
| 1 Federal Home Loan Banks | 1.000% | 12/19/17 | 2,000 | 2,005 |
| 1 Federal Home Loan Banks | 1.375% | 3/9/18 | 4,200 | 4,242 |
| 1 Federal Home Loan Banks | 0.875% | 3/19/18 | 2,050 | 2,050 |
| 1 Federal Home Loan Banks | 1.125% | 4/25/18 | 2,500 | 2,513 |
| 2 Federal Home Loan Mortgage Corp. | 1.000% | 3/8/17 | 5,055 | 5,069 |
| 2 Federal Home Loan Mortgage Corp. | 5.000% | 4/18/17 | 200 | 210 |
| 2 Federal Home Loan Mortgage Corp. | 1.250% | 5/12/17 | 2,500 | 2,515 |
| 2 Federal Home Loan Mortgage Corp. | 1.000% | 6/29/17 | 4,265 | 4,276 |
| 2 Federal Home Loan Mortgage Corp. | 0.750% | 7/14/17 | 1,200 | 1,199 |
| 2 Federal Home Loan Mortgage Corp. | 1.000% | 7/28/17 | 657 | 659 |
| 2 Federal Home Loan Mortgage Corp. | 5.500% | 8/23/17 | 2,000 | 2,137 |
| 2 Federal Home Loan Mortgage Corp. | 1.000% | 9/29/17 | 400 | 401 |
| 2 Federal Home Loan Mortgage Corp. | 5.125% | 11/17/17 | 2,625 | 2,814 |
| 2 Federal Home Loan Mortgage Corp. | 1.000% | 12/15/17 | 6,700 | 6,718 |
| 2 Federal Home Loan Mortgage Corp. | 0.750% | 1/12/18 | 3,325 | 3,319 |
| 2 Federal Home Loan Mortgage Corp. | 0.875% | 3/7/18 | 5,475 | 5,475 |
| 2 Federal Home Loan Mortgage Corp. | 4.875% | 6/13/18 | 500 | 544 |
| 2 Federal National Mortgage Assn. | 0.750% | 4/20/17 | 2,760 | 2,761 |
| 2 Federal National Mortgage Assn. | 1.125% | 4/27/17 | 700 | 703 |
| 2 Federal National Mortgage Assn. | 5.000% | 5/11/17 | 555 | 583 |
| 2 Federal National Mortgage Assn. | 0.000% | 6/1/17 | 600 | 594 |
| 2 Federal National Mortgage Assn. | 5.375% | 6/12/17 | 4,255 | 4,502 |
| 2 Federal National Mortgage Assn. | 0.875% | 8/28/17 | 1,050 | 1,051 |
| 2 Federal National Mortgage Assn. | 1.000% | 9/27/17 | 5,255 | 5,268 |
| 2 Federal National Mortgage Assn. | 0.875% | 10/26/17 | 890 | 891 |
| 2 Federal National Mortgage Assn. | 0.875% | 12/20/17 | 900 | 900 |
| 2 Federal National Mortgage Assn. | 0.875% | 2/8/18 | 5,075 | 5,077 |
| 2 Federal National Mortgage Assn. | 0.875% | 5/21/18 | 6,280 | 6,274 |
| 2 Federal National Mortgage Assn. | 1.125% | 7/20/18 | 2,500 | 2,511 |
| 2 Federal National Mortgage Assn. | 1.875% | 9/18/18 | 4,050 | 4,143 |
| 2 Federal National Mortgage Assn. | 1.125% | 10/19/18 | 1,200 | 1,205 |
| 2 Federal National Mortgage Assn. | 1.625% | 11/27/18 | 2,100 | 2,136 |
| 2 Federal National Mortgage Assn. | 1.125% | 12/14/18 | 3,800 | 3,812 |
| 2 Federal National Mortgage Assn. | 1.375% | 1/28/19 | 1,000 | 1,010 |
| 2 Federal National Mortgage Assn. | 1.875% | 2/19/19 | 1,750 | 1,793 |
| 2 Federal National Mortgage Assn. | 1.000% | 2/26/19 | 1,500 | 1,498 |
| 1 Financing Corp. | 10.700% | 10/6/17 | 142 | 164 |
| 1 Financing Corp. | 9.800% | 11/30/17 | 385 | 444 |
| 1 Financing Corp. | 9.800% | 4/6/18 | 200 | 236 |
| 1 Financing Corp. | 10.350% | 8/3/18 | 250 | 305 |
| Private Export Funding Corp. | 2.250% | 12/15/17 | 25 | 26 |
| Private Export Funding Corp. | 1.875% | 7/15/18 | 50 | 51 |
| 1 Tennessee Valley Authority | 5.500% | 7/18/17 | 125 | 133 |
| 1 Tennessee Valley Authority | 1.750% | 10/15/18 | 125 | 128 |
| 115,501 | ||||
| Total U.S. Government and Agency Obligations (Cost $1,147,716) | 1,150,265 | |||
16
Short-Term Government Bond Index Fund
| Market | |||
| Value• | |||
| Coupon | Shares | ($000) | |
| Temporary Cash Investment (1.4%) | |||
| Money Market Fund (1.4%) | |||
| 3 Vanguard Market Liquidity Fund (Cost $16,541) | 0.475% | 16,540,613 | 16,541 |
| Total Investments (100.0%) (Cost $1,164,257) | 1,166,806 | ||
| Other Assets and Liabilities (0.0%) | |||
| Other Assets | 67,051 | ||
| Liabilities | (66,838) | ||
| 213 | |||
| Net Assets (100%) | 1,167,019 | ||
| Amount | |||
| ($000) | |||
| Statement of Assets and Liabilities | |||
| Assets | |||
| Investments in Securities, at Value | |||
| Unaffiliated Issuers | 1,150,265 | ||
| Affiliated Vanguard Funds | 16,541 | ||
| Total Investments in Securities | 1,166,806 | ||
| Investment in Vanguard | 100 | ||
| Receivables for Investment Securities Sold | 61,257 | ||
| Receivables for Accrued Income | 4,388 | ||
| Receivables for Capital Shares Issued | 1,306 | ||
| Total Assets | 1,233,857 | ||
| Liabilities | |||
| Payables for Investment Securities Purchased | 65,070 | ||
| Payables for Capital Shares Redeemed | 398 | ||
| Payables for Distributions | 48 | ||
| Payables to Vanguard | 260 | ||
| Other Liabilities | 1,062 | ||
| Total Liabilities | 66,838 | ||
| Net Assets | 1,167,019 | ||
17
Short-Term Government Bond Index Fund
| At February 29, 2016, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 1,164,162 |
| Undistributed Net Investment Income | 480 |
| Accumulated Net Realized Losses | (172) |
| Unrealized Appreciation (Depreciation) | 2,549 |
| Net Assets | 1,167,019 |
| ETF Shares—Net Assets | |
| Applicable to 12,944,765 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 791,247 |
| Net Asset Value Per Share—ETF Shares | $61.12 |
| Admiral Shares—Net Assets | |
| Applicable to 15,358,718 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 312,980 |
| Net Asset Value Per Share—Admiral Shares | $20.38 |
| Institutional Shares—Net Assets | |
| Applicable to 2,452,512 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 62,792 |
| Net Asset Value Per Share—Institutional Shares | $25.60 |
• See Note A in Notes to Financial Statements.
1 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
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 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.
18
Short-Term Government Bond Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 4,184 |
| Total Income | 4,184 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 14 |
| Management and Administrative—ETF Shares | 251 |
| Management and Administrative—Admiral Shares | 85 |
| Management and Administrative—Institutional Shares | 15 |
| Marketing and Distribution—ETF Shares | 29 |
| Marketing and Distribution—Admiral Shares | 16 |
| Marketing and Distribution—Institutional Shares | 1 |
| Custodian Fees | 4 |
| Shareholders’ Reports—ETF Shares | 6 |
| Shareholders’ Reports—Admiral Shares | 2 |
| Shareholders’ Reports—Institutional Shares | 3 |
| Total Expenses | 426 |
| Net Investment Income | 3,758 |
| Realized Net Gain (Loss) on Investment Securities Sold | 154 |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | 2,046 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 5,958 |
| 1 Interest income from an affiliated company of the fund was $17,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
19
Short-Term Government Bond Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 3,758 | 4,657 |
| Realized Net Gain (Loss) | 154 | 1,248 |
| Change in Unrealized Appreciation (Depreciation) | 2,046 | (36) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 5,958 | 5,869 |
| Distributions | ||
| Net Investment Income | ||
| ETF Shares | (2,396) | (3,087) |
| Admiral Shares | (989) | (1,044) |
| Institutional Shares | (254) | (348) |
| Realized Capital Gain1 | ||
| ETF Shares | (269) | (299) |
| Admiral Shares | (106) | (93) |
| Institutional Shares | (24) | (24) |
| Total Distributions | (4,038) | (4,895) |
| Capital Share Transactions | ||
| ETF Shares | 155,095 | 137,215 |
| Admiral Shares | 91,198 | 95,668 |
| Institutional Shares | (4,270) | 18,278 |
| Net Increase (Decrease) from Capital Share Transactions | 242,023 | 251,161 |
| Total Increase (Decrease) | 243,943 | 252,135 |
| Net Assets | ||
| Beginning of Period | 923,076 | 670,941 |
| End of Period2 | 1,167,019 | 923,076 |
| 1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $200,000 and $149,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. 2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $480,000 and $361,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
20
Short-Term Government Bond Index Fund
Financial Highlights
| ETF Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $61.03 | $60.95 | $60.75 | $60.98 | $61.11 | $60.70 |
| Investment Operations | ||||||
| Net Investment Income | .221 | .351 | .198 | .158 | .270 | .405 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | .110 | .102 | .227 | (.134) | (.028) | .434 |
| Total from Investment Operations | . 331 | .453 | .425 | .024 | . 242 | . 839 |
| Distributions | ||||||
| Dividends from Net Investment Income | (. 217) | (. 340) | (.177) | (.158) | (. 267) | (. 405) |
| Distributions from Realized Capital Gains | (. 024) | (. 033) | (. 048) | (. 096) | (.105) | (. 024) |
| Total Distributions | (. 241) | (. 373) | (. 225) | (. 254) | (. 372) | (. 429) |
| Net Asset Value, End of Period | $61.12 | $61.03 | $60.95 | $60.75 | $60.98 | $61.11 |
| Total Return | 0.54% | 0.75% | 0.70% | 0.04% | 0.40% | 1.39% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $791 | $635 | $497 | $307 | $183 | $150 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.09% | 0.10% | 0.12% | 0.12% | 0.12% | 0.14% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 0.74% | 0.59% | 0.34% | 0.26% | 0.44% | 0.66% |
| Portfolio Turnover Rate1 | 67% | 64% | 64% | 73% | 72% | 69% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
21
Short-Term Government Bond Index Fund
Financial Highlights
| Admiral Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $20.35 | $20.33 | $20.27 | $20.35 | $20.39 | $20.25 |
| Investment Operations | ||||||
| Net Investment Income | .075 | .116 | .068 | .053 | .089 | .134 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | .039 | .031 | .074 | (. 048) | (. 007) | .149 |
| Total from Investment Operations | .114 | .147 | .142 | .005 | .082 | .283 |
| Distributions | ||||||
| Dividends from Net Investment Income | (. 076) | (.116) | (. 066) | (. 053) | (. 087) | (.135) |
| Distributions from Realized Capital Gains | (. 008) | (. 011) | (. 016) | (. 032) | (. 035) | (. 008) |
| Total Distributions | (. 084) | (.127) | (. 082) | (. 085) | (.122) | (.143) |
| Net Asset Value, End of Period | $20.38 | $20.35 | $20.33 | $20.27 | $20.35 | $20.39 |
| Total Return1 | 0.56% | 0.72% | 0.70% | 0.02% | 0.40% | 1.40% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $313 | $221 | $126 | $53 | $37 | $11 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.08% | 0.10% | 0.12% | 0.12% | 0.12% | 0.14% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 0.75% | 0.59% | 0.34% | 0.26% | 0.44% | 0.66% |
| Portfolio Turnover Rate2 | 67% | 64% | 64% | 73% | 72% | 69% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class. | ||||||
| 1 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
22
Short-Term Government Bond Index Fund
Financial Highlights
| Institutional Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $25.57 | $25.54 | $25.47 | $25.57 | $25.62 | $25.45 |
| Investment Operations | ||||||
| Net Investment Income | .097 | .156 | .095 | .075 | .121 | .183 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | .043 | .043 | .088 | (.059) | (.007) | .180 |
| Total from Investment Operations | .140 | .199 | .183 | .016 | .114 | .363 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.100) | (.155) | (. 093) | (. 075) | (.120) | (.183) |
| Distributions from Realized Capital Gains | (. 010) | (. 014) | (. 020) | (. 041) | (. 044) | (. 010) |
| Total Distributions | (.110) | (.169) | (.113) | (.116) | (.164) | (.193) |
| Net Asset Value, End of Period | $25.60 | $25.57 | $25.54 | $25.47 | $25.57 | $25.62 |
| Total Return1 | 0.55% | 0.78% | 0.72% | 0.06% | 0.45% | 1.43% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $63 | $67 | $49 | $17 | $44 | $33 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.06% | 0.07% | 0.09% | 0.09% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 0.77% | 0.62% | 0.37% | 0.29% | 0.47% | 0.71% |
| Portfolio Turnover Rate2 | 67% | 64% | 64% | 73% | 72% | 69% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| 1 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
23
Short-Term Government Bond Index Fund
Notes to Financial Statements
Vanguard Short-Term Government Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: ETF Shares, Admiral Shares, and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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 fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, or at any time during the period then ended.
5. Other: 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. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution
24
Short-Term Government Bond Index Fund
expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Assets and Liabilities.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $100,000, representing 0.01% of the fund’s net assets and 0.04% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 1,150,265 | — |
| Temporary Cash Investments | 16,541 | — | — |
| Total | 16,541 | 1,150,265 | — |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
During the six months ended February 29, 2016, the fund realized $234,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
25
Short-Term Government Bond Index Fund
At February 29, 2016, the cost of investment securities for tax purposes was $1,164,257,000. Net unrealized appreciation of investment securities for tax purposes was $2,549,000, consisting of unrealized gains of $2,738,000 on securities that had risen in value since their purchase and $189,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2016, the fund purchased $667,657,000 of investment securities and sold $426,656,000 of investment securities, other than temporary cash investments. Purchases and sales include $236,831,000 and $90,605,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2016 | August 31, 2015 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued | 246,668 | 4,045 | 378,274 | 6,200 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (91,573) | (1,500) | (241,059) | (3,950) |
| Net Increase (Decrease)—ETF Shares | 155,095 | 2,545 | 137,215 | 2,250 |
| Admiral Shares | ||||
| Issued | 154,288 | 7,583 | 176,583 | 8,677 |
| Issued in Lieu of Cash Distributions | 921 | 45 | 963 | 47 |
| Redeemed | (64,011) | (3,145) | (81,878) | (4,023) |
| Net Increase (Decrease)—Admiral Shares | 91,198 | 4,483 | 95,668 | 4,701 |
| Institutional Shares | ||||
| Issued | 4,999 | 194 | 29,714 | 1,162 |
| Issued in Lieu of Cash Distributions | 174 | 7 | 235 | 9 |
| Redeemed | (9,443) | (369) | (11,671) | (457) |
| Net Increase (Decrease)—Institutional Shares | (4,270) | (168) | 18,278 | 714 |
G. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
26
Intermediate-Term Government Bond Index Fund
Fund Profile
As of February 29, 2016
| Share-Class Characteristics | |||
| ETF | Admiral | Institutional | |
| Shares | Shares | Shares | |
| Ticker Symbol | VGIT | VSIGX | VIIGX |
| Expense Ratio1 | 0.10% | 0.10% | 0.07% |
| 30-Day SEC Yield | 1.22% | 1.22% | 1.25% |
| Financial Attributes | |||
| Barclays | |||
| 3–10 Year | |||
| Gov’t | Barclays | ||
| Float Adj | Aggregate | ||
| Fund | Index | FA Index | |
| Number of Bonds | 170 | 348 | 9,699 |
| Yield to Maturity | |||
| (before expenses) | 1.3% | 1.3% | 2.2% |
| Average Coupon | 2.1% | 2.1% | 3.1% |
| Average Duration | 5.3 years | 5.3 years | 5.6 years |
| Average Effective | |||
| Maturity | 5.6 years | 5.6 years | 7.8 years |
| Short-Term | |||
| Reserves | 1.0% | — | — |
| Sector Diversification (% of portfolio) | |
| Treasury/Agency | 99.7% |
| Other | 0.3 |
| 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. | |
| Volatility Measures | ||
| Barclays | ||
| 3–10 Year | ||
| Gov’t | Barclays | |
| Float Adj | Aggregate | |
| Index | FA Index | |
| R-Squared | 0.99 | 0.89 |
| Beta | 1.03 | 1.11 |
| These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
| Distribution by Effective Maturity | |
| (% of portfolio) | |
| Under 1 Year | 0.3% |
| 1 - 3 Years | 1.2 |
| 3 - 5 Years | 49.3 |
| 5 - 10 Years | 49.2 |
| Distribution by Credit Quality (% of portfolio) | |
| U.S. Government | 99.7% |
| Aaa | 0.3 |
| Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. For more information about these ratings, see the | |
| Glossary entry for Credit Quality. | |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratios were 0.09% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares.
27
Intermediate-Term Government Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 29, 2016 | ||
| Barclays | ||
| 3–10 Year | ||
| Gov’t | ||
| Float Adj | ||
| ETF Shares Net Asset Value | Index | |
| Fiscal Year | Total Returns | Total Returns |
| 2010 | 7.65% | 7.76% |
| 2011 | 5.30 | 5.53 |
| 2012 | 4.50 | 4.51 |
| 2013 | -3.18 | -2.99 |
| 2014 | 3.54 | 3.54 |
| 2015 | 2.67 | 2.86 |
| 2016 | 3.08 | 3.04 |
| Note: For 2016, performance data reflect the six months ended February 29, 2016. | ||
| Average Annual Total Returns: Periods Ended December 31, 2015 | ||||||
| This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. | ||||||
| Securities and Exchange Commission rules require that we provide this information. | ||||||
| Since Inception | ||||||
| Inception Date | One Year | Five Years | Income | Capital | Total | |
| ETF Shares | 11/19/2009 | |||||
| Market Price | 1.34% | 3.01% | 3.30% | |||
| Net Asset Value | 1.63 | 3.02 | 3.29 | |||
| Admiral Shares | 8/4/2010 | 1.65 | 3.01 | 1.68% | 1.01% | 2.69 |
| Institutional Shares | 3/19/2010 | 1.68 | 3.05 | 1.77 | 1.75 | 3.52 |
See Financial Highlights for dividend and capital gains information.
28
Intermediate-Term Government Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Face | Market | |||
| Maturity | Amount | Value• | ||
| Coupon | Date | ($000) | ($000) | |
| U.S. Government and Agency Obligations (99.1%) | ||||
| U.S. Government Securities (95.3%) | ||||
| United States Treasury Note/Bond | 8.875% | 2/15/19 | 869 | 1,072 |
| United States Treasury Note/Bond | 1.375% | 2/28/19 | 3,550 | 3,597 |
| United States Treasury Note/Bond | 1.500% | 2/28/19 | 12,100 | 12,306 |
| United States Treasury Note/Bond | 1.500% | 3/31/19 | 3,690 | 3,752 |
| United States Treasury Note/Bond | 1.625% | 3/31/19 | 8,300 | 8,471 |
| United States Treasury Note/Bond | 1.250% | 4/30/19 | 28 | 28 |
| United States Treasury Note/Bond | 1.625% | 4/30/19 | 8,423 | 8,598 |
| United States Treasury Note/Bond | 3.125% | 5/15/19 | 7,958 | 8,501 |
| United States Treasury Note/Bond | 1.125% | 5/31/19 | 1,310 | 1,316 |
| United States Treasury Note/Bond | 1.500% | 5/31/19 | 21,125 | 21,475 |
| United States Treasury Note/Bond | 1.000% | 6/30/19 | 1,764 | 1,765 |
| United States Treasury Note/Bond | 1.625% | 6/30/19 | 31,045 | 31,695 |
| United States Treasury Note/Bond | 0.875% | 7/31/19 | 4,509 | 4,489 |
| United States Treasury Note/Bond | 1.625% | 7/31/19 | 10,810 | 11,033 |
| United States Treasury Note/Bond | 3.625% | 8/15/19 | 4,342 | 4,725 |
| United States Treasury Note/Bond | 8.125% | 8/15/19 | 2,692 | 3,341 |
| United States Treasury Note/Bond | 1.000% | 8/31/19 | 4,990 | 4,985 |
| United States Treasury Note/Bond | 1.625% | 8/31/19 | 7,283 | 7,433 |
| United States Treasury Note/Bond | 1.000% | 9/30/19 | 28,010 | 27,957 |
| United States Treasury Note/Bond | 1.750% | 9/30/19 | 18,350 | 18,800 |
| United States Treasury Note/Bond | 1.250% | 10/31/19 | 2,576 | 2,593 |
| United States Treasury Note/Bond | 1.500% | 10/31/19 | 9,750 | 9,902 |
| United States Treasury Note/Bond | 3.375% | 11/15/19 | 9,950 | 10,780 |
| United States Treasury Note/Bond | 1.000% | 11/30/19 | 7,855 | 7,831 |
| United States Treasury Note/Bond | 1.500% | 11/30/19 | 7,850 | 7,970 |
| United States Treasury Note/Bond | 1.125% | 12/31/19 | 3,275 | 3,278 |
| United States Treasury Note/Bond | 1.625% | 12/31/19 | 16,168 | 16,486 |
| United States Treasury Note/Bond | 1.250% | 1/31/20 | 7,800 | 7,839 |
| United States Treasury Note/Bond | 1.375% | 1/31/20 | 2,552 | 2,577 |
| United States Treasury Note/Bond | 3.625% | 2/15/20 | 5,780 | 6,335 |
| United States Treasury Note/Bond | 8.500% | 2/15/20 | 360 | 463 |
| United States Treasury Note/Bond | 1.250% | 2/29/20 | 5,560 | 5,585 |
| United States Treasury Note/Bond | 1.375% | 2/29/20 | 9,500 | 9,589 |
| United States Treasury Note/Bond | 1.125% | 3/31/20 | 1,050 | 1,049 |
| United States Treasury Note/Bond | 1.375% | 3/31/20 | 2,989 | 3,016 |
| United States Treasury Note/Bond | 1.125% | 4/30/20 | 2,775 | 2,772 |
| United States Treasury Note/Bond | 1.375% | 4/30/20 | 8,300 | 8,371 |
29
Intermediate-Term Government Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value• | ||
| Coupon | Date | ($000) | ($000) | |
| United States Treasury Note/Bond | 3.500% | 5/15/20 | 39,289 | 43,009 |
| United States Treasury Note/Bond | 8.750% | 5/15/20 | 1,500 | 1,965 |
| United States Treasury Note/Bond | 1.375% | 5/31/20 | 7,700 | 7,764 |
| United States Treasury Note/Bond | 1.500% | 5/31/20 | 7,243 | 7,340 |
| United States Treasury Note/Bond | 1.625% | 6/30/20 | 8,000 | 8,148 |
| United States Treasury Note/Bond | 1.875% | 6/30/20 | 5,150 | 5,301 |
| United States Treasury Note/Bond | 1.625% | 7/31/20 | 16,800 | 17,110 |
| United States Treasury Note/Bond | 2.000% | 7/31/20 | 2,060 | 2,131 |
| United States Treasury Note/Bond | 2.625% | 8/15/20 | 40,820 | 43,320 |
| United States Treasury Note/Bond | 8.750% | 8/15/20 | 1,950 | 2,587 |
| United States Treasury Note/Bond | 1.375% | 8/31/20 | 14,625 | 14,744 |
| United States Treasury Note/Bond | 2.125% | 8/31/20 | 15,492 | 16,107 |
| United States Treasury Note/Bond | 1.375% | 9/30/20 | 6,978 | 7,028 |
| United States Treasury Note/Bond | 2.000% | 9/30/20 | 5,059 | 5,235 |
| United States Treasury Note/Bond | 1.375% | 10/31/20 | 6,789 | 6,837 |
| United States Treasury Note/Bond | 1.750% | 10/31/20 | 9,445 | 9,666 |
| United States Treasury Note/Bond | 2.625% | 11/15/20 | 43,867 | 46,616 |
| United States Treasury Note/Bond | 1.625% | 11/30/20 | 10,750 | 10,957 |
| United States Treasury Note/Bond | 2.000% | 11/30/20 | 8,875 | 9,181 |
| United States Treasury Note/Bond | 1.750% | 12/31/20 | 11,850 | 12,139 |
| United States Treasury Note/Bond | 2.375% | 12/31/20 | 9,580 | 10,081 |
| United States Treasury Note/Bond | 1.375% | 1/31/21 | 15,932 | 16,042 |
| United States Treasury Note/Bond | 2.125% | 1/31/21 | 14,122 | 14,705 |
| United States Treasury Note/Bond | 3.625% | 2/15/21 | 12,857 | 14,305 |
| United States Treasury Note/Bond | 7.875% | 2/15/21 | 1,966 | 2,588 |
| United States Treasury Note/Bond | 1.125% | 2/28/21 | 16,800 | 16,726 |
| United States Treasury Note/Bond | 2.000% | 2/28/21 | 8,315 | 8,609 |
| United States Treasury Note/Bond | 2.250% | 3/31/21 | 3,925 | 4,111 |
| United States Treasury Note/Bond | 2.250% | 4/30/21 | 4,000 | 4,190 |
| United States Treasury Note/Bond | 3.125% | 5/15/21 | 4,392 | 4,791 |
| United States Treasury Note/Bond | 8.125% | 5/15/21 | 1,340 | 1,798 |
| United States Treasury Note/Bond | 2.000% | 5/31/21 | 20,740 | 21,466 |
| United States Treasury Note/Bond | 2.125% | 6/30/21 | 6,450 | 6,714 |
| United States Treasury Note/Bond | 2.250% | 7/31/21 | 5,825 | 6,102 |
| United States Treasury Note/Bond | 2.125% | 8/15/21 | 7,250 | 7,542 |
| United States Treasury Note/Bond | 8.125% | 8/15/21 | 1,775 | 2,408 |
| United States Treasury Note/Bond | 2.000% | 8/31/21 | 5,425 | 5,610 |
| United States Treasury Note/Bond | 2.125% | 9/30/21 | 28,470 | 29,626 |
| United States Treasury Note/Bond | 2.000% | 10/31/21 | 8,775 | 9,068 |
| United States Treasury Note/Bond | 2.000% | 11/15/21 | 5,013 | 5,184 |
| United States Treasury Note/Bond | 8.000% | 11/15/21 | 7,115 | 9,708 |
| United States Treasury Note/Bond | 1.875% | 11/30/21 | 13,935 | 14,307 |
| United States Treasury Note/Bond | 2.125% | 12/31/21 | 12,350 | 12,846 |
| United States Treasury Note/Bond | 1.500% | 1/31/22 | 11,500 | 11,554 |
| United States Treasury Note/Bond | 2.000% | 2/15/22 | 22,589 | 23,369 |
| United States Treasury Note/Bond | 1.750% | 2/28/22 | 13,346 | 13,590 |
| United States Treasury Note/Bond | 1.750% | 3/31/22 | 9,606 | 9,779 |
| United States Treasury Note/Bond | 1.750% | 4/30/22 | 8,500 | 8,651 |
| United States Treasury Note/Bond | 1.750% | 5/15/22 | 5,000 | 5,088 |
| United States Treasury Note/Bond | 1.875% | 5/31/22 | 9,175 | 9,404 |
| United States Treasury Note/Bond | 2.125% | 6/30/22 | 8,900 | 9,255 |
| United States Treasury Note/Bond | 2.000% | 7/31/22 | 4,300 | 4,437 |
| United States Treasury Note/Bond | 1.625% | 8/15/22 | 4,399 | 4,447 |
| United States Treasury Note/Bond | 7.250% | 8/15/22 | 975 | 1,323 |
| United States Treasury Note/Bond | 1.875% | 8/31/22 | 15,626 | 16,002 |
30
Intermediate-Term Government Bond Index Fund
| Face | Market | |||
| Maturity | Amount | Value• | ||
| Coupon | Date | ($000) | ($000) | |
| United States Treasury Note/Bond | 1.750% | 9/30/22 | 8,300 | 8,435 |
| United States Treasury Note/Bond | 1.875% | 10/31/22 | 7,300 | 7,476 |
| United States Treasury Note/Bond | 1.625% | 11/15/22 | 20,670 | 20,851 |
| United States Treasury Note/Bond | 7.625% | 11/15/22 | 1,975 | 2,752 |
| United States Treasury Note/Bond | 2.000% | 11/30/22 | 12,250 | 12,641 |
| United States Treasury Note/Bond | 2.125% | 12/31/22 | 14,727 | 15,325 |
| United States Treasury Note/Bond | 1.750% | 1/31/23 | 12,700 | 12,896 |
| United States Treasury Note/Bond | 2.000% | 2/15/23 | 11,675 | 12,054 |
| United States Treasury Note/Bond | 7.125% | 2/15/23 | 2,590 | 3,555 |
| United States Treasury Note/Bond | 1.500% | 2/28/23 | 11,500 | 11,486 |
| United States Treasury Note/Bond | 1.750% | 5/15/23 | 43,860 | 44,525 |
| United States Treasury Note/Bond | 2.500% | 8/15/23 | 8,295 | 8,859 |
| United States Treasury Note/Bond | 6.250% | 8/15/23 | 1,725 | 2,298 |
| United States Treasury Note/Bond | 2.750% | 11/15/23 | 8,995 | 9,768 |
| United States Treasury Note/Bond | 2.750% | 2/15/24 | 19,060 | 20,692 |
| United States Treasury Note/Bond | 2.500% | 5/15/24 | 27,645 | 29,468 |
| United States Treasury Note/Bond | 2.375% | 8/15/24 | 19,550 | 20,644 |
| United States Treasury Note/Bond | 2.250% | 11/15/24 | 21,716 | 22,693 |
| United States Treasury Note/Bond | 7.500% | 11/15/24 | 1,690 | 2,489 |
| United States Treasury Note/Bond | 2.000% | 2/15/25 | 27,948 | 28,599 |
| United States Treasury Note/Bond | 7.625% | 2/15/25 | 300 | 448 |
| United States Treasury Note/Bond | 2.125% | 5/15/25 | 27,445 | 28,363 |
| United States Treasury Note/Bond | 2.000% | 8/15/25 | 27,840 | 28,462 |
| United States Treasury Note/Bond | 6.875% | 8/15/25 | 1,150 | 1,668 |
| United States Treasury Note/Bond | 2.250% | 11/15/25 | 25,250 | 26,378 |
| United States Treasury Note/Bond | 1.625% | 2/15/26 | 11,500 | 11,381 |
| 1,308,592 | ||||
| Agency Bonds and Notes (3.8%) | ||||
| 1 AID-Israel | 5.500% | 9/18/23 | 125 | 155 |
| 1 AID-Israel | 5.500% | 4/26/24 | 500 | 627 |
| 1 AID-Jordan | 1.945% | 6/23/19 | 200 | 204 |
| 1 AID-Jordan | 2.503% | 10/30/20 | 175 | 184 |
| 1 AID-Jordan | 2.578% | 6/30/22 | 500 | 523 |
| 1 AID-Ukraine | 1.844% | 5/16/19 | 200 | 204 |
| 1 AID-Ukraine | 1.847% | 5/29/20 | 300 | 306 |
| 2 Federal Farm Credit Banks | 5.150% | 11/15/19 | 300 | 343 |
| 2 Federal Farm Credit Banks | 3.500% | 12/20/23 | 100 | 112 |
| 2 Federal Home Loan Banks | 1.875% | 3/8/19 | 1,070 | 1,096 |
| 2 Federal Home Loan Banks | 1.875% | 3/13/20 | 150 | 154 |
| 2 Federal Home Loan Banks | 4.125% | 3/13/20 | 4,440 | 4,941 |
| 2 Federal Home Loan Banks | 3.375% | 6/12/20 | 125 | 136 |
| 2 Federal Home Loan Banks | 3.125% | 12/11/20 | 1,000 | 1,080 |
| 2 Federal Home Loan Banks | 5.250% | 12/11/20 | 250 | 294 |
| 2 Federal Home Loan Banks | 1.375% | 2/18/21 | 975 | 973 |
| 2 Federal Home Loan Banks | 5.625% | 6/11/21 | 400 | 484 |
| 2 Federal Home Loan Banks | 2.000% | 9/9/22 | 1,265 | 1,291 |
| 2 Federal Home Loan Banks | 2.125% | 3/10/23 | 475 | 487 |
| 2 Federal Home Loan Banks | 2.875% | 6/14/24 | 200 | 213 |
| 2 Federal Home Loan Banks | 2.875% | 9/13/24 | 1,000 | 1,066 |
| 3 Federal Home Loan Mortgage Corp. | 3.750% | 3/27/19 | 2,440 | 2,637 |
| 3 Federal Home Loan Mortgage Corp. | 1.750% | 5/30/19 | 400 | 408 |
| 3 Federal Home Loan Mortgage Corp. | 1.250% | 8/1/19 | 450 | 452 |
| 3 Federal Home Loan Mortgage Corp. | 1.250% | 10/2/19 | 3,229 | 3,236 |
| 3 Federal Home Loan Mortgage Corp. | 1.375% | 5/1/20 | 2,225 | 2,241 |
| 3 Federal Home Loan Mortgage Corp. | 2.375% | 1/13/22 | 5,125 | 5,360 |
31
Intermediate-Term Government Bond Index Fund
| Face | Market | ||||
| Maturity | Amount | Value• | |||
| Coupon | Date | ($000) | ($000) | ||
| 3 | Federal National Mortgage Assn. | 1.750% | 6/20/19 | 800 | 817 |
| 3 | Federal National Mortgage Assn. | 1.750% | 9/12/19 | 5,350 | 5,462 |
| 3 | Federal National Mortgage Assn. | 0.000% | 10/9/19 | 1,150 | 1,086 |
| 3 | Federal National Mortgage Assn. | 1.750% | 11/26/19 | 750 | 765 |
| 3 | Federal National Mortgage Assn. | 1.625% | 1/21/20 | 4,175 | 4,240 |
| 3 | Federal National Mortgage Assn. | 1.500% | 6/22/20 | 1,200 | 1,211 |
| 3 | Federal National Mortgage Assn. | 1.500% | 11/30/20 | 1,000 | 1,006 |
| 3 | Federal National Mortgage Assn. | 1.875% | 12/28/20 | 2,000 | 2,047 |
| 3 | Federal National Mortgage Assn. | 1.375% | 2/26/21 | 1,075 | 1,073 |
| 3 | Federal National Mortgage Assn. | 2.625% | 9/6/24 | 1,495 | 1,575 |
| 2 | Financing Corp. | 9.700% | 4/5/19 | 50 | 63 |
| NCUA Guaranteed Notes | 3.000% | 6/12/19 | 180 | 190 | |
| Private Export Funding Corp. | 4.375% | 3/15/19 | 700 | 764 | |
| Private Export Funding Corp. | 1.450% | 8/15/19 | 125 | 126 | |
| Private Export Funding Corp. | 2.250% | 3/15/20 | 150 | 155 | |
| Private Export Funding Corp. | 2.300% | 9/15/20 | 75 | 78 | |
| Private Export Funding Corp. | 2.050% | 11/15/22 | 175 | 176 | |
| Private Export Funding Corp. | 3.550% | 1/15/24 | 75 | 83 | |
| Private Export Funding Corp. | 2.450% | 7/15/24 | 205 | 208 | |
| Private Export Funding Corp. | 3.250% | 6/15/25 | 75 | 80 | |
| 2 | Tennessee Valley Authority | 3.875% | 2/15/21 | 225 | 250 |
| 2 | Tennessee Valley Authority | 1.875% | 8/15/22 | 125 | 126 |
| 2 | Tennessee Valley Authority | 2.875% | 9/15/24 | 400 | 418 |
| 2 | Tennessee Valley Authority | 6.750% | 11/1/25 | 1,225 | 1,680 |
| 52,886 | |||||
| Total U.S. Government and Agency Obligations (Cost $1,332,861) | 1,361,478 | ||||
| Shares | |||||
| Temporary Cash Investment (1.1%) | |||||
| Money Market Fund (1.1%) | |||||
| 4 | Vanguard Market Liquidity Fund (Cost $14,896) | 0.475% | 14,895,759 | 14,896 | |
| Total Investments (100.2%) (Cost $1,347,757) | 1,376,374 | ||||
| Amount | |||||
| ($000) | |||||
| Other Assets and Liabilities (-0.2%) | |||||
| Other Assets | |||||
| Investment in Vanguard | 110 | ||||
| Receivables for Investment Securities Sold | 32,183 | ||||
| Receivables for Accrued Income | 5,660 | ||||
| Receivables for Capital Shares Issued | 2,145 | ||||
| Total Other Assets | 40,098 | ||||
| Liabilities | |||||
| Payables for Investment Securities Purchased | (40,920) | ||||
| Payables for Capital Shares Redeemed | (760) | ||||
| Payables for Distributions | (82) | ||||
| Payables to Vanguard | (263) | ||||
| Other Liabilities | (685) | ||||
| Total Liabilities | (42,710) | ||||
| Net Assets (100%) | 1,373,762 | ||||
32
Intermediate-Term Government Bond Index Fund
| At February 29, 2016, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 1,344,191 |
| Undistributed Net Investment Income | 658 |
| Accumulated Net Realized Gains | 296 |
| Unrealized Appreciation (Depreciation) | 28,617 |
| Net Assets | 1,373,762 |
| ETF Shares—Net Assets | |
| Applicable to 8,750,877 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 579,455 |
| Net Asset Value Per Share—ETF Shares | $66.22 |
| Admiral Shares—Net Assets | |
| Applicable to 25,050,816 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 559,616 |
| Net Asset Value Per Share—Admiral Shares | $22.34 |
| Institutional Shares—Net Assets | |
| Applicable to 8,466,725 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 234,691 |
| Net Asset Value Per Share—Institutional Shares | $27.72 |
• See Note A in Notes to Financial Statements.
1 U.S. government-guaranteed.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
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 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.
33
Intermediate-Term Government Bond Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 9,689 |
| Total Income | 9,689 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 15 |
| Management and Administrative—ETF Shares | 167 |
| Management and Administrative—Admiral Shares | 147 |
| Management and Administrative—Institutional Shares | 61 |
| Marketing and Distribution—ETF Shares | 14 |
| Marketing and Distribution—Admiral Shares | 24 |
| Marketing and Distribution—Institutional Shares | 3 |
| Custodian Fees | 7 |
| Shareholders’ Reports—ETF Shares | 7 |
| Shareholders’ Reports—Admiral Shares | 2 |
| Shareholders’ Reports—Institutional Shares | — |
| Total Expenses | 447 |
| Net Investment Income | 9,242 |
| Realized Net Gain (Loss) on Investment Securities Sold | 1,552 |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | 23,846 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 34,640 |
| 1 Interest income from an affiliated company of the fund was $11,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
34
Intermediate-Term Government Bond Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 9,242 | 11,158 |
| Realized Net Gain (Loss) | 1,552 | 757 |
| Change in Unrealized Appreciation (Depreciation) | 23,846 | 2,636 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 34,640 | 14,551 |
| Distributions | ||
| Net Investment Income | ||
| ETF Shares | (3,539) | (4,277) |
| Admiral Shares | (3,739) | (4,736) |
| Institutional Shares | (1,871) | (1,815) |
| Realized Capital Gain1 | ||
| ETF Shares | (180) | — |
| Admiral Shares | (178) | — |
| Institutional Shares | (92) | — |
| Total Distributions | (9,599) | (10,828) |
| Capital Share Transactions | ||
| ETF Shares | 209,581 | 195,097 |
| Admiral Shares | 191,273 | 123,954 |
| Institutional Shares | 22,399 | 153,733 |
| Net Increase (Decrease) from Capital Share Transactions | 423,253 | 472,784 |
| Total Increase (Decrease) | 448,294 | 476,507 |
| Net Assets | ||
| Beginning of Period | 925,468 | 448,961 |
| End of Period2 | 1,373,762 | 925,468 |
| 1 Includes fiscal 2016 short-term gain distributions totaling $200,000. Short-term gain distributions are treated as ordinary income dividends for tax purposes. 2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $658,000 and $565,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
35
Intermediate-Term Government Bond Index Fund
Financial Highlights
| ETF Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $64.80 | $64.14 | $62.96 | $66.58 | $64.91 | $63.58 |
| Investment Operations | ||||||
| Net Investment Income | .525 | 1.054 | .920 | .861 | 1.097 | 1.301 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | 1.456 | .649 | 1.292 | (2.940) | 1.791 | 1.949 |
| Total from Investment Operations | 1.981 | 1.703 | 2.212 | (2.079) | 2.888 | 3.250 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.534) | (1.043) | (.843) | (.861) | (1.094) | (1.304) |
| Distributions from Realized Capital Gains | (. 027) | — | (.189) | (. 680) | (.124) | (. 616) |
| Total Distributions | (.561) | (1.043) | (1.032) | (1.541) | (1.218) | (1.920) |
| Net Asset Value, End of Period | $66.22 | $64.80 | $64.14 | $62.96 | $66.58 | $64.91 |
| Total Return | 3.08% | 2.67% | 3.54% | -3.18% | 4.50% | 5.30% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $579 | $360 | $164 | $123 | $133 | $55 |
| Ratio of Total Expenses to | �� | |||||
| Average Net Assets | 0.09% | 0.10% | 0.12% | 0.12% | 0.12% | 0.14% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 1.66% | 1.67% | 1.50% | 1.32% | 1.67% | 2.09% |
| Portfolio Turnover Rate1 | 34% | 35% | 43% | 54% | 51% | 41% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| 1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
36
Intermediate-Term Government Bond Index Fund
Financial Highlights
| Admiral Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $21.86 | $21.64 | $21.27 | $22.50 | $21.94 | $21.49 |
| Investment Operations | ||||||
| Net Investment Income | .178 | .355 | .317 | .292 | .369 | .441 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | .493 | .220 | .432 | (1.000) | .602 | .658 |
| Total from Investment Operations | .671 | .575 | .749 | (.708) | .971 | 1.099 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.182) | (. 355) | (. 315) | (. 292) | (. 369) | (. 441) |
| Distributions from Realized Capital Gains | (. 009) | — | (. 064) | (. 230) | (. 042) | (. 208) |
| Total Distributions | (.191) | (. 355) | (. 379) | (. 522) | (. 411) | (. 649) |
| Net Asset Value, End of Period | $22.34 | $21.86 | $21.64 | $21.27 | $22.50 | $21.94 |
| Total Return1 | 3.09% | 2.67% | 3.55% | -3.21% | 4.47% | 5.31% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $560 | $358 | $232 | $95 | $35 | $8 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.08% | 0.10% | 0.12% | 0.12% | 0.12% | 0.13% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 1.67% | 1.67% | 1.50% | 1.32% | 1.67% | 2.10% |
| Portfolio Turnover Rate2 | 34% | 35% | 43% | 54% | 51% | 41% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class. | ||||||
| 1 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
37
Intermediate-Term Government Bond Index Fund
Financial Highlights
| Institutional Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $27.12 | $26.85 | $26.39 | $27.91 | $27.21 | $26.65 |
| Investment Operations | ||||||
| Net Investment Income | . 222 | .447 | .400 | . 368 | .466 | .557 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | .616 | .271 | .536 | (1.235) | .752 | .819 |
| Total from Investment Operations | .838 | .718 | .936 | (.867) | 1.218 | 1.376 |
| Distributions | ||||||
| Dividends from Net Investment Income | (. 227) | (. 448) | (. 397) | (. 368) | (. 465) | (. 558) |
| Distributions from Realized Capital Gains | (. 011) | — | (. 079) | (. 285) | (. 053) | (. 258) |
| Total Distributions | (. 238) | (. 448) | (. 476) | (. 653) | (. 518) | (. 816) |
| Net Asset Value, End of Period | $27.72 | $27.12 | $26.85 | $26.39 | $27.91 | $27.21 |
| Total Return1 | 3.11% | 2.69% | 3.58% | -3.17% | 4.52% | 5.36% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $235 | $208 | $54 | $59 | $117 | $118 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.06% | 0.07% | 0.09% | 0.09% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 1.69% | 1.70% | 1.53% | 1.35% | 1.70% | 2.14% |
| Portfolio Turnover Rate2 | 34% | 35% | 43% | 54% | 51% | 41% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| 1 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
38
Intermediate-Term Government Bond Index Fund
Notes to Financial Statements
Vanguard Intermediate-Term Government Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: ETF Shares, Admiral Shares, and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
3. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
4. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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 fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, or at any time during the period then ended.
5. Other: 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. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution
39
Intermediate-Term Government Bond Index Fund
expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $110,000, representing 0.01% of the fund’s net assets and 0.04% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 1,361,478 | — |
| Temporary Cash Investments | 14,896 | — | — |
| Total | 14,896 | 1,361,478 | — |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
During the six months ended February 29, 2016, the fund realized $846,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized gains to paid-in capital.
40
Intermediate-Term Government Bond Index Fund
At February 29, 2016, the cost of investment securities for tax purposes was $1,347,757,000. Net unrealized appreciation of investment securities for tax purposes was $28,617,000, consisting entirely of unrealized gains on securities that had risen in value since their purchase.
E. During the six months ended February 29, 2016, the fund purchased $649,971,000 of investment securities and sold $227,805,000 of investment securities, other than temporary cash investments. Purchases and sales include $248,894,000 and $41,779,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2016 | August 31, 2015 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued | 251,799 | 3,850 | 217,599 | 3,351 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (42,218) | (650) | (22,502) | (350) |
| Net Increase (Decrease)—ETF Shares | 209,581 | 3,200 | 195,097 | 3,001 |
| Admiral Shares | ||||
| Issued | 263,784 | 11,964 | 202,742 | 9,279 |
| Issued in Lieu of Cash Distributions | 3,619 | 164 | 4,523 | 207 |
| Redeemed | (76,130) | (3,464) | (83,311) | (3,815) |
| Net Increase (Decrease)—Admiral Shares | 191,273 | 8,664 | 123,954 | 5,671 |
| Institutional Shares | ||||
| Issued | 43,370 | 1,582 | 155,729 | 5,732 |
| Issued in Lieu of Cash Distributions | 1,832 | 67 | 1,703 | 63 |
| Redeemed | (22,803) | (834) | (3,699) | (136) |
| Net Increase (Decrease)—Institutional Shares | 22,399 | 815 | 153,733 | 5,659 |
G. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
41
Long-Term Government Bond Index Fund
Fund Profile
As of February 29, 2016
| Share-Class Characteristics | |||
| ETF | Admiral | Institutional | |
| Shares | Shares | Shares | |
| Ticker Symbol | VGLT | VLGSX | VLGIX |
| Expense Ratio1 | 0.10% | 0.10% | 0.07% |
| 30-Day SEC Yield | 2.37% | 2.34% | 2.41% |
| Financial Attributes | |||
| Barclays | |||
| Long Gov | Barclays | ||
| Float Adj | Aggregate | ||
| Fund | Index | FA Index | |
| Number of Bonds | 70 | 87 | 9,699 |
| Yield to Maturity | |||
| (before expenses) | 2.5% | 2.5% | 2.2% |
| Average Coupon | 3.7% | 3.7% | 3.1% |
| Average Duration | 17.7 years | 17.7 years | 5.6 years |
| Average Effective | |||
| Maturity | 24.9 years | 25.0 years | 7.8 years |
| Short-Term | |||
| Reserves | 0.7% | — | — |
| Sector Diversification (% of portfolio) | |
| Treasury/Agency | 99.8% |
| Other | 0.2 |
| 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. | |
| Volatility Measures | ||
| Barclays | ||
| Long Gov | Barclays | |
| Float Adj | Aggregate | |
| Index | FA Index | |
| R-Squared | 0.99 | 0.86 |
| Beta | 1.04 | 3.43 |
| These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
| Distribution by Effective Maturity | |
| (% of portfolio) | |
| Under 1 Year | 0.2% |
| 5 - 10 Years | 0.4 |
| 10 - 20 Years | 13.4 |
| 20 - 30 Years | 85.7 |
| Over 30 Years | 0.3 |
| Distribution by Credit Quality (% of portfolio) | |
| U.S. Government | 99.8% |
| Aaa | 0.2 |
| Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. For more information about these ratings, see the Glossary entry for Credit Quality. | |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratios were 0.09% for ETF Shares, 0.09% for Admiral Shares, and 0.06% for Institutional Shares.
42
Long-Term Government Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 29, 2016 | |||
| Barclays | |||
| Long Gov | |||
| Float Adj | |||
| ETF Shares Net Asset Value | Index | ||
| Fiscal Year | Total Returns | Total Returns | |
| 2010 | 16.21% | 16.12% | |
| 2011 | 4.63 | 5.11 | |
| 2012 | 19.06 | 18.68 | |
| 2013 | -13.13 | -12.46 | |
| 2014 | 14.65 | 14.15 | |
| 2015 | 4.44 | 5.05 | |
| 2016 | 8.63 | 8.19 | |
| Note: For 2016, performance data reflect the six months ended February 29, 2016. | |||
| Average Annual Total Returns: Periods Ended December 31, 2015 | ||||||
| This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. | ||||||
| Securities and Exchange Commission rules require that we provide this information. | ||||||
| Since Inception | ||||||
| Inception Date | One Year | Five Years | Income | Capital | Total | |
| ETF Shares | 11/19/2009 | |||||
| Market Price | -1.41% | 7.60% | 6.99% | |||
| Net Asset Value | -1.36 | 7.50 | 6.98 | |||
| Admiral Shares | 3/1/2010 | -1.34 | 7.50 | 3.27% | 4.31% | 7.58 |
| Institutional Shares | 7/30/2010 | -1.32 | 7.53 | 3.22 | 3.08 | 6.30 |
See Financial Highlights for dividend and capital gains information.
43
Long-Term Government Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Face | Market | |||
| Maturity | Amount | Value• | ||
| Coupon | Date | ($000) | ($000) | |
| U.S. Government and Agency Obligations (99.4%) | ||||
| U.S. Government Securities (94.8%) | ||||
| United States Treasury Note/Bond | 6.000% | 2/15/26 | 2,741 | 3,806 |
| United States Treasury Note/Bond | 6.750% | 8/15/26 | 5,325 | 7,846 |
| United States Treasury Note/Bond | 6.500% | 11/15/26 | 2,349 | 3,423 |
| United States Treasury Note/Bond | 6.625% | 2/15/27 | 1,373 | 2,028 |
| United States Treasury Note/Bond | 6.375% | 8/15/27 | 1,858 | 2,723 |
| United States Treasury Note/Bond | 6.125% | 11/15/27 | 5,368 | 7,764 |
| United States Treasury Note/Bond | 5.500% | 8/15/28 | 9,553 | 13,314 |
| United States Treasury Note/Bond | 5.250% | 11/15/28 | 6,019 | 8,248 |
| United States Treasury Note/Bond | 5.250% | 2/15/29 | 4,035 | 5,546 |
| United States Treasury Note/Bond | 6.125% | 8/15/29 | 2,625 | 3,911 |
| United States Treasury Note/Bond | 6.250% | 5/15/30 | 5,257 | 8,019 |
| United States Treasury Note/Bond | 5.375% | 2/15/31 | 10,680 | 15,306 |
| United States Treasury Note/Bond | 4.500% | 2/15/36 | 7,025 | 9,666 |
| United States Treasury Note/Bond | 4.750% | 2/15/37 | 2,685 | 3,813 |
| United States Treasury Note/Bond | 5.000% | 5/15/37 | 981 | 1,440 |
| United States Treasury Note/Bond | 4.375% | 2/15/38 | 10,519 | 14,265 |
| United States Treasury Note/Bond | 4.500% | 5/15/38 | 5,716 | 7,885 |
| United States Treasury Note/Bond | 3.500% | 2/15/39 | 15,656 | 18,704 |
| United States Treasury Note/Bond | 4.250% | 5/15/39 | 7,731 | 10,273 |
| United States Treasury Note/Bond | 4.500% | 8/15/39 | 10,715 | 14,735 |
| United States Treasury Note/Bond | 4.375% | 11/15/39 | 16,042 | 21,682 |
| United States Treasury Note/Bond | 4.625% | 2/15/40 | 18,492 | 25,871 |
| United States Treasury Note/Bond | 4.375% | 5/15/40 | 15,213 | 20,573 |
| United States Treasury Note/Bond | 3.875% | 8/15/40 | 9,748 | 12,273 |
| United States Treasury Note/Bond | 4.250% | 11/15/40 | 11,232 | 14,937 |
| United States Treasury Note/Bond | 4.750% | 2/15/41 | 12,703 | 18,137 |
| United States Treasury Note/Bond | 4.375% | 5/15/41 | 7,534 | 10,224 |
| United States Treasury Note/Bond | 3.750% | 8/15/41 | 4,190 | 5,191 |
| United States Treasury Note/Bond | 3.125% | 11/15/41 | 5,930 | 6,630 |
| United States Treasury Note/Bond | 3.125% | 2/15/42 | 6,976 | 7,797 |
| United States Treasury Note/Bond | 3.000% | 5/15/42 | 8,770 | 9,561 |
| United States Treasury Note/Bond | 2.750% | 8/15/42 | 25,025 | 25,936 |
| United States Treasury Note/Bond | 2.750% | 11/15/42 | 29,734 | 30,761 |
| United States Treasury Note/Bond | 3.125% | 2/15/43 | 34,760 | 38,638 |
| United States Treasury Note/Bond | 2.875% | 5/15/43 | 31,525 | 33,353 |
| United States Treasury Note/Bond | 3.625% | 8/15/43 | 25,310 | 30,886 |
| United States Treasury Note/Bond | 3.750% | 11/15/43 | 23,147 | 28,890 |
44
| Long-Term Government Bond Index Fund | ||||
| Face | Market | |||
| Maturity | Amount | Value• | ||
| Coupon | Date | ($000) | ($000) | |
| United States Treasury Note/Bond | 3.625% | 2/15/44 | 45,385 | 55,299 |
| United States Treasury Note/Bond | 3.375% | 5/15/44 | 34,015 | 39,564 |
| United States Treasury Note/Bond | 3.125% | 8/15/44 | 45,120 | 50,020 |
| United States Treasury Note/Bond | 3.000% | 11/15/44 | 28,730 | 31,037 |
| United States Treasury Note/Bond | 2.500% | 2/15/45 | 20,975 | 20,444 |
| United States Treasury Note/Bond | 3.000% | 5/15/45 | 29,245 | 31,571 |
| United States Treasury Note/Bond | 2.875% | 8/15/45 | 33,530 | 35,301 |
| United States Treasury Note/Bond | 3.000% | 11/15/45 | 25,160 | 27,188 |
| United States Treasury Note/Bond | 2.500% | 2/15/46 | 12,600 | 12,297 |
| 806,776 | ||||
| Agency Bonds and Notes (4.6%) | ||||
| 1 AID-Israel | 5.500% | 9/18/33 | 150 | 203 |
| 2 Federal Home Loan Banks | 5.500% | 7/15/36 | 1,660 | 2,293 |
| 3 Federal Home Loan Mortgage Corp. | 6.750% | 9/15/29 | 913 | 1,367 |
| 3 Federal Home Loan Mortgage Corp. | 6.750% | 3/15/31 | 2,490 | 3,747 |
| 3 Federal Home Loan Mortgage Corp. | 6.250% | 7/15/32 | 3,534 | 5,181 |
| 3 Federal National Mortgage Assn. | 6.250% | 5/15/29 | 700 | 1,000 |
| 3 Federal National Mortgage Assn. | 7.125% | 1/15/30 | 730 | 1,122 |
| 3 Federal National Mortgage Assn. | 7.250% | 5/15/30 | 3,780 | 5,887 |
| 3 Federal National Mortgage Assn. | 6.625% | 11/15/30 | 3,850 | 5,741 |
| 3 Federal National Mortgage Assn. | 5.625% | 7/15/37 | 675 | 959 |
| 3 Federal National Mortgage Assn. | 6.210% | 8/6/38 | 300 | 452 |
| 2 Tennessee Valley Authority | 7.125% | 5/1/30 | 650 | 961 |
| 2 Tennessee Valley Authority | 4.700% | 7/15/33 | 100 | 119 |
| 2 Tennessee Valley Authority | 4.650% | 6/15/35 | 575 | 684 |
| 2 Tennessee Valley Authority | 5.880% | 4/1/36 | 2,250 | 3,067 |
| 2 Tennessee Valley Authority | 6.150% | 1/15/38 | 165 | 233 |
| 2 Tennessee Valley Authority | 5.500% | 6/15/38 | 150 | 196 |
| 2 Tennessee Valley Authority | 5.250% | 9/15/39 | 2,572 | 3,340 |
| 2 Tennessee Valley Authority | 3.500% | 12/15/42 | 250 | 247 |
| 2 Tennessee Valley Authority | 4.875% | 1/15/48 | 245 | 291 |
| 2 Tennessee Valley Authority | 5.375% | 4/1/56 | 215 | 278 |
| 2 Tennessee Valley Authority | 4.625% | 9/15/60 | 850 | 968 |
| 2 Tennessee Valley Authority | 4.250% | 9/15/65 | 600 | 629 |
| 38,965 | ||||
| Total U.S. Government and Agency Obligations (Cost $797,872) | 845,741 | |||
| Shares | ||||
| Temporary Cash Investment (1.0%) | ||||
| Money Market Fund (1.0%) | ||||
| 4 Vanguard Market Liquidity Fund (Cost $8,778) | 0.475% | 8,777,828 | 8,778 | |
| Total Investments (100.4%) (Cost $806,650) | 854,519 | |||
45
| Long-Term Government Bond Index Fund | |
| Amount | |
| ($000) | |
| Other Assets and Liabilities (-0.4%) | |
| Other Assets | |
| Investment in Vanguard | 63 |
| Receivables for Investment Securities Sold | 8,613 |
| Receivables for Accrued Income | 4,508 |
| Receivables for Capital Shares Issued | 1,261 |
| Total Other Assets | 14,445 |
| Liabilities | |
| Payables for Investment Securities Purchased | (14,814) |
| Payables for Capital Shares Redeemed | (2,313) |
| Payables for Distributions | (35) |
| Payables to Vanguard | (182) |
| Other Liabilities | (264) |
| Total Liabilities | (17,608) |
| Net Assets (100%) | 851,356 |
| At February 29, 2016, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 813,936 |
| Undistributed Net Investment Income | 999 |
| Accumulated Net Realized Losses | (11,448) |
| Unrealized Appreciation (Depreciation) | 47,869 |
| Net Assets | 851,356 |
| ETF Shares—Net Assets | |
| Applicable to 6,502,307 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 523,572 |
| Net Asset Value Per Share—ETF Shares | $80.52 |
| Admiral Shares—Net Assets | |
| Applicable to 7,869,245 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 212,705 |
| Net Asset Value Per Share—Admiral Shares | $27.03 |
| Institutional Shares—Net Assets | |
| Applicable to 3,354,492 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 115,079 |
| Net Asset Value Per Share—Institutional Shares | $34.31 |
• See Note A in Notes to Financial Statements.
1 U.S. government-guaranteed.
2 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
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 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.
46
Long-Term Government Bond Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 8,839 |
| Total Income | 8,839 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 9 |
| Management and Administrative—ETF Shares | 128 |
| Management and Administrative—Admiral Shares | 55 |
| Management and Administrative—Institutional Shares | 36 |
| Marketing and Distribution—ETF Shares | 12 |
| Marketing and Distribution—Admiral Shares | 9 |
| Marketing and Distribution—Institutional Shares | 2 |
| Custodian Fees | 4 |
| Shareholders’ Reports—ETF Shares | 4 |
| Shareholders’ Reports—Admiral Shares | 1 |
| Shareholders’ Reports—Institutional Shares | — |
| Total Expenses | 260 |
| Net Investment Income | 8,579 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 246 |
| Futures Contracts | 1 |
| Realized Net Gain (Loss) | 247 |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | 45,209 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 54,035 |
| 1 Interest income from an affiliated company of the fund was $5,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
47
Long-Term Government Bond Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 8,579 | 11,946 |
| Realized Net Gain (Loss) | 247 | 1,980 |
| Change in Unrealized Appreciation (Depreciation) | 45,209 | (8,505) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 54,035 | 5,421 |
| Distributions | ||
| Net Investment Income | ||
| ETF Shares | (4,250) | (5,289) |
| Admiral Shares | (2,077) | (2,856) |
| Institutional Shares | (1,869) | (3,453) |
| Realized Capital Gain | ||
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (8,196) | (11,598) |
| Capital Share Transactions | ||
| ETF Shares | 245,548 | 148,580 |
| Admiral Shares | 71,734 | 89,912 |
| Institutional Shares | (47,243) | 57,366 |
| Net Increase (Decrease) from Capital Share Transactions | 270,039 | 295,858 |
| Total Increase (Decrease) | 315,878 | 289,681 |
| Net Assets | ||
| Beginning of Period | 535,478 | 245,797 |
| End of Period1 | 851,356 | 535,478 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $999,000 and $616,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
48
| Long-Term Government Bond Index Fund | ||||||
| Financial Highlights | ||||||
| ETF Shares | �� | |||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $75.13 | $73.93 | $66.33 | $78.69 | $68.07 | $67.61 |
| Investment Operations | ||||||
| Net Investment Income | 1.009 | 2.073 | 2.100 | 2.055 | 2.213 | 2.321 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | 5.408 | 1.206 | 7.429 | (12.216) | 10.611 | .526 |
| Total from Investment Operations | 6.417 | 3.279 | 9.529 | (10.161) | 12.824 | 2.847 |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.027) | (2.079) | (1.929) | (2.056) | (2.204) | (2.324) |
| Distributions from Realized Capital Gains | — | — | — | (.143) | — | (.063) |
| Total Distributions | (1.027) | (2.079) | (1.929) | (2.199) | (2.204) | (2.387) |
| Net Asset Value, End of Period | $80.52 | $75.13 | $73.93 | $66.33 | $78.69 | $68.07 |
| Total Return | 8.63% | 4.44% | 14.65% | -13.13% | 19.06% | 4.63% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $524 | $252 | $107 | $63 | $75 | $34 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.09% | 0.10% | 0.12% | 0.12% | 0.12% | 0.14% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 2.73% | 2.76% | 3.17% | 2.80% | 2.99% | 3.68% |
| Portfolio Turnover Rate1 | 28% | 24% | 23% | 54% | 46% | 40% |
The expense ratio, net income ratio, and turnover rate for the current period have been annualized.
1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares,including ETF Creation Units.
See accompanying Notes, which are an integral part of the Financial Statements.
49
Long-Term Government Bond Index Fund
Financial Highlights
| Admiral Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $25.21 | $24.81 | $22.32 | $26.48 | $22.91 | $22.75 |
| Investment Operations | ||||||
| Net Investment Income | .341 | .698 | .711 | .693 | .746 | .780 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | 1.823 | .399 | 2.491 | (4.112) | 3.567 | .182 |
| Total from Investment Operations | 2.164 | 1.097 | 3.202 | (3.419) | 4.313 | .962 |
| Distributions | ||||||
| Dividends from Net Investment Income | (. 344) | (. 697) | (.712) | (. 693) | (.743) | (.781) |
| Distributions from Realized Capital Gains | — | — | — | (.048) | — | (.021) |
| Total Distributions | (. 344) | (. 697) | (.712) | (.741) | (.743) | (. 802) |
| Net Asset Value, End of Period | $27.03 | $25.21 | $24.81 | $22.32 | $26.48 | $22.91 |
| Total Return1 | 8.66% | 4.40% | 14.63% | -13.13% | 19.05% | 4.66% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $213 | $130 | $44 | $6 | $5 | $1 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.09% | 0.10% | 0.12% | 0.12% | 0.12% | 0.14% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 2.73% | 2.76% | 3.17% | 2.80% | 2.99% | 3.68% |
| Portfolio Turnover Rate2 | 28% | 24% | 23% | 54% | 46% | 40% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class. 1 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
50
Long-Term Government Bond Index Fund
Financial Highlights
| Institutional Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $32.00 | $31.48 | $28.32 | $33.60 | $29.06 | $28.87 |
| Investment Operations | ||||||
| Net Investment Income | . 435 | . 896 | . 910 | . 890 | . 956 | 1.003 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | 2.316 | .517 | 3.161 | (5.219) | 4.537 | .218 |
| Total from Investment Operations | 2.751 | 1.413 | 4.071 | (4.329) | 5.493 | 1.221 |
| Distributions | ||||||
| Dividends from Net Investment Income | (. 441) | (. 893) | (. 911) | (. 890) | (. 953) | (1.004) |
| Distributions from Realized Capital Gains | — | — | — | (.061) | — | (.027) |
| Total Distributions | (. 441) | (. 893) | (. 911) | (. 951) | (. 953) | (1.031) |
| Net Asset Value, End of Period | $34.31 | $32.00 | $31.48 | $28.32 | $33.60 | $29.06 |
| Total Return1 | 8.67% | 4.47% | 14.66% | -13.10% | 19.13% | 4.67% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $115 | $154 | $95 | $37 | $84 | $61 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.06% | 0.07% | 0.09% | 0.09% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 2.76% | 2.79% | 3.20% | 2.83% | 3.02% | 3.73% |
| Portfolio Turnover Rate2 | 28% | 24% | 23% | 54% | 46% | 40% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| 1 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
51
Long-Term Government Bond Index Fund
Notes to Financial Statements
Vanguard Long-Term Government Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: ETF Shares, Admiral Shares, and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 six months ended February 29, 2016, the fund’s average investments in long and short futures contracts represented less than 1% and 0%, respectively, of net assets, based on the average of aggregate settlement values at each quarter-end during the period. The fund had no open futures contracts at February 29, 2016.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
52
Long-Term Government Bond Index Fund
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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 fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, or at any time during the period then ended.
6. Other: 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. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $63,000, representing 0.01% of the fund’s net assets and 0.03% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
53
Long-Term Government Bond Index Fund
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 845,741 | — |
| Temporary Cash Investments | 8,778 | — | — |
| Total | 8,778 | 845,741 | — |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $2,119,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $9,563,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $806,650,000. Net unrealized appreciation of investment securities for tax purposes was $47,869,000, consisting of unrealized gains of $47,873,000 on securities that had risen in value since their purchase and $4,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2016, the fund purchased $379,959,000 of investment securities and sold $108,771,000 of investment securities, other than temporary cash investments. Purchases and sales include $253,738,000 and $19,063,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
54
Long-Term Government Bond Index Fund
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2016 | August 31, 2015 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued | 264,861 | 3,400 | 178,492 | 2,302 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (19,313) | (250) | (29,912) | (400) |
| Net Increase (Decrease)—ETF Shares | 245,548 | 3,150 | 148,580 | 1,902 |
| Admiral Shares | ||||
| Issued | 99,959 | 3,814 | 169,663 | 6,504 |
| Issued in Lieu of Cash Distributions | 1,913 | 74 | 2,686 | 104 |
| Redeemed | (30,138) | (1,169) | (82,437) | (3,228) |
| Net Increase (Decrease)—Admiral Shares | 71,734 | 2,719 | 89,912 | 3,380 |
| Institutional Shares | ||||
| Issued | 9,863 | 304 | 99,644 | 3,032 |
| Issued in Lieu of Cash Distributions | 1,869 | 57 | 3,404 | 104 |
| Redeemed | (58,975) | (1,811) | (45,682) | (1,338) |
| Net Increase (Decrease)—Institutional Shares | (47,243) | (1,450) | 57,366 | 1,798 |
G. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
55
Short-Term Corporate Bond Index Fund
Fund Profile
As of February 29, 2016
| Share-Class Characteristics | |||
| ETF | Admiral Institutional | ||
| Shares | Shares | Shares | |
| Ticker Symbol | VCSH | VSCSX | VSTBX |
| Expense Ratio1 | 0.10% | 0.10% | 0.07% |
| 30-Day SEC Yield | 2.30% | 2.30% | 2.33% |
| Financial Attributes | |||
| Barclays | |||
| 1–5 Year | Barclays | ||
| Corporate | Aggregate | ||
| Fund | Index | FA Index | |
| Number of Bonds | 1,994 | 2,119 | 9,699 |
| Yield to Maturity | |||
| (before expenses) | 2.5% | 2.5% | 2.2% |
| Average Coupon | 3.6% | 3.7% | 3.1% |
| Average Duration | 2.7 years | 2.7 years | 5.6 years |
| Average Effective | |||
| Maturity | 3.0 years | 2.9 years | 7.8 years |
| Short-Term | |||
| Reserves | 1.4% | — | — |
| Sector Diversification (% of portfolio) | |
| Finance | 40.4% |
| Industrial | 54.0 |
| Treasury/Agency | 0.2 |
| Utilities | 5.2 |
| Other | 0.2 |
| 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. | |
| Volatility Measures | ||
| Barclays | ||
| 1–5 Year | Barclays | |
| Corporate | Aggregate | |
| Index | FA Index | |
| R-Squared | 0.99 | 0.74 |
| Beta | 0.99 | 0.44 |
| These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
| Distribution by Effective Maturity | |
| (% of portfolio) | |
| Under 1 Year | 0.4% |
| 1 - 3 Years | 53.8 |
| 3 - 5 Years | 45.5 |
| 5 - 10 Years | 0.3 |
| Distribution by Credit Quality (% of portfolio) | |
| U.S. Government | 0.2% |
| Aaa | 1.6 |
| Aa | 12.0 |
| A | 44.5 |
| Baa | 41.7 |
| Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. For more information about these ratings, see the Glossary entry for Credit Quality. | |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratios were 0.09% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares.
56
Short-Term Corporate Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 29, 2016 | |||
| Barclays | |||
| 1–5 Year | |||
| Corporate | |||
| ETF Shares Net Asset Value | Index | ||
| Fiscal Year | Total Returns | Total Returns | |
| 2010 | 5.34% | 5.61% | |
| 2011 | 2.94 | 3.45 | |
| 2012 | 4.68 | 4.81 | |
| 2013 | 1.03 | 1.29 | |
| 2014 | 3.50 | 3.67 | |
| 2015 | 0.96 | 1.03 | |
| 2016 | 0.72 | 0.66 | |
| Note: For 2016, performance data reflect the six months ended February 29, 2016. | |||
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Since Inception | ||||||
| Inception Date | One Year | Five Years | Income | Capital | Total | |
| ETF Shares | 11/19/2009 | |||||
| Market Price | 1.26% | 2.63% | 3.08% | |||
| Net Asset Value | 1.25 | 2.64 | 3.04 | |||
| Admiral Shares | 11/18/2010 | 1.23 | 2.63 | 2.08% | 0.39% | 2.47 |
| Institutional Shares | 11/19/2009 | 1.26 | 2.67 | 2.15 | 0.93 | 3.08 |
See Financial Highlights for dividend and capital gains information.
57
Short-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2016
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Face | Market | Percentage | |||
| Maturity | Amount | Value• | of Net | ||
| Coupon | Date | ($000) | ($000) | Assets | |
| U.S. Government and Agency Obligations | |||||
| U.S. Government Securities (Cost $16,686) † | 16,644 | 0.1% | |||
| Corporate Bonds | |||||
| Finance | |||||
| Banking | |||||
| American Express Bank FSB | 6.000% | 9/13/17 | 8,380 | 8,913 | 0.1% |
| American Express Centurion | |||||
| Bank | 5.950%–6.000% | 6/12/17–9/13/17 | 5,054 | 5,370 | 0.0% |
| American Express Co. | 1.550%–8.125% | 8/28/17–5/20/19 | 43,161 | 46,045 | 0.3% |
| American Express Credit | |||||
| Corp. | 1.125%–2.600% | 3/24/17–9/14/20 | 95,551 | 95,667 | 0.7% |
| Bank of America Corp. | 6.875% | 4/25/18 | 45,910 | 50,126 | 0.4% |
| Bank of America Corp. | 2.600% | 1/15/19 | 38,257 | 38,440 | 0.3% |
| Bank of America Corp. | 5.650% | 5/1/18 | 28,390 | 30,308 | 0.2% |
| Bank of America Corp. | 5.625% | 7/1/20 | 26,355 | 29,119 | 0.2% |
| Bank of America Corp. | 7.625% | 6/1/19 | 20,850 | 24,049 | 0.2% |
| Bank of America Corp. | 2.000% | 1/11/18 | 23,110 | 23,013 | 0.2% |
| Bank of America Corp. | 1.700%–6.875% | 3/15/17–1/5/21 | 188,030 | 194,708 | 1.4% |
| Bank of America NA | 1.650%–6.100% | 3/15/17–12/7/18 | 36,974 | 37,626 | 0.3% |
| Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 25,550 | 28,001 | 0.2% |
| Bear Stearns Cos. LLC | 4.650%–6.400% | 10/2/17–7/2/18 | 21,720 | 23,170 | 0.2% |
| Citigroup Inc. | 1.700% | 4/27/18 | 25,400 | 25,123 | 0.2% |
| Citigroup Inc. | 1.350%–8.500% | 3/10/17–10/26/20 | 203,095 | 205,153 | 1.5% |
| Credit Suisse | 1.375% | 5/26/17 | 25,080 | 24,893 | 0.2% |
| Credit Suisse | 1.700%–6.000% | 1/29/18–8/5/20 | 85,428 | 87,076 | 0.6% |
| 1 Credit Suisse Group | |||||
| Funding Guernsey Ltd. | 2.750%–3.125% | 3/26/20–12/10/20 | 31,550 | 30,726 | 0.2% |
| Deutsche Bank AG | 6.000% | 9/1/17 | 22,665 | 23,621 | 0.2% |
| Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 33,225 | 35,818 | 0.3% |
| Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 26,917 | 28,678 | 0.2% |
| Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 21,272 | 24,222 | 0.2% |
| Goldman Sachs Group Inc. | 2.375%–6.250% | 9/1/17–2/25/21 | 175,745 | 180,995 | 1.3% |
58
Short-Term Corporate Bond Index Fund
| Face | Market | Percentage | |||
| Maturity | Amount | Value• | of Net | ||
| Coupon | Date | ($000) | ($000) | Assets | |
| JPMorgan Chase & Co. | 6.000% | 1/15/18 | 41,174 | 44,175 | 0.3% |
| JPMorgan Chase & Co. | 2.250% | 1/23/20 | 33,000 | 32,926 | 0.2% |
| JPMorgan Chase & Co. | 2.750% | 6/23/20 | 25,890 | 26,173 | 0.2% |
| JPMorgan Chase & Co. | 4.250% | 10/15/20 | 23,450 | 25,048 | 0.2% |
| JPMorgan Chase & Co. | 1.625%–6.300% | 6/27/17–3/1/21 | 154,359 | 158,575 | 1.2% |
| JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 22,735 | 24,088 | 0.2% |
| JPMorgan Chase Bank NA | 6.000% | 7/5/17 | 3,200 | 3,395 | 0.0% |
| Morgan Stanley | 5.625% | 9/23/19 | 29,237 | 32,091 | 0.2% |
| Morgan Stanley | 2.450% | 2/1/19 | 30,000 | 30,129 | 0.2% |
| Morgan Stanley | 6.625% | 4/1/18 | 26,100 | 28,393 | 0.2% |
| Morgan Stanley | 2.375% | 7/23/19 | 24,150 | 24,102 | 0.2% |
| Morgan Stanley | 7.300% | 5/13/19 | 20,197 | 23,091 | 0.2% |
| Morgan Stanley | 1.875%–6.250% | 3/22/17–1/25/21 | 169,815 | 176,681 | 1.3% |
| Murray Street Investment | |||||
| Trust I | 4.647% | 3/9/17 | 13,198 | 13,563 | 0.1% |
| UBS AG | 1.800% | 3/26/18 | 24,800 | 24,799 | 0.2% |
| UBS AG | 2.375% | 8/14/19 | 24,120 | 24,183 | 0.2% |
| Wachovia Corp. | 5.750% | 2/1/18 | 22,200 | 23,848 | 0.2% |
| Wachovia Corp. | 5.750% | 6/15/17 | 15,900 | 16,753 | 0.1% |
| Wells Fargo & Co. | 2.600% | 7/22/20 | 31,278 | 31,640 | 0.2% |
| Wells Fargo & Co. | 1.150%–5.625% | 5/8/17–1/22/21 | 125,527 | 127,371 | 0.9% |
| Wells Fargo Bank NA | 1.650%–6.000% | 11/15/17–1/22/18 | 17,540 | 18,311 | 0.1% |
| 1 Banking—Other † | 2,214,833 | 16.2% | |||
| Brokerage † | 125,925 | 0.9% | |||
| Finance Companies | |||||
| 1 GE Capital International | |||||
| Funding Co. | 2.342% | 11/15/20 | 61,374 | 61,950 | 0.5% |
| 1 GE Capital International | |||||
| Funding Co. | 0.964% | 4/15/16 | 3,321 | 3,322 | 0.0% |
| HSBC Finance Corp. | 6.676% | 1/15/21 | 22,774 | 25,358 | 0.2% |
| 1 Finance Companies—Other † | 60,915 | 0.4% | |||
| Insurance † | 490,648 | 3.6% | |||
| Other Finance † | 5,691 | 0.0% | |||
| 1 Real Estate Investment Trusts † | 259,842 | 1.9% | |||
| 5,458,679 | 39.9% | ||||
| Industrial | |||||
| Basic Industry † | 385,596 | 2.8% | |||
| Capital Goods | |||||
| General Electric Capital | |||||
| Corp. | 2.100%–6.000% | 9/15/17–2/11/21 | 104,924 | 115,172 | 0.8% |
| General Electric Co. | 5.250% | 12/6/17 | 36,918 | 39,572 | 0.3% |
| Capital Goods—Other † | 610,598 | 4.5% | |||
| Communication | |||||
| AT&T Inc. | 5.500% | 2/1/18 | 22,229 | 23,754 | 0.2% |
| AT&T Inc. | 1.400%–5.800% | 2/15/17–2/17/21 | 102,303 | 104,650 | 0.8% |
| DIRECTV Holdings | |||||
| LLC / DIRECTV Financing | |||||
| Co. Inc. | 1.750%–5.875% | 3/15/17–2/15/21 | 34,574 | 36,169 | 0.2% |
| Verizon Communications Inc. | 4.500% | 9/15/20 | 28,350 | 30,835 | 0.2% |
| Verizon Communications Inc. | 2.625% | 2/21/20 | 26,723 | 27,075 | 0.2% |
| Verizon Communications Inc. | 3.650% | 9/14/18 | 22,470 | 23,557 | 0.2% |
| 1 Communication—Other † | 661,432 | 4.8% | |||
| Consumer Cyclical | |||||
| CVS Health Corp. | 2.800% | 7/20/20 | 26,533 | 27,177 | 0.2% |
59
| Short-Term Corporate Bond Index Fund | ||||||
| Face | Market | Percentage | ||||
| Maturity | Amount | Value• | of Net | |||
| Coupon | Date | ($000) | ($000) | Assets | ||
| Ford Motor Co. | 6.500% | 8/1/18 | 150 | 164 | 0.0% | |
| Ford Motor Credit Co. LLC | 1.461%–8.125% | 3/27/17–2/1/21 | 170,088 | 173,124 | 1.3% | |
| Visa Inc. | 2.200% | 12/14/20 | 24,100 | 24,539 | 0.2% | |
| Consumer Cyclical—Other † | 782,031 | 5.7% | ||||
| Consumer Noncyclical | ||||||
| AbbVie Inc. | 1.750% | 11/6/17 | 29,992 | 29,972 | 0.2% | |
| AbbVie Inc. | 2.500% | 5/14/20 | 28,729 | 28,768 | 0.2% | |
| AbbVie Inc. | 1.800% | 5/14/18 | 25,300 | 25,230 | 0.2% | |
| Actavis Funding SCS | 3.000% | 3/12/20 | 28,000 | 28,452 | 0.2% | |
| Anheuser-Busch Cos. LLC | 5.000%–5.600% | 3/1/17–3/1/19 | 11,909 | 12,777 | 0.1% | |
| Anheuser-Busch InBev | ||||||
| Finance Inc. | 2.650% | 2/1/21 | 58,995 | 59,850 | 0.4% | |
| Anheuser-Busch InBev | ||||||
| Finance Inc. | 1.900% | 2/1/19 | 31,000 | 31,259 | 0.2% | |
| Anheuser-Busch InBev | ||||||
| Finance Inc. | 1.250%–2.150% | 1/17/18–2/1/19 | 24,275 | 24,431 | 0.2% | |
| Anheuser-Busch InBev | ||||||
| Worldwide | ||||||
| Inc. | 1.375%–7.750% | 7/15/17–2/15/21 | 63,857 | 69,911 | 0.5% | |
| Medtronic Inc. | 2.500% | 3/15/20 | 24,963 | 25,595 | 0.2% | |
| Novartis Securities Investment Ltd. 5.125% | 2/10/19 | 24,190 | 26,732 | 0.2% | ||
| Pfizer Inc. | 6.200% | 3/15/19 | 26,217 | 29,594 | 0.2% | |
| 1,2 | Consumer Noncyclical—Other † | 1,581,575 | 11.6% | |||
| 1 | Energy † | 1,146,371 | 8.4% | |||
| Other Industrial † | 3,717 | 0.0% | ||||
| Technology | ||||||
| Apple Inc. | 1.000% | 5/3/18 | 32,123 | 32,041 | 0.2% | |
| Cisco Systems Inc. | 4.450% | 1/15/20 | 22,410 | 24,560 | 0.2% | |
| Intel Corp. | 1.350% | 12/15/17 | 26,033 | 26,157 | 0.2% | |
| International Business Machines | ||||||
| Corp. | 5.700% | 9/14/17 | 22,541 | 24,096 | 0.2% | |
| Microsoft Corp. | 2.000% | 11/3/20 | 25,100 | 25,509 | 0.2% | |
| 1 | Technology—Other † | 818,789 | 6.0% | |||
| 1 | Transportation † | 180,141 | 1.3% | |||
| 7,320,972 | 53.5% | |||||
| Utilities | ||||||
| Electric † | 627,373 | 4.6% | ||||
| Natural Gas † | 63,788 | 0.5% | ||||
| Other Utility † | 6,410 | 0.0% | ||||
| 697,571 | 5.1% | |||||
| Total Corporate Bonds (Cost $13,535,581) | 13,477,222 | 98.5% | ||||
| Taxable Municipal Bonds (Cost $5,373) † | 5,472 | 0.1% | ||||
| Shares | ||||||
| Temporary Cash Investment | ||||||
| Money Market Fund | ||||||
| 3 | Vanguard Market Liquidity Fund | |||||
| (Cost $31,500) | 0.475% | 31,500,097 | 31,500 | 0.2% | ||
| Total Investments (Cost $13,589,140) | 13,530,838 | 98.9% | ||||
60
| Short-Term Corporate Bond Index Fund | ||
| Percentage | ||
| Amount | of Net | |
| ($000) | Assets | |
| Other Assets and Liabilities | ||
| Other Assets | ||
| Investment in Vanguard | 1,213 | |
| Receivables for Investment Securities Sold | 206,715 | |
| Receivables for Accrued Income | 130,577 | |
| Receivables for Capital Shares Issued | 65,217 | |
| Other Assets | 304 | |
| Total Other Assets | 404,026 | 3.0% |
| Liabilities | ||
| Payables for Investment Securities Purchased | (235,617) | |
| Payables for Capital Shares Redeemed | (2,114) | |
| Payables for Distributions | (676) | |
| Payables to Vanguard | (3,763) | |
| Other Liabilities | (13,004) | |
| Total Liabilities | (255,174) | (1.9%) |
| Net Assets | 13,679,690 | 100.0% |
| At February 29, 2016, net assets consisted of: | ||
| Amount | ||
| ($000) | ||
| Paid-in Capital | 13,737,343 | |
| Undistributed Net Investment Income | 19,670 | |
| Accumulated Net Realized Losses | (18,878) | |
| Unrealized Appreciation (Depreciation) | ||
| Investment Securities | (58,302) | |
| Futures Contracts | (143) | |
| Net Assets | 13,679,690 | |
| ETF Shares—Net Assets | ||
| Applicable to 143,008,259 outstanding $.001 par value shares of | ||
| beneficial interest (unlimited authorization) | 11,301,890 | |
| Net Asset Value Per Share—ETF Shares | $79.03 | |
| Admiral Shares—Net Assets | ||
| Applicable to 71,768,948 outstanding $.001 par value shares of | ||
| beneficial interest (unlimited authorization) | 1,542,142 | |
| Net Asset Value Per Share—Admiral Shares | $21.49 | |
61
Short-Term Corporate Bond Index Fund
| Amount | |
| ($000) | |
| Institutional Shares—Net Assets | |
| Applicable to 31,768,990 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 835,658 |
| Net Asset Value Per Share—Institutional Shares | $26.30 |
• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 Certain of the fund’s securities are 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 February 29, 2016, the aggregate value of these securities was $231,581,000, representing 1.7% of net assets.
2 Securities with a value of $2,536,000 have been segregated as initial margin for open futures contracts.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
62
Short-Term Corporate Bond Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 140,731 |
| Total Income | 140,731 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 180 |
| Management and Administrative—ETF Shares | 3,967 |
| Management and Administrative—Admiral Shares | 444 |
| Management and Administrative—Institutional Shares | 208 |
| Marketing and Distribution—ETF Shares | 356 |
| Marketing and Distribution—Admiral Shares | 79 |
| Marketing and Distribution—Institutional Shares | 12 |
| Custodian Fees | 70 |
| Shareholders’ Reports—ETF Shares | 98 |
| Shareholders’ Reports—Admiral Shares | 5 |
| Shareholders’ Reports—Institutional Shares | — |
| Trustees’ Fees and Expenses | 3 |
| Total Expenses | 5,422 |
| Net Investment Income | 135,309 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | (10,728) |
| Futures Contracts | (2,002) |
| Realized Net Gain (Loss) | (12,730) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | (31,194) |
| Futures Contracts | (143) |
| Change in Unrealized Appreciation (Depreciation) | (31,337) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 91,242 |
| 1 Interest income from an affiliated company of the fund was $76,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
63
Short-Term Corporate Bond Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 135,309 | 215,742 |
| Realized Net Gain (Loss) | (12,730) | 12,958 |
| Change in Unrealized Appreciation (Depreciation) | (31,337) | (123,579) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 91,242 | 105,121 |
| Distributions | ||
| Net Investment Income | ||
| ETF Shares | (109,660) | (178,240) |
| Admiral Shares | (14,032) | (19,430) |
| Institutional Shares | (8,362) | (13,670) |
| Realized Capital Gain1 | ||
| ETF Shares | (8,713) | (17,076) |
| Admiral Shares | (1,082) | (1,706) |
| Institutional Shares | (649) | (1,287) |
| Total Distributions | (142,498) | (231,409) |
| Capital Share Transactions | ||
| ETF Shares | 967,113 | 2,052,107 |
| Admiral Shares | 325,555 | 414,035 |
| Institutional Shares | 94,203 | 119,665 |
| Net Increase (Decrease) from Capital Share Transactions | 1,386,871 | 2,585,807 |
| Total Increase (Decrease) | 1,335,615 | 2,459,519 |
| Net Assets | ||
| Beginning of Period | 12,344,075 | 9,884,556 |
| End of Period2 | 13,679,690 | 12,344,075 |
| 1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $614,000 and $4,014,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. 2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $19,670,000 and $16,415,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
64
Short-Term Corporate Bond Index Fund
Financial Highlights
| ETF Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $79.33 | $80.21 | $78.97 | $79.78 | $78.06 | $77.68 |
| Investment Operations | ||||||
| Net Investment Income | .816 | 1.504 | 1.436 | 1.523 | 1.793 | 1.815 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (.248) | (.743) | 1.305 | (.699) | 1.808 | .443 |
| Total from Investment Operations | .568 | .761 | 2.741 | .824 | 3.601 | 2.258 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.805) | (1.492) | (1.321) | (1.517) | (1.789) | (1.813) |
| Distributions from Realized Capital Gains | (. 063) | (.149) | (.180) | (.117) | (. 092) | (. 065) |
| Total Distributions | (.868) | (1.641) | (1.501) | (1.634) | (1.881) | (1.878) |
| Net Asset Value, End of Period | $79.03 | $79.33 | $80.21 | $78.97 | $79.78 | $78.06 |
| Total Return | 0.72% | 0.96% | 3.50% | 1.03% | 4.68% | 2.94% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $11,302 | $10,377 | $8,430 | $6,705 | $3,686 | $1,905 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.09% | 0.10% | 0.12% | 0.12% | 0.12% | 0.14% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 2.08% | 1.90% | 1.82% | 1.92% | 2.33% | 2.39% |
| Portfolio Turnover Rate1 | 58% | 62% | 56% | 61% | 65% | 63% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| 1 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
65
Short-Term Corporate Bond Index Fund
Financial Highlights
| Admiral Shares | ||||||
| Six Months | Nov. 18, | |||||
| Ended | Year Ended August 31, | 20101 to | ||||
| For a Share Outstanding | February 29, | Aug. 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $21.57 | $21.81 | $21.51 | $21.73 | $21.26 | $21.21 |
| Investment Operations | ||||||
| Net Investment Income | . 223 | .409 | . 395 | .414 | .488 | . 387 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (. 065) | (.199) | . 347 | (.189) | . 494 | . 091 |
| Total from Investment Operations | .158 | .210 | .742 | .225 | .982 | .478 |
| Distributions | ||||||
| Dividends from Net Investment Income | (. 221) | (. 410) | (. 393) | (. 413) | (. 487) | (. 410) |
| Distributions from Realized Capital Gains | (. 017) | (. 040) | (. 049) | (. 032) | (. 025) | (. 018) |
| Total Distributions | (. 238) | (. 450) | (. 442) | (. 445) | (. 512) | (. 428) |
| Net Asset Value, End of Period | $21.49 | $21.57 | $21.81 | $21.51 | $21.73 | $21.26 |
| Total Return2 | 0.73% | 0.97% | 3.47% | 1.03% | 4.69% | 2.28% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $1,542 | $1,222 | $821 | $76 | $25 | $3 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.08% | 0.10% | 0.12% | 0.12% | 0.12% | 0.14%3 |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 2.09% | 1.90% | 1.82% | 1.92% | 2.33% | 2.39%3 |
| Portfolio Turnover Rate 4 | 58% | 62% | 56% | 61% | 65% | 63% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class. | ||||||
| 1 Inception. 2 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. 3 Annualized. 4 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
66
Short-Term Corporate Bond Index Fund
Financial Highlights
| Institutional Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $26.41 | $26.71 | $26.33 | $26.60 | $26.03 | $25.90 |
| Investment Operations | ||||||
| Net Investment Income | . 275 | . 509 | . 491 | . 516 | . 605 | . 619 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | (. 090) | (. 249) | . 437 | (. 233) | . 599 | .151 |
| Total from Investment Operations | .185 | .260 | .928 | .283 | 1.204 | .770 |
| Distributions | ||||||
| Dividends from Net Investment Income | (. 274) | (. 510) | (. 488) | (. 514) | (. 603) | (. 618) |
| Distributions from Realized Capital Gains | (. 021) | (. 050) | (. 060) | (. 039) | (. 031) | (. 022) |
| Total Distributions | (. 295) | (. 560) | (. 548) | (. 553) | (. 634) | (. 640) |
| Net Asset Value, End of Period | $26.30 | $26.41 | $26.71 | $26.33 | $26.60 | $26.03 |
| Total Return1 | 0.70% | 0.98% | 3.55% | 1.06% | 4.70% | 3.01% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $836 | $745 | $634 | $262 | $161 | $125 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.06% | 0.07% | 0.09% | 0.09% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 2.11% | 1.93% | 1.85% | 1.95% | 2.36% | 2.44% |
| Portfolio Turnover Rate2 | 58% | 62% | 56% | 61% | 65% | 63% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| 1 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
67
Short-Term Corporate Bond Index Fund
Notes to Financial Statements
Vanguard Short-Term Corporate Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers three classes of shares: ETF Shares, Admiral Shares, and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 six months ended February 29, 2016, the fund’s average investments in long and short futures contracts each represented less than 1% of net assets, based on the average of aggregate settlement values at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
68
Short-Term Corporate Bond Index Fund
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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 fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, or at any time during the period then ended.
6. Other: 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. Security transactions are accounted for on the date securities are bought or sold. Costs used to determine realized gains (losses) on the sale of investment securities are those of the specific securities sold.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $1,213,000, representing 0.01% of the fund’s net assets and 0.49% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
69
Short-Term Corporate Bond Index Fund
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 16,644 | — |
| Corporate Bonds | — | 13,477,222 | — |
| Taxable Municipal Bonds | — | 5,472 | — |
| Temporary Cash Investments | 31,500 | — | — |
| Futures Contracts—Assets1 | 303 | — | — |
| Futures Contracts—Liabilities1 | (569) | — | — |
| Total | 31,234 | 13,499,338 | — |
| 1 Represents variation margin on the last day of the reporting period. |
D. At February 29, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| 2-Year U.S. Treasury Note | July 2016 | 445 | 97,253 | (134) |
| 5-Year U.S. Treasury Note | July 2016 | (320) | (38,715) | (9) |
| (143) |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes. The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year.
During the six months ended February 29, 2016, the fund realized $457,000 of net capital losses resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such losses are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
At February 29, 2016, the cost of investment securities for tax purposes was $13,589,576,000. Net unrealized depreciation of investment securities for tax purposes was $58,738,000, consisting of unrealized gains of $52,422,000 on securities that had risen in value since their purchase and $111,160,000 in unrealized losses on securities that had fallen in value since their purchase.
70
Short-Term Corporate Bond Index Fund
F. During the six months ended February 29, 2016, the fund purchased $3,433,184,000 of investment securities and sold $2,015,399,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $1,827,293,000 and $1,813,491,000, respectively. Total purchases and sales include $1,022,444,000 and $101,088,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2016 | August 31, 2015 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued | 1,070,031 | 13,504 | 2,442,985 | 30,603 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (102,918) | (1,300) | (390,878) | (4,900) |
| Net Increase (Decrease)—ETF Shares | 967,113 | 12,204 | 2,052,107 | 25,703 |
| Admiral Shares | ||||
| Issued | 593,105 | 27,514 | 875,488 | 40,286 |
| Issued in Lieu of Cash Distributions | 12,675 | 588 | 18,577 | 856 |
| Redeemed | (280,225) | (12,996) | (480,030) | (22,095) |
| Net Increase (Decrease) —Admiral Shares | 325,555 | 15,106 | 414,035 | 19,047 |
| Institutional Shares | ||||
| Issued | 122,322 | 4,627 | 203,197 | 7,633 |
| Issued in Lieu of Cash Distributions | 7,355 | 279 | 12,940 | 487 |
| Redeemed | (35,474) | (1,344) | (96,472) | (3,637) |
| Net Increase (Decrease)—Institutional Shares | 94,203 | 3,562 | 119,665 | 4,483 |
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
71
Intermediate-Term Corporate Bond Index Fund
Fund Profile
As of February 29, 2016
| Share-Class Characteristics | |||
| ETF | Admiral | Institutional | |
| Shares | Shares | Shares | |
| Ticker Symbol | VCIT | VICSX | VICBX |
| Expense Ratio1 | 0.10% | 0.10% | 0.07% |
| 30-Day SEC Yield | 3.58% | 3.58% | 3.61% |
| Financial Attributes | |||
| Barclays | |||
| 5–10 Year | Barclays | ||
| Corporate | Aggregate | ||
| Fund | Index | FA Index | |
| Number of Bonds | 1,706 | 1,798 | 9,699 |
| Yield to Maturity | |||
| (before expenses) | 3.6% | 3.6% | 2.2% |
| Average Coupon | 3.8% | 3.8% | 3.1% |
| Average Duration | 6.5 years | 6.4 years | 5.6 years |
| Average Effective | |||
| Maturity | 7.5 years | 7.4 years | 7.8 years |
| Short-Term | |||
| Reserves | 1.5% | — | — |
| Sector Diversification (% of portfolio) | |
| Finance | 30.9% |
| Industrial | 63.5 |
| Treasury/Agency | 0.1 |
| Utilities | 5.4 |
| Other | 0.1 |
| 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. | |
| Volatility Measures | ||
| Barclays | ||
| 5–10 Year | Barclays | |
| Corporate | Aggregate | |
| Index | FA Index | |
| R-Squared | 0.99 | 0.90 |
| Beta | 1.01 | 1.39 |
| These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
| Distribution by Effective Maturity | |
| (% of portfolio) | |
| Under 1 Year | 0.2% |
| 1 - 3 Years | 0.1 |
| 3 - 5 Years | 1.4 |
| 5 - 10 Years | 98.1 |
| 10 - 20 Years | 0.2 |
| Distribution by Credit Quality (% of portfolio) | |
| U.S. Government | 0.1% |
| Aaa | 1.6 |
| Aa | 6.9 |
| A | 38.6 |
| Baa | 52.8 |
| Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. For more information about these ratings, see the Glossary entry for Credit Quality. | |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratios were 0.09% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares.
Intermediate-Term Corporate Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 29, 2016 | |||
| Barclays | |||
| 5–10 Year | |||
| Corporate | |||
| ETF Shares Net Asset Value | Index | ||
| Fiscal Year | Total Returns | Total Returns | |
| 2010 | 11.30% | 11.41% | |
| 2011 | 5.65 | 6.19 | |
| 2012 | 10.43 | 10.07 | |
| 2013 | -1.64 | -1.27 | |
| 2014 | 9.60 | 9.51 | |
| 2015 | 0.32 | 0.39 | |
| 2016 | 2.24 | 2.14 | |
| Note: For 2016, performance data reflect the six months ended February 29, 2016. | |||
| Average Annual Total Returns: Periods Ended December 31, 2015 | ||||||
| This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. | ||||||
| Securities and Exchange Commission rules require that we provide this information. | ||||||
| Since Inception | ||||||
| Inception Date | One Year | Five Years | Income | Capital | Total | |
| ETF Shares | 11/19/2009 | |||||
| Market Price | 0.92% | 5.12% | 5.88% | |||
| Net Asset Value | 0.88 | 5.06 | 5.82 | |||
| Admiral Shares | 3/2/2010 | 0.93 | 5.07 | 3.65% | 2.07% | 5.72 |
| Fee-Adjusted Returns | 0.67 | 5.02 | 5.68 | |||
| Institutional Shares | 11/19/2009 | 0.91 | 5.09 | 3.72 | 2.15 | 5.87 |
| Fee-Adjusted Returns | 0.65 | 5.04 | 5.82 | |||
Vanguard fund returns are adjusted to reflect the 0.25% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The Fiscal-Year Total Returns table is not adjusted for fees.
See Financial Highlights for dividend and capital gains information.
73
Intermediate-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2016
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Face | Market | Percentage | |||
| Maturity | Amount | Value• | of Net | ||
| Coupon | Date | ($000) | ($000) | Assets | |
| U.S. Government and Agency Obligations | |||||
| U.S. Government Securities | |||||
| United States Treasury Note/Bond 1.500% | 2/28/23 | 25,950 | 25,917 | 0.3% | |
| U.S. Government Securities—Other † | 4,586 | 0.1% | |||
| Total U.S. Government and Agency Obligations (Cost $30,498) | 30,503 | 0.4% | |||
| Corporate Bonds | |||||
| Finance | |||||
| Banking | |||||
| Bank of America Corp. | 3.300% | 1/11/23 | 23,471 | 23,459 | 0.3% |
| Bank of America Corp. | 4.000% | 4/1/24 | 17,375 | 17,959 | 0.2% |
| Bank of America Corp. | 3.875% | 8/1/25 | 16,246 | 16,641 | 0.2% |
| Bank of America Corp. | 4.125% | 1/22/24 | 15,292 | 15,915 | 0.2% |
| Bank of America Corp. | 4.200% | 8/26/24 | 15,862 | 15,853 | 0.2% |
| Bank of America Corp. | 3.950%–5.700% | 5/13/21–3/3/26 | 70,327 | 72,680 | 0.9% |
| Citigroup Inc. | 4.400% | 6/10/25 | 15,600 | 15,519 | 0.2% |
| Citigroup Inc. | 3.300%–5.500% | 1/14/22–1/12/26 | 82,569 | 84,508 | 1.1% |
| Cooperatieve Rabobank UA | 3.875% | 2/8/22 | 16,834 | 17,764 | 0.2% |
| Credit Suisse | 3.000% | 10/29/21 | 16,100 | 16,141 | 0.2% |
| Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 26,810 | 30,453 | 0.4% |
| Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 21,634 | 23,963 | 0.3% |
| Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 19,654 | 20,281 | 0.3% |
| Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 19,005 | 18,792 | 0.2% |
| Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 16,285 | 16,570 | 0.2% |
| Goldman Sachs Group Inc. | 3.750%–4.250% | 7/8/24–2/25/26 | 39,254 | 39,609 | 0.5% |
| JPMorgan Chase & Co. | 4.500% | 1/24/22 | 18,249 | 19,778 | 0.2% |
| JPMorgan Chase & Co. | 3.875% | 9/10/24 | 18,998 | 18,980 | 0.2% |
| JPMorgan Chase & Co. | 3.125% | 1/23/25 | 19,000 | 18,878 | 0.2% |
| JPMorgan Chase & Co. | 3.250% | 9/23/22 | 18,180 | 18,448 | 0.2% |
| JPMorgan Chase & Co. | 3.200% | 1/25/23 | 16,812 | 17,032 | 0.2% |
| JPMorgan Chase & Co. | 4.350% | 8/15/21 | 14,621 | 15,851 | 0.2% |
| JPMorgan Chase & Co. | 2.550%–4.625% | 3/1/21–7/15/25 | 68,609 | 71,279 | 0.9% |
| Morgan Stanley | 4.000% | 7/23/25 | 21,430 | 22,076 | 0.3% |
74
Intermediate-Term Corporate Bond Index Fund
| Face | Market | Percentage | ||||
| Maturity | Amount | Value• | of Net | |||
| Coupon | Date | ($000) | ($000) | Assets | ||
| Morgan Stanley | 3.875% | 4/29/24 | 20,924 | 21,494 | 0.3% | |
| Morgan Stanley | 3.700% | 10/23/24 | 18,568 | 18,762 | 0.2% | |
| Morgan Stanley | 5.500% | 7/28/21 | 13,891 | 15,544 | 0.2% | |
| Morgan Stanley | 3.750%–5.750% | 1/25/21–1/27/26 | 62,942 | 64,856 | 0.8% | |
| Wachovia Corp. | 6.605% | 10/1/25 | 475 | 567 | 0.0% | |
| Wells Fargo & Co. | 3.550% | 9/29/25 | 15,050 | 15,584 | 0.2% | |
| Wells Fargo & Co. | 2.500%–4.600% | 1/22/21–2/19/25 | 91,587 | 94,652 | 1.2% | |
| 1 | Banking—Other † | 655,259 | 8.1% | |||
| Brokerage † | 114,029 | 1.4% | ||||
| 1,2 | Finance Companies † | 28,754 | 0.4% | |||
| Insurance | ||||||
| Berkshire Hathaway | ||||||
| Finance Corp. | 3.000% | 5/15/22 | 4,549 | 4,698 | 0.1% | |
| Berkshire Hathaway Inc. | 3.000%–3.750% | 8/15/21–2/11/23 | 9,001 | 9,458 | 0.1% | |
| Insurance—Other † | 358,124 | 4.4% | ||||
| Other Finance † | 951 | 0.0% | ||||
| 1 | Real Estate Investment Trusts † | 404,256 | 5.0% | |||
| 2,455,417 | 30.4% | |||||
| Industrial | ||||||
| Basic Industry † | 350,468 | 4.3% | ||||
| Capital Goods | ||||||
| General Electric Co. | 2.700% | 10/9/22 | 17,600 | 18,164 | 0.2% | |
| Precision Castparts Corp. | 2.500%–3.250% | 1/15/23–6/15/25 | 10,381 | 10,395 | 0.1% | |
| 1 | Capital Goods—Other † | 375,091 | 4.7% | |||
| Communication | ||||||
| AT&T Inc. | 4.125% | 2/17/26 | 21,000 | 21,670 | 0.3% | |
| AT&T Inc. | 3.000% | 6/30/22 | 17,900 | 17,812 | 0.2% | |
| AT&T Inc. | 3.400% | 5/15/25 | 17,755 | 17,440 | 0.2% | |
| AT&T Inc. | 2.625%–4.450% | 5/15/21–2/17/23 | 42,483 | 43,365 | 0.6% | |
| 1 | CCO Safari II LLC | 4.908% | 7/23/25 | 24,450 | 24,965 | 0.3% |
| 1 | CCO Safari II LLC | 4.464% | 7/23/22 | 16,975 | 17,246 | 0.2% |
| DIRECTV | ||||||
| Holdings LLC / | ||||||
| DIRECTV Financing | ||||||
| Co. Inc. | 3.800%–5.000% | 2/15/21–1/15/25 | 40,317 | 42,112 | 0.5% | |
| GTE Corp. | 8.750% | 11/1/21 | 1,175 | 1,488 | 0.0% | |
| Verizon Communications | ||||||
| Inc. | 5.150% | 9/15/23 | 46,292 | 52,298 | 0.7% | |
| Verizon Communications | ||||||
| Inc. | 3.500% | 11/1/21 | 15,468 | 16,158 | 0.2% | |
| Verizon Communications | ||||||
| Inc. | 2.450%–4.600% | 3/15/21–11/1/24 | 55,583 | 57,133 | 0.7% | |
| Communication—Other † | 404,737 | 5.0% | ||||
| Consumer Cyclical | ||||||
| CVS Health Corp. | 3.875% | 7/20/25 | 16,426 | 17,513 | 0.2% | |
| Visa Inc. | 3.150% | 12/14/25 | 23,925 | 24,827 | 0.3% | |
| 1 | Consumer Cyclical—Other † | 599,222 | 7.4% | |||
| Consumer Noncyclical | ||||||
| AbbVie Inc. | 3.600% | 5/14/25 | 24,130 | 24,568 | 0.3% | |
| AbbVie Inc. | 2.900% | 11/6/22 | 19,705 | 19,568 | 0.3% | |
| Actavis Funding SCS | 3.800% | 3/15/25 | 21,026 | 21,647 | 0.3% | |
| Actavis Funding SCS | 3.450% | 3/15/22 | 16,564 | 16,873 | 0.2% | |
| Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 51,985 | 53,608 | 0.7% | |
| Anheuser-Busch InBev Finance Inc. | 3.300% | 2/1/23 | 39,675 | 40,766 | 0.5% | |
75
Intermediate-Term Corporate Bond Index Fund
| Face | Market | Percentage | |||
| Maturity | Amount | Value• | of Net | ||
| Coupon | Date | ($000) | ($000) | Assets | |
| Anheuser-Busch InBev | |||||
| Finance Inc. | 2.625%–3.700% | 1/17/23–2/1/24 | 22,817 | 23,340 | 0.3% |
| Anheuser-Busch InBev | |||||
| Worldwide Inc. | 2.500% | 7/15/22 | 19,402 | 19,226 | 0.2% |
| Medtronic Inc. | 3.500% | 3/15/25 | 25,070 | 26,302 | 0.3% |
| Reynolds American Inc. | 4.450% | 6/12/25 | 15,535 | 16,876 | 0.2% |
| 1 Consumer Noncyclical—Other † | 1,027,671 | 12.7% | |||
| 1 Energy † | 768,603 | 9.5% | |||
| Other Industrial † | 21,477 | 0.3% | |||
| Technology | |||||
| Apple Inc. | 2.400% | 5/3/23 | 32,762 | 32,467 | 0.4% |
| Apple Inc. | 3.450% | 5/6/24 | 17,045 | 18,005 | 0.2% |
| Apple Inc. | 2.150%–3.250% | 5/6/21–2/23/26 | 75,190 | 76,534 | 1.0% |
| Intel Corp. | 3.700% | 7/29/25 | 14,816 | 16,003 | 0.2% |
| Microsoft Corp. | 3.125% | 11/3/25 | 20,200 | 21,175 | 0.3% |
| Microsoft Corp. | 2.700% | 2/12/25 | 15,525 | 15,799 | 0.2% |
| Oracle Corp. | 2.500% | 10/15/22 | 19,855 | 19,921 | 0.2% |
| 1 Technology—Other † | 478,077 | 5.9% | |||
| Transportation | |||||
| 3 BNSF Funding Trust I | 6.613% | 12/15/55 | 1,890 | 2,055 | 0.0% |
| Burlington Northern Santa Fe | |||||
| LLC | 3.000%–7.000% | 6/1/21–12/15/25 | 35,593 | 37,306 | 0.5% |
| 1 Transportation—Other † | 134,490 | 1.7% | |||
| 5,044,461 | 62.5% | ||||
| Utilities | |||||
| Electric | |||||
| Berkshire Hathaway Energy | |||||
| Co. | 3.500%–3.750% | 11/15/23–2/1/25 | 7,300 | 7,622 | 0.1% |
| MidAmerican Energy Co. | 3.500% | 10/15/24 | 4,698 | 5,016 | 0.1% |
| PacifiCorp | 2.950%–3.850% | 6/15/21–7/1/25 | 10,473 | 11,070 | 0.1% |
| Sierra Pacific Power Co. | 3.375% | 8/15/23 | 750 | 783 | 0.0% |
| 1 Electric—Other † | 372,674 | 4.6% | |||
| Natural Gas † | 26,465 | 0.3% | |||
| Other Utility † | 4,431 | 0.1% | |||
| 428,061 | 5.3% | ||||
| Total Corporate Bonds (Cost $7,943,684) | 7,927,939 | 98.2% | |||
| Taxable Municipal Bonds (Cost $2,317) † | 2,364 | 0.0% | |||
| Shares | |||||
| Temporary Cash Investment | |||||
| Money Market Fund | |||||
| 4 Vanguard Market Liquidity Fund | |||||
| (Cost $18,709) | 0.475% | 18,709,377 | 18,709 | 0.2% | |
| Total Investments (Cost $7,995,208) | 7,979,515 | 98.8% | |||
76
Intermediate-Term Corporate Bond Index Fund
| Percentage | ||
| Amount | of Net | |
| ($000) | Assets | |
| Other Assets and Liabilities | ||
| Other Assets | ||
| Investment in Vanguard | 668 | |
| Receivables for Investment Securities Sold | 236,781 | |
| Receivables for Accrued Income | 81,849 | |
| Receivables for Capital Shares Issued | 53,037 | |
| Other Assets | 173 | |
| Total Other Assets | 372,508 | 4.6% |
| Liabilities | ||
| Payables for Investment Securities Purchased | (266,957) | |
| Payables for Capital Shares Redeemed | (540) | |
| Payables for Distributions | (646) | |
| Payables to Vanguard | (1,984) | |
| Other Liabilities | (5,842) | |
| Total Liabilities | (275,969) | (3.4%) |
| Net Assets | 8,076,054 | 100.0% |
| At February 29, 2016, net assets consisted of: | ||
| Amount | ||
| ($000) | ||
| Paid-in Capital | 8,126,798 | |
| Undistributed Net Investment Income | 19,494 | |
| Accumulated Net Realized Losses | (54,671) | |
| Unrealized Appreciation (Depreciation) | ||
| Investment Securities | (15,693) | |
| Futures Contracts | 126 | |
| Net Assets | 8,076,054 | |
| ETF Shares—Net Assets | ||
| Applicable to 85,208,737 outstanding $.001 par value shares of | ||
| beneficial interest (unlimited authorization) | 7,228,889 | |
| Net Asset Value Per Share—ETF Shares | $84.84 | |
| Admiral Shares—Net Assets | ||
| Applicable to 21,642,311 outstanding $.001 par value shares of | ||
| beneficial interest (unlimited authorization) | 494,026 | |
| Net Asset Value Per Share—Admiral Shares | $22.83 | |
77
Intermediate-Term Corporate Bond Index Fund
| Amount | |
| ($000) | |
| Institutional Shares—Net Assets | |
| Applicable to 12,519,274 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 353,139 |
| Net Asset Value Per Share—Institutional Shares | $28.21 |
• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
1 Certain of the fund’s securities are 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 February 29, 2016, the aggregate value of these securities was $165,830,000, representing 2.1% of net assets.
2 Securities with a value of $1,359,000 have been segregated as initial margin for open futures contracts.
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 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.
78
Intermediate-Term Corporate Bond Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 121,543 |
| Total Income | 121,543 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 97 |
| Management and Administrative—ETF Shares | 2,232 |
| Management and Administrative—Admiral Shares | 152 |
| Management and Administrative—Institutional Shares | 90 |
| Marketing and Distribution—ETF Shares | 225 |
| Marketing and Distribution—Admiral Shares | 27 |
| Marketing and Distribution—Institutional Shares | 5 |
| Custodian Fees | 48 |
| Shareholders’ Reports—ETF Shares | 76 |
| Shareholders’ Reports—Admiral Shares | 2 |
| Shareholders’ Reports—Institutional Shares | — |
| Trustees’ Fees and Expenses | 2 |
| Total Expenses | 2,956 |
| Net Investment Income | 118,587 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | (39,321) |
| Futures Contracts | (1,343) |
| Realized Net Gain (Loss) | (40,664) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 71,897 |
| Futures Contracts | 127 |
| Change in Unrealized Appreciation (Depreciation) | 72,024 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 149,947 |
| 1 Interest income from an affiliated company of the fund was $51,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
79
Intermediate-Term Corporate Bond Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 118,587 | 179,856 |
| Realized Net Gain (Loss) | (40,664) | 10,536 |
| Change in Unrealized Appreciation (Depreciation) | 72,024 | (187,849) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 149,947 | 2,543 |
| Distributions | ||
| Net Investment Income | ||
| ETF Shares | (100,656) | (153,363) |
| Admiral Shares | (7,920) | (11,087) |
| Institutional Shares | (5,832) | (10,537) |
| Realized Capital Gain | ||
| ETF Shares | — | (6,812) |
| Admiral Shares | — | (446) |
| Institutional Shares | — | (461) |
| Total Distributions | (114,408) | (182,706) |
| Capital Share Transactions | ||
| ETF Shares | 1,803,978 | 1,541,965 |
| Admiral Shares | 69,412 | 195,685 |
| Institutional Shares | 12,867 | 41,479 |
| Net Increase (Decrease) from Capital Share Transactions | 1,886,257 | 1,779,129 |
| Total Increase (Decrease) | 1,921,796 | 1,598,966 |
| Net Assets | ||
| Beginning of Period | 6,154,258 | 4,555,292 |
| End of Period1 | 8,076,054 | 6,154,258 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $19,494,000 and $15,315,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
80
Intermediate-Term Corporate Bond Index Fund
Financial Highlights
| ETF Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $84.39 | $86.98 | $82.31 | $86.78 | $81.49 | $80.67 |
| Investment Operations | ||||||
| Net Investment Income | 1.413 | 2.767 | 2.724 | 2.715 | 2.966 | 3.249 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments1 | .460 | (2.473) | 5.024 | (4.042) | 5.350 | 1.162 |
| Total from Investment Operations | 1.873 | .294 | 7.748 | (1.327) | 8.316 | 4.411 |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.423) | (2.754) | (2.496) | (2.713) | (2.963) | (3.248) |
| Distributions from Realized Capital Gains | — | (.130) | (. 582) | (. 430) | (. 063) | (. 343) |
| Total Distributions | (1.423) | (2.884) | (3.078) | (3.143) | (3.026) | (3.591) |
| Net Asset Value, End of Period | $84.84 | $84.39 | $86.98 | $82.31 | $86.78 | $81.49 |
| Total Return | 2.24% | 0.32% | 9.60% | -1.64% | 10.43% | 5.65% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $7,229 | $5,393 | $4,010 | $3,161 | $2,751 | $725 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.09% | 0.10% | 0.12% | 0.12% | 0.12% | 0.14% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 3.44% | 3.25% | 3.25% | 3.16% | 3.62% | 4.15% |
| Portfolio Turnover Rate 2 | 74% | 56% | 65% | 73% | 69% | 80% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| 1 Includes increases from purchase fees of $.00, $.02, $.02, $.00, $.03, and $.06. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
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Intermediate-Term Corporate Bond Index Fund
Financial Highlights
| Admiral Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $22.71 | $23.40 | $22.20 | $23.40 | $21.98 | $21.76 |
| Investment Operations | ||||||
| Net Investment Income | .382 | .745 | .736 | .732 | .800 | .876 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments1 | .123 | (.654) | 1.355 | (1.085) | 1.437 | .312 |
| Total from Investment Operations | .505 | .091 | 2.091 | (.353) | 2.237 | 1.188 |
| Distributions | ||||||
| Dividends from Net Investment Income | (. 385) | (.746) | (.734) | (.731) | (. 800) | (. 875) |
| Distributions from Realized Capital Gains | — | (. 035) | (.157) | (.116) | (. 017) | (. 093) |
| Total Distributions | (. 385) | (.781) | (. 891) | (. 847) | (. 817) | (. 968) |
| Net Asset Value, End of Period | $22.83 | $22.71 | $23.40 | $22.20 | $23.40 | $21.98 |
| Total Return2 | 2.24% | 0.37% | 9.60% | -1.62% | 10.41% | 5.65% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $494 | $423 | $239 | $55 | $51 | $7 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.08% | 0.10% | 0.12% | 0.12% | 0.12% | 0.14% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 3.45% | 3.25% | 3.25% | 3.16% | 3.62% | 4.15% |
| Portfolio Turnover Rate 3 | 74% | 56% | 65% | 73% | 69% | 80% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class. | ||||||
| 1 Includes increases from purchase fees of $.00, $.00, $.01, $.00, $.01, and $.02. 2 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
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Intermediate-Term Corporate Bond Index Fund
Financial Highlights
| Institutional Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $28.06 | $28.92 | $27.44 | $28.93 | $27.17 | $26.90 |
| Investment Operations | ||||||
| Net Investment Income | .475 | .931 | .919 | .913 | .999 | 1.098 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments1 | .153 | (.816) | 1.671 | (1.347) | 1.780 | .383 |
| Total from Investment Operations | .628 | .115 | 2.590 | (.434) | 2.779 | 1.481 |
| Distributions | ||||||
| Dividends from Net Investment Income | (. 478) | (. 932) | (. 916) | (. 913) | (. 998) | (1.097) |
| Distributions from Realized Capital Gains | — | (. 043) | (.194) | (.143) | (. 021) | (.114) |
| Total Distributions | (.478) | (.975) | (1.110) | (1.056) | (1.019) | (1.211) |
| Net Asset Value, End of Period | $28.21 | $28.06 | $28.92 | $27.44 | $28.93 | $27.17 |
| Total Return2 | 2.25% | 0.37% | 9.62% | -1.61% | 10.46% | 5.70% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $353 | $338 | $307 | $164 | $185 | $82 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.06% | 0.07% | 0.09% | 0.09% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 3.47% | 3.28% | 3.28% | 3.19% | 3.65% | 4.20% |
| Portfolio Turnover Rate 3 | 74% | 56% | 65% | 73% | 69% | 80% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| 1 Includes increases from purchase fees of $.00, $.01, $.01, $.00, $.01, and $.02. 2 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
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Intermediate-Term Corporate Bond Index Fund
Notes to Financial Statements
Vanguard Intermediate-Term Corporate Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers three classes of shares: ETF Shares, Admiral Shares, and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates.
The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 six months ended February 29, 2016, the fund’s average investments in long and short futures contracts each represented less than 1% of net assets, based on the average of aggregate settlement values at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
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Intermediate-Term Corporate Bond Index Fund
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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, any, under the credit facility. Borrowings may be utilized for temporary and emergency purposes, are subject to the fund’s regulatory and contractual borrowing restrictions. The participating funds charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, or at any time during the period then ended.
6. Other: 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. 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 Fees assessed on capital share transactions are credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the 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 fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $668,000, representing 0.01% of the fund’s net assets and 0.27% of Vanguard’s capitalization. fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
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Intermediate-Term Corporate Bond Index Fund
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 30,503 | — |
| Corporate Bonds | — | 7,927,939 | — |
| Taxable Municipal Bonds | — | 2,364 | — |
| Temporary Cash Investments | 18,709 | — | — |
| Futures Contracts—Assets1 | 173 | — | — |
| Futures Contracts—Liabilities1 | (247) | — | — |
| Total | 18,635 | 7,960,806 | — |
| 1 Represents variation margin on the last day of the reporting period. |
D. At February 29, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| 5-Year U.S. Treasury Note | July 2016 | 810 | 97,997 | 43 |
| 10-Year U.S. Treasury Note | June 2016 | (329) | (42,940) | 83 |
| 126 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $5,376,000 of net capital gains resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such gains are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $7,066,000 that may be carried forward indefinitely to offset future net capital gains. The fund will use these capital losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
86
Intermediate-Term Corporate Bond Index Fund
At February 29, 2016, the cost of investment securities for tax purposes was $7,996,646,000. Net unrealized depreciation of investment securities for tax purposes was $17,131,000, consisting of unrealized gains of $111,335,000 on securities that had risen in value since their purchase and $128,466,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $3,241,053,000 of investment securities and sold $1,423,461,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $1,322,874,000 and $1,293,341,000, respectively. Total purchases and sales include $1,535,110,000 and $169,892,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
| G. Capital share transactions for each class of shares were: | ||||
| Six Months Ended | Year Ended | |||
| February 29, 2016 | August 31, 2015 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued1 | 1,982,229 | 23,403 | 2,179,326 | 25,206 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (178,251) | (2,100) | (637,361) | (7,400) |
| Net Increase (Decrease)—ETF Shares | 1,803,978 | 21,303 | 1,541,965 | 17,806 |
| Admiral Shares | ||||
| Issued1 | 147,618 | 6,472 | 301,432 | 12,952 |
| Issued in Lieu of Cash Distributions | 6,917 | 303 | 10,270 | 442 |
| Redeemed | (85,123) | (3,740) | (116,017) | (4,991) |
| Net Increase (Decrease)—Admiral Shares | 69,412 | 3,035 | 195,685 | 8,403 |
| Institutional Shares | ||||
| Issued1 | 13,056 | 463 | 185,789 | 6,461 |
| Issued in Lieu of Cash Distributions | 3,181 | 113 | 8,213 | 286 |
| Redeemed | (3,370) | (119) | (152,523) | (5,289) |
| Net Increase (Decrease) —Institutional Shares | 12,867 | 457 | 41,479 | 1,458 |
| 1 Includes purchase fees for fiscal 2016 and 2015 of $412,000 and $1,119,000, respectively (fund totals). | ||||
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
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Long-Term Corporate Bond Index Fund
Fund Profile
As of February 29, 2016
| Share-Class Characteristics | |||
| ETF | Admiral | Institutional | |
| Shares | Shares | Shares | |
| Ticker Symbol | VCLT | VLTCX | VLCIX |
| Expense Ratio1 | 0.10% | 0.10% | 0.07% |
| 30-Day SEC Yield | 4.90% | 4.90% | 4.93% |
| Financial Attributes | |||
| Barclays | |||
| 10+ Year | Barclays | ||
| Corporate | Aggregate | ||
| Fund | Index | FA Index | |
| Number of Bonds | 1,663 | 1,771 | 9,699 |
| Yield to Maturity | |||
| (before expenses) | 4.9% | 4.9% | 2.2% |
| Average Coupon | 5.4% | 5.4% | 3.1% |
| Average Duration | 13.5 years | 13.6 years | 5.6 years |
| Average Effective | |||
| Maturity | 23.7 years | 23.7 years | 7.8 years |
| Short-Term | |||
| Reserves | 1.5% | — | — |
| Sector Diversification (% of portfolio) | |
| Finance | 18.3% |
| Industrial | 68.5 |
| Utilities | 12.9 |
| Other | 0.3 |
| 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. | |
| Volatility Measures | ||
| Barclays | ||
| 10+ Year | Barclays | |
| Corporate | Aggregate | |
| Index | FA Index | |
| R-Squared | 0.98 | 0.84 |
| Beta | 1.01 | 2.50 |
| These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
| Distribution by Effective Maturity | |
| (% of portfolio) | |
| Under 1 Year | 0.3% |
| 5 - 10 Years | 1.9 |
| 10 - 20 Years | 24.5 |
| 20 - 30 Years | 69.3 |
| Over 30 Years | 4.0 |
| Distribution by Credit Quality (% of portfolio) | |
| Aaa | 2.9% |
| Aa | 6.7 |
| A | 43.6 |
| Baa | 46.8 |
| Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. For more information about these ratings, see the Glossary entry for Credit Quality. | |
Investment Focus
1 The expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratios were 0.08% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares.
88
Long-Term Corporate Bond Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 29, 2016 | |||
| Barclays | |||
| 10+ Year | |||
| Corporate | |||
| ETF Shares Net Asset Value | Index | ||
| Fiscal Year | Total Returns | Total Returns | |
| 2010 | 14.54% | 14.46% | |
| 2011 | 4.19 | 5.18 | |
| 2012 | 19.40 | 18.33 | |
| 2013 | -6.55 | -6.09 | |
| 2014 | 17.35 | 16.80 | |
| 2015 | -3.64 | -3.48 | |
| 2016 | 1.61 | 1.36 | |
| Note: For 2016, performance data reflect the six months ended February 29, 2016. | |||
Average Annual Total Returns: Periods Ended December 31, 2015
This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period.
Securities and Exchange Commission rules require that we provide this information.
| Since Inception | ||||||
| Inception Date | One Year | Five Years | Income | Capital | Total | |
| ETF Shares | 11/19/2009 | |||||
| Market Price | -4.77% | 6.45% | 7.02% | |||
| Net Asset Value | -4.63 | 6.39 | 6.93 | |||
| Admiral Shares | 1/19/2010 | -4.62 | 6.39 | 5.00% | 1.96% | 6.96 |
| Fee-Adjusted Returns | -5.57 | 6.18 | 6.78 | |||
| Institutional Shares | 11/19/2009 | -4.63 | 6.42 | 5.00 | 1.97 | 6.97 |
| Fee-Adjusted Returns | -5.58 | 6.21 | 6.80 | |||
Vanguard fund returns are adjusted to reflect the 1.00% fee on purchases of fund shares. The fee does not apply to the ETF Shares. The Fiscal-Year Total Returns table is not adjusted for fees.
See Financial Highlights for dividend and capital gains information.
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Long-Term Corporate Bond Index Fund
Financial Statements (unaudited)
Statement of Net Assets—Investments Summary
As of February 29, 2016
This Statement summarizes the fund’s holdings by asset type. Details are reported for each of the fund’s 50 largest individual holdings and for investments that, in total for any issuer, represent more than 1% of the fund’s net assets. The total value of smaller holdings is reported as a single amount within each category.
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the complete listing of the fund’s holdings is available electronically on vanguard.com and on the Securities and Exchange Commission’s website (sec.gov), or you can have it mailed to you without charge by calling 800-662-7447. For the first and third fiscal quarters, the fund files the lists with the SEC on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Face | Market | Percentage | ||||
| Maturity | Amount | Value• | of Net | |||
| Coupon | Date | ($000) | ($000) | Assets | ||
| U.S. Government and Agency Obligations | ||||||
| U.S. Government Securities | ||||||
| United States Treasury Note/Bond | 1.625% | 2/15/26 | 5,490 | 5,433 | 0.4% | |
| United States Treasury Note/Bond | 3.000% | 11/15/45 | 2,614 | 2,825 | 0.2% | |
| Total U.S. Government and Agency Obligations (Cost $8,248) | 8,258 | 0.6% | ||||
| Corporate Bonds | ||||||
| Finance | ||||||
| Banking | ||||||
| Bank of America Corp. | 4.250%–7.750% | 9/15/26–4/21/45 | 12,393 | 13,524 | 1.0% | |
| Bank of America NA | 6.000% | 10/15/36 | 975 | 1,153 | 0.1% | |
| Bank One Capital III | 8.750% | 9/1/30 | 220 | 322 | 0.0% | |
| Bank One Corp. | 7.625%–8.000% | 10/15/26–4/29/27 | 1,045 | 1,338 | 0.1% | |
| Citigroup Inc. | 8.125% | 7/15/39 | 2,197 | 3,130 | 0.2% | |
| Citigroup Inc. | 4.300%–6.675% | 6/10/25–7/30/45 | 12,234 | 12,986 | 1.0% | |
| Goldman Sachs Capital I | 6.345% | 2/15/34 | 1,930 | 2,172 | 0.2% | |
| Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 4,692 | 5,325 | 0.4% | |
| Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 3,080 | 3,680 | 0.3% | |
| Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 2,924 | 3,419 | 0.3% | |
| Goldman Sachs Group Inc. | 4.750%–6.450% | 1/15/27–10/21/45 | 7,450 | 7,645 | 0.6% | |
| HSBC Holdings plc | 6.500% | 9/15/37 | 2,760 | 3,051 | 0.2% | |
| JPMorgan Chase & Co. | 6.400% | 5/15/38 | 2,870 | 3,589 | 0.3% | |
| JPMorgan Chase & Co. | 4.125%–5.625% | 12/15/26–6/1/45 | 10,937 | 11,969 | 0.9% | |
| Morgan Stanley | 6.375% | 7/24/42 | 2,461 | 3,055 | 0.2% | |
| Morgan Stanley | 4.300% | 1/27/45 | 3,025 | 2,868 | 0.2% | |
| Wachovia Bank NA | 5.850% | 2/1/37 | 1,350 | 1,627 | 0.1% | |
| Wachovia Corp. | 5.500%–7.574% | 8/1/26–10/15/35 | 1,709 | 2,109 | 0.2% | |
| Wells Fargo & Co. | 3.900%–5.606% | 6/3/26–11/17/45 | 14,684 | 15,075 | 1.1% | |
| Wells Fargo Bank NA | 5.950%–6.600% | 8/26/36–1/15/38 | 2,450 | 3,130 | 0.2% | |
| 1 | Wells Fargo Capital X | 5.950% | 12/1/86 | 920 | 917 | 0.1% |
| 2 | Banking—Other † | 29,587 | 2.2% | |||
| Brokerage † | 3,461 | 0.3% | ||||
| Finance Companies | ||||||
| 2 | GE Capital International Funding Co. | 4.418% | 11/15/35 | 11,161 | 11,624 | 0.9% |
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Long-Term Corporate Bond Index Fund
| Face | Market | Percentage | |||
| Maturity | Amount | Value• | of Net | ||
| Coupon | Date | ($000) | ($000) | Assets | |
| Finance Companies—Other † | 430 | 0.0% | |||
| Insurance | |||||
| Berkshire Hathaway Finance | |||||
| Corp. | 4.300%–5.750% | 1/15/40–5/15/43 | 2,070 | 2,182 | 0.1% |
| Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 855 | 855 | 0.1% |
| Insurance—Other † | 80,062 | 6.0% | |||
| Real Estate Investment Trusts † | 8,058 | 0.6% | |||
| 238,343 | 17.9% | ||||
| Industrial | |||||
| Basic Industry | |||||
| Lubrizol Corp. | 6.500% | 10/1/34 | 315 | 408 | 0.0% |
| Basic Industry—Other † | 56,619 | 4.3% | |||
| Capital Goods | |||||
| General Electric Capital | |||||
| Corp. | 6.750% | 3/15/32 | 2,868 | 3,824 | 0.3% |
| General Electric Capital | |||||
| Corp. | 5.875% | 1/14/38 | 2,907 | 3,643 | 0.3% |
| General Electric Capital | |||||
| Corp. | 6.150%–6.875% | 8/7/37–1/10/39 | 2,884 | 3,917 | 0.3% |
| General Electric Co. | 4.125%–4.500% | 10/9/42–3/11/44 | 4,705 | 4,888 | 0.4% |
| Precision Castparts Corp. | 3.900%–4.375% | 6/15/35–6/15/45 | 1,125 | 1,172 | 0.1% |
| United Technologies Corp. | 4.500% | 6/1/42 | 3,430 | 3,538 | 0.2% |
| Capital Goods—Other † | 52,596 | 3.9% | |||
| Communication | |||||
| Alltel Corp. | 7.875% | 7/1/32 | 600 | 746 | 0.1% |
| Ameritech Capital Funding Corp. | 6.550% | 1/15/28 | 385 | 452 | 0.0% |
| AT&T Corp. | 8.250% | 11/15/31 | 880 | 1,218 | 0.1% |
| AT&T Inc. | 4.750% | 5/15/46 | 3,555 | 3,243 | 0.2% |
| AT&T Inc. | 4.350% | 6/15/45 | 3,349 | 2,853 | 0.2% |
| AT&T Inc. | 4.500% | 5/15/35 | 2,950 | 2,715 | 0.2% |
| AT&T Inc. | 4.300%–6.550% | 9/15/34–2/15/47 | 14,748 | 14,799 | 1.1% |
| AT&T Mobility LLC | 7.125% | 12/15/31 | 422 | 527 | 0.0% |
| Bellsouth Capital Funding | |||||
| Corp. | 7.120%–7.875% | 2/15/30–7/15/97 | 798 | 924 | 0.1% |
| BellSouth LLC | 6.000%–6.875% | 10/15/31–11/15/34 | 1,118 | 1,197 | 0.1% |
| BellSouth | |||||
| Telecommunications LLC | 6.375% | 6/1/28 | 372 | 422 | 0.0% |
| British Telecommunications plc | 9.625% | 12/15/30 | 2,627 | 3,752 | 0.3% |
| 2 CCO Safari II LLC | 6.484% | 10/23/45 | 3,430 | 3,605 | 0.3% |
| Comcast Corp. | 3.150%–7.050% | 3/1/26–8/15/45 | 18,405 | 20,849 | 1.6% |
| Deutsche Telekom | |||||
| International Finance BV | 8.750% | 6/15/30 | 3,664 | 5,140 | 0.4% |
| DIRECTV Holdings LLC / | |||||
| DIRECTV Financing Co. | |||||
| Inc. | 5.150%–6.375% | 3/15/40–3/15/42 | 4,605 | 4,641 | 0.3% |
| GTE Corp. | 6.940% | 4/15/28 | 810 | 958 | 0.1% |
| NBCUniversal Media LLC | 4.450%–6.400% | 4/30/40–1/15/43 | 3,285 | 3,845 | 0.3% |
| New Cingular Wireless | |||||
| Services Inc. | 8.750% | 3/1/31 | 970 | 1,384 | 0.1% |
| Orange SA | 9.000% | 3/1/31 | 2,445 | 3,428 | 0.3% |
| Pacific Bell Telephone Co. | 7.125% | 3/15/26 | 605 | 735 | 0.1% |
| TCI Communications Inc. | 7.125% | 2/15/28 | 395 | 521 | 0.0% |
| Verizon Communications Inc. | 6.550% | 9/15/43 | 4,800 | 5,821 | 0.4% |
| Verizon Communications Inc. | 5.012% | 8/21/54 | 5,869 | 5,458 | 0.4% |
| Verizon Communications Inc. | 4.672% | 3/15/55 | 6,100 | 5,337 | 0.4% |
| Verizon Communications Inc. | 4.522% | 9/15/48 | 5,228 | 4,791 | 0.4% |
91
Long-Term Corporate Bond Index Fund
| Face | Market | Percentage | ||||
| Maturity | Amount | Value• | of Net | |||
| Coupon | Date | ($000) | ($000) | Assets | ||
| Verizon Communications | ||||||
| Inc. | 4.862% | 8/21/46 | 4,703 | 4,596 | 0.3% | |
| Verizon Communications | ||||||
| Inc. | 4.272% | 1/15/36 | 2,990 | 2,761 | 0.2% | |
| Verizon Communications | ||||||
| Inc. | 3.850%–7.750% | 12/1/30–11/1/42 | 15,027 | 16,052 | 1.2% | |
| Verizon Florida LLC | 6.860% | 2/1/28 | 45 | 42 | 0.0% | |
| Verizon Maryland LLC | 5.125% | 6/15/33 | 240 | 235 | 0.0% | |
| Verizon New England Inc. | 7.875% | 11/15/29 | 800 | 995 | 0.1% | |
| Verizon New York Inc. | 7.375% | 4/1/32 | 687 | 771 | 0.1% | |
| 2 | Communication—Other † | 74,465 | 5.6% | |||
| Consumer Cyclical | ||||||
| CVS Health Corp. | 5.125% | 7/20/45 | 3,300 | 3,693 | 0.3% | |
| CVS Health Corp. | 4.875% | 7/20/35 | 3,325 | 3,566 | 0.3% | |
| Home Depot Inc. | 5.875% | 12/16/36 | 2,280 | 2,850 | 0.2% | |
| Visa Inc. | 4.300% | 12/14/45 | 3,325 | 3,553 | 0.3% | |
| Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 3,025 | 3,967 | 0.3% | |
| Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 2,540 | 2,998 | 0.2% | |
| Wal-Mart Stores Inc. | 4.000%–7.550% | 4/5/27–4/22/44 | 11,987 | 14,061 | 1.0% | |
| Consumer Cyclical—Other † | 63,358 | 4.8% | ||||
| Consumer Noncyclical | ||||||
| AbbVie Inc. | 4.500% | 5/14/35 | 3,100 | 3,089 | 0.2% | |
| AbbVie Inc. | 4.700% | 5/14/45 | 2,842 | 2,838 | 0.2% | |
| Actavis Funding SCS | 4.550% | 3/15/35 | 3,087 | 3,100 | 0.2% | |
| Actavis Funding SCS | 4.750% | 3/15/45 | 2,825 | 2,885 | 0.2% | |
| Anheuser-Busch Cos. LLC | 5.750%–6.800% | 8/20/32–5/1/42 | 1,815 | 2,228 | 0.2% | |
| Anheuser-Busch InBev | ||||||
| Finance Inc. | 4.900% | 2/1/46 | 11,505 | 12,360 | 0.9% | |
| Anheuser-Busch InBev | ||||||
| Finance Inc. | 4.700% | 2/1/36 | 5,780 | 6,025 | 0.5% | |
| Anheuser-Busch InBev | ||||||
| Finance Inc. | 4.000%–4.625% | 1/17/43–2/1/44 | 1,615 | 1,587 | 0.1% | |
| Anheuser-Busch InBev | ||||||
| Worldwide Inc. | 3.750%–8.200% | 1/15/39–7/15/42 | 2,855 | 3,891 | 0.3% | |
| Gilead Sciences Inc. | 3.650% | 3/1/26 | 3,950 | 4,122 | 0.3% | |
| GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 2,760 | 3,547 | 0.3% | |
| Medtronic Inc. | 4.625% | 3/15/45 | 4,280 | 4,555 | 0.3% | |
| Pfizer Inc. | 7.200% | 3/15/39 | 2,580 | 3,583 | 0.3% | |
| Reynolds American Inc. | 5.850% | 8/15/45 | 2,794 | 3,275 | 0.3% | |
| 2,3 | Consumer Noncyclical—Other † | 163,638 | 12.3% | |||
| Energy | ||||||
| Shell International Finance BV | 6.375% | 12/15/38 | 2,720 | 3,137 | 0.2% | |
| Shell International Finance BV | 4.375% | 5/11/45 | 2,987 | 2,773 | 0.2% | |
| 2 | Energy—Other † | 113,746 | 8.6% | |||
| Other Industrial † | 7,027 | 0.5% | ||||
| Technology | ||||||
| Apple Inc. | 4.650% | 2/23/46 | 4,500 | 4,726 | 0.4% | |
| Apple Inc. | 3.850% | 5/4/43 | 3,500 | 3,271 | 0.2% | |
| Intel Corp. | 4.900% | 7/29/45 | 2,550 | 2,760 | 0.2% | |
| Microsoft Corp. | 3.500%–5.300% | 2/12/35–11/3/55 | 15,060 | 15,307 | 1.2% | |
| 2 | Technology—Other † | 39,810 | 3.0% | |||
| Transportation | ||||||
| Burlington Northern Santa Fe | ||||||
| LLC | 4.150%–7.950% | 8/15/30–9/1/45 | 9,055 | 9,836 | 0.7% | |
| 2 | Transportation—Other † | 39,269 | 3.0% | |||
| 890,314 | 67.0% |
92
Long-Term Corporate Bond Index Fund
| Face | Market | Percentage | |||
| Maturity | Amount | Value• | of Net | ||
| Coupon | Date | ($000) | ($000) | Assets | |
| Utilities | |||||
| Electric | |||||
| Berkshire Hathaway Energy | |||||
| Co. | 4.500%–8.480% | 9/15/28–2/1/45 | 4,299 | 5,075 | 0.4% |
| Duke Energy Carolinas LLC | 3.750%–6.450% | 12/1/28–6/1/45 | 4,740 | 5,570 | 0.4% |
| Duke Energy Corp. | 4.800% | 12/15/45 | 650 | 676 | 0.1% |
| Duke Energy Florida LLC | 3.850%–6.400% | 9/15/37–11/15/42 | 1,855 | 2,310 | 0.2% |
| Duke Energy Indiana LLC | 4.200%–6.450% | 10/15/35–7/15/43 | 1,808 | 2,210 | 0.2% |
| Duke Energy Progress LLC | 4.100%–6.300% | 4/1/38–8/15/45 | 3,420 | 3,624 | 0.3% |
| MidAmerican Energy Co. | 4.250%–6.750% | 12/30/31–5/1/46 | 2,165 | 2,600 | 0.2% |
| MidAmerican Funding LLC | 6.927% | 3/1/29 | 200 | 261 | 0.0% |
| Nevada Power Co. | 5.375%–6.750% | 4/1/36–5/15/41 | 1,796 | 2,293 | 0.2% |
| Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 2,945 | 3,637 | 0.3% |
| PacifiCorp | 4.100%–7.700% | 11/15/31–2/1/42 | 3,570 | 4,583 | 0.3% |
| Progress Energy Inc. | 6.000%–7.750% | 3/1/31–12/1/39 | 890 | 1,152 | 0.1% |
| Sierra Pacific Power Co. | 6.750% | 7/1/37 | 285 | 380 | 0.0% |
| 2 Electric—Other † | 121,668 | 9.1% | |||
| Natural Gas † | 10,998 | 0.8% | |||
| Other Utility † | 3,000 | 0.2% | |||
| 170,037 | 12.8% | ||||
| Total Corporate Bonds (Cost $1,361,618) | 1,298,694 | 97.7% | |||
| Taxable Municipal Bonds (Cost $3,258) † | 3,388 | 0.3% | |||
| Shares | |||||
| Temporary Cash Investment | |||||
| Money Market Fund | |||||
| 4 Vanguard Market Liquidity Fund | |||||
| (Cost $7,411) | 0.475% | 7,410,611 | 7,411 | 0.6% | |
| Total Investments (Cost $1,380,535) | 1,317,751 | 99.2% | |||
| Amount | |||||
| ($000) | |||||
| Other Assets and Liabilities | |||||
| Other Assets | |||||
| Investment in Vanguard | 126 | ||||
| Receivables for Investment Securities Sold | 38,101 | ||||
| Receivables for Accrued Income | 19,100 | ||||
| Receivables for Capital Shares Issued | 106 | ||||
| Other Assets | 10 | ||||
| Total Other Assets | 57,443 | 4.3% | |||
| Liabilities | |||||
| Payables for Investment Securities Purchased | (44,866) | ||||
| Payables for Capital Shares Redeemed | (41) | ||||
| Payables for Distributions | (60) | ||||
| Payables to Vanguard | (505) | ||||
| Other Liabilities | (558) | ||||
| Total Liabilities | (46,030) | (3.5%) | |||
| Net Assets | 1,329,164 | 100.0% | |||
93
Long-Term Corporate Bond Index Fund
| At February 29, 2016, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 1,423,199 |
| Undistributed Net Investment Income | 3,829 |
| Accumulated Net Realized Losses | (35,082) |
| Unrealized Appreciation (Depreciation) | |
| Investment Securities | (62,784) |
| Futures Contracts | 2 |
| Net Assets | 1,329,164 |
| ETF Shares—Net Assets | |
| Applicable to 11,201,675 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 948,163 |
| Net Asset Value Per Share—ETF Shares | $84.64 |
| Admiral Shares—Net Assets | |
| Applicable to 3,306,722 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 74,858 |
| Net Asset Value Per Share—Admiral Shares | $22.64 |
| Institutional Shares—Net Assets | |
| Applicable to 10,894,021 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 306,143 |
| Net Asset Value Per Share—Institutional Shares | $28.10 |
• See Note A in Notes to Financial Statements.
† Represents the aggregate value, by category, of securities that are not among the 50 largest holdings and, in total for any issuer, represent 1% or less of net assets.
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 Certain of the fund’s securities are 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 February 29, 2016, the aggregate value of these securities was $28,976,000, representing 2.2% of net assets.
3 Securities with a value of $252,000 have been segregated as initial margin for open futures contracts.
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.
See accompanying Notes, which are an integral part of the Financial Statements.
94
Long-Term Corporate Bond Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 33,177 |
| Total Income | 33,177 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 19 |
| Management and Administrative—ETF Shares | 349 |
| Management and Administrative—Admiral Shares | 24 |
| Management and Administrative—Institutional Shares | 76 |
| Marketing and Distribution—ETF Shares | 44 |
| Marketing and Distribution—Admiral Shares | 3 |
| Marketing and Distribution—Institutional Shares | 4 |
| Custodian Fees | 17 |
| Shareholders’ Reports—ETF Shares | 10 |
| Shareholders’ Reports—Admiral Shares | — |
| Shareholders’ Reports—Institutional Shares | — |
| Total Expenses | 546 |
| Net Investment Income | 32,631 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | (22,654) |
| Futures Contracts | (272) |
| Realized Net Gain (Loss) | (22,926) |
| Change in Unrealized Appreciation (Depreciation) | |
| Investment Securities | 10,863 |
| Futures Contracts | 2 |
| Change in Unrealized Appreciation (Depreciation) | 10,865 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 20,570 |
| 1 Interest income from an affiliated company of the fund was $8,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
95
Long-Term Corporate Bond Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 32,631 | 61,873 |
| Realized Net Gain (Loss) | (22,926) | 373 |
| Change in Unrealized Appreciation (Depreciation) | 10,865 | (126,994) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 20,570 | (64,748) |
| Distributions | ||
| Net Investment Income | ||
| ETF Shares | (23,884) | (45,939) |
| Admiral Shares | (1,661) | (2,507) |
| Institutional Shares | (7,026) | (12,835) |
| Realized Capital Gain | ||
| ETF Shares | — | — |
| Admiral Shares | — | — |
| Institutional Shares | — | — |
| Total Distributions | (32,571) | (61,281) |
| Capital Share Transactions | ||
| ETF Shares | (14,377) | 190,279 |
| Admiral Shares | 8,908 | 28,156 |
| Institutional Shares | 12,080 | 70,617 |
| Net Increase (Decrease) from Capital Share Transactions | 6,611 | 289,052 |
| Total Increase (Decrease) | (5,390) | 163,023 |
| Net Assets | ||
| Beginning of Period | 1,334,554 | 1,171,531 |
| End of Period1 | 1,329,164 | 1,334,554 |
| 1 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $3,829,000 and $3,769,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
96
Long-Term Corporate Bond Index Fund
Financial Highlights
| ETF Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $85.25 | $92.38 | $82.11 | $92.15 | $80.80 | $81.96 |
| Investment Operations | ||||||
| Net Investment Income | 1.979 | 3.910 | 3.964 | 4.018 | 3.980 | 4.091 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments1 | (.620) | (7.127) | 9.937 | (9.816) | 11.351 | (.917) |
| Total from Investment Operations | 1.359 | (3.217) | 13.901 | (5.798) | 15.331 | 3.174 |
| Distributions | ||||||
| Dividends from Net Investment Income | (1.969) | (3.913) | (3.631) | (4.018) | (3.981) | (4.095) |
| Distributions from Realized Capital Gains | — | — | — | (.224) | — | (.239) |
| Total Distributions | (1.969) | (3.913) | (3.631) | (4.242) | (3.981) | (4.334) |
| Net Asset Value, End of Period | $84.64 | $85.25 | $92.38 | $82.11 | $92.15 | $80.80 |
| Total Return | 1.61% | -3.64% | 17.35% | -6.55% | 19.40% | 4.19% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $948 | $972 | $878 | $624 | $1,032 | $275 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.08% | 0.10% | 0.12% | 0.12% | 0.12% | 0.14% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 4.70% | 4.37% | 4.63% | 4.47% | 4.73% | 5.36% |
| Portfolio Turnover Rate2 | 59% | 64% | 54% | 57% | 71% | 110% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| 1 Includes increases from purchase fees of $.00, $.11, $.05, $.07, $.02, and $.07. 2 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
97
Long-Term Corporate Bond Index Fund
Financial Highlights
| Admiral Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $22.80 | $24.71 | $22.04 | $24.74 | $21.69 | $22.00 |
| Investment Operations | ||||||
| Net Investment Income | .533 | 1.048 | 1.066 | 1.078 | 1.068 | 1.100 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments1 | (.160) | (1.911) | 2.669 | (2.640) | 3.051 | (.246) |
| Total from Investment Operations | .373 | (.863) | 3.735 | (1.562) | 4.119 | .854 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.533) | (1.047) | (1.065) | (1.078) | (1.069) | (1.100) |
| Distributions from Realized Capital Gains | — | — | — | (.060) | — | (.064) |
| Total Distributions | (.533) | (1.047) | (1.065) | (1.138) | (1.069) | (1.164) |
| Net Asset Value, End of Period | $22.64 | $22.80 | $24.71 | $22.04 | $24.74 | $21.69 |
| Total Return2 | 1.64% | -3.66% | 17.37% | -6.57% | 19.43% | 4.21% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $75 | $67 | $44 | $18 | $15 | $9 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.08% | 0.10% | 0.12% | 0.12% | 0.12% | 0.14% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 4.70% | 4.37% | 4.63% | 4.47% | 4.73% | 5.36% |
| Portfolio Turnover Rate 3 | 59% | 64% | 54% | 57% | 71% | 110% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class. | ||||||
| 1 Includes increases from purchase fees of $.00, $.02, $.01, $.01, $.01, and $.04. 2 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
98
Long-Term Corporate Bond Index Fund
Financial Highlights
| Institutional Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $28.31 | $30.68 | $27.37 | $30.71 | $26.93 | $27.32 |
| Investment Operations | ||||||
| Net Investment Income | .664 | 1.310 | 1.331 | 1.347 | 1.337 | 1.377 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments1 | (.211) | (2.370) | 3.308 | (3.265) | 3.780 | (.308) |
| Total from Investment Operations | .453 | (1.060) | 4.639 | (1.918) | 5.117 | 1.069 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.663) | (1.310) | (1.329) | (1.347) | (1.337) | (1.379) |
| Distributions from Realized Capital Gains | — | — | — | (.075) | — | (.080) |
| Total Distributions | (.663) | (1.310) | (1.329) | (1.422) | (1.337) | (1.459) |
| Net Asset Value, End of Period | $28.10 | $28.31 | $30.68 | $27.37 | $30.71 | $26.93 |
| Total Return2 | 1.61% | -3.62% | 17.38% | -6.50% | 19.44% | 4.25% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $306 | $296 | $250 | $206 | $164 | $15 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.06% | 0.07% | 0.09% | 0.09% | 0.09% | 0.09% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 4.72% | 4.40% | 4.66% | 4.50% | 4.76% | 5.41% |
| Portfolio Turnover Rate 3 | 59% | 64% | 54% | 57% | 71% | 110% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. | ||||||
| 1 Includes increases from purchase fees of $.00, $.03, $.02, $.01, $.00, and $.04. 2 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees. 3 Excludes the value of portfolio securities received or delivered as a result of in-kind purchases or redemptions of the fund’s capital shares, including ETF Creation Units. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
99
Long-Term Corporate Bond Index Fund
Notes to Financial Statements
Vanguard Long-Term Corporate Bond Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. Certain of the fund’s investments are in corporate debt instruments; the issuers’ abilities to meet their obligations may be affected by economic developments in their respective industries. The fund offers three classes of shares: ETF Shares, Admiral Shares, and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, are valued using the latest bid prices or using valuations based on a matrix system (which considers such factors as security prices, yields, maturities, and ratings), both as furnished by independent pricing services. Investments in Vanguard Market Liquidity Fund are valued at that fund’s net asset value. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. Futures Contracts: The fund uses futures contracts to invest in fixed income asset classes with greater efficiency and lower cost than is possible through direct investment, to add value when these instruments are attractively priced, or to adjust sensitivity to changes in interest rates. The primary risks associated with the use of futures contracts are imperfect correlation between changes in market values of bonds held by the fund and the prices of futures contracts, and the possibility of an illiquid market. Counterparty risk involving futures is mitigated because a regulated clearinghouse is the counterparty instead of the clearing broker. To further mitigate counterparty risk, the fund trades futures contracts on an exchange, monitors the financial strength of its clearing brokers and clearinghouse, and has entered into clearing agreements with its clearing brokers. The clearinghouse imposes initial margin requirements to secure the fund’s performance and requires daily settlement of variation margin representing changes in the market value of each contract.
Futures contracts are valued at their quoted daily settlement prices. The aggregate settlement values 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 six months ended February 29, 2016, the fund’s average investments in long and short futures contracts each represented less than 1% of net assets, based on the average of aggregate settlement values at each quarter-end during the period.
3. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
4. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
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Long-Term Corporate Bond Index Fund
5. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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 fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, or at any time during the period then ended.
6. Other: 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. 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. Fees assessed on purchases of capital shares are credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $126,000, representing 0.01% of the fund’s net assets and 0.05% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
101
Long-Term Corporate Bond Index Fund
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 8,258 | — |
| Corporate Bonds | — | 1,296,272 | 2,422 |
| Taxable Municipal Bonds | — | 3,388 | — |
| Temporary Cash Investments | 7,411 | — | — |
| Futures Contracts—Assets1 | 10 | — | — |
| Futures Contracts—Liabilities1 | (2) | — | — |
| Total | 7,419 | 1,307,918 | 2,422 |
| 1 Represents variation margin on the last day of the reporting period. |
D. At February 29, 2016, the aggregate settlement value of open futures contracts and the related unrealized appreciation (depreciation) were:
| ($000) | ||||
| Aggregate | ||||
| Number of | Settlement | Unrealized | ||
| Long (Short) | Value | Appreciation | ||
| Futures Contracts | Expiration | Contracts | Long (Short) | (Depreciation) |
| Ultra 10-Year U.S. Treasury Note | June 2016 | 7 | 988 | — |
| 30-Year U.S. Treasury Bond | June 2016 | (6) | (987) | 8 |
| Ultra Long U.S. Treasury Bond | June 2016 | 5 | 866 | (6) |
| 2 |
Unrealized appreciation (depreciation) on open futures contracts is required to be treated as realized gain (loss) for tax purposes.
E. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
During the six months ended February 29, 2016, the fund realized $7,505,000 of net capital losses resulting from in-kind redemptions—in which shareholders exchanged fund shares for securities held by the fund rather than for cash. Because such losses are not taxable to the fund, and are not distributed to shareholders, they have been reclassified from accumulated net realized losses to paid-in capital.
The fund’s tax-basis capital gains and losses are determined only at the end of each fiscal year. For tax purposes, at August 31, 2015, the fund had available capital losses totaling $18,538,000 that may be carried forward indefinitely to offset future capital gains. The fund will use these capital
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Long-Term Corporate Bond Index Fund
losses to offset net taxable capital gains, if any, realized during the year ending August 31, 2016; should the fund realize net capital losses for the year, the losses will be added to the loss carryforward balance above.
At February 29, 2016, the cost of investment securities for tax purposes was $1,381,453,000. Net unrealized depreciation of investment securities for tax purposes was $63,702,000, consisting of unrealized gains of $16,292,000 on securities that had risen in value since their purchase and $79,994,000 in unrealized losses on securities that had fallen in value since their purchase.
F. During the six months ended February 29, 2016, the fund purchased $437,862,000 of investment securities and sold $434,273,000 of investment securities, other than U.S. government securities and temporary cash investments. Purchases and sales of U.S. government securities were $157,558,000 and $151,468,000, respectively. Total purchases and sales include $152,882,000 and $181,444,000, respectively, in connection with in-kind purchases and redemptions of the fund’s capital shares.
G. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2016 | August 31, 2015 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued1 | 170,755 | 2,002 | 754,420 | 8,200 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (185,132) | (2,200) | (564,141) | (6,300) |
| Net Increase (Decrease)—ETF Shares | (14,377) | (198) | 190,279 | 1,900 |
| Admiral Shares | ||||
| Issued1 | 14,940 | 654 | 46,136 | 1,883 |
| Issued in Lieu of Cash Distributions | 1,341 | 59 | 2,027 | 84 |
| Redeemed | (7,373) | (323) | (20,007) | (830) |
| Net Increase (Decrease)—Admiral Shares | 8,908 | 390 | 28,156 | 1,137 |
| Institutional Shares | ||||
| Issued1 | 10,294 | 362 | 117,548 | 3,887 |
| Issued in Lieu of Cash Distributions | 7,026 | 249 | 12,835 | 427 |
| Redeemed | (5,240) | (183) | (59,766) | (1,996) |
| Net Increase (Decrease) —Institutional Shares | 12,080 | 428 | 70,617 | 2,318 |
| 1 Includes purchase fees for fiscal 2016 and 2015 of $258,000 and $1,672,000, respectively (fund totals). | ||||
H. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
103
Mortgage-Backed Securities Index Fund
Fund Profile
As of February 29, 2016
| Share-Class Characteristics | |||
| ETF | Admiral | Institutional | |
| Shares | Shares | Shares | |
| Ticker Symbol | VMBS | VMBSX | VMBIX |
| Expense Ratio1 | 0.10% | 0.10% | 0.07% |
| 30-Day SEC Yield | 1.97% | 1.93% | 2.01% |
| Financial Attributes | |||
| Barclays | |||
| MBS | Barclays | ||
| Float Adj | Aggregate | ||
| Fund | Index | FA Index | |
| Number of Bonds | 5252 | 353 | 9,699 |
| Yield to Maturity | |||
| (before expenses) | 2.3% | 2.3% | 2.2% |
| Average Coupon | 3.8% | 3.8% | 3.1% |
| Average Duration | 2.9 years | 3.0 years | 5.6 years |
| Average Effective | |||
| Maturity | 5.3 years | 5.4 years | 7.8 years |
| Short-Term | |||
| Reserves | 0.6% | — | — |
| Sector Diversification (% of portfolio) | |||
| Government Mortgage-Backed | 98.1% | ||
| Other | 1.9 | ||
| 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. | |||
| Volatility Measures | ||
| Barclays | ||
| MBS | Barclays | |
| Float Adj | Aggregate | |
| Index | FA Index | |
| R-Squared | 0.99 | 0.80 |
| Beta | 1.07 | 0.68 |
| These measures show the degree and timing of the fund’s fluctuations compared with the indexes over 36 months. | ||
| Distribution by Effective Maturity | |
| (% of portfolio) | |
| Under 1 Year | 1.8% |
| 1 - 3 Years | 1.8 |
| 3 - 5 Years | 40.7 |
| 5 - 10 Years | 55.7 |
| Distribution by Credit Quality (% of portfolio) | |
| U.S. Government | 98.1% |
| Aaa | 1.9 |
| Credit-quality ratings are obtained from Barclays and are from Moody's, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. "Not Rated" is used to classify securities for which a rating is not available. For more information about these ratings, see the Glossary entry for Credit Quality. | |
| Distribution by Coupon (% of portfolio) | |
| 0 - 5.0 | 94.0% |
| More Than 5.0 - 5.5 | 3.2 |
| More Than 5.5 - 6.0 | 2.1 |
| More Than 6.0 - 6.5 | 0.6 |
| More Than 6.5 - 7.0 | 0.1 |
1 The expense ratios shown are from the prospectus dated December 22, 2015, and represent estimated costs for the current fiscal year. For the six months ended February 29, 2016, the annualized expense ratios were 0.09% for ETF Shares, 0.09% for Admiral Shares, and 0.06% for Institutional Shares.
2 Issues are mortgage pools grouped by coupon.
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Mortgage-Backed Securities Index Fund
Investment Focus
Mortgage-Backed Securities Index Fund
Performance Summary
All of the returns in this report represent past performance, which is not a guarantee of future results that may be achieved by the fund. (Current performance may be lower or higher than the performance data cited. For performance data current to the most recent month-end, visit our website at vanguard.com/performance.) Note, too, that both investment returns and principal value can fluctuate widely, so an investor’s shares, when sold, could be worth more or less than their original cost. The returns shown do not reflect taxes that a shareholder would pay on fund distributions or on the sale of fund shares.
| Fiscal-Year Total Returns (%): November 19, 2009, Through February 29, 2016 | |||
| Barclays | |||
| MBS | |||
| Float Adj | |||
| ETF Shares Net Asset Value | Index | ||
| Fiscal Year | Total Returns | Total Returns | |
| 2010 | 4.39% | 4.23% | |
| 2011 | 5.14 | 5.11 | |
| 2012 | 3.62 | 3.62 | |
| 2013 | -2.36 | -2.03 | |
| 2014 | 5.21 | 5.15 | |
| 2015 | 2.49 | 2.51 | |
| 2016 | 2.03 | 2.04 | |
| Note: For 2016, performance data reflect the six months ended February 29, 2016. | |||
| Average Annual Total Returns: Periods Ended December 31, 2015 | ||||||
| This table presents returns through the latest calendar quarter—rather than through the end of the fiscal period. | ||||||
| Securities and Exchange Commission rules require that we provide this information. | ||||||
| Since Inception | ||||||
| Inception Date | One Year | Five Years | Income | Capital | Total | |
| ETF Shares | 11/19/2009 | |||||
| Market Price | 1.50% | 2.84% | 3.08% | |||
| Net Asset Value | 1.43 | 2.83 | 3.07 | |||
| Admiral Shares | 12/3/2009 | 1.44 | 2.83 | 1.65% | 1.40% | 3.05 |
| Institutional Shares | 10/31/2013 | 1.44 | — | 1.66 | 1.20 | 2.86 |
See Financial Highlights for dividend and capital gains information.
106
Mortgage-Backed Securities Index Fund
Financial Statements (unaudited)
Statement of Net Assets
As of February 29, 2016
The fund reports a complete list of its holdings in regulatory filings four times in each fiscal year, at the quarter-ends. For the second and fourth fiscal quarters, the lists appear in the fund’s semiannual and annual reports to shareholders. For the first and third fiscal quarters, the fund files the lists with the Securities and Exchange Commission on Form N-Q. Shareholders can look up the fund’s Forms N-Q on the SEC’s website at sec.gov. Forms N-Q may also be reviewed and copied at the SEC’s Public Reference Room (see the back cover of this report for further information).
| Face | Market | ||||
| Maturity | Amount | Value• | |||
| Coupon | Date | ($000) | ($000) | ||
| U.S. Government and Agency Obligations (99.4%) | |||||
| Conventional Mortgage-Backed Securities (98.5%) | |||||
| 1,2 | Fannie Mae Pool | 2.000% | 10/1/28 | 2,065 | 2,084 |
| 1,2,3 Fannie Mae Pool | 2.500% | 11/1/26–1/1/43 | 66,035 | 67,837 | |
| 1,2,3 Fannie Mae Pool | 3.000% | 11/1/25–3/1/46 | 205,307 | 212,609 | |
| 1,2,3 Fannie Mae Pool | 3.500% | 1/1/21–4/1/46 | 293,830 | 309,110 | |
| 1,2,3 Fannie Mae Pool | 4.000% | 7/1/18–3/1/46 | 197,684 | 211,532 | |
| 1,2,3 Fannie Mae Pool | 4.500% | 2/1/18–3/1/46 | 103,388 | 112,397 | |
| 1,2,3 Fannie Mae Pool | 5.000% | 1/1/17–2/1/46 | 57,042 | 63,152 | |
| 1,2,3 Fannie Mae Pool | 5.500% | 12/1/16–3/1/45 | 40,808 | 45,952 | |
| 1,2 | Fannie Mae Pool | 6.000% | 3/1/18–5/1/41 | 28,449 | 32,538 |
| 1,2 | Fannie Mae Pool | 6.500% | 4/1/16–10/1/39 | 9,046 | 10,485 |
| 1,2 | Fannie Mae Pool | 7.000% | 12/1/22–10/1/37 | 1,113 | 1,285 |
| 1,2 | Fannie Mae Pool | 7.500% | 11/1/22 | 10 | 11 |
| 1,2 | Freddie Mac Gold Pool | 2.000% | 1/1/28–1/1/29 | 3,302 | 3,341 |
| 1,2,3 Freddie Mac Gold Pool | 2.500% | 4/1/27–2/1/43 | 53,642 | 55,183 | |
| 1,2,3 Freddie Mac Gold Pool | 3.000% | 1/1/26–3/1/46 | 132,897 | 137,442 | |
| 1,2,3 Freddie Mac Gold Pool | 3.500% | 9/1/25–3/1/46 | 178,343 | 187,108 | |
| 1,2,3 Freddie Mac Gold Pool | 4.000% | 7/1/18–3/1/46 | 118,391 | 126,448 | |
| 1,2,3 Freddie Mac Gold Pool | 4.500% | 1/1/18–3/1/46 | 61,162 | 66,308 | |
| 1,2 | Freddie Mac Gold Pool | 5.000% | 10/1/17–3/1/46 | 33,758 | 37,057 |
| 1,2 | Freddie Mac Gold Pool | 5.500% | 4/1/21–7/1/40 | 27,746 | 30,926 |
| 1,2 | Freddie Mac Gold Pool | 6.000% | 6/1/17–5/1/40 | 17,036 | 19,405 |
| 1,2 | Freddie Mac Gold Pool | 6.500% | 10/1/28–9/1/39 | 4,515 | 5,252 |
| 1,2 | Freddie Mac Gold Pool | 7.000% | 7/1/28–12/1/38 | 450 | 524 |
| 1,2 | Freddie Mac Gold Pool | 8.000% | 11/1/22 | 1 | 2 |
| 2 | Ginnie Mae I Pool | 3.000% | 1/15/26–3/15/45 | 18,799 | 19,515 |
| 2,3 | Ginnie Mae I Pool | 3.500% | 2/15/26–3/1/46 | 18,077 | 19,107 |
| 2,3 | Ginnie Mae I Pool | 4.000% | 7/15/24–3/1/46 | 29,859 | 31,943 |
| 2,3 | Ginnie Mae I Pool | 4.500% | 9/15/18–3/1/46 | 32,300 | 35,249 |
| 2,3 | Ginnie Mae I Pool | 5.000% | 1/15/18–3/1/46 | 20,353 | 22,551 |
| 2 | Ginnie Mae I Pool | 5.500% | 10/15/32–2/15/40 | 8,793 | 9,933 |
| 2 | Ginnie Mae I Pool | 6.000% | 4/15/28–5/15/41 | 4,764 | 5,407 |
| 2 | Ginnie Mae I Pool | 6.500% | 5/15/24–1/15/39 | 287 | 337 |
| 2 | Ginnie Mae I Pool | 7.000% | 10/15/27 | 7 | 9 |
| 2,3 | Ginnie Mae II Pool | 2.500% | 6/20/27–3/1/46 | 7,583 | 7,751 |
| 2,3 | Ginnie Mae II Pool | 3.000% | 10/20/26–3/1/46 | 115,597 | 120,154 |
| 2,3 | Ginnie Mae II Pool | 3.500% | 12/20/25–3/1/46 | 238,398 | 252,166 |
| 2,3 | Ginnie Mae II Pool | 4.000% | 9/20/25–3/1/46 | 130,213 | 139,644 |
| 2,3 | Ginnie Mae II Pool | 4.500% | 4/20/18–3/1/46 | 67,426 | 72,788 |
107
Mortgage-Backed Securities Index Fund
| Face | Market | ||||
| Maturity | Amount | Value• | |||
| Coupon | Date | ($000) | ($000) | ||
| 2,3 | Ginnie Mae II Pool | 5.000% | 6/20/33–3/1/46 | 31,571 | 34,839 |
| 2 | Ginnie Mae II Pool | 5.500% | 12/20/33–5/20/45 | 11,505 | 12,765 |
| 2 | Ginnie Mae II Pool | 6.000% | 3/20/31–9/20/41 | 5,781 | 6,512 |
| 2 | Ginnie Mae II Pool | 6.500% | 10/20/28–9/20/40 | 727 | 827 |
| 2 | Ginnie Mae II Pool | 7.000% | 4/20/38–11/20/38 | 140 | 160 |
| 2,529,645 | |||||
| Nonconventional Mortgage-Backed Securities (0.9%) | |||||
| 1,2,4 Fannie Mae Pool | 2.040% | 12/1/41 | 230 | 236 | |
| 1,2,4 Fannie Mae Pool | 2.052% | 9/1/37 | 32 | 35 | |
| 1,2 | Fannie Mae Pool | 2.115% | 3/1/43 | 703 | 716 |
| 1,2 | Fannie Mae Pool | 2.184% | 6/1/42 | 2,256 | 2,364 |
| 1,2 | Fannie Mae Pool | 2.187% | 6/1/43 | 452 | 464 |
| 1,2 | Fannie Mae Pool | 2.214% | 9/1/42 | 982 | 1,029 |
| 1,2 | Fannie Mae Pool | 2.237% | 10/1/42 | 355 | 364 |
| 1,2 | Fannie Mae Pool | 2.266% | 7/1/43 | 1,206 | 1,228 |
| 1,2 | Fannie Mae Pool | 2.387% | 7/1/42 | 1,521 | 1,568 |
| 1,2 | Fannie Mae Pool | 2.400% | 5/1/42 | 260 | 272 |
| 1,2 | Fannie Mae Pool | 2.426% | 5/1/43 | 1,422 | 1,458 |
| 1,2 | Fannie Mae Pool | 2.440% | 10/1/42 | 653 | 672 |
| 1,2,4 Fannie Mae Pool | 2.524% | 5/1/40 | 7 | 7 | |
| 1,2,4 Fannie Mae Pool | 2.535% | 10/1/39 | 33 | 35 | |
| 1,2,4 Fannie Mae Pool | 2.542% | 5/1/42 | 81 | 84 | |
| 1,2,4 Fannie Mae Pool | 2.544% | 10/1/40 | 149 | 157 | |
| 1,2,4 Fannie Mae Pool | 2.573% | 12/1/40 | 374 | 395 | |
| 1,2,4 Fannie Mae Pool | 2.576% | 11/1/39 | 37 | 39 | |
| 1,2,4 Fannie Mae Pool | 2.599% | 12/1/41 | 239 | 256 | |
| 1,2 | Fannie Mae Pool | 2.616% | 11/1/41 | 70 | 75 |
| 1,2,4 Fannie Mae Pool | 2.670% | 11/1/40 | 18 | 19 | |
| 1,2,4 Fannie Mae Pool | 2.675% | 10/1/40 | 17 | 18 | |
| 1,2,4 Fannie Mae Pool | 2.677% | 12/1/40 | 15 | 16 | |
| 1,2,4 Fannie Mae Pool | 2.685% | 12/1/40 | 14 | 15 | |
| 1,2 | Fannie Mae Pool | 2.699% | 1/1/42 | 416 | 441 |
| 1,2,4 Fannie Mae Pool | 2.710% | 1/1/40 | 5 | 5 | |
| 1,2 | Fannie Mae Pool | 2.731% | 12/1/43 | 1,078 | 1,115 |
| 1,2 | Fannie Mae Pool | 2.746% | 3/1/42 | 459 | 482 |
| 1,2,4 Fannie Mae Pool | 2.760% | 3/1/41 | 367 | 392 | |
| 1,2 | Fannie Mae Pool | 2.786% | 11/1/41 | 187 | 203 |
| 1,2,4 Fannie Mae Pool | 2.814% | 2/1/41 | 9 | 9 | |
| 1,2,4 Fannie Mae Pool | 2.829% | 3/1/41 | 302 | 318 | |
| 1,2 | Fannie Mae Pool | 2.887% | 12/1/40 | 109 | 115 |
| 1,2,4 Fannie Mae Pool | 2.914% | 3/1/42 | 188 | 198 | |
| 1,2 | Fannie Mae Pool | 2.946% | 9/1/43 | 729 | 765 |
| 1,2,4 Fannie Mae Pool | 3.057% | 2/1/42 | 257 | 270 | |
| 1,2 | Fannie Mae Pool | 3.138% | 2/1/41 | 82 | 86 |
| 1,2,4 Fannie Mae Pool | 3.191% | 5/1/41 | 92 | 98 | |
| 1,2 | Fannie Mae Pool | 3.354% | 8/1/42 | 218 | 225 |
| 1,2 | Fannie Mae Pool | 3.564% | 4/1/41 | 113 | 118 |
| 1,2 | Fannie Mae Pool | 3.569% | 7/1/41 | 300 | 319 |
| 1,2 | Fannie Mae Pool | 3.580% | 8/1/39 | 36 | 39 |
| 1,2 | Fannie Mae Pool | 3.751% | 6/1/41 | 161 | 172 |
| 1,2 | Fannie Mae Pool | 3.826% | 9/1/40 | 356 | 377 |
| 1,2,4 Fannie Mae Pool | 4.061% | 8/1/39 | 84 | 87 | |
| 1,2,4 Fannie Mae Pool | 4.149% | 11/1/39 | 35 | 37 | |
| 1,2 | Fannie Mae Pool | 4.288% | 12/1/39 | 359 | 375 |
| 1,2 | Fannie Mae Pool | 4.917% | 3/1/38 | 15 | 15 |
| 1,2 | Fannie Mae Pool | 5.520% | 4/1/37 | 17 | 18 |
108
Mortgage-Backed Securities Index Fund
| Face | Market | ||||
| Maturity | Amount | Value• | |||
| Coupon | Date | ($000) | ($000) | ||
| 1,2 | Fannie Mae Pool | 6.076% | 10/1/37 | 165 | 172 |
| 1,2,4 Freddie Mac Non Gold Pool | 2.486% | 2/1/37 | 21 | 23 | |
| 1,2,4 Freddie Mac Non Gold Pool | 2.492% | 10/1/37 | 17 | 18 | |
| 1,2 | Freddie Mac Non Gold Pool | 2.560% | 11/1/43 | 588 | 607 |
| 1,2 | Freddie Mac Non Gold Pool | 2.571% | 2/1/42 | 125 | 133 |
| 1,2,4 Freddie Mac Non Gold Pool | 2.574% | 5/1/40 | 3 | 3 | |
| 1,2,4 Freddie Mac Non Gold Pool | 2.619% | 12/1/40 | 55 | 57 | |
| 1,2,4 Freddie Mac Non Gold Pool | 2.631% | 6/1/40 | 48 | 50 | |
| 1,2,4 Freddie Mac Non Gold Pool | 2.731% | 6/1/37 | 429 | 457 | |
| 1,2 | Freddie Mac Non Gold Pool | 2.774% | 1/1/41 | 192 | 202 |
| 1,2 | Freddie Mac Non Gold Pool | 2.849% | 2/1/41 | 16 | 17 |
| 1,2 | Freddie Mac Non Gold Pool | 2.893% | 2/1/41 | 226 | 240 |
| 1,2 | Freddie Mac Non Gold Pool | 3.071% | 1/1/41 | 134 | 142 |
| 1,2 | Freddie Mac Non Gold Pool | 3.103% | 6/1/41 | 191 | 199 |
| 1,2 | Freddie Mac Non Gold Pool | 3.446% | 3/1/42 | 180 | 191 |
| 1,2 | Freddie Mac Non Gold Pool | 3.574% | 6/1/40 | 144 | 153 |
| 1,2 | Freddie Mac Non Gold Pool | 3.669% | 9/1/40 | 137 | 146 |
| 1,2 | Freddie Mac Non Gold Pool | 4.065% | 12/1/39 | 33 | 35 |
| 1,2 | Freddie Mac Non Gold Pool | 5.253% | 3/1/38 | 132 | 140 |
| 2,4 | Ginnie Mae II Pool | 1.750% | 4/20/41 | 10 | 10 |
| 2,4 | Ginnie Mae II Pool | 2.000% | 11/20/40–12/20/42 | 323 | 343 |
| 2,4 | Ginnie Mae II Pool | 2.250% | 5/20/41 | 13 | 14 |
| 2,3,4 Ginnie Mae II Pool | 2.500% | 1/20/41–1/20/42 | 1,473 | 1,520 | |
| 2,3 | Ginnie Mae II Pool | 3.000% | 11/20/40–11/20/41 | 607 | 644 |
| 2,3 | Ginnie Mae II Pool | 3.500% | 7/20/41–8/20/41 | 221 | 237 |
| 23,554 | |||||
| Total U.S. Government and Agency Obligations (Cost $2,536,132) | 2,553,199 | ||||
| Shares | |||||
| Temporary Cash Investment (16.4%) | |||||
| Money Market Fund (16.4%) | |||||
| 5 | Vanguard Market Liquidity Fund (Cost $422,174) | 0.475% | 422,173,603 | 422,174 | |
| Total Investments (115.8%) (Cost $2,958,306) | 2,975,373 | ||||
| Amount | |||||
| ($000) | |||||
| Other Assets and Liabilities (-15.8%) | |||||
| Other Assets | |||||
| Investment in Vanguard | 218 | ||||
| Receivables for Investment Securities Sold | 45,227 | ||||
| Receivables for Accrued Income | 7,361 | ||||
| Receivables for Capital Shares Issued | 3,536 | ||||
| Other Assets | 965 | ||||
| Total Other Assets | 57,307 | ||||
| Liabilities | |||||
| Payables for Investment Securities Purchased | (459,873) | ||||
| Payables for Capital Shares Redeemed | (2,166) | ||||
| Payables for Distributions | (467) | ||||
| Payables to Vanguard | (514) | ||||
| Other Liabilities | (791) | ||||
| Total Liabilities | (463,811) | ||||
| Net Assets (100%) | 2,568,869 | ||||
109
Mortgage-Backed Securities Index Fund
| At February 29, 2016, net assets consisted of: | |
| Amount | |
| ($000) | |
| Paid-in Capital | 2,545,341 |
| Undistributed Net Investment Income | 3,436 |
| Accumulated Net Realized Gains | 3,025 |
| Unrealized Appreciation (Depreciation) | 17,067 |
| Net Assets | 2,568,869 |
| ETF Shares—Net Assets | |
| Applicable to 37,926,190 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 2,025,890 |
| Net Asset Value Per Share—ETF Shares | $53.42 |
| Admiral Shares—Net Assets | |
| Applicable to 23,418,655 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 499,723 |
| Net Asset Value Per Share—Admiral Shares | $21.34 |
| Institutional Shares—Net Assets | |
| Applicable to 1,496,047 outstanding $.001 par value shares of | |
| beneficial interest (unlimited authorization) | 43,256 |
| Net Asset Value Per Share—Institutional Shares | $28.91 |
• See Note A in Notes to Financial Statements.
1 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.
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 Includes securities purchased on a when-issued or delayed-delivery basis for which the fund has not taken delivery as of February 29, 2016.
4 Adjustable-rate security.
5 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.
110
Mortgage-Backed Securities Index Fund
Statement of Operations
| Six Months Ended | |
| February 29, 2016 | |
| ($000) | |
| Investment Income | |
| Income | |
| Interest1 | 22,069 |
| Total Income | 22,069 |
| Expenses | |
| The Vanguard Group—Note B | |
| Investment Advisory Services | 31 |
| Management and Administrative—ETF Shares | 608 |
| Management and Administrative—Admiral Shares | 152 |
| Management and Administrative—Institutional Shares | 11 |
| Marketing and Distribution—ETF Shares | 62 |
| Marketing and Distribution—Admiral Shares | 26 |
| Marketing and Distribution—Institutional Shares | — |
| Custodian Fees | 57 |
| Shareholders’ Reports—ETF Shares | 55 |
| Shareholders’ Reports—Admiral Shares | 5 |
| Shareholders’ Reports—Institutional Shares | — |
| Total Expenses | 1,007 |
| Net Investment Income | 21,062 |
| Realized Net Gain (Loss) | |
| Investment Securities Sold | 7,984 |
| Realized Net Gain (Loss) | 7,984 |
| Change in Unrealized Appreciation (Depreciation) of Investment Securities | 16,264 |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 45,310 |
| 1 Interest income from an affiliated company of the fund was $698,000. |
See accompanying Notes, which are an integral part of the Financial Statements.
111
Mortgage-Backed Securities Index Fund
Statement of Changes in Net Assets
| Six Months Ended | Year Ended | |
| February 29, | August 31, | |
| 2016 | 2015 | |
| ($000) | ($000) | |
| Increase (Decrease) in Net Assets | ||
| Operations | ||
| Net Investment Income | 21,062 | 20,790 |
| Realized Net Gain (Loss) | 7,984 | 9,480 |
| Change in Unrealized Appreciation (Depreciation) | 16,264 | (3,777) |
| Net Increase (Decrease) in Net Assets Resulting from Operations | 45,310 | 26,493 |
| Distributions | ||
| Net Investment Income | ||
| ETF Shares | (14,939) | (13,405) |
| Admiral Shares | (4,151) | (5,589) |
| Institutional Shares | (406) | (564) |
| Realized Capital Gain1 | ||
| ETF Shares | (8,196) | (2,480) |
| Admiral Shares | (2,007) | (1,200) |
| Institutional Shares | (197) | (113) |
| Total Distributions | (29,896) | (23,351) |
| Capital Share Transactions | ||
| ETF Shares | 562,656 | 907,275 |
| Admiral Shares | 72,689 | 116,880 |
| Institutional Shares | (586) | (65,707) |
| Net Increase (Decrease) from Capital Share Transactions | 634,759 | 958,448 |
| Total Increase (Decrease) | 650,173 | 961,590 |
| Net Assets | ||
| Beginning of Period | 1,918,696 | 957,106 |
| End of Period2 | 2,568,869 | 1,918,696 |
| 1 Includes fiscal 2016 and 2015 short-term gain distributions totaling $10,400,000 and $3,749,000, respectively. Short-term gain distributions are treated as ordinary income dividends for tax purposes. 2 Net Assets—End of Period includes undistributed (overdistributed) net investment income of $3,436,000 and $1,870,000. | ||
See accompanying Notes, which are an integral part of the Financial Statements.
112
Mortgage-Backed Securities Index Fund
Financial Highlights
| ETF Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $53.05 | $52.65 | $50.85 | $52.63 | $51.90 | $51.31 |
| Investment Operations | ||||||
| Net Investment Income | .482 | .748 | .887 | .292 | .875 | 1.142 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments1 | .587 | .554 | 1.741 | (1.524) | .976 | 1.412 |
| Total from Investment Operations | 1.069 | 1.302 | 2.628 | (1.232) | 1.851 | 2.554 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.459) | (.741) | (.828) | (.294) | (.868) | (1.142) |
| Distributions from Realized Capital Gains | (.240) | (.161) | — | (.254) | (.253) | (.822) |
| Total Distributions | (.699) | (.902) | (.828) | (.548) | (1.121) | (1.964) |
| Net Asset Value, End of Period | $53.42 | $53.05 | $52.65 | $50.85 | $52.63 | $51.90 |
| Total Return | 2.03% | 2.49% | 5.21% | -2.36% | 3.62% | 5.14% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $2,026 | $1,451 | $542 | $417 | $247 | $73 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.09% | 0.10% | 0.12% | 0.12% | 0.12% | 0.15% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 1.87% | 1.43% | 1.72% | 0.57% | 1.57% | 2.30% |
| Portfolio Turnover Rate2 | 409% | 713% | 514% | 840% | 529% | 344% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Includes increases from purchase and redemption fees of $.00, $.01, $.01, $.01, $.02, and $.00. 2 Includes 185%, 331%, 294%, 371%, 231%, and 187% attributable to mortgage-dollar-roll activity. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
113
Mortgage-Backed Securities Index Fund
Financial Highlights
| Admiral Shares | ||||||
| Six Months | ||||||
| Ended | ||||||
| For a Share Outstanding | February 29, | Year Ended August 31, | ||||
| Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 |
| Net Asset Value, Beginning of Period | $21.20 | $21.05 | $20.35 | $21.06 | $20.76 | $20.52 |
| Investment Operations | ||||||
| Net Investment Income | .194 | .298 | .356 | .118 | .344 | .456 |
| Net Realized and Unrealized Gain (Loss) | ||||||
| on Investments | .237 | .214 | .699 | (.608) | .399 | .569 |
| Total from Investment Operations | .431 | .512 | 1.055 | (.490) | .743 | 1.025 |
| Distributions | ||||||
| Dividends from Net Investment Income | (.195) | (. 297) | (. 355) | (.118) | (. 342) | (. 456) |
| Distributions from Realized Capital Gains | (. 096) | (. 065) | — | (.102) | (.101) | (. 329) |
| Total Distributions | (. 291) | (. 362) | (. 355) | (. 220) | (. 443) | (.785) |
| Net Asset Value, End of Period | $21.34 | $21.20 | $21.05 | $20.35 | $21.06 | $20.76 |
| Total Return1 | 2.05% | 2.44% | 5.22% | -2.35% | 3.63% | 5.16% |
| Ratios/Supplemental Data | ||||||
| Net Assets, End of Period (Millions) | $500 | $424 | $305 | $295 | $211 | $15 |
| Ratio of Total Expenses to | ||||||
| Average Net Assets | 0.09% | 0.10% | 0.12% | 0.12% | 0.12% | 0.15% |
| Ratio of Net Investment Income to | ||||||
| Average Net Assets | 1.87% | 1.43% | 1.72% | 0.57% | 1.57% | 2.30% |
| Portfolio Turnover Rate2 | 409% | 713% | 514% | 840% | 529% | 344% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. Signal Shares were renamed Admiral Shares in October 2013. Prior periods’ Financial Highlights are for the Signal class. 1 Total returns do not include transaction or account service fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction and account service fees. 2 Includes 185%, 331%, 294%, 371%, 231%, and 187% attributable to mortgage-dollar-roll activity. | ||||||
See accompanying Notes, which are an integral part of the Financial Statements.
114
Mortgage-Backed Securities Index Fund
Financial Highlights
| Institutional Shares | |||||
| Six Months | Year | Oct. 31, | Sept. 1, | May 9, | |
| Ended | Ended | 20133 to | 2012, to | 20121 to | |
| February 29, | Aug. 31, | Aug. 31, | Jan. 22, | Aug. 31, | |
| For a Share Outstanding Throughout Each Period | 2016 | 2015 | 2014 | 2013 | 2012 |
| Net Asset Value, Beginning of Period | $28.73 | $28.52 | $28.04 | $28.34 | $28.10 |
| Investment Operations | |||||
| Net Investment Income | . 267 | . 412 | . 390 | . 042 | .137 |
| Net Realized and Unrealized Gain (Loss) | |||||
| on Investments | .312 | .295 | .504 | (.146) | .218 |
| Total from Investment Operations | .579 | .707 | .894 | (.104) | .355 |
| Distributions | |||||
| Dividends from Net Investment Income | (. 269) | (. 410) | (. 414) | (. 049) | (.115) |
| Distributions from Realized Capital Gains | (.130) | (.087) | — | (.137) | — |
| Total Distributions | (. 399) | (. 497) | (. 414) | (.186) | (.115) |
| Net Asset Value, End of Period | $28.91 | $28.73 | $28.52 | $28.05 2 | $28.34 |
| Total Return4 | 2.03% | 2.49% | 3.22% | -0.37% | 1.27% |
| Ratios/Supplemental Data | |||||
| Net Assets, End of Period (Millions) | $43 | $44 | $109 | $0 | $15 |
| Ratio of Total Expenses to Average Net Assets | 0.06% | 0.07% | 0.09%5 | 0.09%5 | 0.09%5 |
| Ratio of Net Investment Income to | |||||
| Average Net Assets | 1.90% | 1.46% | 1.75%5 | 0.35%5 | 1.60%5 |
| Portfolio Turnover Rate 6 | 409% | 713% | 514% | 840% | 529% |
| The expense ratio, net income ratio, and turnover rate for the current period have been annualized. 1 Commencement of operations. 2 Net asset value as of January 22, 2013, at which date all shares were redeemed. 3 Recommencement of operations. 4 Total returns do not include transaction fees that may have applied in the periods shown. Fund prospectuses provide information about any applicable transaction fees. 5 Annualized. 6 Includes 185%, 331%, 294%, 371%, and 231% attributable to mortgage-dollar-roll activity. | |||||
See accompanying Notes, which are an integral part of the Financial Statements.
115
Mortgage-Backed Securities Index Fund
Notes to Financial Statements
Vanguard Mortgage-Backed Securities Index Fund is registered under the Investment Company Act of 1940 as an open-end investment company, or mutual fund. The fund offers three classes of shares: ETF Shares, Admiral Shares, and Institutional Shares. ETF Shares are listed for trading on Nasdaq; they can be purchased and sold through a broker. Admiral Shares and Institutional Shares are designed for investors who meet certain administrative, service, and account-size criteria.
A. The following significant accounting policies conform to generally accepted accounting principles for U.S. investment companies. The fund consistently follows such policies in preparing its financial statements.
1. Security Valuation: Securities are valued as of the close of trading on the New York Stock Exchange (generally 4 p.m., Eastern time) on the valuation date. Bonds, and temporary cash investments acquired over 60 days to maturity, 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. Other temporary cash investments are valued at amortized cost, which approximates market value. Securities for which market quotations are not readily available, or whose values have been affected by events occurring before the fund’s pricing time but after the close of the securities’ primary markets, are valued by methods deemed by the board of trustees to represent fair value.
2. 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 fund 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 fund 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 fund 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 fund 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. Under an MSFTA, upon a counterparty default (including bankruptcy), the fund 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 fund under the master netting arrangements.
At February 29, 2016, counterparties had deposited in segregated accounts cash with a value of $360,000 in connection with TBA transactions.
3. Mortgage Dollar Rolls: The fund enters into mortgage-dollar-roll transactions, in which the fund 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 fund 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 fund has also entered into mortgage-dollar-roll transactions in which the fund buys mortgage-backed securities
116
Mortgage-Backed Securities Index Fund
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 fund 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 fund accounts for mortgage-dollar-roll transactions as purchases and sales; as such, these transactions may increase the fund’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.
4. Federal Income Taxes: The fund intends to continue to qualify as a regulated investment company and distribute all of its taxable income. Management has analyzed the fund’s tax positions taken for all open federal income tax years (August 31, 2012–2015), and for the period ended February 29, 2016, and has concluded that no provision for federal income tax is required in the fund’s financial statements.
5. Distributions: Distributions to shareholders are recorded on the ex-dividend date.
6. Credit Facility: The fund and certain other funds managed by The Vanguard Group (“Vanguard”) participate in a $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 fund’s regulatory and contractual borrowing restrictions. The participating funds are charged administrative fees and an annual commitment fee of 0.06% of the undrawn amount of the facility; these fees are allocated to the funds based on a method approved by the fund’s board of trustees and included in Management and Administrative expenses on the fund’s Statement of Operations. Any borrowings under this facility bear interest at a rate equal to the higher of the federal funds rate or LIBOR reference rate plus an agreed-upon spread.
The fund had no borrowings outstanding at February 29, 2016, or at any time during the period then ended.
7. Other: 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. 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. Fees assessed on capital share transactions are credited to paid-in capital.
Each class of shares has equal rights as to assets and earnings, except that each class separately bears certain class-specific expenses related to maintenance of shareholder accounts (included in Management and Administrative expenses) and shareholder reporting. Marketing and distribution expenses are allocated to each class of shares based on a method approved by the board of trustees. Income, other non-class-specific expenses, and gains and losses on investments are allocated to each class of shares based on its relative net assets.
B. In accordance with the terms of a Funds’ Service Agreement (the “FSA”) between Vanguard and the fund, Vanguard furnishes to the fund investment advisory, corporate management, administrative, marketing, and distribution services at Vanguard’s cost of operations (as defined by the FSA). These costs of operations are allocated to the fund based on methods and guidelines approved by the board of trustees. Vanguard does not require reimbursement in the current period for certain costs of operations (such as deferred compensation/benefits and risk/insurance costs); the fund’s liability for these costs of operations is included in Payables to Vanguard on the Statement of Net Assets.
117
Mortgage-Backed Securities Index Fund
Upon the request of Vanguard, the fund may invest up to 0.40% of its net assets as capital in Vanguard. At February 29, 2016, the fund had contributed to Vanguard capital in the amount of $218,000, representing 0.01% of the fund’s net assets and 0.09% of Vanguard’s capitalization. The fund’s trustees and officers are also directors and employees, respectively, of Vanguard.
C. Various inputs may be used to determine the value of the fund’s investments. These inputs are summarized in three broad levels for financial statement purposes. The inputs or methodologies used to value securities are not necessarily an indication of the risk associated with investing in those securities.
Level 1—Quoted prices in active markets for identical securities.
Level 2—Other significant observable inputs (including quoted prices for similar securities, interest rates, prepayment speeds, credit risk, etc.).
Level 3—Significant unobservable inputs (including the fund’s own assumptions used to determine the fair value of investments).
The following table summarizes the market value of the fund’s investments as of February 29, 2016, based on the inputs used to value them:
| Level 1 | Level 2 | Level 3 | |
| Investments | ($000) | ($000) | ($000) |
| U.S. Government and Agency Obligations | — | 2,553,199 | — |
| Temporary Cash Investments | 422,174 | — | — |
| Total | 422,174 | 2,553,199 | — |
D. Distributions are determined on a tax basis and may differ from net investment income and realized capital gains for financial reporting purposes. Differences may be permanent or temporary. Permanent differences are reclassified among capital accounts in the financial statements to reflect their tax character. Temporary differences arise when certain items of income, expense, gain, or loss are recognized in different periods for financial statement and tax purposes. These differences will reverse at some time in the future. Differences in classification may also result from the treatment of short-term gains as ordinary income for tax purposes.
At February 29, 2016, the cost of investment securities for tax purposes was $2,958,306,000. Net unrealized appreciation of investment securities for tax purposes was $17,067,000, consisting of unrealized gains of $19,437,000 on securities that had risen in value since their purchase and $2,370,000 in unrealized losses on securities that had fallen in value since their purchase.
E. During the six months ended February 29, 2016, the fund purchased $5,209,497,000 of investment securities and sold $4,583,005,000 of investment securities, other than temporary cash investments
118
Mortgage-Backed Securities Index Fund
F. Capital share transactions for each class of shares were:
| Six Months Ended | Year Ended | |||
| February 29, 2016 | August 31, 2015 | |||
| Amount | Shares | Amount | Shares | |
| ($000) | (000) | ($000) | (000) | |
| ETF Shares | ||||
| Issued1 | 657,970 | 12,375 | 1,164,548 | 21,900 |
| Issued in Lieu of Cash Distributions | — | — | — | — |
| Redeemed | (95,314) | (1,800) | (257,273) | (4,850) |
| Net Increase (Decrease) —ETF Shares | 562,656 | 10,575 | 907,275 | 17,050 |
| Admiral Shares | ||||
| Issued1 | 139,955 | 6,572 | 224,100 | 10,552 |
| Issued in Lieu of Cash Distributions | 2,937 | 139 | 2,844 | 134 |
| Redeemed | (70,203) | (3,304) | (110,064) | (5,184) |
| Net Increase (Decrease)—Admiral Shares | 72,689 | 3,407 | 116,880 | 5,502 |
| Institutional Shares | ||||
| Issued1 | 3,387 | 117 | 7,488 | 259 |
| Issued in Lieu of Cash Distributions | 603 | 21 | 677 | 24 |
| Redeemed | (4,576) | (158) | (73,872) | (2,603) |
| Net Increase (Decrease) —Institutional Shares | (586) | (20) | (65,707) | (2,320) |
| 1 Includes purchase fees for fiscal 2016 and 2015 of $0 and $579,000, respectively (fund totals). | ||||
G. Management has determined that no material events or transactions occurred subsequent to February 29, 2016, that would require recognition or disclosure in these financial statements.
119
About Your Fund’s Expenses
As a shareholder of the fund, you incur ongoing costs, which include costs for portfolio management, administrative services, and shareholder reports (like this one), among others. Operating expenses, which are deducted from a fund’s gross income, directly reduce the investment return of the fund.
A fund’s expenses are expressed as a percentage of its average net assets. This figure is known as the expense ratio. The following examples are intended to help you understand the ongoing costs (in dollars) of investing in your fund and to compare these costs with those of other mutual funds. The examples are based on an investment of $1,000 made at the beginning of the period shown and held for the entire period.
The accompanying table illustrates your fund’s costs in two ways:
• Based on actual fund return. This section helps you to estimate the actual expenses that you paid over the period. The ”Ending Account Value“ shown is derived from the fund‘s actual return, and the third column shows the dollar amount that would have been paid by an investor who started with $1,000 in the fund. You may use the information here, together with the amount you invested, to estimate the expenses that you paid over the period.
To do so, simply divide your account value by $1,000 (for example, an $8,600 account value divided by $1,000 = 8.6), then multiply the result by the number given for your fund under the heading ”Expenses Paid During Period.“
• Based on hypothetical 5% yearly return. This section is intended to help you compare your fund‘s costs with those of other mutual funds. It assumes that the fund had a yearly return of 5% before expenses, but that the expense ratio is unchanged. In this case—because the return used is not the fund’s actual return—the results do not apply to your investment. The example is useful in making comparisons because the Securities and Exchange Commission requires all mutual funds to calculate expenses based on a 5% return. You can assess your fund’s costs by comparing this hypothetical example with the hypothetical examples that appear in shareholder reports of other funds.
Note that the expenses shown in the table are meant to highlight and help you compare ongoing costs only and do not reflect transaction costs incurred by the fund for buying and selling securities. Further, the expenses do not include any purchase, redemption, or account service fees described in the fund prospectus. If such fees were applied to your account, your costs would be higher. Your fund does not carry a “sales load.”
The calculations assume no shares were bought or sold during the period. Your actual costs may have been higher or lower, depending on the amount of your investment and the timing of any purchases or redemptions.
You can find more information about the fund’s expenses, including annual expense ratios, in the Financial Statements section of this report. For additional information on operating expenses and other shareholder costs, please refer to your fund’s current prospectus.
120
| Six Months Ended February 29, 2016 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 8/31/2015 | 2/29/2016 | Period | |
| Based on Actual Fund Return | |||
| Short-Term Government Bond Index Fund | |||
| ETF Shares | $1,000.00 | $1,005.44 | $0.45 |
| Admiral Shares | 1,000.00 | 1,005.62 | 0.40 |
| Institutional Shares | 1,000.00 | 1,005.49 | 0.30 |
| Intermediate-Term Government Bond Index Fund | |||
| ETF Shares | $1,000.00 | $1,030.78 | $0.45 |
| Admiral Shares | 1,000.00 | 1,030.86 | 0.40 |
| Institutional Shares | 1,000.00 | 1,031.07 | 0.30 |
| Long-Term Government Bond Index Fund | |||
| ETF Shares | $1,000.00 | $1,086.32 | $0.47 |
| Admiral Shares | 1,000.00 | 1,086.58 | 0.47 |
| Institutional Shares | 1,000.00 | 1,086.72 | 0.31 |
| Short-Term Corporate Bond Index Fund | |||
| ETF Shares | $1,000.00 | $1,007.19 | $0.45 |
| Admiral Shares | 1,000.00 | 1,007.35 | 0.40 |
| Institutional Shares | 1,000.00 | 1,007.02 | 0.30 |
| Intermediate-Term Corporate Bond Index Fund | |||
| ETF Shares | $1,000.00 | $1,022.39 | $0.45 |
| Admiral Shares | 1,000.00 | 1,022.38 | 0.40 |
| Institutional Shares | 1,000.00 | 1,022.52 | 0.30 |
| Long-Term Corporate Bond Index Fund | |||
| ETF Shares | $1,000.00 | $1,016.07 | $0.40 |
| Admiral Shares | 1,000.00 | 1,016.45 | 0.40 |
| Institutional Shares | 1,000.00 | 1,016.09 | 0.30 |
| Mortgage-Backed Securities Index Fund | |||
| ETF Shares | $1,000.00 | $1,020.35 | $0.45 |
| Admiral Shares | 1,000.00 | 1,020.51 | 0.45 |
| Institutional Shares | 1,000.00 | 1,020.33 | 0.30 |
121
| Six Months Ended February 29, 2016 | |||
| Beginning | Ending | Expenses | |
| Account Value | Account Value | Paid During | |
| 8/31/2015 | 2/29/2016 | Period | |
| Based on Hypothetical 5% Yearly Return | |||
| Short-Term Government Bond Index Fund | |||
| ETF Shares | $1,000.00 | $1,024.42 | $0. |
| Admiral Shares | 1,000.00 | 1,024.47 | 0. |
| Institutional Shares | 1,000.00 | 1,024.57 | 0. |
| Intermediate-Term Government Bond Index Fund | |||
| ETF Shares | $1,000.00 | $1,024.42 | $0. |
| Admiral Shares | 1,000.00 | 1,024.47 | 0. |
| Institutional Shares | 1,000.00 | 1,024.57 | 0. |
| Long-Term Government Bond Index Fund | |||
| ETF Shares | $1,000.00 | $1,024.42 | $0. |
| Admiral Shares | 1,000.00 | 1,024.42 | 0. |
| Institutional Shares | 1,000.00 | 1,024.57 | 0. |
| Short-Term Corporate Bond Index Fund | |||
| ETF Shares | $1,000.00 | $1,024.42 | $0. |
| Admiral Shares | 1,000.00 | 1,024.47 | 0. |
| Institutional Shares | 1,000.00 | 1,024.57 | 0. |
| Intermediate-Term Corporate Bond Index Fund | |||
| ETF Shares | $1,000.00 | $1,024.42 | $0. |
| Admiral Shares | 1,000.00 | 1,024.47 | 0. |
| Institutional Shares | 1,000.00 | 1,024.57 | 0. |
| Long-Term Corporate Bond Index Fund | |||
| ETF Shares | $1,000.00 | $1,024.47 | $0. |
| Admiral Shares | 1,000.00 | 1,024.47 | 0. |
| Institutional Shares | 1,000.00 | 1,024.57 | 0. |
| Mortgage-Backed Securities Index Fund | |||
| ETF Shares | $1,000.00 | $1,024.42 | $0. |
| Admiral Shares | 1,000.00 | 1,024.42 | 0. |
| Institutional Shares | 1,000.00 | 1,024.57 | 0. |
The calculations are based on expenses incurred in the most recent six-month period. The funds’ annualized six-month expense ratios for that period are: for the Short-Term Government Bond Index Fund, 0.09% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares; for the Intermediate-Term Government Bond Index Fund, 0.09% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares; for the Long-Term Government Bond Index Fund, 0.09% for ETF Shares, 0.09% for Admiral Shares, and 0.06% for Institutional Shares; for the Short-Term Corporate Bond Index Fund, 0.09% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares; for the Intermediate-Term Corporate Bond Index Fund, 0.09% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares; for the Long-Term Corporate Bond Index Fund, 0.08% for ETF Shares, 0.08% for Admiral Shares, and 0.06% for Institutional Shares; for the Mortgage-Backed Securities Index Fund, 0.09% for ETF Shares, 0.09% for Admiral Shares, and 0.06% for Institutional Shares. The dollar amounts shown as ”Expenses Paid” are equal to the annualized expense ratio multiplied by the average account value over the period, multiplied by the number of days in the most recent six-month period, then divided by the number of days in the most recent 12-month period (182/366).
122
Glossary
30-Day SEC Yield. A fund’s 30-day SEC yield is derived using a formula specified by the U.S. Securities and Exchange Commission. Under the formula, data related to the fund’s security holdings in the previous 30 days are used to calculate the fund’s hypothetical net income for that period, which is then annualized and divided by the fund’s estimated average net assets over the calculation period. For the purposes of this calculation, a security’s income is based on its current market yield to maturity (for bonds), its actual income (for asset-backed securities), or its projected dividend yield (for stocks). Because the SEC yield represents hypothetical annualized income, it will differ—at times significantly—from the fund’s actual experience. As a result, the fund’s income distributions may be higher or lower than implied by the SEC yield.
Average Coupon. The average interest rate paid on the fixed income securities held by a fund. It is expressed as a percentage of face value.
Average Duration. An estimate of how much the value of the bonds held by a fund will fluctuate in response to a change in interest rates. To see how the value could change, multiply the average duration by the change in rates. If interest rates rise by 1 percentage point, the value of the bonds in a fund with an average duration of five years would decline by about 5%. If rates decrease by a percentage point, the value would rise by 5%.
Average Effective Maturity. The average length of time until fixed income securities held by a fund reach maturity and are repaid, taking into consideration the possibility that the issuer may call the bond before its maturity date. The figure reflects the proportion of fund assets represented by each security; it also reflects any futures contracts held. In general, the longer the average effective maturity, the more a fund’s share price will fluctuate in response to changes in market interest rates.
Beta. A measure of the magnitude of a fund’s past share-price fluctuations in relation to the ups and downs of a given market index. The index is assigned a beta of 1.00. Compared with a given index, a fund with a beta of 1.20 typically would have seen its share price rise or fall by 12% when the index rose or fell by 10%. For this report, beta is based on returns over the past 36 months for both the fund and the index. Note that a fund’s beta should be reviewed in conjunction with its R-squared (see definition). The lower the R-squared, the less correlation there is between the fund and the index, and the less reliable beta is as an indicator of volatility.
Credit Quality. Credit-quality ratings are measured on a scale that generally ranges from AAA (highest) to D (lowest). U.S. Treasury, U.S. Agency, and U.S. Agency mortgage-backed securities appear under “U.S. Government.” Credit-quality ratings are obtained from Barclays and are from Moody’s, Fitch, and S&P. When ratings from all three agencies are used, the median rating is shown. When ratings from two of the agencies are used, the lower rating for each issue is shown. “Not Rated” is used to classify securities for which a rating is not available.
Expense Ratio. A fund’s total annual operating expenses expressed as a percentage of the fund’s average net assets. The expense ratio includes management and administrative expenses, but does not include the transaction costs of buying and selling portfolio securities.
Inception Date. The date on which the assets of a fund (or one of its share classes) are first invested in accordance with the fund’s investment objective. For funds with a subscription period, the inception date is the day after that period ends. Investment performance is measured from the inception date.
123
R-Squared. A measure of how much of a fund’s past returns can be explained by the returns from the market in general, as measured by a given index. If a fund’s total returns were precisely synchronized with an index’s returns, its R-squared would be 1.00. If the fund’s returns bore no relationship to the index’s returns, its R-squared would be 0. For this report, R-squared is based on returns over the past 36 months for both the fund and the index.
Short-Term Reserves. The percentage of a fund invested in highly liquid, short-term securities that can be readily converted to cash.
Yield to Maturity. The rate of return an investor would receive if the fixed income securities held by a fund were held to their maturity dates.
124
The Vanguard funds are not sponsored, endorsed, issued, sold, or promoted by Barclays Capital Inc. or any of its affiliates (“Barclays”). Barclays makes no representation or warranty, express or implied, to the owners or purchasers of the funds or any member of the public regarding the advisability of investing in securities generally or in the funds particularly or the ability of the Barclays indexes to track general bond market performance. Barclays has not passed on the legality or suitability of the funds with respect to any person or entity. Barclays’ only relationship to Vanguard and the funds is the licensing of the Barclays indexes, which are determined, composed, and calculated by Barclays without regard to Vanguard or the funds or any owners or purchasers of the funds. Barclays has no obligation to take the needs of Vanguard, the funds, or the owners of the funds into consideration in determining, composing, or calculating the Barclays indexes. Barclays is not responsible for and has not participated in the determination of the timing of, prices at, or quantities of the funds to be issued. Barclays has no obligation or liability in connection with the administration, marketing, or trading of the funds.
Barclays shall have no liability to third parties for the quality, accuracy, and/or completeness of the indexes or any data included therein or for interruptions in the delivery of the indexes. Barclays makes no warranty, express or implied, as to results to be obtained by owners of the funds or any other person or entity from the use of the indexes or any data included therein in connection with the rights licensed hereunder or for any other use. Barclays reserves the right to change the methods of calculation or publication, or to cease the calculation or publication of the Barclays U.S. 1–3 Year Government Float Adjusted Index, Barclays U.S. 3–10 Year Government Float Adjusted Index, Barclays U.S. Long Government Float Adjusted Index, Barclays U.S. 1–5 Year Corporate Bond Index, Barclays U.S. 5–10 Year Corporate Bond Index, Barclays U.S. 10+ Year Corporate Bond Index, or Barclays U.S. MBS Float Adjusted Index, and Barclays shall not be liable for any miscalculation of or any incorrect, delayed, or interrupted publication with respect to any of the Barclays indexes. Barclays makes no express or implied warranties, and hereby expressly disclaims all warranties of merchantability or fitness for a particular purpose or use with respect to the indexes or any data included therein. Barclays shall not be liable for any damages, including, without limitation, any indirect or consequential damages resulting from the use of the indexes or any data included therein.
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The People Who Govern Your Fund
The trustees of your mutual fund are there to see that the fund is operated and managed in your best interests since, as a shareholder, you are a part owner of the fund. Your fund’s trustees also serve on the board of directors of The Vanguard Group, Inc., which is owned by the Vanguard funds and provides services to them on an at-cost basis.
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 196 Vanguard funds.
The following table provides information for each trustee and executive officer of the fund. More information about the trustees is in the Statement of Additional Information, which can be obtained, without charge, by contacting Vanguard at 800-662-7447, or online at vanguard.com.
| InterestedTrustee1 | Rajiv L. Gupta |
| Born 1945. Trustee Since December 2001.2 Principal | |
| F. William McNabb III | Occupation(s) During the Past Five Years and Other |
| Born 1957. Trustee Since July 2009. Chairman of | Experience: Chairman and Chief Executive Officer |
| the Board. Principal Occupation(s) During the Past | (retired 2009) and President (2006–2008) of |
| Five Years and Other Experience: Chairman of the | Rohm and Haas Co. (chemicals); Director of Tyco |
| Board of The Vanguard Group, Inc., and of each of | International PLC (diversified manufacturing and |
| the investment companies served by The Vanguard | services), HP Inc. (printer and personal computer |
| Group, since January 2010; Director of The Vanguard | manufacturing), and Delphi Automotive PLC |
| Group since 2008; Chief Executive Officer and | (automotive components); Senior Advisor at |
| President of The Vanguard Group, and of each of | New Mountain Capital. |
| the investment companies served by The Vanguard | |
| Group, since 2008; Director of Vanguard Marketing | Amy Gutmann |
| Corporation; Managing Director of The Vanguard | Born 1949. Trustee Since June 2006. Principal |
| Group (1995–2008). | Occupation(s) During the Past Five Years and |
| Other Experience: President of the University of | |
| IndependentTrustees | Pennsylvania; Christopher H. Browne Distinguished |
| Professor of Political Science, School of Arts and | |
| Emerson U. Fullwood | Sciences, and Professor of Communication, Annenberg |
| Born 1948. Trustee Since January 2008. Principal | School for Communication, with secondary faculty |
| Occupation(s) During the Past Five Years and Other | appointments in the Department of Philosophy, School |
| Experience: Executive Chief Staff and Marketing | of Arts and Sciences, and at the Graduate School of |
| Officer for North America and Corporate Vice President | Education, University of Pennsylvania; Trustee of the |
| (retired 2008) of Xerox Corporation (document manage- | National Constitution Center; Chair of the Presidential |
| ment products and services); Executive in Residence | Commission for the Study of Bioethical Issues. |
| and 2009–2010 Distinguished Minett Professor at | |
| the Rochester Institute of Technology; Lead Director | JoAnn Heffernan Heisen |
| of SPX FLOW, Inc. (multi-industry manufacturing); | Born 1950. Trustee Since July 1998. Principal |
| Director of the United Way of Rochester, the University | Occupation(s) During the Past Five Years and |
| of Rochester Medical Center, Monroe Community | Other Experience: Corporate Vice President and |
| College Foundation, North Carolina A&T University, | Chief Global Diversity Officer (retired 2008) and |
| and Roberts Wesleyan College. | Member of the Executive Committee (1997–2008) |
| of Johnson & Johnson (pharmaceuticals/medical | |
| devices/consumer products); Director of Skytop | |
| Lodge Corporation (hotels) and the Robert Wood | |
| Johnson Foundation; Member of the Advisory | |
| Board of the Institute for Women’s Leadership | |
| at Rutgers University. |
| F. Joseph Loughrey | Executive Officers | |
| Born 1949. Trustee Since October 2009. Principal | ||
| Occupation(s) During the Past Five Years and Other | Glenn Booraem | |
| Experience: President and Chief Operating Officer | Born 1967. Treasurer Since May 2015. Principal | |
| (retired 2009) of Cummins Inc. (industrial machinery); | Occupation(s) During the Past Five Years and | |
| Chairman of the Board of Hillenbrand, Inc. (specialized | Other Experience: Principal of The Vanguard Group, | |
| consumer services), and of Oxfam America; Director | Inc.; Treasurer of each of the investment companies | |
| of SKF AB (industrial machinery), Hyster-Yale Materials | served by The Vanguard Group; Controller of each of | |
| Handling, Inc. (forklift trucks), the Lumina Foundation | the investment companies served by The Vanguard | |
| for Education, and the V Foundation for Cancer | Group (2010–2015); Assistant Controller of each of | |
| Research; Member of the Advisory Council for the | the investment companies served by The Vanguard | |
| College of Arts and Letters and of the Advisory Board | Group (2001–2010). | |
| to the Kellogg Institute for International Studies, both | ||
| at the University of Notre Dame. | Thomas J. Higgins | |
| Born 1957. Chief Financial Officer Since September | ||
| Mark Loughridge | 2008. Principal Occupation(s) During the Past Five | |
| Born 1953. Trustee Since March 2012. Principal | Years and Other Experience: Principal of The Vanguard | |
| Occupation(s) During the Past Five Years and Other | Group, Inc.; Chief Financial Officer of each of the | |
| Experience: Senior Vice President and Chief Financial | investment companies served by The Vanguard Group; | |
| Officer (retired 2013) at IBM (information technology | Treasurer of each of the investment companies served | |
| services); Fiduciary Member of IBM’s Retirement Plan | by The Vanguard Group (1998–2008). | |
| Committee (2004–2013); Director of the Dow Chemical | ||
| Company; Member of the Council on Chicago Booth. | Peter Mahoney | |
| Born 1974. Controller Since May 2015. Principal | ||
| Scott C. Malpass | Occupation(s) During the Past Five Years and | |
| Born 1962. Trustee Since March 2012. Principal | Other Experience: Head of Global Fund Accounting | |
| Occupation(s) During the Past Five Years and Other | at The Vanguard Group, Inc.; Controller of each of the | |
| Experience: Chief Investment Officer and Vice | investment companies served by The Vanguard Group; | |
| President at the University of Notre Dame; Assistant | Head of International Fund Services at The Vanguard | |
| Professor of Finance at the Mendoza College of | Group (2008–2014). | |
| Business at Notre Dame; Member of the Notre Dame | ||
| 403(b) Investment Committee, the Board of Advisors | Heidi Stam | |
| for Spruceview Capital Partners, and the Investment | Born 1956. Secretary Since July 2005. Principal | |
| Advisory Committee of Major League Baseball; Board | Occupation(s) During the Past Five Years and Other | |
| Member of TIFF Advisory Services, Inc., and Catholic | Experience: Managing Director of The Vanguard | |
| Investment Services, Inc. (investment advisors). | Group, Inc.; General Counsel of The Vanguard Group; | |
| Secretary of The Vanguard Group and of each of the | ||
| André F. Perold | investment companies served by The Vanguard Group; | |
| Born 1952. Trustee Since December 2004. Principal | Director and Senior Vice President of Vanguard | |
| Occupation(s) During the Past Five Years and Other | Marketing Corporation. | |
| Experience: George Gund Professor of Finance and | ||
| Banking, Emeritus at the Harvard Business School | Vanguard Senior ManagementTeam | |
| (retired 2011); Chief Investment Officer and Managing | Mortimer J. Buckley | James M. Norris |
| Partner of HighVista Strategies LLC (private investment | Kathleen C. Gubanich | Thomas M. Rampulla |
| firm); Director of Rand Merchant Bank; Overseer of | Martha G. King | Glenn W. Reed |
| the Museum of Fine Arts Boston. | John T. Marcante | Karin A. Risi |
| Chris D. McIsaac | ||
| Peter F. Volanakis | ||
| Born 1955. Trustee Since July 2009. Principal | Chairman Emeritus and Senior Advisor | |
| Occupation(s) During the Past Five Years and Other | ||
| Experience: President and Chief Operating Officer | John J. Brennan | |
| (retired 2010) of Corning Incorporated (communications | Chairman, 1996–2009 | |
| equipment); Trustee of Colby-Sawyer College and | Chief Executive Officer and President, 1996–2008 | |
| Chairman of its Finance and Enrollment Committee; | ||
| Member of the Advisory Board of the Norris Cotton | Founder | |
| Cancer Center. | ||
| John C. Bogle | ||
| Chairman and Chief Executive Officer, 1974–1996 | ||
1 Mr. McNabb is considered an “interested person,” as defined in the Investment Company Act of 1940, because he is an officer of theVanguard funds.
2 December 2002 for Vanguard Equity Income Fund, the Vanguard Municipal Bond Funds, and the Vanguard State Tax-Exempt Funds.
 | |
| P.O. Box 2600 | |
| Valley Forge, PA 19482-2600 | |
| Connect with Vanguard® > vanguard.com | |
| Fund Information > 800-662-7447 | |
| Direct Investor Account Services > 800-662-2739 | |
| Institutional Investor Services > 800-523-1036 | |
| Text Telephone for People | |
| Who Are Deaf or Hard of Hearing> 800-749-7273 | |
| This material may be used in conjunction | |
| with the offering of shares of any Vanguard | |
| fund only if preceded or accompanied by | |
| the fund’s current prospectus. | |
| All comparative mutual fund data are from Lipper, a | |
| Thomson Reuters Company, or Morningstar, Inc., unless | |
| otherwise noted. | |
| 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, 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 sec.gov. | |
| You can review and copy information about your fund at | |
| the SEC’s Public Reference Room in Washington, D.C. To | |
| find out more about this public service, call the SEC at | |
| 202-551-8090. Information about your fund is also | |
| available on the SEC’s website, and you can receive | |
| copies of this information, for a fee, by sending a | |
| request in either of two ways: via email addressed to | |
| publicinfo@sec.gov or via regular mail addressed to the | |
| Public Reference Section, Securities and Exchange | |
| Commission, Washington, DC 20549-1520. | |
| © 2016 The Vanguard Group, Inc. | |
| All rights reserved. | |
| Vanguard Marketing Corporation, Distributor. | |
| Q16422 042016 | |
Item 2: Code of Ethics.
Not Applicable.
Item 3: Audit Committee Financial Expert.
Not Applicable.
Item 4: Principal Accountant Fees and Services.
(a) Audit Fees.
Not Applicable.
Item 5: Audit Committee of Listed Registrants.
Not Applicable.
Item 6: Investments.
| Vanguard® Russell 1000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Common Stocks (99.5%)1 | |||
| Consumer Discretionary (14.9%) | |||
| * | Amazon.com Inc. | 37,044 | 20,468 |
| Walt Disney Co. | 165,044 | 15,765 | |
| Home Depot Inc. | 126,396 | 15,688 | |
| Comcast Corp. Class A | 243,555 | 14,060 | |
| McDonald's Corp. | 93,057 | 10,905 | |
| Wal-Mart Stores Inc. | 153,258 | 10,167 | |
| Starbucks Corp. | 145,646 | 8,478 | |
| NIKE Inc. Class B | 131,596 | 8,105 | |
| Costco Wholesale Corp. | 42,795 | 6,421 | |
| * | Priceline Group Inc. | 5,049 | 6,388 |
| Lowe's Cos. Inc. | 92,394 | 6,239 | |
| Time Warner Inc. | 80,266 | 5,314 | |
| Time Warner Cable Inc. | 27,456 | 5,240 | |
| TJX Cos. Inc. | 66,036 | 4,893 | |
| Target Corp. | 62,049 | 4,868 | |
| Ford Motor Co. | 379,565 | 4,748 | |
| General Motors Co. | 156,382 | 4,604 | |
| * | Netflix Inc. | 41,162 | 3,845 |
| Twenty-First Century Fox Inc. Class A | 108,822 | 2,940 | |
| Yum! Brands Inc. | 39,672 | 2,875 | |
| * | eBay Inc. | 118,357 | 2,817 |
| * | O'Reilly Automotive Inc. | 9,795 | 2,550 |
| * | AutoZone Inc. | 3,042 | 2,356 |
| Johnson Controls Inc. | 63,419 | 2,312 | |
| Ross Stores Inc. | 40,195 | 2,210 | |
| Dollar General Corp. | 29,697 | 2,205 | |
| CBS Corp. Class B | 44,659 | 2,161 | |
| VF Corp. | 32,638 | 2,125 | |
| L Brands Inc. | 23,936 | 2,030 | |
| Carnival Corp. | 41,481 | 1,989 | |
| Estee Lauder Cos. Inc. Class A | 20,502 | 1,872 | |
| Omnicom Group Inc. | 23,876 | 1,858 | |
| Delphi Automotive plc | 27,781 | 1,852 | |
| *,^ | Tesla Motors Inc. | 9,489 | 1,821 |
| Nielsen Holdings plc | 35,935 | 1,809 | |
| * | Dollar Tree Inc. | 22,490 | 1,805 |
| Las Vegas Sands Corp. | 35,655 | 1,721 | |
| * | Chipotle Mexican Grill Inc. Class A | 2,990 | 1,522 |
| * | Under Armour Inc. Class A | 17,519 | 1,466 |
| Genuine Parts Co. | 14,816 | 1,336 | |
| *,^ | Charter Communications Inc. Class A | 7,360 | 1,322 |
| Macy's Inc. | 30,190 | 1,305 | |
| Marriott International Inc.Class A | 19,125 | 1,303 | |
| Twenty-First Century Fox Inc. | 46,715 | 1,269 | |
| Royal Caribbean Cruises Ltd. | 16,632 | 1,237 | |
| Viacom Inc. Class B | 33,423 | 1,232 | |
| * | Liberty Interactive Corp. QVC Group Class A | 48,073 | 1,220 |
| Whirlpool Corp. | 7,788 | 1,210 | |
| Expedia Inc. | 11,562 | 1,204 | |
| Starwood Hotels & Resorts Worldwide Inc. | 16,715 | 1,155 | |
| Tractor Supply Co. | 13,396 | 1,133 | |
| Hanesbrands Inc. | 39,087 | 1,114 | |
| * | Jarden Corp. | 20,155 | 1,066 |
| * | Mohawk Industries Inc. | 5,924 | 1,065 |
| Mattel Inc. | 32,636 | 1,061 | |
| Hilton Worldwide Holdings Inc. | 50,543 | 1,050 | |
| * | Ulta Salon Cosmetics & Fragrance Inc. | 6,319 | 1,044 |
| Advance Auto Parts Inc. | 7,002 | 1,039 | |
| Coach Inc. | 26,507 | 1,032 | |
| * | Michael Kors Holdings Ltd. | 17,688 | 1,002 |
| * | DISH Network Corp. Class A | 21,203 | 999 |
1
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Newell Rubbermaid Inc. | 26,145 | 994 |
| Best Buy Co. Inc. | 29,856 | 967 |
| * CarMax Inc. | 18,857 | 872 |
| Interpublic Group of Cos. Inc. | 40,535 | 867 |
| DR Horton Inc. | 32,240 | 861 |
| Signet Jewelers Ltd. | 7,906 | 857 |
| Kohl's Corp. | 18,231 | 851 |
| Foot Locker Inc. | 13,513 | 845 |
| * MGM Resorts International | 43,718 | 828 |
| Hasbro Inc. | 10,722 | 814 |
| * LKQ Corp. | 29,151 | 805 |
| Harley-Davidson Inc. | 18,399 | 794 |
| Wyndham Worldwide Corp. | 10,883 | 793 |
| * Bed Bath & Beyond Inc. | 16,268 | 780 |
| * Sirius XM Holdings Inc. | 208,185 | 774 |
| Goodyear Tire & Rubber Co. | 25,661 | 773 |
| Fortune Brands Home & Security Inc. | 15,354 | 771 |
| Darden Restaurants Inc. | 11,936 | 762 |
| Lear Corp. | 7,414 | 751 |
| H&R Block Inc. | 22,692 | 746 |
| Lennar Corp. Class A | 17,125 | 718 |
| Tiffany & Co. | 10,948 | 711 |
| Domino's Pizza Inc. | 5,312 | 707 |
| BorgWarner Inc. | 21,572 | 705 |
| * lululemon athletica Inc. | 10,909 | 684 |
| * TripAdvisor Inc. | 10,735 | 672 |
| * Liberty Media Corp. | 19,236 | 671 |
| Wynn Resorts Ltd. | 8,033 | 663 |
| * NVR Inc. | 392 | 642 |
| Cablevision Systems Corp. Class A | 19,636 | 639 |
| Gap Inc. | 23,009 | 636 |
| Nordstrom Inc. | 12,360 | 634 |
| PVH Corp. | 7,948 | 629 |
| * Norwegian Cruise Line Holdings Ltd. | 12,760 | 627 |
| * Discovery Communications Inc. | 24,608 | 607 |
| PulteGroup Inc. | 35,235 | 606 |
| Aramark | 18,818 | 591 |
| Leggett & Platt Inc. | 13,226 | 591 |
| Staples Inc. | 61,466 | 581 |
| Polaris Industries Inc. | 6,487 | 570 |
| TEGNA Inc. | 22,012 | 542 |
| Scripps Networks Interactive Inc. Class A | 9,012 | 534 |
| Harman International Industries Inc. | 6,913 | 530 |
| Carter's Inc. | 5,209 | 529 |
| News Corp. Class A | 48,255 | 522 |
| Ralph Lauren Corp. Class A | 5,737 | 521 |
| * Liberty Ventures Class A | 13,773 | 505 |
| * WABCO Holdings Inc. | 5,271 | 497 |
| * Panera Bread Co. Class A | 2,382 | 494 |
| KAR Auction Services Inc. | 13,903 | 492 |
| Garmin Ltd. | 11,827 | 479 |
| * Toll Brothers Inc. | 16,878 | 463 |
| Service Corp. International | 19,681 | 463 |
| Lamar Advertising Co. Class A | 8,097 | 463 |
| Williams-Sonoma Inc. | 8,716 | 454 |
| * Sally Beauty Holdings Inc. | 14,145 | 447 |
| Dunkin' Brands Group Inc. | 9,588 | 447 |
| Gentex Corp. | 29,003 | 422 |
| * Skechers U.S.A. Inc. Class A | 12,317 | 405 |
| Brunswick Corp. | 9,328 | 397 |
| * Discovery Communications Inc. Class A | 15,562 | 389 |
| Cinemark Holdings Inc. | 11,711 | 388 |
| * AMC Networks Inc. Class A | 5,869 | 385 |
| * ServiceMaster Global Holdings Inc. | 10,101 | 383 |
2
| Vanguard® Russell 1000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Dick's Sporting Goods Inc. | 8,596 | 365 | |
| * | AutoNation Inc. | 7,075 | 364 |
| * | Liberty Media Corp. Class A | 10,183 | 363 |
| Six Flags Entertainment Corp. | 7,023 | 357 | |
| * | Liberty Broadband Corp. | 6,675 | 336 |
| * | Hertz Global Holdings Inc. | 39,285 | 334 |
| GameStop Corp. Class A | 10,672 | 329 | |
| * | Tempur Sealy International Inc. | 5,677 | 327 |
| * | Madison Square Garden Co. Class A | 2,043 | 317 |
| * | Vista Outdoor Inc. | 6,383 | 315 |
| * | Live Nation Entertainment Inc. | 14,259 | 314 |
| * | JC Penney Co. Inc. | 30,309 | 309 |
| Brinker International Inc. | 5,758 | 287 | |
| * | Office Depot Inc. | 55,775 | 283 |
| Visteon Corp. | 3,986 | 279 | |
| Outfront Media Inc. | 13,495 | 276 | |
| Tribune Media Co. Class A | 7,315 | 263 | |
| Thor Industries Inc. | 4,655 | 258 | |
| * | Murphy USA Inc. | 4,029 | 257 |
| Tupperware Brands Corp. | 5,072 | 253 | |
| AMERCO | 736 | 252 | |
| * | Avis Budget Group Inc. | 9,748 | 250 |
| ^ | Coty Inc. Class A | 8,494 | 242 |
| * | Urban Outfitters Inc. | 9,035 | 239 |
| * | Kate Spade & Co. | 11,909 | 236 |
| CST Brands Inc. | 7,164 | 232 | |
| * | Cabela's Inc. | 4,743 | 228 |
| * | Pandora Media Inc. | 21,622 | 221 |
| Lions Gate Entertainment Corp. | 9,481 | 200 | |
| * | Starz | 7,802 | 197 |
| Choice Hotels International Inc. | 3,732 | 193 | |
| Wendy's Co. | 19,810 | 186 | |
| * | Fossil Group Inc. | 3,898 | 183 |
| Dillard's Inc. Class A | 2,167 | 181 | |
| John Wiley & Sons Inc. Class A | 4,135 | 180 | |
| Graham Holdings Co. Class B | 358 | 175 | |
| DSW Inc. Class A | 6,624 | 174 | |
| Avon Products Inc. | 45,085 | 172 | |
| * | Hyatt Hotels Corp. Class A | 3,653 | 169 |
| Cable One Inc. | 368 | 158 | |
| Gannett Co. Inc. | 10,056 | 153 | |
| ^ | Regal Entertainment Group Class A | 7,228 | 142 |
| Penske Automotive Group Inc. | 3,668 | 138 | |
| * | Michaels Cos. Inc. | 5,697 | 133 |
| Aaron's Inc. | 5,613 | 129 | |
| * | Liberty Broadband Corp. Class A | 2,500 | 126 |
| International Game Technology plc | 8,148 | 120 | |
| *,^ | GoPro Inc. Class A | 9,751 | 116 |
| * | MSG Networks Inc. | 5,259 | 86 |
| Extended Stay America Inc. | 4,763 | 70 | |
| *,^ | Fitbit Inc. Class A | 3,900 | 48 |
| Viacom Inc. Class A | 916 | 38 | |
| Lennar Corp. Class B | 864 | 29 | |
| * | Sears Holdings Corp. | 1,106 | 19 |
| Clear Channel Outdoor Holdings Inc. Class A | 3,507 | 13 | |
| 278,044 | |||
| Consumer Staples (8.8%) | |||
| Procter & Gamble Co. | 263,705 | 21,173 | |
| Coca-Cola Co. | 381,198 | 16,441 | |
| PepsiCo Inc. | 143,670 | 14,054 | |
| Philip Morris International Inc. | 150,701 | 13,718 | |
| Altria Group Inc. | 190,850 | 11,751 | |
| CVS Health Corp. | 109,540 | 10,644 | |
| Walgreens Boots Alliance Inc. | 83,421 | 6,585 | |
3
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Mondelez International Inc. Class A | 158,250 | 6,414 |
| Colgate-Palmolive Co. | 87,897 | 5,770 |
| Kimberly-Clark Corp. | 35,424 | 4,616 |
| Kraft Heinz Co. | 57,636 | 4,439 |
| Reynolds American Inc. | 80,245 | 4,047 |
| Kroger Co. | 95,294 | 3,803 |
| General Mills Inc. | 57,774 | 3,400 |
| Sysco Corp. | 57,685 | 2,546 |
| Constellation Brands Inc. Class A | 16,054 | 2,271 |
| Archer-Daniels-Midland Co. | 60,477 | 2,114 |
| * Monster Beverage Corp. | 14,658 | 1,840 |
| Tyson Foods Inc. Class A | 28,399 | 1,839 |
| Kellogg Co. | 24,507 | 1,814 |
| ConAgra Foods Inc. | 41,730 | 1,755 |
| Dr Pepper Snapple Group Inc. | 18,495 | 1,693 |
| Clorox Co. | 12,657 | 1,600 |
| JM Smucker Co. | 11,658 | 1,487 |
| Mead Johnson Nutrition Co. | 18,100 | 1,335 |
| Molson Coors Brewing Co. Class B | 15,398 | 1,313 |
| Hershey Co. | 14,216 | 1,292 |
| McCormick & Co. Inc. | 12,551 | 1,170 |
| Church & Dwight Co. Inc. | 12,873 | 1,168 |
| Keurig Green Mountain Inc. | 12,557 | 1,154 |
| Brown-Forman Corp. Class B | 11,440 | 1,126 |
| Hormel Foods Corp. | 25,689 | 1,092 |
| Coca-Cola Enterprises Inc. | 22,464 | 1,090 |
| Campbell Soup Co. | 16,756 | 1,035 |
| Whole Foods Market Inc. | 31,811 | 996 |
| * Rite Aid Corp. | 94,910 | 755 |
| Ingredion Inc. | 7,037 | 712 |
| Bunge Ltd. | 13,610 | 677 |
| * WhiteWave Foods Co. Class A | 16,891 | 654 |
| Pinnacle Foods Inc. | 11,227 | 485 |
| * Edgewell Personal Care Co. | 6,169 | 472 |
| * Sprouts Farmers Market Inc. | 15,108 | 430 |
| * Herbalife Ltd. | 7,309 | 400 |
| * Hain Celestial Group Inc. | 10,180 | 376 |
| Flowers Foods Inc. | 17,464 | 299 |
| Brown-Forman Corp. Class A | 2,744 | 292 |
| Energizer Holdings Inc. | 6,469 | 252 |
| Spectrum Brands Holdings Inc. | 2,620 | 251 |
| GNC Holdings Inc. Class A | 7,967 | 227 |
| Nu Skin Enterprises Inc. Class A | 6,046 | 184 |
| * Pilgrim's Pride Corp. | 5,686 | 139 |
| * Blue Buffalo Pet Products Inc. | 3,590 | 66 |
| 165,256 | ||
| Energy (6.2%) | ||
| Exxon Mobil Corp. | 406,467 | 32,578 |
| Chevron Corp. | 182,838 | 15,256 |
| Schlumberger Ltd. | 123,292 | 8,843 |
| Occidental Petroleum Corp. | 74,599 | 5,134 |
| Phillips 66 | 52,606 | 4,176 |
| ConocoPhillips | 119,939 | 4,058 |
| EOG Resources Inc. | 53,492 | 3,463 |
| Kinder Morgan Inc. | 172,493 | 3,120 |
| Valero Energy Corp. | 46,666 | 2,804 |
| Halliburton Co. | 82,423 | 2,661 |
| Spectra Energy Corp. | 65,434 | 1,911 |
| Pioneer Natural Resources Co. | 15,700 | 1,892 |
| Anadarko Petroleum Corp. | 49,165 | 1,866 |
| Baker Hughes Inc. | 42,021 | 1,801 |
| Marathon Petroleum Corp. | 52,477 | 1,797 |
| Apache Corp. | 36,899 | 1,413 |
| * Cameron International Corp. | 18,645 | 1,222 |
4
| Vanguard® Russell 1000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Noble Energy Inc. | 41,435 | 1,222 | |
| Hess Corp. | 26,922 | 1,174 | |
| Williams Cos. Inc. | 72,842 | 1,165 | |
| * | Concho Resources Inc. | 12,378 | 1,117 |
| National Oilwell Varco Inc. | 37,453 | 1,096 | |
| Tesoro Corp. | 12,177 | 982 | |
| Devon Energy Corp. | 46,705 | 919 | |
| * | Cheniere Energy Inc. | 23,253 | 831 |
| EQT Corp. | 14,505 | 809 | |
| Cabot Oil & Gas Corp. | 39,961 | 804 | |
| Cimarex Energy Co. | 9,022 | 758 | |
| Columbia Pipeline Group Inc. | 38,438 | 698 | |
| HollyFrontier Corp. | 17,515 | 592 | |
| * | FMC Technologies Inc. | 22,137 | 543 |
| Marathon Oil Corp. | 65,700 | 539 | |
| * | First Solar Inc. | 7,443 | 535 |
| Helmerich & Payne Inc. | 9,514 | 504 | |
| * | Diamondback Energy Inc. | 6,974 | 497 |
| ONEOK Inc. | 20,287 | 487 | |
| * | Weatherford International plc | 74,151 | 475 |
| * | Newfield Exploration Co. | 15,857 | 432 |
| Targa Resources Corp. | 15,689 | 422 | |
| Range Resources Corp. | 16,870 | 400 | |
| World Fuel Services Corp. | 6,654 | 311 | |
| Murphy Oil Corp. | 17,488 | 300 | |
| PBF Energy Inc. Class A | 8,932 | 270 | |
| Oceaneering International Inc. | 9,648 | 266 | |
| * | Gulfport Energy Corp. | 10,212 | 245 |
| Nabors Industries Ltd. | 32,702 | 234 | |
| Energen Corp. | 8,026 | 213 | |
| * | Continental Resources Inc. | 9,085 | 211 |
| *,^ | Southwestern Energy Co. | 36,098 | 209 |
| Ensco plc Class A | 23,509 | 204 | |
| Patterson-UTI Energy Inc. | 13,045 | 203 | |
| Noble Corp. plc | 23,947 | 200 | |
| * | Dril-Quip Inc. | 3,469 | 188 |
| * | NOW Inc. | 11,292 | 183 |
| QEP Resources Inc. | 18,107 | 177 | |
| CONSOL Energy Inc. | 20,280 | 175 | |
| Rowan Cos. plc Class A | 12,553 | 167 | |
| Superior Energy Services Inc. | 15,882 | 163 | |
| Golar LNG Ltd. | 8,846 | 162 | |
| ^ | Chesapeake Energy Corp. | 60,573 | 158 |
| * | Antero Resources Corp. | 6,487 | 148 |
| * | SunPower Corp. Class A | 5,923 | 140 |
| Diamond Offshore Drilling Inc. | 5,985 | 120 | |
| *,^ | SolarCity Corp. | 5,947 | 110 |
| * | Cobalt International Energy Inc. | 38,427 | 102 |
| *,^ | Seadrill Ltd. | 41,421 | 93 |
| * | Memorial Resource Development Corp. | 9,282 | 90 |
| * | WPX Energy Inc. | 21,655 | 89 |
| * | Whiting Petroleum Corp. | 21,750 | 87 |
| RPC Inc. | 5,125 | 70 | |
| * | Kosmos Energy Ltd. | 14,153 | 69 |
| SM Energy Co. | 6,759 | 61 | |
| * | Rice Energy Inc. | 6,577 | 60 |
| *,^ | SunEdison Inc. | 30,213 | 60 |
| * | Laredo Petroleum Inc. | 11,196 | 57 |
| Denbury Resources Inc. | 44,118 | 56 | |
| TerraForm Power Inc. Class A | 5,641 | 54 | |
| Frank's International NV | 2,576 | 36 | |
| CVR Energy Inc. | 1,138 | 27 | |
| California Resources Corp. | 34,804 | 20 | |
5
| Vanguard® Russell 1000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | EP Energy Corp. Class A | 3,015 | 5 |
| 116,789 | |||
| Financial Services (18.6%) | |||
| * | Berkshire Hathaway Inc. Class B | 180,811 | 24,259 |
| Wells Fargo & Co. | 452,781 | 21,244 | |
| JPMorgan Chase & Co. | 360,681 | 20,306 | |
| Visa Inc. Class A | 190,492 | 13,790 | |
| Bank of America Corp. | 1,021,280 | 12,786 | |
| Citigroup Inc. | 295,168 | 11,467 | |
| MasterCard Inc. Class A | 97,105 | 8,440 | |
| Goldman Sachs Group Inc. | 41,990 | 6,279 | |
| US Bancorp | 162,609 | 6,264 | |
| American International Group Inc. | 120,033 | 6,026 | |
| Simon Property Group Inc. | 30,360 | 5,760 | |
| * | Chubb Ltd. | 45,023 | 5,202 |
| American Express Co. | 84,162 | 4,678 | |
| * | PayPal Holdings Inc. | 117,857 | 4,495 |
| PNC Financial Services Group Inc. | 50,285 | 4,089 | |
| Bank of New York Mellon Corp. | 108,723 | 3,848 | |
| BlackRock Inc. | 12,180 | 3,800 | |
| American Tower Corporation | 40,949 | 3,775 | |
| Morgan Stanley | 148,420 | 3,666 | |
| MetLife Inc. | 90,859 | 3,594 | |
| Public Storage | 14,108 | 3,520 | |
| Capital One Financial Corp. | 53,205 | 3,497 | |
| Travelers Cos. Inc. | 28,678 | 3,083 | |
| Marsh & McLennan Cos. Inc. | 51,892 | 2,960 | |
| Prudential Financial Inc. | 44,156 | 2,918 | |
| CME Group Inc. | 31,126 | 2,846 | |
| Charles Schwab Corp. | 111,601 | 2,796 | |
| Crown Castle International Corp. | 32,290 | 2,793 | |
| Intercontinental Exchange Inc. | 11,323 | 2,700 | |
| Equity Residential | 35,255 | 2,626 | |
| Aon plc | 27,553 | 2,626 | |
| Aflac Inc. | 42,056 | 2,503 | |
| BB&T Corp. | 75,015 | 2,412 | |
| Allstate Corp. | 37,608 | 2,387 | |
| McGraw Hill Financial Inc. | 26,394 | 2,369 | |
| * | Fiserv Inc. | 23,048 | 2,204 |
| AvalonBay Communities Inc. | 12,759 | 2,190 | |
| * | Synchrony Financial | 81,076 | 2,185 |
| State Street Corp. | 39,875 | 2,184 | |
| Welltower Inc. | 33,888 | 2,161 | |
| Weyerhaeuser Co. | 78,103 | 2,029 | |
| Equinix Inc. | 6,611 | 2,008 | |
| Discover Financial Services | 43,138 | 2,002 | |
| Prologis Inc. | 50,640 | 1,948 | |
| Progressive Corp. | 57,023 | 1,820 | |
| Ventas Inc. | 32,366 | 1,802 | |
| T. Rowe Price Group Inc. | 25,429 | 1,757 | |
| Hartford Financial Services Group Inc. | 40,870 | 1,721 | |
| Boston Properties Inc. | 14,749 | 1,683 | |
| SunTrust Banks Inc. | 50,233 | 1,667 | |
| Fidelity National Information Services Inc. | 27,575 | 1,606 | |
| M&T Bank Corp. | 15,451 | 1,584 | |
| Vornado Realty Trust | 18,166 | 1,569 | |
| Moody's Corp. | 17,274 | 1,534 | |
| General Growth Properties Inc. | 55,517 | 1,528 | |
| Ameriprise Financial Inc. | 17,666 | 1,483 | |
| Realty Income Corp. | 24,524 | 1,436 | |
| Northern Trust Corp. | 22,850 | 1,357 | |
| Franklin Resources Inc. | 37,403 | 1,341 | |
| HCP Inc. | 45,264 | 1,339 | |
| Essex Property Trust Inc. | 6,396 | 1,339 | |
6
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Alliance Data Systems Corp. | 6,044 | 1,270 |
| Macerich Co. | 15,394 | 1,217 |
| Equifax Inc. | 11,564 | 1,213 |
| Fifth Third Bancorp | 79,110 | 1,207 |
| Thomson Reuters Corp. | 31,972 | 1,170 |
| * Markel Corp. | 1,347 | 1,154 |
| * FleetCor Technologies Inc. | 9,011 | 1,151 |
| Host Hotels & Resorts Inc. | 73,290 | 1,122 |
| Digital Realty Trust Inc. | 14,072 | 1,113 |
| Invesco Ltd. | 41,496 | 1,110 |
| Kimco Realty Corp. | 40,402 | 1,081 |
| Principal Financial Group Inc. | 28,484 | 1,077 |
| XL Group plc Class A | 29,904 | 1,028 |
| Loews Corp. | 27,639 | 1,005 |
| Cincinnati Financial Corp. | 15,799 | 998 |
| Extra Space Storage Inc. | 12,109 | 995 |
| Regions Financial Corp. | 129,649 | 975 |
| Federal Realty Investment Trust | 6,576 | 974 |
| Western Union Co. | 50,742 | 927 |
| Annaly Capital Management Inc. | 90,219 | 914 |
| FNF Group | 27,557 | 909 |
| Lincoln National Corp. | 24,507 | 895 |
| KeyCorp | 82,661 | 872 |
| SL Green Realty Corp. | 9,767 | 861 |
| UDR Inc. | 24,719 | 849 |
| First Republic Bank | 13,639 | 839 |
| * Ally Financial Inc. | 47,388 | 833 |
| * Arch Capital Group Ltd. | 11,934 | 811 |
| Everest Re Group Ltd. | 4,321 | 804 |
| Global Payments Inc. | 13,169 | 803 |
| TD Ameritrade Holding Corp. | 26,369 | 754 |
| * Affiliated Managers Group Inc. | 5,413 | 751 |
| * Alleghany Corp. | 1,550 | 719 |
| * Vantiv Inc. Class A | 13,817 | 719 |
| * CBRE Group Inc. Class A | 28,179 | 716 |
| New York Community Bancorp Inc. | 46,568 | 705 |
| Nasdaq Inc. | 11,090 | 702 |
| Huntington Bancshares Inc. | 79,828 | 698 |
| VEREIT Inc. | 87,021 | 698 |
| MSCI Inc. Class A | 9,816 | 692 |
| Duke Realty Corp. | 33,365 | 690 |
| Total System Services Inc. | 15,748 | 686 |
| Unum Group | 23,848 | 680 |
| Mid-America Apartment Communities Inc. | 7,407 | 666 |
| Jack Henry & Associates Inc. | 8,011 | 659 |
| Broadridge Financial Solutions Inc. | 11,635 | 653 |
| Regency Centers Corp. | 9,179 | 648 |
| * E*TRADE Financial Corp. | 27,573 | 647 |
| PartnerRe Ltd. | 4,607 | 646 |
| Arthur J Gallagher & Co. | 16,152 | 644 |
| * Signature Bank | 4,908 | 636 |
| Camden Property Trust | 8,418 | 629 |
| Torchmark Corp. | 12,159 | 623 |
| American Capital Agency Corp. | 34,211 | 618 |
| FactSet Research Systems Inc. | 4,056 | 610 |
| Voya Financial Inc. | 20,501 | 602 |
| Iron Mountain Inc. | 20,447 | 601 |
| Reinsurance Group of America Inc. Class A | 6,515 | 587 |
| Comerica Inc. | 17,142 | 579 |
| National Retail Properties Inc. | 13,153 | 578 |
| Equity LifeStyle Properties Inc. | 8,232 | 578 |
| Citizens Financial Group Inc. | 29,934 | 576 |
| WP Carey Inc. | 10,109 | 573 |
| Omega Healthcare Investors Inc. | 17,717 | 568 |
7
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Apartment Investment & Management Co. | 15,208 | 557 |
| American Campus Communities Inc. | 12,688 | 555 |
| Alexandria Real Estate Equities Inc. | 6,920 | 548 |
| Raymond James Financial Inc. | 12,386 | 543 |
| Axis Capital Holdings Ltd. | 9,853 | 529 |
| RenaissanceRe Holdings Ltd. | 4,554 | 516 |
| SEI Investments Co. | 13,437 | 513 |
| CBOE Holdings Inc. | 8,126 | 508 |
| CIT Group Inc. | 16,833 | 502 |
| DDR Corp. | 29,675 | 496 |
| WR Berkley Corp. | 9,466 | 487 |
| StanCorp Financial Group Inc. | 4,186 | 481 |
| Assurant Inc. | 6,700 | 476 |
| Kilroy Realty Corp. | 8,658 | 470 |
| Spirit Realty Capital Inc. | 43,715 | 467 |
| Leucadia National Corp. | 32,062 | 463 |
| * Realogy Holdings Corp. | 14,348 | 459 |
| Jones Lang LaSalle Inc. | 4,475 | 457 |
| Old Republic International Corp. | 25,298 | 450 |
| * SVB Financial Group | 5,048 | 449 |
| People's United Financial Inc. | 29,849 | 436 |
| Weingarten Realty Investors | 12,355 | 435 |
| Taubman Centers Inc. | 6,144 | 435 |
| American Financial Group Inc. | 6,446 | 432 |
| White Mountains Insurance Group Ltd. | 560 | 429 |
| Lazard Ltd. Class A | 12,147 | 427 |
| Liberty Property Trust | 14,776 | 427 |
| Zions Bancorporation | 19,685 | 420 |
| East West Bancorp Inc. | 13,995 | 419 |
| Starwood Property Trust Inc. | 23,384 | 410 |
| * Forest City Realty Trust Inc. Class A | 21,480 | 401 |
| Brixmor Property Group Inc. | 16,908 | 396 |
| Douglas Emmett Inc. | 14,578 | 391 |
| Navient Corp. | 36,066 | 391 |
| Endurance Specialty Holdings Ltd. | 6,224 | 388 |
| Brown & Brown Inc. | 11,621 | 375 |
| * Howard Hughes Corp. | 3,977 | 369 |
| Senior Housing Properties Trust | 23,268 | 363 |
| PacWest Bancorp | 11,121 | 358 |
| Hospitality Properties Trust | 14,728 | 358 |
| Validus Holdings Ltd. | 7,852 | 353 |
| Synovus Financial Corp. | 13,244 | 352 |
| Dun & Bradstreet Corp. | 3,641 | 349 |
| * Equity Commonwealth | 13,025 | 347 |
| Assured Guaranty Ltd. | 13,879 | 344 |
| Retail Properties of America Inc. | 23,406 | 344 |
| Corrections Corp. of America | 11,838 | 342 |
| Hanover Insurance Group Inc. | 4,094 | 340 |
| Commerce Bancshares Inc. | 7,979 | 339 |
| Eaton Vance Corp. | 11,559 | 334 |
| BankUnited Inc. | 10,354 | 333 |
| First Niagara Financial Group Inc. | 35,487 | 328 |
| Healthcare Trust of America Inc. Class A | 11,652 | 324 |
| Apple Hospitality REIT Inc. | 16,630 | 316 |
| * CoreLogic Inc. | 9,029 | 312 |
| Tanger Factory Outlet Centers Inc. | 9,682 | 311 |
| Allied World Assurance Co. Holdings AG | 8,852 | 287 |
| Two Harbors Investment Corp. | 36,715 | 285 |
| Post Properties Inc. | 5,097 | 284 |
| Popular Inc. | 10,623 | 282 |
| Bank of Hawaii Corp. | 4,418 | 281 |
| Legg Mason Inc. | 9,817 | 280 |
| First Horizon National Corp. | 23,069 | 277 |
| Aspen Insurance Holdings Ltd. | 6,185 | 276 |
8
| Vanguard® Russell 1000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| American Homes 4 Rent Class A | 19,671 | 275 | |
| Paramount Group Inc. | 17,792 | 269 | |
| Associated Banc-Corp | 15,446 | 266 | |
| Piedmont Office Realty Trust Inc. Class A | 14,252 | 262 | |
| Cullen/Frost Bankers Inc. | 5,403 | 259 | |
| * | WEX Inc. | 3,946 | 258 |
| Rayonier Inc. | 11,668 | 255 | |
| Chimera Investment Corp. | 18,959 | 247 | |
| ProAssurance Corp. | 4,978 | 245 | |
| Gaming and Leisure Properties Inc. | 9,108 | 239 | |
| NorthStar Realty Finance Corp. | 18,900 | 236 | |
| Columbia Property Trust Inc. | 11,460 | 232 | |
| MFA Financial Inc. | 33,740 | 230 | |
| * | SLM Corp. | 38,689 | 226 |
| Federated Investors Inc. Class B | 8,488 | 222 | |
| NorthStar Asset Management Group Inc. | 19,896 | 217 | |
| * | First Data Corp. Class A | 17,319 | 216 |
| Communications Sales & Leasing Inc. | 11,115 | 210 | |
| Erie Indemnity Co. Class A | 2,213 | 208 | |
| Waddell & Reed Financial Inc. Class A | 8,827 | 207 | |
| Interactive Brokers Group Inc. | 6,047 | 207 | |
| Corporate Office Properties Trust | 8,720 | 204 | |
| Brandywine Realty Trust | 16,463 | 203 | |
| TCF Financial Corp. | 17,696 | 201 | |
| Care Capital Properties Inc. | 7,500 | 199 | |
| AmTrust Financial Services Inc. | 8,073 | 197 | |
| Empire State Realty Trust Inc. | 11,641 | 183 | |
| * | Credit Acceptance Corp. | 904 | 178 |
| CBL & Associates Properties Inc. | 14,870 | 171 | |
| *,^ | Zillow Group Inc. | 7,792 | 168 |
| LPL Financial Holdings Inc. | 7,835 | 158 | |
| WP Glimcher Inc. | 16,481 | 142 | |
| Morningstar Inc. | 1,774 | 141 | |
| ^ | BOK Financial Corp. | 2,615 | 128 |
| Mercury General Corp. | 2,428 | 128 | |
| * | OneMain Holdings Inc. Class A | 5,474 | 124 |
| TFS Financial Corp. | 6,729 | 114 | |
| * | Genworth Financial Inc. Class A | 52,421 | 111 |
| * | Santander Consumer USA Holdings Inc. | 9,708 | 99 |
| * | Zillow Group Inc. Class A | 4,096 | 95 |
| Artisan Partners Asset Management Inc. Class A | 3,009 | 85 | |
| * | TransUnion | 3,002 | 79 |
| CNA Financial Corp. | 2,308 | 67 | |
| American National Insurance Co. | 649 | 66 | |
| Four Corners Property Trust Inc. | 3,987 | 65 | |
| NorthStar Realty Europe Corp. | 5,700 | 56 | |
| * | LendingClub Corp. | 5,884 | 51 |
| *,^ | Square Inc. | 2,980 | 31 |
| 347,625 | |||
| Health Care (14.0%) | |||
| Johnson & Johnson | 269,555 | 28,360 | |
| Pfizer Inc. | 598,418 | 17,755 | |
| Merck & Co. Inc. | 274,775 | 13,796 | |
| Gilead Sciences Inc. | 143,021 | 12,479 | |
| * | Allergan plc | 38,088 | 11,050 |
| UnitedHealth Group Inc. | 92,693 | 11,040 | |
| Medtronic plc | 138,344 | 10,706 | |
| Amgen Inc. | 73,829 | 10,504 | |
| Bristol-Myers Squibb Co. | 161,726 | 10,016 | |
| AbbVie Inc. | 160,610 | 8,771 | |
| * | Celgene Corp. | 76,966 | 7,760 |
| Eli Lilly & Co. | 95,143 | 6,850 | |
| * | Biogen Inc. | 21,634 | 5,612 |
| Abbott Laboratories | 144,496 | 5,598 | |
9
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Thermo Fisher Scientific Inc. | 38,711 | 5,001 |
| * Express Scripts Holding Co. | 65,831 | 4,633 |
| Aetna Inc. | 33,994 | 3,693 |
| McKesson Corp. | 22,530 | 3,506 |
| Cigna Corp. | 24,886 | 3,474 |
| Anthem Inc. | 25,615 | 3,348 |
| Stryker Corp. | 32,754 | 3,271 |
| Becton Dickinson and Co. | 20,241 | 2,984 |
| * Alexion Pharmaceuticals Inc. | 20,891 | 2,941 |
| * Regeneron Pharmaceuticals Inc. | 7,613 | 2,924 |
| Cardinal Health Inc. | 32,079 | 2,621 |
| Humana Inc. | 14,570 | 2,578 |
| * Boston Scientific Corp. | 130,255 | 2,212 |
| * HCA Holdings Inc. | 30,914 | 2,140 |
| * Illumina Inc. | 13,989 | 2,102 |
| Baxter International Inc. | 52,641 | 2,080 |
| Baxalta Inc. | 52,841 | 2,035 |
| * Vertex Pharmaceuticals Inc. | 23,692 | 2,025 |
| * Intuitive Surgical Inc. | 3,578 | 2,015 |
| Zoetis Inc. | 48,771 | 2,003 |
| * Mylan NV | 40,532 | 1,827 |
| Perrigo Co. plc | 14,353 | 1,812 |
| * Edwards Lifesciences Corp. | 20,722 | 1,803 |
| AmerisourceBergen Corp. Class A | 20,035 | 1,735 |
| Zimmer Biomet Holdings Inc. | 16,686 | 1,615 |
| * Cerner Corp. | 29,115 | 1,487 |
| St. Jude Medical Inc. | 27,426 | 1,472 |
| CR Bard Inc. | 7,252 | 1,395 |
| * Henry Schein Inc. | 8,109 | 1,342 |
| * BioMarin Pharmaceutical Inc. | 15,731 | 1,288 |
| Agilent Technologies Inc. | 32,336 | 1,208 |
| * DaVita HealthCare Partners Inc. | 17,134 | 1,130 |
| * Incyte Corp. | 14,954 | 1,099 |
| * Laboratory Corp. of America Holdings | 9,866 | 1,084 |
| Universal Health Services Inc. Class B | 8,755 | 966 |
| Quest Diagnostics Inc. | 14,077 | 937 |
| * Endo International plc | 22,216 | 929 |
| DENTSPLY International Inc. | 13,784 | 840 |
| * Hologic Inc. | 24,207 | 838 |
| ResMed Inc. | 13,612 | 775 |
| * Varian Medical Systems Inc. | 9,855 | 771 |
| * Mallinckrodt plc | 11,333 | 737 |
| * Jazz Pharmaceuticals plc | 5,929 | 721 |
| Cooper Cos. Inc. | 4,763 | 681 |
| * IDEXX Laboratories Inc. | 9,131 | 668 |
| * Centene Corp. | 11,557 | 658 |
| * MEDNAX Inc. | 9,171 | 615 |
| * Sirona Dental Systems Inc. | 5,389 | 596 |
| Teleflex Inc. | 4,088 | 584 |
| * Medivation Inc. | 15,606 | 558 |
| * United Therapeutics Corp. | 4,524 | 552 |
| * Align Technology Inc. | 7,936 | 524 |
| PerkinElmer Inc. | 10,833 | 512 |
| * DexCom Inc. | 7,704 | 501 |
| * athenahealth Inc. | 3,814 | 492 |
| * Quintiles Transnational Holdings Inc. | 7,681 | 482 |
| * Health Net Inc. | 7,653 | 476 |
| * Alkermes plc | 14,746 | 476 |
| * QIAGEN NV | 22,298 | 471 |
| * Alere Inc. | 7,966 | 425 |
| * VCA Inc. | 8,045 | 411 |
| * Alnylam Pharmaceuticals Inc. | 6,954 | 407 |
| * Envision Healthcare Holdings Inc. | 18,144 | 399 |
| * Ionis Pharmaceuticals Inc. | 11,544 | 399 |
10
| Vanguard® Russell 1000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Patterson Cos. Inc. | 8,474 | 368 | |
| * | Charles River Laboratories International Inc. | 4,746 | 348 |
| * | Acadia Healthcare Co. Inc. | 5,939 | 329 |
| * | Seattle Genetics Inc. | 10,540 | 318 |
| Bio-Techne Corp. | 3,479 | 299 | |
| * | Bruker Corp. | 11,235 | 292 |
| *,^ | OPKO Health Inc. | 30,933 | 288 |
| * | LifePoint Health Inc. | 4,509 | 281 |
| * | Brookdale Senior Living Inc. | 18,593 | 267 |
| * | Bio-Rad Laboratories Inc. Class A | 1,879 | 253 |
| * | Tenet Healthcare Corp. | 10,188 | 253 |
| Hill-Rom Holdings Inc. | 5,112 | 237 | |
| * | Akorn Inc. | 7,929 | 211 |
| * | Allscripts Healthcare Solutions Inc. | 16,427 | 206 |
| * | Intercept Pharmaceuticals Inc. | 1,648 | 184 |
| * | Veeva Systems Inc. Class A | 7,460 | 181 |
| * | Community Health Systems Inc. | 11,854 | 179 |
| * | Intrexon Corp. | 5,140 | 159 |
| * | Bluebird Bio Inc. | 3,352 | 155 |
| * | Puma Biotechnology Inc. | 2,650 | 119 |
| * | Premier Inc. Class A | 3,456 | 112 |
| * | Agios Pharmaceuticals Inc. | 2,819 | 108 |
| * | VWR Corp. | 2,682 | 65 |
| * | Juno Therapeutics Inc. | 1,607 | 56 |
| 261,849 | |||
| Materials & Processing (3.5%) | |||
| EI du Pont de Nemours & Co. | 88,120 | 5,364 | |
| Dow Chemical Co. | 108,755 | 5,287 | |
| Monsanto Co. | 42,611 | 3,835 | |
| Praxair Inc. | 28,132 | 2,863 | |
| LyondellBasell Industries NV Class A | 35,439 | 2,842 | |
| Air Products & Chemicals Inc. | 20,972 | 2,778 | |
| Ecolab Inc. | 25,615 | 2,627 | |
| PPG Industries Inc. | 26,347 | 2,543 | |
| Sherwin-Williams Co. | 7,885 | 2,133 | |
| International Paper Co. | 41,067 | 1,466 | |
| Ingersoll-Rand plc | 25,595 | 1,422 | |
| Newmont Mining Corp. | 50,696 | 1,309 | |
| Fastenal Co. | 28,641 | 1,297 | |
| Vulcan Materials Co. | 13,059 | 1,287 | |
| Nucor Corp. | 30,976 | 1,219 | |
| Alcoa Inc. | 126,935 | 1,133 | |
| Masco Corp. | 34,298 | 967 | |
| Martin Marietta Materials Inc. | 6,722 | 959 | |
| Airgas Inc. | 6,621 | 937 | |
| Eastman Chemical Co. | 14,599 | 936 | |
| Mosaic Co. | 34,212 | 912 | |
| Celanese Corp. Class A | 14,971 | 903 | |
| Acuity Brands Inc. | 4,275 | 895 | |
| Ball Corp. | 13,149 | 871 | |
| Sealed Air Corp. | 18,951 | 867 | |
| WestRock Co. | 25,505 | 861 | |
| Freeport-McMoRan Inc. | 110,021 | 839 | |
| CF Industries Holdings Inc. | 23,023 | 839 | |
| International Flavors & Fragrances Inc. | 7,735 | 799 | |
| * | Crown Holdings Inc. | 13,510 | 633 |
| Albemarle Corp. | 10,964 | 616 | |
| Valspar Corp. | 7,875 | 616 | |
| Ashland Inc. | 6,320 | 602 | |
| Lennox International Inc. | 4,040 | 522 | |
| RPM International Inc. | 12,768 | 522 | |
| Owens Corning | 11,625 | 499 | |
| FMC Corp. | 13,126 | 494 | |
| * | WR Grace & Co. | 7,079 | 487 |
11
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Packaging Corp. of America | 9,380 | 455 |
| Reliance Steel & Aluminum Co. | 7,466 | 455 |
| Bemis Co. Inc. | 9,074 | 445 |
| Steel Dynamics Inc. | 24,057 | 438 |
| Sonoco Products Co. | 9,931 | 434 |
| AptarGroup Inc. | 5,833 | 430 |
| Graphic Packaging Holding Co. | 32,699 | 403 |
| Hexcel Corp. | 9,507 | 393 |
| Watsco Inc. | 2,632 | 336 |
| Royal Gold Inc. | 6,736 | 312 |
| Eagle Materials Inc. | 5,143 | 311 |
| Scotts Miracle-Gro Co. Class A | 4,490 | 310 |
| Cabot Corp. | 6,486 | 289 |
| NewMarket Corp. | 785 | 287 |
| ^ Southern Copper Corp. | 11,401 | 273 |
| * Axalta Coating Systems Ltd. | 10,316 | 268 |
| Valmont Industries Inc. | 2,203 | 249 |
| * Owens-Illinois Inc. | 16,605 | 248 |
| Huntsman Corp. | 21,609 | 235 |
| Compass Minerals International Inc. | 3,423 | 232 |
| Domtar Corp. | 6,515 | 229 |
| Timken Co. | 7,095 | 212 |
| * USG Corp. | 9,607 | 205 |
| Silgan Holdings Inc. | 3,905 | 200 |
| * Armstrong World Industries Inc. | 4,114 | 167 |
| Allegheny Technologies Inc. | 12,179 | 163 |
| Tahoe Resources Inc. | 17,401 | 161 |
| Westlake Chemical Corp. | 3,563 | 154 |
| * GCP Applied Technologies Inc. | 7,079 | 125 |
| ^ United States Steel Corp. | 13,449 | 123 |
| * Platform Specialty Products Corp. | 12,258 | 87 |
| Chemours Co. | 16,394 | 84 |
| 64,694 | ||
| Other (0.0%)2 | ||
| Restaurant Brands International LP | 78 | 3 |
| Producer Durables (10.9%) | ||
| General Electric Co. | 914,005 | 26,634 |
| 3M Co. | 61,552 | 9,656 |
| Boeing Co. | 67,092 | 7,929 |
| United Technologies Corp. | 81,350 | 7,860 |
| Honeywell International Inc. | 75,892 | 7,692 |
| Union Pacific Corp. | 85,036 | 6,706 |
| United Parcel Service Inc. Class B | 68,228 | 6,587 |
| Accenture plc Class A | 61,169 | 6,133 |
| Lockheed Martin Corp. | 26,326 | 5,681 |
| Danaher Corp. | 57,737 | 5,154 |
| Caterpillar Inc. | 58,670 | 3,972 |
| Automatic Data Processing Inc. | 45,665 | 3,867 |
| Delta Air Lines Inc. | 79,387 | 3,830 |
| FedEx Corp. | 27,726 | 3,795 |
| Raytheon Co. | 29,546 | 3,659 |
| General Dynamics Corp. | 26,756 | 3,646 |
| Northrop Grumman Corp. | 17,816 | 3,425 |
| Emerson Electric Co. | 64,593 | 3,154 |
| Illinois Tool Works Inc. | 29,146 | 2,747 |
| Southwest Airlines Co. | 64,670 | 2,713 |
| Eaton Corp. plc | 45,265 | 2,567 |
| American Airlines Group Inc. | 61,210 | 2,510 |
| Waste Management Inc. | 44,644 | 2,493 |
| Deere & Co. | 30,538 | 2,449 |
| CSX Corp. | 95,609 | 2,308 |
| Norfolk Southern Corp. | 29,665 | 2,171 |
| * United Continental Holdings Inc. | 34,939 | 2,001 |
12
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| PACCAR Inc. | 34,535 | 1,779 |
| Cummins Inc. | 17,430 | 1,701 |
| Paychex Inc. | 31,726 | 1,630 |
| Roper Technologies Inc. | 9,693 | 1,628 |
| Tyco International plc | 40,575 | 1,427 |
| Stanley Black & Decker Inc. | 14,774 | 1,389 |
| Parker-Hannifin Corp. | 13,594 | 1,376 |
| Rockwell Automation Inc. | 13,019 | 1,355 |
| WW Grainger Inc. | 6,038 | 1,310 |
| * Verisk Analytics Inc. Class A | 16,511 | 1,203 |
| Rockwell Collins Inc. | 12,981 | 1,137 |
| * TransDigm Group Inc. | 5,179 | 1,106 |
| AMETEK Inc. | 23,412 | 1,087 |
| Republic Services Inc. Class A | 23,724 | 1,084 |
| CH Robinson Worldwide Inc. | 13,930 | 973 |
| Dover Corp. | 15,745 | 957 |
| L-3 Communications Holdings Inc. | 8,124 | 953 |
| * Waters Corp. | 7,888 | 949 |
| Alaska Air Group Inc. | 12,755 | 943 |
| Xerox Corp. | 97,082 | 933 |
| Textron Inc. | 27,169 | 928 |
| * Stericycle Inc. | 8,138 | 927 |
| Kansas City Southern | 10,633 | 869 |
| * Mettler-Toledo International Inc. | 2,751 | 866 |
| Expeditors International of Washington Inc. | 18,432 | 844 |
| Pentair plc | 17,203 | 821 |
| Snap-on Inc. | 5,633 | 815 |
| Waste Connections Inc. | 11,909 | 734 |
| Cintas Corp. | 8,706 | 731 |
| * IHS Inc. Class A | 6,607 | 687 |
| ADT Corp. | 16,653 | 672 |
| JB Hunt Transport Services Inc. | 8,781 | 670 |
| * JetBlue Airways Corp. | 29,986 | 660 |
| Wabtec Corp. | 9,340 | 659 |
| Xylem Inc. | 17,593 | 658 |
| Fluor Corp. | 14,198 | 654 |
| Huntington Ingalls Industries Inc. | 4,807 | 630 |
| * Spirit AeroSystems Holdings Inc. Class A | 13,655 | 628 |
| * Trimble Navigation Ltd. | 25,273 | 588 |
| Allegion plc | 9,230 | 581 |
| Avery Dennison Corp. | 8,856 | 577 |
| IDEX Corp. | 7,646 | 575 |
| Carlisle Cos. Inc. | 6,350 | 573 |
| Hubbell Inc. Class B | 5,727 | 569 |
| ManpowerGroup Inc. | 7,262 | 562 |
| * CoStar Group Inc. | 3,146 | 557 |
| Flowserve Corp. | 13,024 | 547 |
| * Middleby Corp. | 5,599 | 518 |
| AO Smith Corp. | 7,262 | 511 |
| Robert Half International Inc. | 12,973 | 511 |
| Orbital ATK Inc. | 5,885 | 493 |
| * United Rentals Inc. | 9,324 | 481 |
| * Jacobs Engineering Group Inc. | 12,242 | 473 |
| * HD Supply Holdings Inc. | 16,720 | 465 |
| B/E Aerospace Inc. | 10,636 | 464 |
| * Old Dominion Freight Line Inc. | 6,791 | 438 |
| Toro Co. | 5,498 | 438 |
| FLIR Systems Inc. | 14,028 | 434 |
| Graco Inc. | 5,535 | 433 |
| * Keysight Technologies Inc. | 16,521 | 431 |
| * Copart Inc. | 11,200 | 423 |
| * Genpact Ltd. | 15,967 | 422 |
| Allison Transmission Holdings Inc. | 17,800 | 421 |
| Macquarie Infrastructure Corp. | 6,901 | 421 |
13
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * AECOM | 14,998 | 412 |
| Lincoln Electric Holdings Inc. | 7,483 | 408 |
| Nordson Corp. | 5,523 | 396 |
| Donaldson Co. Inc. | 13,710 | 387 |
| Pitney Bowes Inc. | 19,787 | 359 |
| AGCO Corp. | 7,077 | 350 |
| * Spirit Airlines Inc. | 7,325 | 350 |
| BWX Technologies Inc. | 10,759 | 343 |
| Chicago Bridge & Iron Co. NV | 9,692 | 325 |
| National Instruments Corp. | 11,195 | 323 |
| * Kirby Corp. | 5,673 | 321 |
| * Zebra Technologies Corp. | 5,132 | 317 |
| * Genesee & Wyoming Inc. Class A | 5,538 | 314 |
| RR Donnelley & Sons Co. | 20,675 | 314 |
| Air Lease Corp. Class A | 10,431 | 313 |
| ITT Corp. | 8,869 | 313 |
| MSC Industrial Direct Co. Inc. Class A | 4,485 | 312 |
| * Quanta Services Inc. | 14,811 | 300 |
| Booz Allen Hamilton Holding Corp. Class A | 10,156 | 280 |
| Ryder System Inc. | 4,930 | 280 |
| Oshkosh Corp. | 7,777 | 268 |
| Landstar System Inc. | 4,494 | 266 |
| Rollins Inc. | 9,658 | 266 |
| * Colfax Corp. | 10,408 | 263 |
| Regal Beloit Corp. | 4,509 | 246 |
| Trinity Industries Inc. | 15,233 | 241 |
| * Clean Harbors Inc. | 5,348 | 228 |
| Manitowoc Co. Inc. | 14,025 | 222 |
| Terex Corp. | 9,929 | 222 |
| Crane Co. | 4,375 | 215 |
| Copa Holdings SA Class A | 3,454 | 211 |
| KBR Inc. | 14,765 | 204 |
| Lexmark International Inc. Class A | 6,322 | 196 |
| GATX Corp. | 4,135 | 178 |
| * WESCO International Inc. | 3,886 | 171 |
| Kennametal Inc. | 7,372 | 148 |
| Triumph Group Inc. | 4,646 | 142 |
| Covanta Holding Corp. | 10,029 | 140 |
| Joy Global Inc. | 10,358 | 134 |
| * TopBuild Corp. | 3,546 | 96 |
| * Babcock & Wilcox Enterprises Inc. | 4,879 | 95 |
| * SPX FLOW Inc. | 3,834 | 72 |
| SPX Corp. | 3,834 | 45 |
| Teekay Corp. | 4,100 | 33 |
| 203,637 | ||
| Technology (16.7%) | ||
| Apple Inc. | 560,432 | 54,188 |
| Microsoft Corp. | 787,030 | 40,044 |
| * Facebook Inc. Class A | 210,331 | 22,489 |
| * Alphabet Inc. Class A | 28,016 | 20,094 |
| * Alphabet Inc. Class C | 28,593 | 19,951 |
| Intel Corp. | 461,349 | 13,651 |
| Cisco Systems Inc. | 494,640 | 12,950 |
| International Business Machines Corp. | 88,161 | 11,552 |
| Oracle Corp. | 307,433 | 11,307 |
| QUALCOMM Inc. | 145,874 | 7,409 |
| Texas Instruments Inc. | 101,189 | 5,365 |
| EMC Corp. | 189,106 | 4,941 |
| * Broadcom Ltd. | 36,578 | 4,900 |
| * salesforce.com inc | 63,818 | 4,324 |
| * Adobe Systems Inc. | 48,611 | 4,139 |
| * Cognizant Technology Solutions Corp. Class A | 59,002 | 3,362 |
| * Yahoo! Inc. | 90,943 | 2,891 |
| Intuit Inc. | 26,640 | 2,574 |
14
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Hewlett Packard Enterprise Co. | 175,973 | 2,335 |
| Applied Materials Inc. | 111,847 | 2,111 |
| Corning Inc. | 108,165 | 1,979 |
| * Electronic Arts Inc. | 30,433 | 1,955 |
| HP Inc. | 167,873 | 1,795 |
| NVIDIA Corp. | 51,886 | 1,627 |
| Analog Devices Inc. | 30,566 | 1,620 |
| Amphenol Corp. Class A | 30,093 | 1,597 |
| Activision Blizzard Inc. | 49,085 | 1,555 |
| SanDisk Corp. | 20,096 | 1,452 |
| Motorola Solutions Inc. | 17,279 | 1,270 |
| Symantec Corp. | 65,685 | 1,268 |
| * LinkedIn Corp. Class A | 10,531 | 1,234 |
| Skyworks Solutions Inc. | 18,415 | 1,224 |
| Xilinx Inc. | 25,245 | 1,192 |
| * SBA Communications Corp. Class A | 12,543 | 1,190 |
| * Red Hat Inc. | 17,763 | 1,161 |
| * Autodesk Inc. | 21,937 | 1,135 |
| Lam Research Corp. | 15,419 | 1,130 |
| * Micron Technology Inc. | 105,626 | 1,123 |
| * Citrix Systems Inc. | 15,552 | 1,099 |
| KLA-Tencor Corp. | 15,266 | 1,034 |
| * Palo Alto Networks Inc. | 7,091 | 1,027 |
| Linear Technology Corp. | 23,473 | 1,024 |
| * Twitter Inc. | 54,470 | 987 |
| Juniper Networks Inc. | 38,521 | 951 |
| * Akamai Technologies Inc. | 17,529 | 946 |
| Western Digital Corp. | 21,571 | 939 |
| Maxim Integrated Products Inc. | 27,730 | 939 |
| Harris Corp. | 11,799 | 921 |
| Microchip Technology Inc. | 20,004 | 890 |
| CA Inc. | 28,816 | 844 |
| Amdocs Ltd. | 14,866 | 844 |
| * ServiceNow Inc. | 14,992 | 824 |
| * VeriSign Inc. | 9,480 | 801 |
| * ANSYS Inc. | 8,549 | 710 |
| NetApp Inc. | 28,271 | 702 |
| CDK Global Inc. | 15,486 | 695 |
| * Synopsys Inc. | 15,326 | 686 |
| * Gartner Inc. | 8,040 | 662 |
| * F5 Networks Inc. | 6,851 | 659 |
| * Qorvo Inc. | 14,076 | 635 |
| * Workday Inc. Class A | 10,199 | 617 |
| * Cadence Design Systems Inc. | 28,363 | 611 |
| Ingram Micro Inc. | 15,265 | 546 |
| Avnet Inc. | 13,232 | 544 |
| * Arrow Electronics Inc. | 9,399 | 537 |
| * Splunk Inc. | 12,046 | 525 |
| CDW Corp. | 12,695 | 502 |
| * Ultimate Software Group Inc. | 2,848 | 489 |
| * Nuance Communications Inc. | 25,062 | 489 |
| SS&C Technologies Holdings Inc. | 8,038 | 469 |
| Marvell Technology Group Ltd. | 45,320 | 433 |
| * ARRIS International plc | 17,633 | 421 |
| Brocade Communications Systems Inc. | 41,710 | 414 |
| Jabil Circuit Inc. | 19,526 | 407 |
| * VMware Inc. Class A | 7,960 | 402 |
| * Fortinet Inc. | 14,030 | 398 |
| Teradyne Inc. | 20,844 | 398 |
| Computer Sciences Corp. | 13,285 | 383 |
| Solera Holdings Inc. | 6,653 | 371 |
| * PTC Inc. | 11,603 | 359 |
| * ON Semiconductor Corp. | 42,597 | 357 |
| * IMS Health Holdings Inc. | 13,565 | 350 |
15
| Vanguard® Russell 1000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| DST Systems Inc. | 3,321 | 347 |
| CSRA Inc. | 13,285 | 345 |
| Atmel Corp. | 41,466 | 335 |
| IAC/InterActiveCorp | 7,285 | 324 |
| * Teradata Corp. | 12,645 | 315 |
| Cognex Corp. | 8,512 | 315 |
| * Cree Inc. | 9,922 | 315 |
| Sabre Corp. | 11,294 | 307 |
| * NCR Corp. | 12,787 | 299 |
| Leidos Holdings Inc. | 6,730 | 291 |
| * VeriFone Systems Inc. | 11,622 | 278 |
| * CommScope Holding Co. Inc. | 10,673 | 269 |
| Cypress Semiconductor Corp. | 32,850 | 262 |
| * IPG Photonics Corp. | 3,166 | 261 |
| * FireEye Inc. | 14,149 | 240 |
| * Arista Networks Inc. | 3,445 | 236 |
| * Rackspace Hosting Inc. | 10,629 | 229 |
| * Tableau Software Inc. Class A | 4,948 | 226 |
| * NetSuite Inc. | 3,623 | 219 |
| * Groupon Inc. Class A | 44,754 | 214 |
| * EchoStar Corp. Class A | 4,687 | 209 |
| Dolby Laboratories Inc. Class A | 5,153 | 204 |
| * Zynga Inc. Class A | 80,291 | 169 |
| * Yelp Inc. Class A | 6,990 | 141 |
| * Viavi Solutions Inc. | 21,613 | 141 |
| * 3D Systems Corp. | 12,612 | 135 |
| * Lumentum Holdings Inc. | 4,303 | 103 |
| * GoDaddy Inc. Class A | 2,129 | 67 |
| * Black Knight Financial Services Inc. Class A | 1,840 | 54 |
| * Inovalon Holdings Inc. Class A | 2,233 | 38 |
| * Match Group Inc. | 3,406 | 37 |
| 311,850 | ||
| Utilities (5.9%) | ||
| AT&T Inc. | 591,644 | 21,861 |
| Verizon Communications Inc. | 396,341 | 20,106 |
| Duke Energy Corp. | 67,025 | 4,979 |
| NextEra Energy Inc. | 43,102 | 4,863 |
| Southern Co. | 88,129 | 4,246 |
| Dominion Resources Inc. | 57,749 | 4,038 |
| American Electric Power Co. Inc. | 47,404 | 2,927 |
| Exelon Corp. | 89,391 | 2,815 |
| PG&E Corp. | 46,566 | 2,642 |
| Sempra Energy | 24,115 | 2,327 |
| PPL Corp. | 64,464 | 2,256 |
| Edison International | 31,696 | 2,160 |
| Public Service Enterprise Group Inc. | 49,008 | 2,091 |
| Consolidated Edison Inc. | 28,533 | 1,998 |
| Xcel Energy Inc. | 49,338 | 1,951 |
| WEC Energy Group Inc. | 30,447 | 1,716 |
| Eversource Energy | 31,113 | 1,690 |
| CenturyLink Inc. | 54,399 | 1,664 |
| DTE Energy Co. | 17,347 | 1,459 |
| FirstEnergy Corp. | 40,786 | 1,365 |
| * Level 3 Communications Inc. | 27,932 | 1,356 |
| Entergy Corp. | 17,536 | 1,266 |
| American Water Works Co. Inc. | 17,256 | 1,119 |
| Ameren Corp. | 23,714 | 1,113 |
| CMS Energy Corp. | 26,496 | 1,048 |
| * T-Mobile US Inc. | 26,856 | 996 |
| SCANA Corp. | 14,077 | 915 |
| CenterPoint Energy Inc. | 41,376 | 771 |
| AGL Resources Inc. | 11,557 | 747 |
| Alliant Energy Corp. | 10,894 | 740 |
16
| Vanguard® Russell 1000 Index Fund | |||||
| Schedule of Investments | |||||
| February 29, 2016 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| Pinnacle West Capital Corp. | 10,703 | 737 | |||
| Atmos Energy Corp. | 9,855 | 684 | |||
| NiSource Inc. | 30,799 | 662 | |||
| AES Corp. | 65,960 | 646 | |||
| Pepco Holdings Inc. | 24,546 | 643 | |||
| TECO Energy Inc. | 22,903 | 629 | |||
| UGI Corp. | 16,811 | 621 | |||
| Frontier Communications Corp. | 113,634 | 615 | |||
| ITC Holdings Corp. | 15,097 | 613 | |||
| Westar Energy Inc. Class A | 13,949 | 606 | |||
| Aqua America Inc. | 17,181 | 525 | |||
| OGE Energy Corp. | 19,544 | 486 | |||
| * | Calpine Corp. | 36,350 | 457 | ||
| Great Plains Energy Inc. | 15,449 | 453 | |||
| Questar Corp. | 17,403 | 431 | |||
| National Fuel Gas Co. | 7,909 | 361 | |||
| MDU Resources Group Inc. | 19,673 | 358 | |||
| Vectren Corp. | 7,619 | 347 | |||
| * | Zayo Group Holdings Inc. | 14,209 | 337 | ||
| NRG Energy Inc. | 30,637 | 330 | |||
| Hawaiian Electric Industries Inc. | 10,752 | 316 | |||
| Telephone & Data Systems Inc. | 9,702 | 259 | |||
| * | Sprint Corp. | 72,540 | 250 | ||
| * | Avangrid Inc. | 5,499 | 213 | ||
| * | United States Cellular Corp. | 1,219 | 51 | ||
| 110,855 | |||||
| Total Common Stocks (Cost $1,775,671) | 1,860,602 | ||||
| Coupon | |||||
| Temporary Cash Investments (0.3%)1 | |||||
| Money Market Fund (0.3%) | |||||
| 3,4 | Vanguard Market Liquidity Fund | 0.475% | 5,766,919 | 5,767 | |
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.0%) | |||||
| 5,6 | Federal Home Loan Bank Discount Notes | 0.371% | 5/4/16 | 100 | 100 |
| 7 | Freddie Mac Discount Notes | 0.220% | 4/15/16 | 300 | 300 |
| 6 | United States Treasury Bill | 0.391% | 8/4/16 | 300 | 299 |
| 699 | |||||
| Total Temporary Cash Investments (Cost $6,466) | 6,466 | ||||
| Total Investments (99.8%) (Cost $1,782,137) | 1,867,068 | ||||
| Other Assets and Liabilities—Net (0.2%)4 | 2,915 | ||||
| Net Assets (100%) | 1,869,983 | ||||
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $2,643,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and -0.2%, respectively, of net assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
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 Includes $2,765,000 of collateral received for securities on loan.
17
Vanguard® Russell 1000 Index Fund
Schedule of Investments
February 29, 2016
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
6 Securities with a value of $399,000 have been segregated as initial margin for open futures contracts.
7 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.
REIT—Real Estate Investment Trust.
18
| Vanguard® Russell 1000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Common Stocks (99.5%)1 | ||
| Consumer Discretionary (6.4%) | ||
| Wal-Mart Stores Inc. | 294,814 | 19,558 |
| Ford Motor Co. | 729,650 | 9,128 |
| General Motors Co. | 299,378 | 8,814 |
| Target Corp. | 109,101 | 8,559 |
| Time Warner Inc. | 74,863 | 4,956 |
| Carnival Corp. | 79,329 | 3,805 |
| Johnson Controls Inc. | 95,634 | 3,487 |
| Comcast Corp. Class A | 45,169 | 2,608 |
| Royal Caribbean Cruises Ltd. | 32,111 | 2,388 |
| Whirlpool Corp. | 13,664 | 2,122 |
| Mattel Inc. | 63,039 | 2,050 |
| Best Buy Co. Inc. | 56,794 | 1,840 |
| Twenty-First Century Fox Inc. Class A | 67,445 | 1,822 |
| Coach Inc. | 44,469 | 1,732 |
| Kohl's Corp. | 35,671 | 1,665 |
| Goodyear Tire & Rubber Co. | 50,834 | 1,531 |
| * MGM Resorts International | 77,863 | 1,474 |
| * Liberty Media Corp. | 37,809 | 1,320 |
| * Liberty Interactive Corp. QVC Group Class A | 51,030 | 1,295 |
| Darden Restaurants Inc. | 19,020 | 1,215 |
| PVH Corp. | 15,275 | 1,209 |
| PulteGroup Inc. | 68,765 | 1,182 |
| Staples Inc. | 119,513 | 1,129 |
| Nielsen Holdings plc | 21,116 | 1,063 |
| TEGNA Inc. | 42,257 | 1,041 |
| Cablevision Systems Corp. Class A | 32,000 | 1,041 |
| News Corp. Class A | 95,371 | 1,032 |
| Fortune Brands Home & Security Inc. | 19,615 | 985 |
| Ralph Lauren Corp. Class A | 10,422 | 946 |
| DR Horton Inc. | 35,347 | 944 |
| Newell Rubbermaid Inc. | 24,566 | 934 |
| Garmin Ltd. | 22,479 | 911 |
| Lennar Corp. Class A | 19,391 | 813 |
| Twenty-First Century Fox Inc. | 28,623 | 777 |
| Harley-Davidson Inc. | 16,612 | 717 |
| * Liberty Media Corp. Class A | 19,959 | 711 |
| Macy's Inc. | 16,070 | 694 |
| * Mohawk Industries Inc. | 3,417 | 614 |
| * DISH Network Corp. Class A | 13,010 | 613 |
| KAR Auction Services Inc. | 17,242 | 611 |
| * Liberty Broadband Corp. | 12,115 | 610 |
| ^ GameStop Corp. Class A | 19,492 | 601 |
| * Toll Brothers Inc. | 21,715 | 596 |
| * JC Penney Co. Inc. | 57,913 | 591 |
| Tribune Media Co. Class A | 14,997 | 538 |
| * Vista Outdoor Inc. | 10,582 | 522 |
| Outfront Media Inc. | 25,496 | 521 |
| * Murphy USA Inc. | 7,251 | 462 |
| Gentex Corp. | 28,535 | 415 |
| * Office Depot Inc. | 81,430 | 414 |
| * Cabela's Inc. | 8,243 | 396 |
| John Wiley & Sons Inc. Class A | 9,006 | 392 |
| Lear Corp. | 3,555 | 360 |
| Wendy's Co. | 36,587 | 343 |
| DSW Inc. Class A | 12,715 | 333 |
| Tiffany & Co. | 5,015 | 326 |
| Gannett Co. Inc. | 20,634 | 315 |
| Hasbro Inc. | 4,148 | 315 |
| Graham Holdings Co. Class B | 629 | 307 |
| Avon Products Inc. | 80,035 | 305 |
| Dillard's Inc. Class A | 3,528 | 295 |
19
| Vanguard® Russell 1000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Hyatt Hotels Corp. Class A | 6,210 | 287 |
| Cable One Inc. | 649 | 278 | |
| Expedia Inc. | 2,463 | 256 | |
| AMERCO | 673 | 231 | |
| * | Liberty Broadband Corp. Class A | 4,569 | 230 |
| Aaron's Inc. | 9,892 | 227 | |
| Foot Locker Inc. | 3,542 | 221 | |
| Dick's Sporting Goods Inc. | 5,199 | 221 | |
| Penske Automotive Group Inc. | 5,401 | 204 | |
| Brunswick Corp. | 4,648 | 198 | |
| Genuine Parts Co. | 2,078 | 187 | |
| Wynn Resorts Ltd. | 1,552 | 128 | |
| * | Discovery Communications Inc. | 4,097 | 101 |
| H&R Block Inc. | 2,880 | 95 | |
| CST Brands Inc. | 2,700 | 88 | |
| * | Norwegian Cruise Line Holdings Ltd. | 1,768 | 87 |
| Aramark | 2,752 | 86 | |
| International Game Technology plc | 5,116 | 76 | |
| * | Fossil Group Inc. | 1,282 | 60 |
| * | Discovery Communications Inc. Class A | 2,327 | 58 |
| *,^ | Sears Holdings Corp. | 2,028 | 35 |
| Lennar Corp. Class B | 979 | 33 | |
| * | Fitbit Inc. Class A | 2,377 | 29 |
| Tupperware Brands Corp. | 450 | 22 | |
| Clear Channel Outdoor Holdings Inc. Class A | 3,687 | 13 | |
| 111,744 | |||
| Consumer Staples (6.4%) | |||
| Procter & Gamble Co. | 506,298 | 40,651 | |
| Philip Morris International Inc. | 145,249 | 13,222 | |
| Mondelez International Inc. Class A | 303,740 | 12,311 | |
| Walgreens Boots Alliance Inc. | 136,364 | 10,765 | |
| Archer-Daniels-Midland Co. | 115,926 | 4,053 | |
| Tyson Foods Inc. Class A | 52,405 | 3,393 | |
| Sysco Corp. | 76,505 | 3,376 | |
| ConAgra Foods Inc. | 69,244 | 2,912 | |
| JM Smucker Co. | 22,288 | 2,843 | |
| Molson Coors Brewing Co. Class B | 29,567 | 2,521 | |
| Kimberly-Clark Corp. | 14,142 | 1,843 | |
| CVS Health Corp. | 15,560 | 1,512 | |
| Colgate-Palmolive Co. | 20,967 | 1,376 | |
| Altria Group Inc. | 21,941 | 1,351 | |
| Bunge Ltd. | 27,109 | 1,348 | |
| Ingredion Inc. | 11,574 | 1,171 | |
| Pinnacle Foods Inc. | 22,109 | 955 | |
| * | Edgewell Personal Care Co. | 11,841 | 905 |
| Campbell Soup Co. | 13,121 | 810 | |
| Clorox Co. | 4,988 | 631 | |
| * | Rite Aid Corp. | 73,989 | 588 |
| Energizer Holdings Inc. | 11,441 | 445 | |
| Kellogg Co. | 4,879 | 361 | |
| Nu Skin Enterprises Inc. Class A | 8,593 | 262 | |
| * | Pilgrim's Pride Corp. | 10,252 | 251 |
| Whole Foods Market Inc. | 5,424 | 170 | |
| Brown-Forman Corp. Class B | 1,467 | 144 | |
| * | Herbalife Ltd. | 1,783 | 98 |
| Flowers Foods Inc. | 3,150 | 54 | |
| * | Blue Buffalo Pet Products Inc. | 2,387 | 44 |
| Brown-Forman Corp. Class A | 315 | 34 | |
| 110,400 | |||
| Energy (12.4%) | |||
| Exxon Mobil Corp. | 780,817 | 62,583 | |
| Chevron Corp. | 351,043 | 29,291 | |
| Schlumberger Ltd. | 208,378 | 14,945 | |
| Occidental Petroleum Corp. | 143,583 | 9,881 | |
20
| Vanguard® Russell 1000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Phillips 66 | 101,068 | 8,024 | |
| ConocoPhillips | 229,860 | 7,776 | |
| EOG Resources Inc. | 93,536 | 6,056 | |
| Kinder Morgan Inc. | 333,582 | 6,035 | |
| Valero Energy Corp. | 89,884 | 5,400 | |
| Halliburton Co. | 159,130 | 5,137 | |
| Spectra Energy Corp. | 125,478 | 3,664 | |
| Pioneer Natural Resources Co. | 30,095 | 3,627 | |
| Anadarko Petroleum Corp. | 94,847 | 3,599 | |
| Baker Hughes Inc. | 81,395 | 3,489 | |
| Marathon Petroleum Corp. | 93,926 | 3,217 | |
| Apache Corp. | 69,987 | 2,679 | |
| Noble Energy Inc. | 79,716 | 2,352 | |
| * | Cameron International Corp. | 35,686 | 2,340 |
| Hess Corp. | 51,645 | 2,252 | |
| * | Concho Resources Inc. | 24,128 | 2,177 |
| National Oilwell Varco Inc. | 72,119 | 2,111 | |
| Tesoro Corp. | 22,203 | 1,791 | |
| Devon Energy Corp. | 89,722 | 1,766 | |
| * | Cheniere Energy Inc. | 44,690 | 1,598 |
| EQT Corp. | 28,597 | 1,594 | |
| Cimarex Energy Co. | 17,756 | 1,492 | |
| Columbia Pipeline Group Inc. | 75,292 | 1,367 | |
| Marathon Oil Corp. | 127,897 | 1,050 | |
| * | First Solar Inc. | 14,206 | 1,021 |
| HollyFrontier Corp. | 28,632 | 968 | |
| * | Diamondback Energy Inc. | 13,211 | 941 |
| Helmerich & Payne Inc. | 17,745 | 940 | |
| * | Weatherford International plc | 145,685 | 932 |
| * | Newfield Exploration Co. | 29,924 | 815 |
| ^ | Range Resources Corp. | 29,126 | 691 |
| Murphy Oil Corp. | 32,856 | 564 | |
| PBF Energy Inc. Class A | 17,794 | 537 | |
| World Fuel Services Corp. | 10,844 | 508 | |
| ONEOK Inc. | 20,916 | 502 | |
| * | Gulfport Energy Corp. | 19,879 | 477 |
| Energen Corp. | 17,774 | 471 | |
| Nabors Industries Ltd. | 60,998 | 437 | |
| Oceaneering International Inc. | 15,033 | 415 | |
| Targa Resources Corp. | 15,362 | 413 | |
| *,^ | Southwestern Energy Co. | 71,374 | 413 |
| Patterson-UTI Energy Inc. | 26,470 | 411 | |
| * | Dril-Quip Inc. | 7,566 | 410 |
| * | FMC Technologies Inc. | 15,688 | 385 |
| CONSOL Energy Inc. | 44,099 | 381 | |
| Ensco plc Class A | 42,515 | 369 | |
| ^ | Noble Corp. plc | 43,994 | 367 |
| QEP Resources Inc. | 34,114 | 333 | |
| Golar LNG Ltd. | 17,578 | 322 | |
| * | NOW Inc. | 19,501 | 316 |
| Rowan Cos. plc Class A | 22,394 | 298 | |
| *,^ | Antero Resources Corp. | 12,978 | 297 |
| ^ | Chesapeake Energy Corp. | 107,185 | 280 |
| Superior Energy Services Inc. | 26,859 | 276 | |
| * | Continental Resources Inc. | 10,456 | 242 |
| Diamond Offshore Drilling Inc. | 11,991 | 240 | |
| * | SunPower Corp. Class A | 9,199 | 217 |
| * | WPX Energy Inc. | 42,327 | 174 |
| * | Cobalt International Energy Inc. | 64,786 | 172 |
| * | Whiting Petroleum Corp. | 38,240 | 153 |
| *,^ | Seadrill Ltd. | 65,724 | 147 |
| * | Kosmos Energy Ltd. | 26,182 | 128 |
| * | Laredo Petroleum Inc. | 22,289 | 114 |
| ^ | RPC Inc. | 8,353 | 113 |
21
| Vanguard® Russell 1000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Rice Energy Inc. | 12,179 | 112 |
| SM Energy Co. | 12,108 | 109 | |
| Frank's International NV | 6,548 | 91 | |
| TerraForm Power Inc. Class A | 9,265 | 89 | |
| Denbury Resources Inc. | 59,269 | 76 | |
| California Resources Corp. | 65,535 | 37 | |
| CVR Energy Inc. | 1,498 | 35 | |
| *,^ | EP Energy Corp. Class A | 5,482 | 9 |
| * | SunEdison Inc. | 3,557 | 7 |
| 215,048 | |||
| Financial Services (28.5%) | |||
| * | Berkshire Hathaway Inc. Class B | 324,782 | 43,576 |
| Wells Fargo & Co. | 869,357 | 40,790 | |
| JPMorgan Chase & Co. | 692,503 | 38,988 | |
| Bank of America Corp. | 1,960,739 | 24,548 | |
| Citigroup Inc. | 565,871 | 21,984 | |
| Goldman Sachs Group Inc. | 80,790 | 12,081 | |
| US Bancorp | 312,751 | 12,047 | |
| American International Group Inc. | 230,956 | 11,594 | |
| * | Chubb Ltd. | 86,635 | 10,009 |
| PNC Financial Services Group Inc. | 96,558 | 7,851 | |
| American Express Co. | 129,785 | 7,213 | |
| Morgan Stanley | 286,245 | 7,070 | |
| MetLife Inc. | 174,989 | 6,923 | |
| Capital One Financial Corp. | 101,754 | 6,688 | |
| Bank of New York Mellon Corp. | 186,324 | 6,594 | |
| Travelers Cos. Inc. | 55,080 | 5,922 | |
| Prudential Financial Inc. | 84,650 | 5,595 | |
| CME Group Inc. | 59,975 | 5,484 | |
| Equity Residential | 67,723 | 5,045 | |
| BlackRock Inc. | 16,005 | 4,993 | |
| Aflac Inc. | 80,838 | 4,811 | |
| BB&T Corp. | 145,187 | 4,669 | |
| Allstate Corp. | 72,143 | 4,578 | |
| AvalonBay Communities Inc. | 24,686 | 4,237 | |
| State Street Corp. | 76,678 | 4,200 | |
| * | Synchrony Financial | 155,253 | 4,184 |
| Discover Financial Services | 82,602 | 3,834 | |
| Prologis Inc. | 97,799 | 3,761 | |
| Progressive Corp. | 109,594 | 3,498 | |
| Ventas Inc. | 61,966 | 3,450 | |
| Intercontinental Exchange Inc. | 14,115 | 3,366 | |
| Hartford Financial Services Group Inc. | 78,615 | 3,311 | |
| SunTrust Banks Inc. | 96,553 | 3,204 | |
| Weyerhaeuser Co. | 119,345 | 3,101 | |
| M&T Bank Corp. | 29,660 | 3,042 | |
| Vornado Realty Trust | 34,975 | 3,020 | |
| General Growth Properties Inc. | 108,148 | 2,976 | |
| Realty Income Corp. | 46,439 | 2,719 | |
| Franklin Resources Inc. | 72,151 | 2,587 | |
| Northern Trust Corp. | 43,408 | 2,578 | |
| HCP Inc. | 86,693 | 2,564 | |
| Essex Property Trust Inc. | 12,140 | 2,541 | |
| Macerich Co. | 29,506 | 2,333 | |
| Fifth Third Bancorp | 150,568 | 2,298 | |
| Marsh & McLennan Cos. Inc. | 40,130 | 2,289 | |
| Welltower Inc. | 35,876 | 2,288 | |
| Thomson Reuters Corp. | 61,360 | 2,246 | |
| Host Hotels & Resorts Inc. | 141,278 | 2,163 | |
| Principal Financial Group Inc. | 54,957 | 2,078 | |
| Kimco Realty Corp. | 76,961 | 2,059 | |
| * | Markel Corp. | 2,342 | 2,006 |
| XL Group plc Class A | 57,144 | 1,965 | |
| Cincinnati Financial Corp. | 30,696 | 1,938 | |
22
| Vanguard® Russell 1000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Loews Corp. | 53,036 | 1,928 |
| Regions Financial Corp. | 249,775 | 1,878 |
| Invesco Ltd. | 70,240 | 1,878 |
| Annaly Capital Management Inc. | 176,968 | 1,793 |
| Fidelity National Information Services Inc. | 30,172 | 1,758 |
| FNF Group | 52,580 | 1,734 |
| Lincoln National Corp. | 47,208 | 1,725 |
| KeyCorp | 158,453 | 1,672 |
| UDR Inc. | 48,395 | 1,661 |
| SL Green Realty Corp. | 18,714 | 1,650 |
| First Republic Bank | 26,733 | 1,645 |
| * Arch Capital Group Ltd. | 23,295 | 1,583 |
| Charles Schwab Corp. | 62,937 | 1,577 |
| Everest Re Group Ltd. | 8,209 | 1,528 |
| * Ally Financial Inc. | 83,843 | 1,474 |
| * Alleghany Corp. | 3,012 | 1,398 |
| Nasdaq Inc. | 21,882 | 1,385 |
| New York Community Bancorp Inc. | 90,927 | 1,376 |
| VEREIT Inc. | 170,199 | 1,365 |
| Duke Realty Corp. | 65,082 | 1,346 |
| Huntington Bancshares Inc. | 151,846 | 1,329 |
| Unum Group | 46,015 | 1,313 |
| Mid-America Apartment Communities Inc. | 14,077 | 1,266 |
| * E*TRADE Financial Corp. | 53,454 | 1,254 |
| PartnerRe Ltd. | 8,808 | 1,236 |
| Regency Centers Corp. | 17,383 | 1,227 |
| Camden Property Trust | 16,378 | 1,224 |
| Torchmark Corp. | 23,855 | 1,222 |
| American Capital Agency Corp. | 66,229 | 1,197 |
| Voya Financial Inc. | 40,720 | 1,196 |
| National Retail Properties Inc. | 26,352 | 1,159 |
| Comerica Inc. | 33,662 | 1,137 |
| Citizens Financial Group Inc. | 58,935 | 1,133 |
| WP Carey Inc. | 19,535 | 1,107 |
| Reinsurance Group of America Inc. Class A | 12,248 | 1,104 |
| American Campus Communities Inc. | 24,428 | 1,069 |
| Apartment Investment & Management Co. | 29,151 | 1,067 |
| Alexandria Real Estate Equities Inc. | 13,470 | 1,066 |
| Raymond James Financial Inc. | 23,550 | 1,032 |
| Axis Capital Holdings Ltd. | 19,133 | 1,028 |
| RenaissanceRe Holdings Ltd. | 8,517 | 964 |
| CIT Group Inc. | 31,945 | 952 |
| DDR Corp. | 55,732 | 932 |
| Digital Realty Trust Inc. | 11,740 | 928 |
| WR Berkley Corp. | 17,924 | 923 |
| StanCorp Financial Group Inc. | 7,842 | 901 |
| Spirit Realty Capital Inc. | 83,722 | 895 |
| Assurant Inc. | 12,538 | 891 |
| Old Republic International Corp. | 49,480 | 881 |
| Kilroy Realty Corp. | 16,152 | 877 |
| American Financial Group Inc. | 12,933 | 868 |
| People's United Financial Inc. | 56,949 | 832 |
| Weingarten Realty Investors | 23,358 | 823 |
| Zions Bancorporation | 38,441 | 820 |
| East West Bancorp Inc. | 27,058 | 811 |
| White Mountains Insurance Group Ltd. | 1,057 | 811 |
| Omega Healthcare Investors Inc. | 24,874 | 797 |
| Liberty Property Trust | 27,586 | 797 |
| Starwood Property Trust Inc. | 43,948 | 771 |
| Brixmor Property Group Inc. | 32,496 | 761 |
| Leucadia National Corp. | 52,182 | 754 |
| * Forest City Realty Trust Inc. Class A | 40,276 | 751 |
| Navient Corp. | 69,033 | 748 |
| Endurance Specialty Holdings Ltd. | 11,550 | 719 |
23
| Vanguard® Russell 1000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Douglas Emmett Inc. | 26,723 | 717 |
| Brown & Brown Inc. | 22,074 | 713 |
| Commerce Bancshares Inc. | 16,532 | 702 |
| Senior Housing Properties Trust | 44,784 | 699 |
| Iron Mountain Inc. | 23,639 | 695 |
| Hospitality Properties Trust | 28,583 | 694 |
| Validus Holdings Ltd. | 15,443 | 694 |
| Hanover Insurance Group Inc. | 8,131 | 674 |
| Synovus Financial Corp. | 25,220 | 671 |
| PacWest Bancorp | 20,510 | 660 |
| Assured Guaranty Ltd. | 26,208 | 650 |
| Retail Properties of America Inc. | 43,411 | 638 |
| Apple Hospitality REIT Inc. | 33,400 | 635 |
| * Equity Commonwealth | 23,760 | 633 |
| Corrections Corp. of America | 21,619 | 625 |
| BankUnited Inc. | 18,969 | 609 |
| First Niagara Financial Group Inc. | 64,886 | 600 |
| Healthcare Trust of America Inc. Class A | 20,972 | 583 |
| Public Storage | 2,337 | 583 |
| Allied World Assurance Co. Holdings AG | 17,366 | 562 |
| * Realogy Holdings Corp. | 17,035 | 545 |
| Arthur J Gallagher & Co. | 13,586 | 541 |
| Taubman Centers Inc. | 7,508 | 532 |
| American Homes 4 Rent Class A | 37,736 | 528 |
| Two Harbors Investment Corp. | 67,702 | 525 |
| First Horizon National Corp. | 42,799 | 514 |
| Popular Inc. | 19,220 | 509 |
| Aspen Insurance Holdings Ltd. | 11,256 | 503 |
| Bank of Hawaii Corp. | 7,912 | 502 |
| Rayonier Inc. | 23,014 | 502 |
| Piedmont Office Realty Trust Inc. Class A | 27,295 | 501 |
| Paramount Group Inc. | 33,095 | 500 |
| ProAssurance Corp. | 10,092 | 498 |
| Associated Banc-Corp | 27,692 | 476 |
| Cullen/Frost Bankers Inc. | 9,848 | 472 |
| Dun & Bradstreet Corp. | 4,916 | 471 |
| Ameriprise Financial Inc. | 5,596 | 470 |
| Chimera Investment Corp. | 35,835 | 467 |
| MFA Financial Inc. | 67,712 | 461 |
| Communications Sales & Leasing Inc. | 22,992 | 433 |
| Brandywine Realty Trust | 34,402 | 424 |
| Columbia Property Trust Inc. | 20,839 | 422 |
| NorthStar Realty Finance Corp. | 33,424 | 417 |
| * Howard Hughes Corp. | 4,371 | 406 |
| Care Capital Properties Inc. | 15,216 | 403 |
| Corporate Office Properties Trust | 17,072 | 400 |
| Post Properties Inc. | 7,022 | 391 |
| CBL & Associates Properties Inc. | 32,307 | 373 |
| TCF Financial Corp. | 32,289 | 366 |
| Gaming and Leisure Properties Inc. | 13,842 | 363 |
| Interactive Brokers Group Inc. | 10,243 | 350 |
| AmTrust Financial Services Inc. | 14,037 | 343 |
| Legg Mason Inc. | 11,932 | 341 |
| * SVB Financial Group | 3,666 | 326 |
| * CoreLogic Inc. | 9,022 | 312 |
| WP Glimcher Inc. | 34,293 | 296 |
| Boston Properties Inc. | 2,429 | 277 |
| Mercury General Corp. | 5,138 | 270 |
| ^ BOK Financial Corp. | 5,181 | 253 |
| Jones Lang LaSalle Inc. | 2,173 | 222 |
| * OneMain Holdings Inc. Class A | 9,355 | 211 |
| TFS Financial Corp. | 12,481 | 211 |
| TD Ameritrade Holding Corp. | 7,244 | 207 |
| * Genworth Financial Inc. Class A | 88,378 | 187 |
24
| Vanguard® Russell 1000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Empire State Realty Trust Inc. | 11,681 | 183 | |
| * | Santander Consumer USA Holdings Inc. | 16,052 | 165 |
| * | Zillow Group Inc. | 7,380 | 159 |
| CNA Financial Corp. | 5,267 | 153 | |
| American National Insurance Co. | 1,288 | 131 | |
| NorthStar Realty Europe Corp. | 10,508 | 103 | |
| Four Corners Property Trust Inc. | 5,890 | 97 | |
| * | Signature Bank | 733 | 95 |
| * | First Data Corp. Class A | 7,321 | 92 |
| * | Zillow Group Inc. Class A | 2,940 | 68 |
| * | TransUnion | 1,260 | 33 |
| * | SLM Corp. | 5,588 | 33 |
| Waddell & Reed Financial Inc. Class A | 867 | 20 | |
| *,^ | Square Inc. | 1,251 | 13 |
| 492,919 | |||
| Health Care (12.1%) | |||
| Johnson & Johnson | 451,115 | 47,462 | |
| Pfizer Inc. | 1,149,006 | 34,091 | |
| Merck & Co. Inc. | 466,822 | 23,439 | |
| Medtronic plc | 265,889 | 20,577 | |
| * | Allergan plc | 40,165 | 11,652 |
| Abbott Laboratories | 278,034 | 10,771 | |
| Thermo Fisher Scientific Inc. | 49,315 | 6,371 | |
| Aetna Inc. | 49,275 | 5,353 | |
| Anthem Inc. | 39,303 | 5,137 | |
| * | Boston Scientific Corp. | 230,278 | 3,910 |
| * | HCA Holdings Inc. | 55,197 | 3,820 |
| Stryker Corp. | 31,002 | 3,096 | |
| Zimmer Biomet Holdings Inc. | 29,739 | 2,879 | |
| Perrigo Co. plc | 22,218 | 2,805 | |
| Agilent Technologies Inc. | 61,958 | 2,314 | |
| Quest Diagnostics Inc. | 26,924 | 1,791 | |
| Universal Health Services Inc. Class B | 14,105 | 1,557 | |
| * | DaVita HealthCare Partners Inc. | 23,580 | 1,556 |
| Baxter International Inc. | 37,394 | 1,477 | |
| Baxalta Inc. | 37,494 | 1,444 | |
| * | Express Scripts Holding Co. | 20,401 | 1,436 |
| * | Laboratory Corp. of America Holdings | 12,425 | 1,365 |
| St. Jude Medical Inc. | 23,180 | 1,245 | |
| DENTSPLY International Inc. | 19,434 | 1,185 | |
| * | Endo International plc | 27,298 | 1,141 |
| Teleflex Inc. | 7,715 | 1,102 | |
| UnitedHealth Group Inc. | 8,776 | 1,045 | |
| * | QIAGEN NV | 43,455 | 917 |
| * | Mallinckrodt plc | 13,136 | 854 |
| PerkinElmer Inc. | 17,666 | 835 | |
| * | Health Net Inc. | 12,131 | 755 |
| * | Mylan NV | 11,812 | 532 |
| * | Bio-Rad Laboratories Inc. Class A | 3,781 | 509 |
| * | MEDNAX Inc. | 7,543 | 506 |
| Cardinal Health Inc. | 5,826 | 476 | |
| * | LifePoint Health Inc. | 7,451 | 465 |
| Cooper Cos. Inc. | 2,889 | 413 | |
| * | Brookdale Senior Living Inc. | 26,776 | 385 |
| Humana Inc. | 2,001 | 354 | |
| Bio-Techne Corp. | 3,901 | 335 | |
| * | Community Health Systems Inc. | 21,857 | 330 |
| Patterson Cos. Inc. | 6,975 | 303 | |
| * | Alere Inc. | 5,674 | 302 |
| * | Allscripts Healthcare Solutions Inc. | 22,921 | 287 |
| * | Alkermes plc | 4,803 | 155 |
| * | Alnylam Pharmaceuticals Inc. | 2,376 | 139 |
| * | VWR Corp. | 2,301 | 56 |
| * | Quintiles Transnational Holdings Inc. | 671 | 42 |
25
| Vanguard® Russell 1000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * VCA Inc. | 759 | 39 |
| Hill-Rom Holdings Inc. | 748 | 35 |
| 209,045 | ||
| Materials & Processing (3.0%) | ||
| Dow Chemical Co. | 181,167 | 8,807 |
| EI du Pont de Nemours & Co. | 91,045 | 5,542 |
| Ingersoll-Rand plc | 45,917 | 2,551 |
| Newmont Mining Corp. | 98,547 | 2,545 |
| Nucor Corp. | 59,349 | 2,335 |
| Alcoa Inc. | 243,980 | 2,179 |
| Vulcan Materials Co. | 21,622 | 2,130 |
| Mosaic Co. | 65,218 | 1,738 |
| Freeport-McMoRan Inc. | 214,548 | 1,637 |
| Celanese Corp. Class A | 26,716 | 1,612 |
| Martin Marietta Materials Inc. | 10,843 | 1,546 |
| WestRock Co. | 44,370 | 1,498 |
| Airgas Inc. | 9,745 | 1,379 |
| Eastman Chemical Co. | 21,059 | 1,351 |
| Albemarle Corp. | 21,190 | 1,191 |
| Ashland Inc. | 10,587 | 1,009 |
| Air Products & Chemicals Inc. | 7,268 | 963 |
| Owens Corning | 21,716 | 932 |
| Praxair Inc. | 8,894 | 905 |
| Reliance Steel & Aluminum Co. | 13,997 | 852 |
| Sonoco Products Co. | 19,157 | 837 |
| Bemis Co. Inc. | 16,517 | 811 |
| Steel Dynamics Inc. | 40,712 | 741 |
| * Crown Holdings Inc. | 14,852 | 696 |
| AptarGroup Inc. | 9,431 | 695 |
| Royal Gold Inc. | 11,211 | 520 |
| Cabot Corp. | 11,525 | 513 |
| Valmont Industries Inc. | 4,260 | 482 |
| Domtar Corp. | 12,187 | 429 |
| Timken Co. | 14,352 | 428 |
| * Owens-Illinois Inc. | 27,535 | 412 |
| ^ Southern Copper Corp. | 13,861 | 332 |
| Graphic Packaging Holding Co. | 25,410 | 313 |
| Westlake Chemical Corp. | 7,195 | 310 |
| Allegheny Technologies Inc. | 19,651 | 264 |
| FMC Corp. | 6,922 | 261 |
| Tahoe Resources Inc. | 26,440 | 244 |
| ^ United States Steel Corp. | 25,613 | 234 |
| International Paper Co. | 4,296 | 153 |
| * Platform Specialty Products Corp. | 20,089 | 142 |
| Huntsman Corp. | 12,552 | 136 |
| * Armstrong World Industries Inc. | 2,418 | 98 |
| Chemours Co. | 16,285 | 84 |
| Scotts Miracle-Gro Co. Class A | 765 | 53 |
| 51,890 | ||
| Producer Durables (10.1%) | ||
| General Electric Co. | 1,756,174 | 51,175 |
| United Technologies Corp. | 141,816 | 13,702 |
| Danaher Corp. | 89,623 | 8,001 |
| Raytheon Co. | 56,895 | 7,046 |
| Caterpillar Inc. | 92,993 | 6,296 |
| Eaton Corp. plc | 87,016 | 4,935 |
| General Dynamics Corp. | 35,710 | 4,866 |
| FedEx Corp. | 33,837 | 4,632 |
| Northrop Grumman Corp. | 23,757 | 4,567 |
| Waste Management Inc. | 78,103 | 4,362 |
| Norfolk Southern Corp. | 56,911 | 4,164 |
| Deere & Co. | 48,527 | 3,891 |
| CSX Corp. | 137,101 | 3,310 |
| Lockheed Martin Corp. | 14,323 | 3,091 |
26
| Vanguard® Russell 1000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Stanley Black & Decker Inc. | 25,996 | 2,444 |
| Republic Services Inc. Class A | 45,178 | 2,065 |
| Roper Technologies Inc. | 11,615 | 1,950 |
| Emerson Electric Co. | 38,815 | 1,895 |
| Dover Corp. | 30,033 | 1,825 |
| Xerox Corp. | 189,029 | 1,817 |
| L-3 Communications Holdings Inc. | 15,445 | 1,812 |
| Kansas City Southern | 20,720 | 1,693 |
| Pentair plc | 33,702 | 1,608 |
| Automatic Data Processing Inc. | 17,363 | 1,470 |
| Waste Connections Inc. | 23,081 | 1,423 |
| Parker-Hannifin Corp. | 14,016 | 1,418 |
| Textron Inc. | 40,483 | 1,382 |
| ADT Corp. | 32,216 | 1,301 |
| Xylem Inc. | 33,748 | 1,263 |
| Fluor Corp. | 25,889 | 1,192 |
| * Trimble Navigation Ltd. | 46,508 | 1,082 |
| ManpowerGroup Inc. | 13,559 | 1,050 |
| Orbital ATK Inc. | 11,481 | 962 |
| Hubbell Inc. Class B | 9,585 | 952 |
| * Jacobs Engineering Group Inc. | 23,073 | 892 |
| Cummins Inc. | 8,809 | 859 |
| Carlisle Cos. Inc. | 9,344 | 842 |
| * JetBlue Airways Corp. | 37,226 | 819 |
| Macquarie Infrastructure Corp. | 12,780 | 780 |
| AGCO Corp. | 13,879 | 687 |
| * AECOM | 24,891 | 683 |
| Chicago Bridge & Iron Co. NV | 18,468 | 619 |
| * Kirby Corp. | 10,366 | 587 |
| ITT Corp. | 16,569 | 584 |
| Flowserve Corp. | 13,531 | 569 |
| Ryder System Inc. | 9,780 | 555 |
| Air Lease Corp. Class A | 17,910 | 538 |
| BWX Technologies Inc. | 16,470 | 525 |
| Oshkosh Corp. | 14,189 | 490 |
| * Colfax Corp. | 19,331 | 489 |
| National Instruments Corp. | 16,766 | 484 |
| * Quanta Services Inc. | 23,647 | 480 |
| Trinity Industries Inc. | 29,557 | 468 |
| Crane Co. | 9,346 | 458 |
| Terex Corp. | 20,014 | 448 |
| Regal Beloit Corp. | 8,127 | 444 |
| Pitney Bowes Inc. | 23,956 | 434 |
| MSC Industrial Direct Co. Inc. Class A | 5,978 | 416 |
| Manitowoc Co. Inc. | 24,418 | 387 |
| Paychex Inc. | 7,521 | 386 |
| KBR Inc. | 27,669 | 383 |
| ^ Copa Holdings SA Class A | 6,229 | 380 |
| GATX Corp. | 8,608 | 370 |
| * Genesee & Wyoming Inc. Class A | 6,486 | 368 |
| * WESCO International Inc. | 7,933 | 349 |
| Allison Transmission Holdings Inc. | 14,739 | 349 |
| Lexmark International Inc. Class A | 11,113 | 345 |
| Tyco International plc | 9,579 | 337 |
| PACCAR Inc. | 6,248 | 322 |
| FLIR Systems Inc. | 9,300 | 288 |
| Kennametal Inc. | 14,066 | 283 |
| RR Donnelley & Sons Co. | 18,295 | 278 |
| Triumph Group Inc. | 9,005 | 274 |
| Joy Global Inc. | 17,277 | 223 |
| * IHS Inc. Class A | 1,794 | 187 |
| * Babcock & Wilcox Enterprises Inc. | 7,831 | 153 |
| * Clean Harbors Inc. | 3,220 | 137 |
| * SPX FLOW Inc. | 7,264 | 136 |
27
| Vanguard® Russell 1000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Keysight Technologies Inc. | 4,465 | 116 |
| IDEX Corp. | 1,317 | 99 |
| * Spirit AeroSystems Holdings Inc. Class A | 1,875 | 86 |
| SPX Corp. | 7,264 | 86 |
| Donaldson Co. Inc. | 2,411 | 68 |
| Avery Dennison Corp. | 976 | 64 |
| Lincoln Electric Holdings Inc. | 970 | 53 |
| Teekay Corp. | 4,826 | 39 |
| Booz Allen Hamilton Holding Corp. Class A | 1,314 | 36 |
| 175,374 | ||
| Technology (10.8%) | ||
| Microsoft Corp. | 653,634 | 33,257 |
| Cisco Systems Inc. | 949,477 | 24,857 |
| Intel Corp. | 823,908 | 24,379 |
| QUALCOMM Inc. | 237,956 | 12,086 |
| International Business Machines Corp. | 75,315 | 9,869 |
| Oracle Corp. | 236,105 | 8,684 |
| EMC Corp. | 332,160 | 8,679 |
| * Yahoo! Inc. | 175,419 | 5,577 |
| Hewlett Packard Enterprise Co. | 338,020 | 4,486 |
| Corning Inc. | 207,756 | 3,802 |
| HP Inc. | 322,420 | 3,447 |
| NVIDIA Corp. | 100,796 | 3,161 |
| Activision Blizzard Inc. | 94,413 | 2,990 |
| * Broadcom Ltd. | 20,907 | 2,801 |
| SanDisk Corp. | 38,654 | 2,793 |
| Symantec Corp. | 126,484 | 2,442 |
| * Micron Technology Inc. | 185,560 | 1,972 |
| Western Digital Corp. | 42,050 | 1,830 |
| Xilinx Inc. | 37,239 | 1,758 |
| Applied Materials Inc. | 87,867 | 1,658 |
| CA Inc. | 56,023 | 1,641 |
| Amdocs Ltd. | 28,894 | 1,640 |
| Juniper Networks Inc. | 61,036 | 1,508 |
| Harris Corp. | 19,223 | 1,500 |
| * Synopsys Inc. | 27,195 | 1,217 |
| Maxim Integrated Products Inc. | 34,290 | 1,161 |
| * SBA Communications Corp. Class A | 12,099 | 1,148 |
| * ANSYS Inc. | 13,648 | 1,133 |
| Avnet Inc. | 25,746 | 1,059 |
| * Arrow Electronics Inc. | 17,640 | 1,008 |
| NetApp Inc. | 39,186 | 973 |
| Ingram Micro Inc. | 26,076 | 934 |
| * Nuance Communications Inc. | 46,664 | 910 |
| Marvell Technology Group Ltd. | 83,739 | 800 |
| Brocade Communications Systems Inc. | 79,869 | 793 |
| Teradyne Inc. | 39,554 | 755 |
| Computer Sciences Corp. | 26,121 | 753 |
| CSRA Inc. | 26,221 | 680 |
| Lam Research Corp. | 8,729 | 640 |
| * Cree Inc. | 19,140 | 607 |
| Jabil Circuit Inc. | 29,030 | 605 |
| * NCR Corp. | 24,405 | 570 |
| * Autodesk Inc. | 10,666 | 552 |
| * ARRIS International plc | 20,748 | 496 |
| Cypress Semiconductor Corp. | 61,127 | 488 |
| Leidos Holdings Inc. | 11,121 | 481 |
| Dolby Laboratories Inc. Class A | 9,686 | 383 |
| * EchoStar Corp. Class A | 8,245 | 369 |
| * Zynga Inc. Class A | 139,076 | 293 |
| * Viavi Solutions Inc. | 43,816 | 286 |
| * CommScope Holding Co. Inc. | 10,938 | 276 |
| Analog Devices Inc. | 4,841 | 257 |
| * Lumentum Holdings Inc. | 8,461 | 203 |
28
| Vanguard® Russell 1000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Teradata Corp. | 6,117 | 153 |
| DST Systems Inc. | 1,457 | 152 |
| * 3D Systems Corp. | 11,707 | 125 |
| SS&C Technologies Holdings Inc. | 1,736 | 101 |
| * ON Semiconductor Corp. | 5,431 | 46 |
| * Match Group Inc. | 1,279 | 14 |
| * Black Knight Financial Services Inc. Class A | 427 | 12 |
| 187,250 | ||
| Utilities (9.8%) | ||
| AT&T Inc. | 968,950 | 35,803 |
| Duke Energy Corp. | 128,836 | 9,570 |
| NextEra Energy Inc. | 82,771 | 9,338 |
| Southern Co. | 169,329 | 8,158 |
| Dominion Resources Inc. | 105,068 | 7,346 |
| American Electric Power Co. Inc. | 91,464 | 5,648 |
| Exelon Corp. | 171,766 | 5,409 |
| PG&E Corp. | 89,827 | 5,096 |
| Sempra Energy | 46,195 | 4,458 |
| PPL Corp. | 124,439 | 4,354 |
| Edison International | 60,805 | 4,144 |
| Public Service Enterprise Group Inc. | 94,421 | 4,028 |
| Consolidated Edison Inc. | 54,706 | 3,830 |
| Xcel Energy Inc. | 94,611 | 3,741 |
| WEC Energy Group Inc. | 59,084 | 3,329 |
| CenturyLink Inc. | 105,654 | 3,232 |
| Eversource Energy | 59,455 | 3,228 |
| DTE Energy Co. | 33,376 | 2,808 |
| Verizon Communications Inc. | 54,577 | 2,769 |
| FirstEnergy Corp. | 78,437 | 2,625 |
| Entergy Corp. | 33,450 | 2,415 |
| * Level 3 Communications Inc. | 47,414 | 2,302 |
| American Water Works Co. Inc. | 33,531 | 2,173 |
| Ameren Corp. | 45,205 | 2,122 |
| CMS Energy Corp. | 51,605 | 2,041 |
| * T-Mobile US Inc. | 51,177 | 1,899 |
| SCANA Corp. | 26,730 | 1,738 |
| CenterPoint Energy Inc. | 80,600 | 1,502 |
| AGL Resources Inc. | 22,563 | 1,459 |
| Alliant Energy Corp. | 21,332 | 1,450 |
| Pinnacle West Capital Corp. | 20,732 | 1,427 |
| Atmos Energy Corp. | 18,846 | 1,308 |
| NiSource Inc. | 59,900 | 1,287 |
| AES Corp. | 128,519 | 1,259 |
| Pepco Holdings Inc. | 47,340 | 1,239 |
| TECO Energy Inc. | 44,398 | 1,220 |
| Frontier Communications Corp. | 219,872 | 1,190 |
| UGI Corp. | 32,170 | 1,189 |
| Westar Energy Inc. Class A | 26,015 | 1,131 |
| Aqua America Inc. | 32,787 | 1,002 |
| OGE Energy Corp. | 37,828 | 941 |
| Great Plains Energy Inc. | 29,173 | 856 |
| Questar Corp. | 33,409 | 828 |
| * Calpine Corp. | 60,725 | 763 |
| National Fuel Gas Co. | 16,029 | 732 |
| ITC Holdings Corp. | 17,975 | 730 |
| Vectren Corp. | 15,267 | 695 |
| MDU Resources Group Inc. | 35,559 | 648 |
| NRG Energy Inc. | 58,303 | 629 |
| Hawaiian Electric Industries Inc. | 19,873 | 583 |
| * Sprint Corp. | 138,183 | 475 |
| Telephone & Data Systems Inc. | 17,316 | 463 |
| * Avangrid Inc. | 11,048 | 429 |
| * United States Cellular Corp. | 2,736 | 113 |
29
| Vanguard® Russell 1000 Value Index Fund | |||||
| Schedule of Investments | |||||
| February 29, 2016 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| * | Zayo Group Holdings Inc. | 3,712 | 88 | ||
| 169,240 | |||||
| Total Common Stocks (Cost $1,788,005) | 1,722,910 | ||||
| Coupon | |||||
| Temporary Cash Investments (0.3%)1 | |||||
| Money Market Fund (0.2%) | |||||
| 2,3 | Vanguard Market Liquidity Fund | 0.475% | 2,825,000 | 2,825 | |
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.1%) | |||||
| 4 | Federal Home Loan Bank Discount Notes | 0.235% | 3/23/16 | 100 | 100 |
| 4 | Federal Home Loan Bank Discount Notes | 0.245% | 4/20/16 | 600 | 599 |
| 4,5 | Federal Home Loan Bank Discount Notes | 0.260% | 4/27/16 | 200 | 200 |
| 4,5 | Federal Home Loan Bank Discount Notes | 0.290% | 4/29/16 | 500 | 500 |
| 6 | Freddie Mac Discount Notes | 0.220% | 4/15/16 | 400 | 400 |
| 1,799 | |||||
| Total Temporary Cash Investments (Cost $4,624) | 4,624 | ||||
| Total Investments (99.8%) (Cost $1,792,629) | 1,727,534 | ||||
| Other Assets and Liabilities—Net (0.2%)3 | 3,413 | ||||
| Net Assets (100%) | 1,730,947 | ||||
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,920,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and -0.2%, 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 Includes $2,018,000 of collateral received for securities on loan.
4 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
5 Securities with a value of $400,000 have been segregated as initial margin for open futures contracts.
6 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.
REIT—Real Estate Investment Trust.
30
| Vanguard® Russell 1000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Common Stocks (99.6%)1 | |||
| Consumer Discretionary (22.7%) | |||
| * | Amazon.com Inc. | 82,630 | 45,655 |
| Walt Disney Co. | 367,827 | 35,135 | |
| Home Depot Inc. | 281,643 | 34,958 | |
| Comcast Corp. Class A | 490,211 | 28,300 | |
| McDonald's Corp. | 207,603 | 24,329 | |
| Starbucks Corp. | 324,944 | 18,915 | |
| NIKE Inc. Class B | 293,629 | 18,085 | |
| Costco Wholesale Corp. | 95,329 | 14,302 | |
| * | Priceline Group Inc. | 11,232 | 14,211 |
| Lowe's Cos. Inc. | 206,107 | 13,918 | |
| Time Warner Cable Inc. | 61,258 | 11,692 | |
| TJX Cos. Inc. | 147,457 | 10,927 | |
| * | Netflix Inc. | 91,798 | 8,575 |
| Yum! Brands Inc. | 88,524 | 6,415 | |
| * | eBay Inc. | 262,895 | 6,257 |
| Time Warner Inc. | 91,695 | 6,070 | |
| * | O'Reilly Automotive Inc. | 21,899 | 5,701 |
| * | AutoZone Inc. | 6,752 | 5,230 |
| Ross Stores Inc. | 89,380 | 4,914 | |
| Dollar General Corp. | 65,649 | 4,874 | |
| CBS Corp. Class B | 99,576 | 4,817 | |
| VF Corp. | 72,988 | 4,752 | |
| L Brands Inc. | 53,446 | 4,532 | |
| Twenty-First Century Fox Inc. Class A | 164,207 | 4,437 | |
| Delphi Automotive plc | 62,437 | 4,163 | |
| Estee Lauder Cos. Inc. Class A | 45,407 | 4,147 | |
| Omnicom Group Inc. | 52,880 | 4,115 | |
| *,^ | Tesla Motors Inc. | 21,106 | 4,051 |
| * | Dollar Tree Inc. | 49,836 | 3,999 |
| Las Vegas Sands Corp. | 79,172 | 3,822 | |
| * | Chipotle Mexican Grill Inc. Class A | 6,728 | 3,426 |
| * | Under Armour Inc. Class A | 38,700 | 3,239 |
| *,^ | Charter Communications Inc. Class A | 16,268 | 2,921 |
| Marriott International Inc.Class A | 42,610 | 2,904 | |
| Nielsen Holdings plc | 55,114 | 2,774 | |
| Genuine Parts Co. | 30,728 | 2,770 | |
| Viacom Inc. Class B | 75,054 | 2,766 | |
| Starwood Hotels & Resorts Worldwide Inc. | 37,183 | 2,570 | |
| Tractor Supply Co. | 29,727 | 2,514 | |
| Hanesbrands Inc. | 87,095 | 2,481 | |
| * | Jarden Corp. | 45,839 | 2,424 |
| Expedia Inc. | 22,804 | 2,374 | |
| Hilton Worldwide Holdings Inc. | 112,975 | 2,348 | |
| Advance Auto Parts Inc. | 15,754 | 2,339 | |
| * | Ulta Salon Cosmetics & Fragrance Inc. | 13,827 | 2,284 |
| * | Michael Kors Holdings Ltd. | 40,131 | 2,273 |
| Macy's Inc. | 49,433 | 2,136 | |
| * | CarMax Inc. | 42,044 | 1,945 |
| Interpublic Group of Cos. Inc. | 90,014 | 1,925 | |
| Twenty-First Century Fox Inc. | 70,406 | 1,912 | |
| Signet Jewelers Ltd. | 17,301 | 1,875 | |
| * | LKQ Corp. | 66,421 | 1,833 |
| * | Bed Bath & Beyond Inc. | 37,425 | 1,795 |
| Wyndham Worldwide Corp. | 24,333 | 1,772 | |
| * | Sirius XM Holdings Inc. | 463,837 | 1,725 |
| * | Mohawk Industries Inc. | 9,324 | 1,676 |
| Foot Locker Inc. | 26,002 | 1,625 | |
| BorgWarner Inc. | 49,406 | 1,615 | |
| H&R Block Inc. | 48,184 | 1,584 | |
| Domino's Pizza Inc. | 11,848 | 1,576 | |
| * | TripAdvisor Inc. | 24,059 | 1,506 |
31
| Vanguard® Russell 1000 Growth Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * lululemon athletica Inc. | 23,963 | 1,503 |
| * DISH Network Corp. Class A | 31,406 | 1,480 |
| Hasbro Inc. | 19,473 | 1,477 |
| * NVR Inc. | 877 | 1,436 |
| Gap Inc. | 51,388 | 1,421 |
| Nordstrom Inc. | 27,619 | 1,417 |
| Leggett & Platt Inc. | 29,549 | 1,320 |
| Lear Corp. | 12,656 | 1,283 |
| Wynn Resorts Ltd. | 15,505 | 1,279 |
| * Norwegian Cruise Line Holdings Ltd. | 25,910 | 1,273 |
| Polaris Industries Inc. | 14,331 | 1,260 |
| * Discovery Communications Inc. | 49,914 | 1,230 |
| * Liberty Interactive Corp. QVC Group Class A | 47,621 | 1,209 |
| Aramark | 37,988 | 1,194 |
| Tiffany & Co. | 18,269 | 1,187 |
| Harman International Industries Inc. | 15,466 | 1,186 |
| Scripps Networks Interactive Inc. Class A | 19,667 | 1,165 |
| Carter's Inc. | 11,364 | 1,155 |
| Johnson Controls Inc. | 30,830 | 1,124 |
| * Liberty Ventures Class A | 30,386 | 1,115 |
| * WABCO Holdings Inc. | 11,778 | 1,111 |
| Newell Rubbermaid Inc. | 29,101 | 1,106 |
| Williams-Sonoma Inc. | 19,994 | 1,042 |
| * Panera Bread Co. Class A | 5,006 | 1,037 |
| Service Corp. International | 43,323 | 1,019 |
| Lamar Advertising Co. Class A | 17,514 | 1,001 |
| * Sally Beauty Holdings Inc. | 31,606 | 998 |
| Harley-Davidson Inc. | 22,585 | 975 |
| Dunkin' Brands Group Inc. | 20,682 | 963 |
| Target Corp. | 11,407 | 895 |
| * Skechers U.S.A. Inc. Class A | 26,468 | 871 |
| * AMC Networks Inc. Class A | 13,041 | 855 |
| Cinemark Holdings Inc. | 25,340 | 839 |
| * ServiceMaster Global Holdings Inc. | 22,080 | 837 |
| DR Horton Inc. | 29,172 | 779 |
| Six Flags Entertainment Corp. | 15,261 | 776 |
| * Tempur Sealy International Inc. | 13,222 | 763 |
| * Discovery Communications Inc. Class A | 30,458 | 761 |
| * AutoNation Inc. | 14,759 | 760 |
| * Hertz Global Holdings Inc. | 87,569 | 744 |
| * Live Nation Entertainment Inc. | 31,287 | 688 |
| * Madison Square Garden Co. Class A | 4,401 | 682 |
| Brunswick Corp. | 14,744 | 627 |
| Lennar Corp. Class A | 14,884 | 624 |
| Brinker International Inc. | 12,294 | 612 |
| Fortune Brands Home & Security Inc. | 12,178 | 612 |
| Visteon Corp. | 8,672 | 606 |
| Dick's Sporting Goods Inc. | 14,057 | 597 |
| * Avis Budget Group Inc. | 21,652 | 555 |
| Thor Industries Inc. | 9,885 | 547 |
| * Kate Spade & Co. | 27,036 | 536 |
| Tupperware Brands Corp. | 10,562 | 528 |
| * Urban Outfitters Inc. | 19,265 | 510 |
| ^ Coty Inc. Class A | 17,550 | 500 |
| * Starz | 18,960 | 478 |
| * Pandora Media Inc. | 44,783 | 458 |
| Gentex Corp. | 30,825 | 449 |
| Lions Gate Entertainment Corp. | 20,553 | 434 |
| CST Brands Inc. | 13,351 | 433 |
| Choice Hotels International Inc. | 7,607 | 394 |
| KAR Auction Services Inc. | 10,168 | 360 |
| * Toll Brothers Inc. | 12,969 | 356 |
| ^ Regal Entertainment Group Class A | 18,049 | 355 |
| Darden Restaurants Inc. | 5,427 | 347 |
32
| Vanguard® Russell 1000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Fossil Group Inc. | 7,303 | 343 |
| Coach Inc. | 8,579 | 334 | |
| * | Michaels Cos. Inc. | 13,760 | 321 |
| AMERCO | 767 | 263 | |
| Whirlpool Corp. | 1,442 | 224 | |
| * | GoPro Inc. Class A | 18,728 | 222 |
| Cablevision Systems Corp. Class A | 6,648 | 216 | |
| International Game Technology plc | 14,467 | 214 | |
| * | MSG Networks Inc. | 12,606 | 207 |
| Extended Stay America Inc. | 11,746 | 174 | |
| Penske Automotive Group Inc. | 3,177 | 120 | |
| * | MGM Resorts International | 6,043 | 114 |
| * | Office Depot Inc. | 19,065 | 97 |
| Viacom Inc. Class A | 2,025 | 84 | |
| * | Vista Outdoor Inc. | 1,635 | 81 |
| *,^ | Fitbit Inc. Class A | 5,705 | 70 |
| Ralph Lauren Corp. Class A | 635 | 58 | |
| Aaron's Inc. | 2,237 | 51 | |
| * | Cabela's Inc. | 937 | 45 |
| Dillard's Inc. Class A | 514 | 43 | |
| * | Murphy USA Inc. | 479 | 30 |
| Lennar Corp. Class B | 751 | 25 | |
| DSW Inc. Class A | 865 | 23 | |
| Clear Channel Outdoor Holdings Inc. Class A | 4,606 | 17 | |
| * | Sears Holdings Corp. | 207 | 4 |
| 489,719 | |||
| Consumer Staples (11.1%) | |||
| Coca-Cola Co. | 850,066 | 36,663 | |
| PepsiCo Inc. | 320,029 | 31,305 | |
| Altria Group Inc. | 400,638 | 24,667 | |
| CVS Health Corp. | 226,457 | 22,005 | |
| Philip Morris International Inc. | 167,112 | 15,212 | |
| Colgate-Palmolive Co. | 171,819 | 11,278 | |
| Kraft Heinz Co. | 128,378 | 9,888 | |
| Reynolds American Inc. | 179,089 | 9,031 | |
| Kroger Co. | 211,895 | 8,457 | |
| Kimberly-Clark Corp. | 62,670 | 8,166 | |
| General Mills Inc. | 129,018 | 7,593 | |
| Constellation Brands Inc. Class A | 35,349 | 4,999 | |
| * | Monster Beverage Corp. | 32,417 | 4,068 |
| Dr Pepper Snapple Group Inc. | 41,525 | 3,801 | |
| Kellogg Co. | 48,731 | 3,607 | |
| Mead Johnson Nutrition Co. | 40,349 | 2,976 | |
| Hershey Co. | 31,695 | 2,881 | |
| Clorox Co. | 22,679 | 2,867 | |
| McCormick & Co. Inc. | 27,864 | 2,599 | |
| Church & Dwight Co. Inc. | 28,474 | 2,584 | |
| Keurig Green Mountain Inc. | 28,097 | 2,583 | |
| Hormel Foods Corp. | 58,157 | 2,472 | |
| Coca-Cola Enterprises Inc. | 50,643 | 2,457 | |
| Brown-Forman Corp. Class B | 23,744 | 2,338 | |
| Walgreens Boots Alliance Inc. | 27,914 | 2,204 | |
| Whole Foods Market Inc. | 65,122 | 2,039 | |
| Sysco Corp. | 39,793 | 1,756 | |
| * | WhiteWave Foods Co. Class A | 37,546 | 1,454 |
| Campbell Soup Co. | 22,069 | 1,363 | |
| * | Rite Aid Corp. | 126,934 | 1,009 |
| * | Sprouts Farmers Market Inc. | 32,894 | 937 |
| * | Hain Celestial Group Inc. | 22,134 | 818 |
| *,^ | Herbalife Ltd. | 13,446 | 736 |
| Brown-Forman Corp. Class A | 5,604 | 597 | |
| Flowers Foods Inc. | 33,264 | 570 | |
| Spectrum Brands Holdings Inc. | 5,459 | 523 | |
| ConAgra Foods Inc. | 12,232 | 515 | |
33
| Vanguard® Russell 1000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| GNC Holdings Inc. Class A | 16,003 | 456 | |
| Tyson Foods Inc. Class A | 3,460 | 224 | |
| Ingredion Inc. | 2,025 | 205 | |
| * | Blue Buffalo Pet Products Inc. | 5,061 | 93 |
| Nu Skin Enterprises Inc. Class A | 2,386 | 73 | |
| * | Pilgrim's Pride Corp. | 1,408 | 34 |
| 240,103 | |||
| Energy (0.5%) | |||
| Williams Cos. Inc. | 162,271 | 2,595 | |
| Schlumberger Ltd. | 33,509 | 2,403 | |
| Cabot Oil & Gas Corp. | 90,209 | 1,816 | |
| * | FMC Technologies Inc. | 32,302 | 792 |
| EOG Resources Inc. | 10,128 | 656 | |
| ONEOK Inc. | 20,780 | 499 | |
| Targa Resources Corp. | 17,063 | 459 | |
| Marathon Petroleum Corp. | 8,607 | 295 | |
| *,^ | SolarCity Corp. | 12,372 | 228 |
| HollyFrontier Corp. | 5,688 | 192 | |
| * | Memorial Resource Development Corp. | 18,348 | 177 |
| World Fuel Services Corp. | 3,147 | 147 | |
| Tesoro Corp. | 1,771 | 143 | |
| * | Continental Resources Inc. | 5,467 | 127 |
| *,^ | SunEdison Inc. | 50,500 | 100 |
| Oceaneering International Inc. | 3,309 | 91 | |
| Range Resources Corp. | 2,157 | 51 | |
| CVR Energy Inc. | 1,030 | 24 | |
| RPC Inc. | 1,330 | 18 | |
| * | SunPower Corp. Class A | 701 | 17 |
| TerraForm Power Inc. Class A | 531 | 5 | |
| 10,835 | |||
| Financial Services (9.4%) | |||
| Visa Inc. Class A | 424,405 | 30,723 | |
| MasterCard Inc. Class A | 216,513 | 18,819 | |
| Simon Property Group Inc. | 67,468 | 12,801 | |
| * | PayPal Holdings Inc. | 263,195 | 10,038 |
| American Tower Corporation | 91,544 | 8,440 | |
| Public Storage | 28,599 | 7,135 | |
| Crown Castle International Corp. | 72,091 | 6,236 | |
| Aon plc | 60,857 | 5,799 | |
| McGraw Hill Financial Inc. | 59,157 | 5,309 | |
| * | Fiserv Inc. | 51,176 | 4,894 |
| Equinix Inc. | 14,777 | 4,488 | |
| Charles Schwab Corp. | 174,919 | 4,382 | |
| Marsh & McLennan Cos. Inc. | 69,568 | 3,969 | |
| T. Rowe Price Group Inc. | 56,436 | 3,900 | |
| * | Berkshire Hathaway Inc. Class B | 26,293 | 3,528 |
| Boston Properties Inc. | 30,359 | 3,465 | |
| Moody's Corp. | 38,470 | 3,416 | |
| * | Alliance Data Systems Corp. | 13,503 | 2,837 |
| Ameriprise Financial Inc. | 32,811 | 2,754 | |
| Equifax Inc. | 25,874 | 2,714 | |
| BlackRock Inc. | 8,663 | 2,702 | |
| * | FleetCor Technologies Inc. | 20,032 | 2,558 |
| Federal Realty Investment Trust | 14,929 | 2,210 | |
| Welltower Inc. | 34,541 | 2,203 | |
| Extra Space Storage Inc. | 26,415 | 2,170 | |
| Intercontinental Exchange Inc. | 8,955 | 2,135 | |
| Western Union Co. | 112,408 | 2,053 | |
| American Express Co. | 36,531 | 2,030 | |
| Global Payments Inc. | 28,584 | 1,742 | |
| * | Affiliated Managers Group Inc. | 11,790 | 1,635 |
| * | Vantiv Inc. Class A | 30,783 | 1,602 |
| * | CBRE Group Inc. Class A | 61,347 | 1,559 |
| MSCI Inc. Class A | 22,078 | 1,557 | |
34
| Vanguard® Russell 1000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Total System Services Inc. | 35,492 | 1,547 | |
| Fidelity National Information Services Inc. | 26,247 | 1,529 | |
| Broadridge Financial Solutions Inc. | 25,872 | 1,452 | |
| Jack Henry & Associates Inc. | 17,581 | 1,446 | |
| Digital Realty Trust Inc. | 18,056 | 1,428 | |
| TD Ameritrade Holding Corp. | 48,791 | 1,394 | |
| FactSet Research Systems Inc. | 8,990 | 1,353 | |
| * | Signature Bank | 10,022 | 1,298 |
| Equity LifeStyle Properties Inc. | 18,203 | 1,277 | |
| SEI Investments Co. | 29,929 | 1,142 | |
| CBOE Holdings Inc. | 17,968 | 1,123 | |
| Lazard Ltd. Class A | 27,500 | 967 | |
| Bank of New York Mellon Corp. | 26,338 | 932 | |
| Weyerhaeuser Co. | 34,925 | 907 | |
| Arthur J Gallagher & Co. | 20,019 | 798 | |
| Eaton Vance Corp. | 25,737 | 744 | |
| Jones Lang LaSalle Inc. | 7,025 | 717 | |
| Tanger Factory Outlet Centers Inc. | 20,890 | 670 | |
| * | SVB Financial Group | 6,971 | 619 |
| * | WEX Inc. | 8,402 | 549 |
| Federated Investors Inc. Class B | 20,895 | 547 | |
| Iron Mountain Inc. | 18,398 | 541 | |
| * | SLM Corp. | 86,852 | 507 |
| Erie Indemnity Co. Class A | 5,162 | 485 | |
| NorthStar Asset Management Group Inc. | 43,025 | 470 | |
| Waddell & Reed Financial Inc. Class A | 17,261 | 404 | |
| ^ | LPL Financial Holdings Inc. | 17,892 | 362 |
| * | First Data Corp. Class A | 28,941 | 362 |
| * | Realogy Holdings Corp. | 11,251 | 360 |
| * | Credit Acceptance Corp. | 1,802 | 355 |
| Taubman Centers Inc. | 4,968 | 352 | |
| Omega Healthcare Investors Inc. | 10,635 | 341 | |
| Morningstar Inc. | 4,280 | 340 | |
| * | Howard Hughes Corp. | 3,368 | 313 |
| Invesco Ltd. | 11,506 | 308 | |
| * | CoreLogic Inc. | 8,878 | 307 |
| * | Markel Corp. | 317 | 272 |
| * | Zillow Group Inc. | 11,236 | 243 |
| Dun & Bradstreet Corp. | 2,491 | 239 | |
| Post Properties Inc. | 4,214 | 235 | |
| Artisan Partners Asset Management Inc. Class A | 7,930 | 225 | |
| Legg Mason Inc. | 6,918 | 198 | |
| Empire State Realty Trust Inc. | 12,045 | 189 | |
| * | TransUnion | 5,061 | 133 |
| Leucadia National Corp. | 8,698 | 126 | |
| * | Ally Financial Inc. | 6,935 | 122 |
| *,^ | Zillow Group Inc. Class A | 5,109 | 118 |
| * | LendingClub Corp. | 13,197 | 115 |
| Healthcare Trust of America Inc. Class A | 2,400 | 67 | |
| Columbia Property Trust Inc. | 3,149 | 64 | |
| Gaming and Leisure Properties Inc. | 2,383 | 62 | |
| *,^ | Square Inc. | 4,988 | 52 |
| Interactive Brokers Group Inc. | 982 | 34 | |
| Four Corners Property Trust Inc. | 1,715 | 28 | |
| AmTrust Financial Services Inc. | 863 | 21 | |
| * | Santander Consumer USA Holdings Inc. | 947 | 10 |
| 202,602 | |||
| Health Care (15.8%) | |||
| Gilead Sciences Inc. | 318,640 | 27,801 | |
| Amgen Inc. | 164,646 | 23,426 | |
| UnitedHealth Group Inc. | 196,103 | 23,356 | |
| Bristol-Myers Squibb Co. | 360,955 | 22,354 | |
| AbbVie Inc. | 358,364 | 19,570 | |
| * | Celgene Corp. | 171,734 | 17,316 |
35
| Vanguard® Russell 1000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Eli Lilly & Co. | 211,902 | 15,257 | |
| * | Biogen Inc. | 48,261 | 12,520 |
| * | Allergan plc | 38,411 | 11,143 |
| * | Express Scripts Holding Co. | 122,740 | 8,638 |
| Johnson & Johnson | 77,374 | 8,140 | |
| McKesson Corp. | 50,211 | 7,814 | |
| Cigna Corp. | 55,812 | 7,792 | |
| Becton Dickinson and Co. | 45,502 | 6,709 | |
| * | Alexion Pharmaceuticals Inc. | 46,788 | 6,588 |
| * | Regeneron Pharmaceuticals Inc. | 16,964 | 6,514 |
| Humana Inc. | 29,999 | 5,309 | |
| Cardinal Health Inc. | 64,583 | 5,276 | |
| * | Illumina Inc. | 31,118 | 4,675 |
| * | Vertex Pharmaceuticals Inc. | 52,698 | 4,505 |
| * | Intuitive Surgical Inc. | 7,961 | 4,482 |
| Zoetis Inc. | 108,008 | 4,435 | |
| * | Edwards Lifesciences Corp. | 46,584 | 4,053 |
| AmerisourceBergen Corp. Class A | 44,535 | 3,858 | |
| Thermo Fisher Scientific Inc. | 29,062 | 3,754 | |
| Stryker Corp. | 37,147 | 3,710 | |
| Merck & Co. Inc. | 69,729 | 3,501 | |
| * | Mylan NV | 77,056 | 3,473 |
| * | Cerner Corp. | 64,838 | 3,311 |
| CR Bard Inc. | 16,148 | 3,107 | |
| * | Henry Schein Inc. | 18,155 | 3,004 |
| Baxter International Inc. | 74,936 | 2,961 | |
| Baxalta Inc. | 74,936 | 2,887 | |
| * | BioMarin Pharmaceutical Inc. | 34,906 | 2,858 |
| * | Incyte Corp. | 34,119 | 2,508 |
| Aetna Inc. | 18,490 | 2,009 | |
| St. Jude Medical Inc. | 34,613 | 1,858 | |
| * | Hologic Inc. | 52,796 | 1,828 |
| ResMed Inc. | 30,286 | 1,724 | |
| * | Varian Medical Systems Inc. | 21,469 | 1,679 |
| * | Jazz Pharmaceuticals plc | 13,179 | 1,602 |
| Anthem Inc. | 11,325 | 1,480 | |
| * | IDEXX Laboratories Inc. | 20,073 | 1,469 |
| * | Centene Corp. | 25,541 | 1,455 |
| * | Sirona Dental Systems Inc. | 11,958 | 1,322 |
| * | United Therapeutics Corp. | 9,999 | 1,219 |
| * | Medivation Inc. | 33,736 | 1,207 |
| * | Align Technology Inc. | 17,336 | 1,145 |
| * | DexCom Inc. | 17,007 | 1,106 |
| * | athenahealth Inc. | 8,291 | 1,070 |
| Cooper Cos. Inc. | 7,258 | 1,038 | |
| * | Quintiles Transnational Holdings Inc. | 16,374 | 1,027 |
| * | Ionis Pharmaceuticals Inc. | 25,667 | 887 |
| * | Envision Healthcare Holdings Inc. | 39,828 | 876 |
| * | Alkermes plc | 26,433 | 853 |
| * | VCA Inc. | 16,657 | 850 |
| * | Alnylam Pharmaceuticals Inc. | 13,367 | 783 |
| * | Laboratory Corp. of America Holdings | 7,056 | 775 |
| * | MEDNAX Inc. | 11,472 | 769 |
| * | Charles River Laboratories International Inc. | 10,261 | 753 |
| Perrigo Co. plc | 5,962 | 753 | |
| * | Endo International plc | 17,520 | 732 |
| * | Acadia Healthcare Co. Inc. | 12,969 | 719 |
| * | DaVita HealthCare Partners Inc. | 10,842 | 715 |
| * | Seattle Genetics Inc. | 22,956 | 693 |
| * | Alere Inc. | 12,055 | 643 |
| * | Bruker Corp. | 24,679 | 641 |
| * | Mallinckrodt plc | 9,808 | 638 |
| *,^ | OPKO Health Inc. | 66,941 | 623 |
| Hill-Rom Holdings Inc. | 11,576 | 537 | |
36
| Vanguard® Russell 1000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Tenet Healthcare Corp. | 21,412 | 531 |
| DENTSPLY International Inc. | 7,588 | 463 | |
| * | Akorn Inc. | 17,132 | 456 |
| Patterson Cos. Inc. | 10,033 | 436 | |
| Universal Health Services Inc. Class B | 3,536 | 390 | |
| * | Boston Scientific Corp. | 22,362 | 380 |
| * | HCA Holdings Inc. | 5,422 | 375 |
| * | Intercept Pharmaceuticals Inc. | 3,349 | 373 |
| * | Veeva Systems Inc. Class A | 15,224 | 370 |
| * | Bluebird Bio Inc. | 7,983 | 369 |
| *,^ | Intrexon Corp. | 10,206 | 316 |
| Bio-Techne Corp. | 3,418 | 293 | |
| * | Premier Inc. Class A | 8,352 | 272 |
| * | Puma Biotechnology Inc. | 5,323 | 238 |
| Zimmer Biomet Holdings Inc. | 2,322 | 225 | |
| * | Agios Pharmaceuticals Inc. | 5,582 | 214 |
| PerkinElmer Inc. | 4,072 | 192 | |
| * | Health Net Inc. | 3,004 | 187 |
| * | Allscripts Healthcare Solutions Inc. | 12,633 | 158 |
| * | Brookdale Senior Living Inc. | 7,776 | 112 |
| * | Juno Therapeutics Inc. | 2,395 | 84 |
| * | VWR Corp. | 2,839 | 69 |
| * | LifePoint Health Inc. | 854 | 53 |
| 340,639 | |||
| Materials & Processing (3.9%) | |||
| Monsanto Co. | 95,089 | 8,557 | |
| LyondellBasell Industries NV Class A | 78,960 | 6,333 | |
| Ecolab Inc. | 57,041 | 5,850 | |
| PPG Industries Inc. | 59,078 | 5,703 | |
| EI du Pont de Nemours & Co. | 90,347 | 5,499 | |
| Praxair Inc. | 51,971 | 5,290 | |
| Air Products & Chemicals Inc. | 38,198 | 5,060 | |
| Sherwin-Williams Co. | 17,498 | 4,733 | |
| International Paper Co. | 86,679 | 3,094 | |
| Fastenal Co. | 63,794 | 2,889 | |
| Masco Corp. | 75,981 | 2,143 | |
| Ball Corp. | 30,076 | 1,992 | |
| Acuity Brands Inc. | 9,507 | 1,991 | |
| Sealed Air Corp. | 43,058 | 1,969 | |
| CF Industries Holdings Inc. | 50,530 | 1,842 | |
| International Flavors & Fragrances Inc. | 17,648 | 1,823 | |
| Dow Chemical Co. | 31,461 | 1,529 | |
| Valspar Corp. | 17,552 | 1,373 | |
| RPM International Inc. | 28,614 | 1,169 | |
| Lennox International Inc. | 8,860 | 1,145 | |
| * | WR Grace & Co. | 15,627 | 1,074 |
| Packaging Corp. of America | 21,007 | 1,019 | |
| Hexcel Corp. | 21,237 | 878 | |
| FMC Corp. | 21,244 | 800 | |
| Watsco Inc. | 5,743 | 733 | |
| NewMarket Corp. | 1,831 | 669 | |
| Eagle Materials Inc. | 10,633 | 642 | |
| * | Crown Holdings Inc. | 13,169 | 617 |
| Scotts Miracle-Gro Co. Class A | 8,883 | 613 | |
| * | Axalta Coating Systems Ltd. | 22,326 | 580 |
| Graphic Packaging Holding Co. | 42,262 | 521 | |
| Eastman Chemical Co. | 7,768 | 498 | |
| Compass Minerals International Inc. | 7,276 | 494 | |
| Airgas Inc. | 3,349 | 474 | |
| Silgan Holdings Inc. | 8,589 | 440 | |
| * | USG Corp. | 19,641 | 418 |
| Vulcan Materials Co. | 3,818 | 376 | |
| Huntsman Corp. | 28,297 | 307 | |
| Martin Marietta Materials Inc. | 2,137 | 305 | |
37
| Vanguard® Russell 1000 Growth Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * GCP Applied Technologies Inc. | 15,627 | 277 |
| Ingersoll-Rand plc | 4,221 | 235 |
| * Armstrong World Industries Inc. | 5,618 | 228 |
| Southern Copper Corp. | 8,689 | 208 |
| AptarGroup Inc. | 2,731 | 201 |
| WestRock Co. | 5,485 | 185 |
| Celanese Corp. Class A | 2,558 | 154 |
| Ashland Inc. | 1,265 | 121 |
| Bemis Co. Inc. | 2,099 | 103 |
| Steel Dynamics Inc. | 5,276 | 96 |
| Chemours Co. | 16,545 | 85 |
| Tahoe Resources Inc. | 4,851 | 45 |
| Royal Gold Inc. | 680 | 32 |
| Valmont Industries Inc. | 258 | 29 |
| * Owens-Illinois Inc. | 1,928 | 29 |
| * Platform Specialty Products Corp. | 3,841 | 27 |
| 83,497 | ||
| Other (0.0%)2 | ||
| Restaurant Brands International LP | 179 | 6 |
| Producer Durables (11.6%) | ||
| 3M Co. | 137,429 | 21,558 |
| Boeing Co. | 149,797 | 17,703 |
| Honeywell International Inc. | 169,244 | 17,153 |
| Union Pacific Corp. | 189,564 | 14,949 |
| United Parcel Service Inc. Class B | 151,904 | 14,666 |
| Accenture plc Class A | 136,050 | 13,640 |
| Lockheed Martin Corp. | 42,218 | 9,110 |
| Delta Air Lines Inc. | 177,065 | 8,542 |
| Automatic Data Processing Inc. | 81,635 | 6,914 |
| Illinois Tool Works Inc. | 64,669 | 6,095 |
| Southwest Airlines Co. | 144,838 | 6,076 |
| American Airlines Group Inc. | 136,170 | 5,583 |
| Emerson Electric Co. | 99,410 | 4,854 |
| * United Continental Holdings Inc. | 77,855 | 4,458 |
| PACCAR Inc. | 69,495 | 3,579 |
| Paychex Inc. | 61,363 | 3,153 |
| FedEx Corp. | 22,387 | 3,064 |
| Rockwell Automation Inc. | 29,263 | 3,046 |
| WW Grainger Inc. | 13,659 | 2,963 |
| Cummins Inc. | 29,408 | 2,869 |
| Tyco International plc | 79,793 | 2,807 |
| * Verisk Analytics Inc. Class A | 36,772 | 2,678 |
| Rockwell Collins Inc. | 28,796 | 2,522 |
| General Dynamics Corp. | 18,265 | 2,489 |
| * TransDigm Group Inc. | 11,570 | 2,471 |
| AMETEK Inc. | 52,493 | 2,436 |
| Northrop Grumman Corp. | 12,084 | 2,323 |
| Danaher Corp. | 25,115 | 2,242 |
| CH Robinson Worldwide Inc. | 31,826 | 2,222 |
| * Waters Corp. | 17,771 | 2,138 |
| Alaska Air Group Inc. | 28,307 | 2,092 |
| * Stericycle Inc. | 18,290 | 2,084 |
| * Mettler-Toledo International Inc. | 6,101 | 1,921 |
| Expeditors International of Washington Inc. | 41,757 | 1,912 |
| Snap-on Inc. | 12,759 | 1,846 |
| Cintas Corp. | 19,378 | 1,628 |
| United Technologies Corp. | 16,653 | 1,609 |
| Caterpillar Inc. | 22,580 | 1,529 |
| JB Hunt Transport Services Inc. | 19,749 | 1,507 |
| Wabtec Corp. | 20,787 | 1,468 |
| Roper Technologies Inc. | 8,319 | 1,397 |
| Parker-Hannifin Corp. | 13,718 | 1,388 |
| Huntington Ingalls Industries Inc. | 10,572 | 1,386 |
38
| Vanguard® Russell 1000 Growth Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * IHS Inc. Class A | 12,709 | 1,322 |
| CSX Corp. | 54,674 | 1,320 |
| Allegion plc | 20,546 | 1,294 |
| * Spirit AeroSystems Holdings Inc. Class A | 28,032 | 1,289 |
| * CoStar Group Inc. | 6,957 | 1,232 |
| Avery Dennison Corp. | 18,410 | 1,199 |
| IDEX Corp. | 15,292 | 1,149 |
| Robert Half International Inc. | 29,152 | 1,148 |
| * Middleby Corp. | 12,367 | 1,145 |
| AO Smith Corp. | 15,984 | 1,125 |
| * HD Supply Holdings Inc. | 36,579 | 1,017 |
| * United Rentals Inc. | 19,640 | 1,013 |
| B/E Aerospace Inc. | 22,815 | 995 |
| * Copart Inc. | 25,852 | 976 |
| Deere & Co. | 12,150 | 974 |
| * Old Dominion Freight Line Inc. | 14,993 | 968 |
| Toro Co. | 11,880 | 947 |
| Graco Inc. | 11,871 | 930 |
| * Genpact Ltd. | 34,115 | 902 |
| Nordson Corp. | 12,186 | 873 |
| Lincoln Electric Holdings Inc. | 15,018 | 820 |
| * Keysight Technologies Inc. | 30,117 | 786 |
| * Spirit Airlines Inc. | 15,668 | 748 |
| Donaldson Co. Inc. | 26,138 | 738 |
| * Zebra Technologies Corp. | 11,175 | 690 |
| FLIR Systems Inc. | 19,429 | 602 |
| Flowserve Corp. | 14,000 | 588 |
| Landstar System Inc. | 9,673 | 573 |
| Booz Allen Hamilton Holding Corp. Class A | 20,680 | 571 |
| Rollins Inc. | 20,596 | 567 |
| * JetBlue Airways Corp. | 25,697 | 565 |
| Allison Transmission Holdings Inc. | 21,527 | 510 |
| Waste Management Inc. | 8,110 | 453 |
| Textron Inc. | 13,202 | 451 |
| RR Donnelley & Sons Co. | 23,725 | 360 |
| * Clean Harbors Inc. | 8,430 | 359 |
| Covanta Holding Corp. | 24,246 | 338 |
| Pitney Bowes Inc. | 16,814 | 305 |
| Carlisle Cos. Inc. | 3,185 | 287 |
| Stanley Black & Decker Inc. | 3,005 | 282 |
| * Genesee & Wyoming Inc. Class A | 4,658 | 264 |
| MSC Industrial Direct Co. Inc. Class A | 3,442 | 239 |
| * TopBuild Corp. | 8,614 | 232 |
| Hubbell Inc. Class B | 1,861 | 185 |
| National Instruments Corp. | 5,918 | 171 |
| * Quanta Services Inc. | 7,884 | 160 |
| BWX Technologies Inc. | 4,189 | 134 |
| * AECOM | 3,912 | 107 |
| * Trimble Navigation Ltd. | 2,615 | 61 |
| * Babcock & Wilcox Enterprises Inc. | 2,104 | 41 |
| Air Lease Corp. Class A | 1,087 | 33 |
| Teekay Corp. | 3,299 | 26 |
| Regal Beloit Corp. | 476 | 26 |
| 250,160 | ||
| Technology (22.2%) | ||
| Apple Inc. | 1,248,821 | 120,748 |
| Microsoft Corp. | 994,319 | 50,591 |
| * Facebook Inc. Class A | 469,163 | 50,163 |
| * Alphabet Inc. Class A | 62,496 | 44,823 |
| * Alphabet Inc. Class C | 63,765 | 44,493 |
| Oracle Corp. | 411,621 | 15,139 |
| International Business Machines Corp. | 109,154 | 14,302 |
| Texas Instruments Inc. | 225,278 | 11,944 |
| * salesforce.com inc | 142,186 | 9,633 |
39
| Vanguard® Russell 1000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Adobe Systems Inc. | 108,481 | 9,237 |
| * | Broadcom Ltd. | 57,360 | 7,685 |
| * | Cognizant Technology Solutions Corp. Class A | 132,456 | 7,547 |
| Intuit Inc. | 59,573 | 5,757 | |
| * | Electronic Arts Inc. | 67,950 | 4,365 |
| Amphenol Corp. Class A | 66,994 | 3,555 | |
| Analog Devices Inc. | 62,158 | 3,294 | |
| Motorola Solutions Inc. | 38,405 | 2,822 | |
| Applied Materials Inc. | 147,660 | 2,786 | |
| * | LinkedIn Corp. Class A | 23,625 | 2,769 |
| Skyworks Solutions Inc. | 41,490 | 2,757 | |
| * | Red Hat Inc. | 39,791 | 2,600 |
| QUALCOMM Inc. | 49,734 | 2,526 | |
| * | Citrix Systems Inc. | 34,896 | 2,465 |
| KLA-Tencor Corp. | 34,801 | 2,357 | |
| Linear Technology Corp. | 52,123 | 2,274 | |
| * | Palo Alto Networks Inc. | 15,616 | 2,261 |
| * | Twitter Inc. | 122,948 | 2,228 |
| Intel Corp. | 72,316 | 2,140 | |
| * | Akamai Technologies Inc. | 38,947 | 2,102 |
| Microchip Technology Inc. | 44,900 | 1,998 | |
| * | Autodesk Inc. | 36,337 | 1,880 |
| * | ServiceNow Inc. | 33,006 | 1,815 |
| * | VeriSign Inc. | 21,178 | 1,789 |
| Lam Research Corp. | 24,241 | 1,777 | |
| CDK Global Inc. | 34,456 | 1,547 | |
| * | F5 Networks Inc. | 15,617 | 1,502 |
| * | Gartner Inc. | 17,908 | 1,476 |
| * | Workday Inc. Class A | 22,817 | 1,379 |
| * | Qorvo Inc. | 30,296 | 1,366 |
| * | Cadence Design Systems Inc. | 62,736 | 1,352 |
| * | SBA Communications Corp. Class A | 13,760 | 1,306 |
| * | Splunk Inc. | 27,035 | 1,179 |
| CDW Corp. | 28,344 | 1,122 | |
| * | Ultimate Software Group Inc. | 6,228 | 1,070 |
| EMC Corp. | 34,942 | 913 | |
| SS&C Technologies Holdings Inc. | 15,638 | 912 | |
| *,^ | VMware Inc. Class A | 17,651 | 891 |
| * | Fortinet Inc. | 31,070 | 882 |
| Solera Holdings Inc. | 14,468 | 806 | |
| * | PTC Inc. | 25,356 | 784 |
| * | IMS Health Holdings Inc. | 28,666 | 739 |
| Atmel Corp. | 91,289 | 738 | |
| IAC/InterActiveCorp | 16,151 | 717 | |
| Maxim Integrated Products Inc. | 21,058 | 713 | |
| * | ON Semiconductor Corp. | 83,761 | 703 |
| Cognex Corp. | 18,950 | 701 | |
| Sabre Corp. | 24,817 | 674 | |
| * | IPG Photonics Corp. | 7,684 | 634 |
| Xilinx Inc. | 13,215 | 624 | |
| DST Systems Inc. | 5,808 | 607 | |
| * | VeriFone Systems Inc. | 24,096 | 576 |
| * | Rackspace Hosting Inc. | 25,309 | 545 |
| * | Teradata Corp. | 21,814 | 544 |
| * | NetSuite Inc. | 8,626 | 521 |
| * | FireEye Inc. | 29,379 | 498 |
| NetApp Inc. | 19,772 | 491 | |
| * | Arista Networks Inc. | 7,152 | 490 |
| * | Groupon Inc. Class A | 102,267 | 489 |
| * | Tableau Software Inc. Class A | 10,687 | 488 |
| Juniper Networks Inc. | 14,813 | 366 | |
| Harris Corp. | 4,643 | 362 | |
| * | ARRIS International plc | 14,351 | 343 |
| * | ANSYS Inc. | 3,720 | 309 |
40
| Vanguard® Russell 1000 Growth Index Fund | |||||
| Schedule of Investments | |||||
| February 29, 2016 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| * | Yelp Inc. Class A | 13,851 | 280 | ||
| * | CommScope Holding Co. Inc. | 10,361 | 261 | ||
| * | Micron Technology Inc. | 18,931 | 201 | ||
| Jabil Circuit Inc. | 7,100 | 148 | |||
| * | GoDaddy Inc. Class A | 4,652 | 146 | ||
| * | Black Knight Financial Services Inc. Class A | 3,567 | 105 | ||
| * | Synopsys Inc. | 2,234 | 100 | ||
| * | Inovalon Holdings Inc. Class A | 5,011 | 86 | ||
| * | 3D Systems Corp. | 8,037 | 86 | ||
| * | Match Group Inc. | 5,899 | 64 | ||
| Ingram Micro Inc. | 1,721 | 62 | |||
| Leidos Holdings Inc. | 1,123 | 49 | |||
| 477,569 | |||||
| Utilities (2.4%) | |||||
| Verizon Communications Inc. | 820,448 | 41,621 | |||
| AT&T Inc. | 193,653 | 7,156 | |||
| * | Zayo Group Holdings Inc. | 26,800 | 635 | ||
| ITC Holdings Corp. | 12,140 | 493 | |||
| Dominion Resources Inc. | 6,264 | 438 | |||
| * | Level 3 Communications Inc. | 7,363 | 357 | ||
| * | Calpine Corp. | 8,408 | 106 | ||
| 50,806 | |||||
| Total Common Stocks (Cost $1,897,667) | 2,145,936 | ||||
| Coupon | |||||
| Temporary Cash Investments (0.4%)1 | |||||
| Money Market Fund (0.4%) | |||||
| 3,4 | Vanguard Market Liquidity Fund | 0.475% | 8,951,812 | 8,952 | |
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.0%) | |||||
| 5,6 | Federal Home Loan Bank Discount Notes | 0.572% | 6/22/16 | 600 | 599 |
| Total Temporary Cash Investments (Cost $9,551) | 9,551 | ||||
| Total Investments (100.0%) (Cost $1,907,218) | 2,155,487 | ||||
| Other Assets and Liabilities—Net (0.0%)4 | (529) | ||||
| Net Assets (100%) | 2,154,958 | ||||
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $5,750,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 99.6% and 0.4%, respectively, of net assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
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 Includes $5,968,000 of collateral received for securities on loan.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
6 Securities with a value of $400,000 have been segregated as initial margin for open futures contracts.
41
© 2016 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA18482_042016
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Common Stocks (99.8%)1 | ||
| Consumer Discretionary (15.0%) | ||
| Vail Resorts Inc. | 21,673 | 2,761 |
| * Burlington Stores Inc. | 44,800 | 2,511 |
| Pool Corp. | 25,889 | 2,078 |
| * Buffalo Wild Wings Inc. | 11,296 | 1,792 |
| American Eagle Outfitters Inc. | 116,221 | 1,774 |
| Texas Roadhouse Inc. Class A | 41,642 | 1,737 |
| * Cimpress NV | 19,513 | 1,721 |
| ^ Cracker Barrel Old Country Store Inc. | 11,411 | 1,689 |
| * Helen of Troy Ltd. | 16,964 | 1,618 |
| * Tenneco Inc. | 34,413 | 1,566 |
| * Houghton Mifflin Harcourt Co. | 81,539 | 1,534 |
| Cheesecake Factory Inc. | 29,025 | 1,448 |
| Jack in the Box Inc. | 20,708 | 1,424 |
| * Bright Horizons Family Solutions Inc. | 22,253 | 1,410 |
| CalAtlantic Group Inc. | 45,831 | 1,391 |
| Cooper Tire & Rubber Co. | 34,324 | 1,349 |
| Monro Muffler Brake Inc. | 18,970 | 1,297 |
| Bloomin' Brands Inc. | 73,862 | 1,277 |
| Lithia Motors Inc. Class A | 13,586 | 1,260 |
| * G-III Apparel Group Ltd. | 23,789 | 1,255 |
| * Five Below Inc. | 32,488 | 1,246 |
| Sinclair Broadcast Group Inc. Class A | 39,558 | 1,221 |
| Abercrombie & Fitch Co. | 41,505 | 1,206 |
| Big Lots Inc. | 29,615 | 1,198 |
| * Steven Madden Ltd. | 33,388 | 1,175 |
| Wolverine World Wide Inc. | 61,709 | 1,168 |
| * DreamWorks Animation SKG Inc. Class A | 45,365 | 1,164 |
| Dana Holding Corp. | 91,166 | 1,134 |
| * Deckers Outdoor Corp. | 19,514 | 1,104 |
| * Grand Canyon Education Inc. | 28,115 | 1,096 |
| Chico's FAS Inc. | 85,337 | 1,089 |
| * IMAX Corp. | 35,804 | 1,057 |
| * Pinnacle Entertainment Inc. | 36,196 | 1,046 |
| New York Times Co. Class A | 82,209 | 1,033 |
| HSN Inc. | 19,405 | 1,030 |
| Churchill Downs Inc. | 7,545 | 1,023 |
| Columbia Sportswear Co. | 17,140 | 1,020 |
| * Stamps.com Inc. | 8,532 | 1,011 |
| Papa John's International Inc. | 17,286 | 1,005 |
| * TRI Pointe Group Inc. | 96,676 | 997 |
| Meredith Corp. | 21,847 | 950 |
| * Media General Inc. | 56,982 | 947 |
| * Shutterfly Inc. | 20,981 | 932 |
| Marriott Vacations Worldwide Corp. | 15,364 | 930 |
| Matthews International Corp. Class A | 19,549 | 926 |
| DineEquity Inc. | 10,118 | 925 |
| Time Inc. | 65,213 | 920 |
| * Liberty TripAdvisor Holdings Inc. Class A | 44,383 | 905 |
| PriceSmart Inc. | 11,553 | 893 |
| * Gentherm Inc. | 21,336 | 890 |
| * Asbury Automotive Group Inc. | 15,103 | 882 |
| * Genesco Inc. | 13,167 | 869 |
| * Express Inc. | 50,413 | 869 |
| * Ascena Retail Group Inc. | 102,148 | 863 |
| Drew Industries Inc. | 14,321 | 862 |
| Sonic Corp. | 29,289 | 860 |
| Sotheby's | 36,969 | 841 |
| Children's Place Inc. | 12,334 | 840 |
| Nexstar Broadcasting Group Inc. Class A | 18,608 | 831 |
| * Boyd Gaming Corp. | 47,768 | 827 |
| Travelport Worldwide Ltd. | 62,895 | 816 |
1
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Smith & Wesson Holding Corp. | 31,990 | 811 |
| * | Dorman Products Inc. | 15,920 | 805 |
| Guess? Inc. | 36,920 | 788 | |
| Sturm Ruger & Co. Inc. | 11,113 | 781 | |
| Group 1 Automotive Inc. | 13,805 | 770 | |
| * | Meritage Homes Corp. | 23,502 | 763 |
| * | Restoration Hardware Holdings Inc. | 19,954 | 758 |
| * | Popeyes Louisiana Kitchen Inc. | 13,759 | 750 |
| La-Z-Boy Inc. | 30,388 | 740 | |
| Caleres Inc. | 26,093 | 739 | |
| SeaWorld Entertainment Inc. | 40,688 | 736 | |
| DeVry Education Group Inc. | 37,674 | 688 | |
| * | Tumi Holdings Inc. | 33,456 | 661 |
| * | Penn National Gaming Inc. | 47,531 | 658 |
| * | American Axle & Manufacturing Holdings Inc. | 44,917 | 657 |
| Oxford Industries Inc. | 8,695 | 632 | |
| * | LifeLock Inc. | 56,139 | 619 |
| EW Scripps Co. Class A | 35,083 | 606 | |
| * | La Quinta Holdings Inc. | 55,686 | 605 |
| * | Cooper-Standard Holding Inc. | 8,144 | 597 |
| KB Home | 48,633 | 593 | |
| International Speedway Corp. Class A | 16,734 | 577 | |
| Cato Corp. Class A | 15,754 | 570 | |
| * | Krispy Kreme Doughnuts Inc. | 38,796 | 568 |
| * | BJ's Restaurants Inc. | 12,841 | 566 |
| *,^ | Mattress Firm Holding Corp. | 12,323 | 555 |
| Scholastic Corp. | 15,820 | 554 | |
| MDC Partners Inc. Class A | 25,789 | 550 | |
| * | Red Robin Gourmet Burgers Inc. | 8,434 | 549 |
| National CineMedia Inc. | 36,346 | 543 | |
| * | Diamond Resorts International Inc. | 24,785 | 540 |
| Buckle Inc. | 16,923 | 538 | |
| Bob Evans Farms Inc. | 12,493 | 536 | |
| * | Belmond Ltd. Class A | 57,852 | 532 |
| * | Fiesta Restaurant Group Inc. | 15,963 | 529 |
| * | Select Comfort Corp. | 29,371 | 526 |
| * | American Woodmark Corp. | 7,632 | 521 |
| MDC Holdings Inc. | 23,367 | 517 | |
| * | Denny's Corp. | 49,863 | 515 |
| * | Dave & Buster's Entertainment Inc. | 13,681 | 505 |
| Finish Line Inc. Class A | 27,649 | 504 | |
| * | Vitamin Shoppe Inc. | 17,782 | 491 |
| * | Hibbett Sports Inc. | 13,665 | 485 |
| * | TiVo Inc. | 57,569 | 483 |
| *,^ | Wayfair Inc. | 12,012 | 468 |
| * | Apollo Education Group Inc. | 55,895 | 458 |
| * | Francesca's Holdings Corp. | 25,253 | 457 |
| * | Universal Electronics Inc. | 8,542 | 454 |
| * | Crocs Inc. | 45,629 | 447 |
| * | Tailored Brands Inc. | 28,854 | 446 |
| Ethan Allen Interiors Inc. | 15,242 | 435 | |
| * | Gray Television Inc. | 37,580 | 434 |
| * | Cavco Industries Inc. | 5,300 | 430 |
| Callaway Golf Co. | 46,983 | 418 | |
| New Media Investment Group Inc. | 26,715 | 418 | |
| *,^ | Shutterstock Inc. | 11,833 | 413 |
| Rent-A-Center Inc. | 31,891 | 407 | |
| * | Meritor Inc. | 53,778 | 400 |
| *,^ | Zoe's Kitchen Inc. | 11,357 | 397 |
| Sonic Automotive Inc. Class A | 19,828 | 380 | |
| * | Motorcar Parts of America Inc. | 10,647 | 367 |
| * | Biglari Holdings Inc. | 991 | 365 |
| Ruth's Hospitality Group Inc. | 20,593 | 362 | |
| Standard Motor Products Inc. | 11,884 | 358 | |
2
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | 2U Inc. | 15,955 | 357 |
| Nutrisystem Inc. | 17,375 | 354 | |
| ClubCorp Holdings Inc. | 25,892 | 344 | |
| Capella Education Co. | 7,360 | 340 | |
| Viad Corp. | 11,898 | 337 | |
| * | Central Garden & Pet Co. Class A | 24,824 | 336 |
| * | Quotient Technology Inc. | 36,914 | 321 |
| * | Carmike Cinemas Inc. | 14,540 | 319 |
| Fred's Inc. Class A | 22,297 | 319 | |
| * | Nautilus Inc. | 18,834 | 318 |
| Outerwall Inc. | 10,141 | 316 | |
| * | Chuy's Holdings Inc. | 9,868 | 316 |
| * | HealthStream Inc. | 14,936 | 309 |
| AMC Entertainment Holdings Inc. | 12,785 | 307 | |
| Winnebago Industries Inc. | 16,303 | 305 | |
| * | Regis Corp. | 21,150 | 303 |
| * | Caesars Entertainment Corp. | 33,482 | 303 |
| World Wrestling Entertainment Inc. Class A | 18,053 | 302 | |
| * | Strayer Education Inc. | 6,598 | 298 |
| Interval Leisure Group Inc. | 22,964 | 297 | |
| Barnes & Noble Inc. | 29,924 | 290 | |
| Entravision Communications Corp. Class A | 37,443 | 289 | |
| * | Carrols Restaurant Group Inc. | 21,348 | 283 |
| Movado Group Inc. | 9,578 | 280 | |
| Superior Industries International Inc. | 13,879 | 274 | |
| * | Taylor Morrison Home Corp. Class A | 19,635 | 273 |
| Tower International Inc. | 12,671 | 272 | |
| * | MarineMax Inc. | 15,323 | 272 |
| * | Scientific Games Corp. Class A | 30,579 | 260 |
| * | M/I Homes Inc. | 14,739 | 259 |
| Pier 1 Imports Inc. | 52,374 | 259 | |
| * | FTD Cos. Inc. | 11,079 | 258 |
| * | RealD Inc. | 23,586 | 255 |
| Inter Parfums Inc. | 9,961 | 252 | |
| * | Iconix Brand Group Inc. | 28,885 | 251 |
| * | Revlon Inc. Class A | 6,996 | 245 |
| * | Zumiez Inc. | 11,846 | 245 |
| *,^ | Conn's Inc. | 14,205 | 241 |
| Haverty Furniture Cos. Inc. | 12,377 | 241 | |
| *,^ | Lands' End Inc. | 9,956 | 240 |
| National Presto Industries Inc. | 2,912 | 237 | |
| * | Angie's List Inc. | 25,678 | 237 |
| * | XO Group Inc. | 15,966 | 228 |
| Libbey Inc. | 12,866 | 214 | |
| Shoe Carnival Inc. | 9,065 | 214 | |
| * | Del Frisco's Restaurant Group Inc. | 13,813 | 213 |
| * | Vera Bradley Inc. | 12,750 | 212 |
| Hooker Furniture Corp. | 6,587 | 210 | |
| * | Stoneridge Inc. | 16,979 | 204 |
| * | Performance Sports Group Ltd. | 26,790 | 204 |
| * | Barnes & Noble Education Inc. | 19,020 | 203 |
| Marcus Corp. | 10,872 | 203 | |
| Bassett Furniture Industries Inc. | 6,552 | 203 | |
| * | Tile Shop Holdings Inc. | 15,975 | 202 |
| * | K12 Inc. | 20,062 | 196 |
| * | LGI Homes Inc. | 8,135 | 193 |
| * | Chegg Inc. | 44,693 | 192 |
| * | Ruby Tuesday Inc. | 36,084 | 191 |
| *,^ | Weight Watchers International Inc. | 16,150 | 190 |
| * | Lumber Liquidators Holdings Inc. | 16,438 | 186 |
| Carriage Services Inc. Class A | 8,975 | 185 | |
| * | Tuesday Morning Corp. | 26,998 | 182 |
| Blue Nile Inc. | 6,885 | 179 | |
| * | Entercom Communications Corp. Class A | 15,026 | 172 |
3
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Journal Media Group Inc. | 14,225 | 171 | |
| * | Malibu Boats Inc. Class A | 10,914 | 169 |
| * | ZAGG Inc. | 16,161 | 168 |
| Citi Trends Inc. | 9,026 | 167 | |
| * | Eldorado Resorts Inc. | 16,412 | 164 |
| * | Caesars Acquisition Co. Class A | 27,013 | 164 |
| * | Potbelly Corp. | 12,756 | 160 |
| * | WCI Communities Inc. | 9,055 | 156 |
| Stage Stores Inc. | 18,564 | 156 | |
| * | American Public Education Inc. | 9,914 | 153 |
| Big 5 Sporting Goods Corp. | 11,129 | 152 | |
| * | Party City Holdco Inc. | 14,990 | 148 |
| * | Sequential Brands Group Inc. | 21,141 | 147 |
| Flexsteel Industries Inc. | 3,597 | 147 | |
| * | Fox Factory Holding Corp. | 9,765 | 146 |
| CSS Industries Inc. | 5,384 | 146 | |
| Kirkland's Inc. | 10,189 | 146 | |
| * | Isle of Capri Casinos Inc. | 12,766 | 145 |
| *,^ | Shake Shack Inc. Class A | 3,396 | 141 |
| * | Sportsman's Warehouse Holdings Inc. | 10,832 | 140 |
| * | Century Communities Inc. | 8,904 | 140 |
| *,^ | Eros International plc | 17,455 | 139 |
| * | Perry Ellis International Inc. | 7,538 | 139 |
| * | Habit Restaurants Inc. Class A | 6,663 | 138 |
| * | Beazer Homes USA Inc. | 18,860 | 138 |
| * | Planet Fitness Inc. Class A | 9,474 | 136 |
| Arctic Cat Inc. | 7,698 | 135 | |
| Winmark Corp. | 1,372 | 133 | |
| * | Federal-Mogul Holdings Corp. | 18,231 | 132 |
| * | William Lyon Homes Class A | 11,102 | 132 |
| Tribune Publishing Co. | 15,595 | 131 | |
| * | Franklin Covey Co. | 7,489 | 129 |
| * | Ollie's Bargain Outlet Holdings Inc. | 6,331 | 128 |
| * | America's Car-Mart Inc. | 5,071 | 127 |
| Speedway Motorsports Inc. | 6,931 | 126 | |
| * | Daily Journal Corp. | 648 | 126 |
| * | Build-A-Bear Workshop Inc. | 8,819 | 126 |
| Stein Mart Inc. | 16,904 | 125 | |
| * | TubeMogul Inc. | 9,674 | 124 |
| * | Monarch Casino & Resort Inc. | 5,961 | 120 |
| * | 1-800-Flowers.com Inc. Class A | 14,752 | 115 |
| * | Overstock.com Inc. | 7,484 | 109 |
| * | El Pollo Loco Holdings Inc. | 8,379 | 108 |
| * | Jamba Inc. | 8,133 | 108 |
| Strattec Security Corp. | 2,055 | 106 | |
| Weyco Group Inc. | 3,872 | 105 | |
| *,^ | Central European Media Enterprises Ltd. Class A | 42,504 | 105 |
| * | Hovnanian Enterprises Inc. Class A | 69,047 | 104 |
| * | Reading International Inc. Class A | 10,325 | 104 |
| * | Career Education Corp. | 40,183 | 101 |
| * | Etsy Inc. | 12,576 | 100 |
| * | Horizon Global Corp. | 10,912 | 96 |
| * | Eastman Kodak Co. | 10,125 | 96 |
| * | Elizabeth Arden Inc. | 15,334 | 95 |
| Metaldyne Performance Group Inc. | 6,511 | 93 | |
| * | Destination XL Group Inc. | 20,560 | 91 |
| *,^ | Intrawest Resorts Holdings Inc. | 10,627 | 91 |
| * | Wingstop Inc. | 3,782 | 90 |
| * | Cherokee Inc. | 5,285 | 90 |
| Harte-Hanks Inc. | 28,870 | 89 | |
| * | JAKKS Pacific Inc. | 12,065 | 87 |
| * | Crown Media Holdings Inc. Class A | 19,540 | 86 |
| * | West Marine Inc. | 10,428 | 85 |
| * | Noodles & Co. Class A | 6,454 | 83 |
4
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Hemisphere Media Group Inc. Class A | 5,943 | 82 |
| * | J Alexander's Holdings Inc. | 7,781 | 81 |
| Marchex Inc. Class B | 18,725 | 80 | |
| * | Kona Grill Inc. | 5,232 | 78 |
| Saga Communications Inc. Class A | 2,066 | 78 | |
| Lifetime Brands Inc. | 6,428 | 77 | |
| Superior Uniform Group Inc. | 4,285 | 76 | |
| Escalade Inc. | 6,030 | 76 | |
| * | Duluth Holdings Inc. | 4,492 | 74 |
| Collectors Universe Inc. | 4,448 | 71 | |
| * | Boot Barn Holdings Inc. | 6,923 | 70 |
| * | Bravo Brio Restaurant Group Inc. | 8,953 | 70 |
| * | Bojangles' Inc. | 4,814 | 70 |
| * | Care.com Inc. | 11,482 | 70 |
| * | New Home Co. Inc. | 6,475 | 65 |
| * | Papa Murphy's Holdings Inc. | 5,926 | 64 |
| * | Bridgepoint Education Inc. | 10,069 | 64 |
| Johnson Outdoors Inc. Class A | 2,886 | 63 | |
| * | QuinStreet Inc. | 20,705 | 61 |
| * | Systemax Inc. | 6,816 | 60 |
| * | Black Diamond Inc. | 13,191 | 57 |
| Liberty Tax Inc. | 3,332 | 57 | |
| * | Vince Holding Corp. | 8,509 | 55 |
| * | MCBC Holdings Inc. | 3,986 | 53 |
| Universal Technical Institute Inc. | 12,617 | 49 | |
| * | Container Store Group Inc. | 9,109 | 49 |
| * | Skullcandy Inc. | 13,045 | 46 |
| Marine Products Corp. | 6,220 | 46 | |
| * | Fogo De Chao Inc. | 2,849 | 46 |
| * | VOXX International Corp. Class A | 11,386 | 45 |
| * | Tilly's Inc. Class A | 6,130 | 44 |
| * | Instructure Inc. | 2,940 | 42 |
| * | Sizmek Inc. | 12,295 | 40 |
| * | Fenix Parts Inc. | 7,911 | 39 |
| * | Townsquare Media Inc. Class A | 3,663 | 36 |
| * | Cambium Learning Group Inc. | 7,593 | 34 |
| * | Christopher & Banks Corp. | 19,661 | 28 |
| * | Morgans Hotel Group Co. | 15,352 | 23 |
| *,^ | Empire Resorts Inc. | 1,691 | 21 |
| * | Cumulus Media Inc. Class A | 78,536 | 20 |
| * | EVINE Live Inc. | 27,634 | 14 |
| bebe stores inc | 13,702 | 6 | |
| 135,635 | |||
| Consumer Staples (3.6%) | |||
| * | TreeHouse Foods Inc. | 33,530 | 2,831 |
| * | Post Holdings Inc. | 36,587 | 2,541 |
| Casey's General Stores Inc. | 23,083 | 2,437 | |
| Sanderson Farms Inc. | 13,292 | 1,213 | |
| B&G Foods Inc. | 34,526 | 1,194 | |
| Vector Group Ltd. | 51,207 | 1,190 | |
| Lancaster Colony Corp. | 11,045 | 1,124 | |
| Dean Foods Co. | 55,914 | 1,079 | |
| * | Boston Beer Co. Inc. Class A | 5,426 | 1,021 |
| Core-Mark Holding Co. Inc. | 13,787 | 1,015 | |
| ^ | Cal-Maine Foods Inc. | 18,592 | 992 |
| J&J Snack Foods Corp. | 8,819 | 977 | |
| Snyder's-Lance Inc. | 28,984 | 948 | |
| WD-40 Co. | 8,704 | 940 | |
| * | United Natural Foods Inc. | 29,939 | 924 |
| Fresh Del Monte Produce Inc. | 19,950 | 800 | |
| * | SUPERVALU Inc. | 155,014 | 792 |
| *,^ | Diplomat Pharmacy Inc. | 21,403 | 762 |
| Universal Corp. | 13,535 | 737 | |
| SpartanNash Co. | 22,568 | 619 | |
5
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Diamond Foods Inc. | 15,791 | 598 |
| * | Fresh Market Inc. | 25,733 | 594 |
| Coca-Cola Bottling Co. Consolidated | 2,784 | 486 | |
| Calavo Growers Inc. | 8,776 | 470 | |
| Andersons Inc. | 17,073 | 458 | |
| * | Seaboard Corp. | 156 | 456 |
| * | USANA Health Sciences Inc. | 3,348 | 377 |
| Tootsie Roll Industries Inc. | 10,988 | 366 | |
| John B Sanfilippo & Son Inc. | 4,893 | 341 | |
| * | Omega Protein Corp. | 13,145 | 312 |
| Weis Markets Inc. | 6,621 | 276 | |
| Ingles Markets Inc. Class A | 8,080 | 273 | |
| * | National Beverage Corp. | 6,761 | 257 |
| * | Performance Food Group Co. | 9,766 | 242 |
| * | Smart & Final Stores Inc. | 14,375 | 234 |
| * | Chefs' Warehouse Inc. | 11,565 | 218 |
| PetMed Express Inc. | 12,259 | 202 | |
| Medifast Inc. | 6,308 | 191 | |
| * | Seneca Foods Corp. Class A | 4,581 | 152 |
| ^ | Natural Health Trends Corp. | 4,869 | 152 |
| Orchids Paper Products Co. | 5,507 | 152 | |
| MGP Ingredients Inc. | 5,908 | 138 | |
| * | Nutraceutical International Corp. | 4,837 | 119 |
| * | Farmer Brothers Co. | 4,483 | 118 |
| * | Natural Grocers by Vitamin Cottage Inc. | 5,626 | 113 |
| Village Super Market Inc. Class A | 4,142 | 110 | |
| Limoneira Co. | 6,856 | 96 | |
| * | Amplify Snack Brands Inc. | 8,521 | 88 |
| * | Freshpet Inc. | 11,998 | 80 |
| * | Inventure Foods Inc. | 11,593 | 71 |
| * | Synutra International Inc. | 12,952 | 66 |
| Alico Inc. | 2,340 | 56 | |
| * | Craft Brew Alliance Inc. | 6,407 | 53 |
| Nature's Sunshine Products Inc. | 6,118 | 51 | |
| * | Castle Brands Inc. | 35,317 | 29 |
| * | Lifeway Foods Inc. | 2,529 | 29 |
| * | Arcadia Biosciences Inc. | 4,962 | 14 |
| *,^ | Fairway Group Holdings Corp. | 13,260 | 4 |
| 32,178 | |||
| Energy (2.0%) | |||
| * | PDC Energy Inc. | 23,908 | 1,198 |
| Western Refining Inc. | 42,479 | 1,133 | |
| * | Parsley Energy Inc. Class A | 59,446 | 1,093 |
| * | RSP Permian Inc. | 39,294 | 940 |
| * | Oil States International Inc. | 30,561 | 798 |
| * | Carrizo Oil & Gas Inc. | 34,628 | 744 |
| * | Matador Resources Co. | 43,661 | 705 |
| * | Oasis Petroleum Inc. | 107,390 | 579 |
| Delek US Holdings Inc. | 34,094 | 539 | |
| * | SEACOR Holdings Inc. | 10,956 | 530 |
| SemGroup Corp. Class A | 26,250 | 499 | |
| * | McDermott International Inc. | 142,869 | 471 |
| * | Synergy Resources Corp. | 70,957 | 443 |
| * | Forum Energy Technologies Inc. | 35,453 | 417 |
| Green Plains Inc. | 22,661 | 308 | |
| * | Callon Petroleum Co. | 46,980 | 300 |
| * | Matrix Service Co. | 15,725 | 289 |
| * | Exterran Corp. | 20,882 | 285 |
| ^ | Atwood Oceanics Inc. | 37,765 | 260 |
| * | Helix Energy Solutions Group Inc. | 64,085 | 250 |
| * | PowerSecure International Inc. | 13,262 | 247 |
| * | TETRA Technologies Inc. | 48,013 | 242 |
| CARBO Ceramics Inc. | 11,928 | 238 | |
| * | Flotek Industries Inc. | 32,369 | 236 |
6
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| SunCoke Energy Inc. | 40,007 | 189 | |
| * | Renewable Energy Group Inc. | 25,937 | 189 |
| Alon USA Energy Inc. | 19,055 | 188 | |
| * | Par Pacific Holdings Inc. | 9,385 | 185 |
| * | Newpark Resources Inc. | 48,849 | 182 |
| Tesco Corp. | 23,985 | 174 | |
| * | REX American Resources Corp. | 3,434 | 173 |
| Archrock Inc. | 42,433 | 169 | |
| * | Hornbeck Offshore Services Inc. | 18,909 | 162 |
| * | Unit Corp. | 29,481 | 158 |
| Panhandle Oil and Gas Inc. Class A | 9,829 | 153 | |
| * | Natural Gas Services Group Inc. | 7,336 | 132 |
| * | Clean Energy Fuels Corp. | 41,873 | 121 |
| * | Northern Oil and Gas Inc. | 35,425 | 118 |
| * | Trecora Resources | 11,910 | 115 |
| * | Era Group Inc. | 12,333 | 114 |
| * | Parker Drilling Co. | 72,485 | 113 |
| * | Sanchez Energy Corp. | 30,623 | 109 |
| * | EnerNOC Inc. | 17,237 | 106 |
| * | EXCO Resources Inc. | 93,722 | 98 |
| * | Vivint Solar Inc. | 11,871 | 94 |
| * | RigNet Inc. | 6,989 | 92 |
| * | Geospace Technologies Corp. | 7,759 | 87 |
| * | Bill Barrett Corp. | 29,727 | 85 |
| *,^ | FuelCell Energy Inc. | 14,275 | 81 |
| TerraForm Global Inc. Class A | 24,391 | 77 | |
| * | Green Brick Partners Inc. | 12,445 | 76 |
| * | Pacific Ethanol Inc. | 18,798 | 74 |
| *,^ | Solazyme Inc. | 47,251 | 74 |
| * | Fairmount Santrol Holdings Inc. | 36,764 | 73 |
| *,^ | Westmoreland Coal Co. | 10,254 | 63 |
| * | Contango Oil & Gas Co. | 10,290 | 62 |
| Evolution Petroleum Corp. | 14,267 | 62 | |
| * | Ring Energy Inc. | 14,267 | 60 |
| * | Ameresco Inc. Class A | 11,507 | 59 |
| * | Cloud Peak Energy Inc. | 33,930 | 58 |
| * | Sunrun Inc. | 10,159 | 57 |
| * | Civeo Corp. | 61,335 | 55 |
| ^ | Nordic American Offshore Ltd. | 11,564 | 54 |
| * | Bonanza Creek Energy Inc. | 28,959 | 54 |
| * | Stone Energy Corp. | 33,029 | 51 |
| * | Pioneer Energy Services Corp. | 36,941 | 51 |
| * | Clayton Williams Energy Inc. | 3,458 | 51 |
| * | Abraxas Petroleum Corp. | 53,674 | 48 |
| * | Isramco Inc. | 578 | 47 |
| *,^ | Basic Energy Services Inc. | 24,490 | 43 |
| *,^ | Enphase Energy Inc. | 16,720 | 39 |
| * | Independence Contract Drilling Inc. | 9,760 | 38 |
| *,^ | W&T Offshore Inc. | 20,576 | 37 |
| Adams Resources & Energy Inc. | 1,138 | 37 | |
| * | C&J Energy Services Ltd. | 33,312 | 34 |
| *,^ | Ultra Petroleum Corp. | 88,323 | 31 |
| * | Gastar Exploration Inc. | 45,177 | 31 |
| Hallador Energy Co. | 5,725 | 28 | |
| *,^ | Peabody Energy Corp. | 11,159 | 27 |
| * | Eclipse Resources Corp. | 27,371 | 26 |
| * | Halcon Resources Corp. | 43,656 | 25 |
| * | Jones Energy Inc. Class A | 16,363 | 25 |
| *,^ | Erin Energy Corp. | 8,350 | 20 |
| ^ | Energy XXI Ltd. | 52,484 | 20 |
| *,^ | Rex Energy Corp. | 28,578 | 17 |
| * | Key Energy Services Inc. | 71,147 | 16 |
| * | ION Geophysical Corp. | 5,250 | 16 |
| * | Seventy Seven Energy Inc. | 33,344 | 16 |
7
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Approach Resources Inc. | 19,354 | 15 |
| * TransAtlantic Petroleum Ltd. | 16,372 | 10 |
| * Triangle Petroleum Corp. | 24,965 | 8 |
| North Atlantic Drilling Ltd. | 4,326 | 8 |
| * Earthstone Energy Inc. | 532 | 6 |
| * Global Geophysical Services Inc. | 127 | — |
| 17,910 | ||
| Financial Services (27.2%) | ||
| CubeSmart | 99,168 | 2,965 |
| MarketAxess Holdings Inc. | 22,175 | 2,627 |
| Sovran Self Storage Inc. | 23,399 | 2,491 |
| Highwoods Properties Inc. | 55,879 | 2,434 |
| First American Financial Corp. | 64,400 | 2,385 |
| Investors Bancorp Inc. | 207,199 | 2,345 |
| EPR Properties | 33,976 | 2,114 |
| Heartland Payment Systems Inc. | 21,745 | 2,034 |
| Sun Communities Inc. | 30,086 | 2,032 |
| * Euronet Worldwide Inc. | 30,844 | 2,022 |
| Umpqua Holdings Corp. | 131,036 | 1,971 |
| FirstMerit Corp. | 98,663 | 1,937 |
| CNO Financial Group Inc. | 110,769 | 1,931 |
| DCT Industrial Trust Inc. | 52,899 | 1,914 |
| Gramercy Property Trust | 249,400 | 1,883 |
| Fair Isaac Corp. | 18,459 | 1,837 |
| Webster Financial Corp. | 53,957 | 1,813 |
| Bank of the Ozarks Inc. | 46,352 | 1,754 |
| Healthcare Realty Trust Inc. | 59,680 | 1,731 |
| Prosperity Bancshares Inc. | 41,727 | 1,688 |
| RLJ Lodging Trust | 78,669 | 1,650 |
| LaSalle Hotel Properties | 67,197 | 1,636 |
| RLI Corp. | 25,690 | 1,613 |
| PrivateBancorp Inc. | 46,895 | 1,611 |
| Medical Properties Trust Inc. | 139,232 | 1,611 |
| New Residential Investment Corp. | 137,158 | 1,606 |
| Sunstone Hotel Investors Inc. | 124,165 | 1,602 |
| CyrusOne Inc. | 39,444 | 1,564 |
| * Western Alliance Bancorp | 51,172 | 1,521 |
| Education Realty Trust Inc. | 37,744 | 1,497 |
| FNB Corp. | 120,500 | 1,480 |
| United Bankshares Inc. | 41,336 | 1,448 |
| First Industrial Realty Trust Inc. | 65,995 | 1,420 |
| National Health Investors Inc. | 22,378 | 1,408 |
| * MGIC Investment Corp. | 202,289 | 1,384 |
| MB Financial Inc. | 44,730 | 1,365 |
| Acadia Realty Trust | 40,956 | 1,354 |
| DuPont Fabros Technology Inc. | 37,699 | 1,344 |
| Home BancShares Inc. | 34,000 | 1,344 |
| Kite Realty Group Trust | 49,773 | 1,340 |
| Fulton Financial Corp. | 105,229 | 1,327 |
| Equity One Inc. | 47,474 | 1,301 |
| GEO Group Inc. | 44,591 | 1,295 |
| Urban Edge Properties | 52,893 | 1,286 |
| Cathay General Bancorp | 47,618 | 1,271 |
| Valley National Bancorp | 138,541 | 1,247 |
| Ryman Hospitality Properties Inc. | 25,945 | 1,242 |
| Radian Group Inc. | 114,150 | 1,233 |
| Primerica Inc. | 28,854 | 1,217 |
| Wintrust Financial Corp. | 28,269 | 1,201 |
| Washington Federal Inc. | 56,531 | 1,198 |
| * Stifel Financial Corp. | 40,481 | 1,172 |
| Pebblebrook Hotel Trust | 42,890 | 1,165 |
| UMB Financial Corp. | 23,536 | 1,156 |
| BancorpSouth Inc. | 57,561 | 1,147 |
| Selective Insurance Group Inc. | 33,810 | 1,135 |
8
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Hudson Pacific Properties Inc. | 44,427 | 1,133 |
| Janus Capital Group Inc. | 87,598 | 1,133 |
| Cousins Properties Inc. | 129,389 | 1,121 |
| Physicians Realty Trust | 64,567 | 1,109 |
| * Blackhawk Network Holdings Inc. | 32,393 | 1,096 |
| Retail Opportunity Investments Corp. | 59,439 | 1,092 |
| IBERIABANK Corp. | 22,828 | 1,088 |
| Colony Capital Inc. Class A | 66,219 | 1,086 |
| First Citizens BancShares Inc. Class A | 4,598 | 1,077 |
| Glacier Bancorp Inc. | 45,138 | 1,075 |
| Hancock Holding Co. | 46,527 | 1,073 |
| DiamondRock Hospitality Co. | 119,934 | 1,067 |
| PS Business Parks Inc. | 11,578 | 1,063 |
| Mack-Cali Realty Corp. | 53,306 | 1,061 |
| Capitol Federal Financial Inc. | 84,125 | 1,057 |
| Kennedy-Wilson Holdings Inc. | 55,455 | 1,055 |
| Washington REIT | 40,751 | 1,054 |
| EastGroup Properties Inc. | 19,158 | 1,039 |
| Sterling Bancorp | 71,300 | 1,027 |
| Xenia Hotels & Resorts Inc. | 66,710 | 1,022 |
| ^ First Financial Bankshares Inc. | 38,347 | 1,013 |
| Pinnacle Financial Partners Inc. | 21,419 | 993 |
| Columbia Banking System Inc. | 34,447 | 993 |
| CVB Financial Corp. | 63,468 | 986 |
| Alexander & Baldwin Inc. | 29,020 | 973 |
| Evercore Partners Inc. Class A | 20,678 | 965 |
| Lexington Realty Trust | 122,036 | 945 |
| LTC Properties Inc. | 21,242 | 944 |
| Community Bank System Inc. | 25,448 | 942 |
| BGC Partners Inc. Class A | 108,650 | 939 |
| CoreSite Realty Corp. | 14,450 | 931 |
| Argo Group International Holdings Ltd. | 16,609 | 926 |
| National Penn Bancshares Inc. | 83,056 | 924 |
| New York REIT Inc. | 96,266 | 924 |
| * Cardtronics Inc. | 26,809 | 904 |
| South State Corp. | 14,464 | 903 |
| Monogram Residential Trust Inc. | 99,208 | 901 |
| Chesapeake Lodging Trust | 35,435 | 900 |
| Trustmark Corp. | 40,095 | 877 |
| * Texas Capital Bancshares Inc. | 27,117 | 877 |
| * Enstar Group Ltd. | 5,392 | 852 |
| Invesco Mortgage Capital Inc. | 73,503 | 831 |
| American Assets Trust Inc. | 22,234 | 825 |
| * Eagle Bancorp Inc. | 17,919 | 821 |
| WisdomTree Investments Inc. | 67,814 | 804 |
| Astoria Financial Corp. | 53,840 | 802 |
| Ramco-Gershenson Properties Trust | 47,185 | 793 |
| Hatteras Financial Corp. | 57,373 | 789 |
| Pennsylvania REIT | 40,913 | 784 |
| Old National Bancorp | 69,527 | 776 |
| Select Income REIT | 37,462 | 772 |
| Sabra Health Care REIT Inc. | 38,768 | 772 |
| First Midwest Bancorp Inc. | 46,189 | 771 |
| * Hilltop Holdings Inc. | 45,547 | 760 |
| Northwest Bancshares Inc. | 60,260 | 759 |
| Horace Mann Educators Corp. | 24,421 | 752 |
| Financial Engines Inc. | 30,819 | 752 |
| EverBank Financial Corp. | 57,294 | 746 |
| Renasant Corp. | 23,817 | 744 |
| CYS Investments Inc. | 94,654 | 742 |
| QTS Realty Trust Inc. Class A | 16,546 | 737 |
| Simmons First National Corp. Class A | 17,843 | 735 |
| International Bancshares Corp. | 32,448 | 732 |
| Provident Financial Services Inc. | 39,184 | 728 |
9
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | PRA Group Inc. | 28,931 | 706 |
| First Cash Financial Services Inc. | 16,701 | 704 | |
| Kemper Corp. | 25,944 | 697 | |
| NBT Bancorp Inc. | 26,374 | 680 | |
| ^ | Westamerica Bancorporation | 15,103 | 679 |
| BBCN Bancorp Inc. | 47,287 | 677 | |
| STAG Industrial Inc. | 38,518 | 676 | |
| * | BofI Holding Inc. | 36,498 | 676 |
| Independent Bank Corp. | 15,649 | 676 | |
| Chemical Financial Corp. | 19,955 | 675 | |
| Parkway Properties Inc. | 50,347 | 674 | |
| Kearny Financial Corp. | 55,438 | 664 | |
| Park National Corp. | 7,755 | 661 | |
| American Equity Investment Life Holding Co. | 48,461 | 659 | |
| WesBanco Inc. | 23,012 | 651 | |
| Potlatch Corp. | 24,206 | 640 | |
| * | Essent Group Ltd. | 33,144 | 638 |
| FelCor Lodging Trust Inc. | 84,986 | 629 | |
| * | Beneficial Bancorp Inc. | 49,012 | 627 |
| Government Properties Income Trust | 41,784 | 620 | |
| First Financial Bancorp | 36,447 | 611 | |
| Union Bankshares Corp. | 26,780 | 610 | |
| Great Western Bancorp Inc. | 24,513 | 603 | |
| Redwood Trust Inc. | 50,031 | 595 | |
| AMERISAFE Inc. | 11,381 | 586 | |
| STORE Capital Corp. | 24,159 | 583 | |
| PennyMac Mortgage Investment Trust | 44,293 | 583 | |
| Terreno Realty Corp. | 25,794 | 571 | |
| HFF Inc. Class A | 22,659 | 567 | |
| * | Green Dot Corp. Class A | 27,294 | 564 |
| Summit Hotel Properties Inc. | 51,932 | 561 | |
| * | MBIA Inc. | 81,528 | 559 |
| Capstead Mortgage Corp. | 57,456 | 558 | |
| WSFS Financial Corp. | 18,385 | 557 | |
| Hersha Hospitality Trust Class A | 27,539 | 554 | |
| Rexford Industrial Realty Inc. | 32,832 | 553 | |
| * | Third Point Reinsurance Ltd. | 50,036 | 553 |
| Inland Real Estate Corp. | 52,084 | 552 | |
| United Community Banks Inc. | 31,709 | 549 | |
| * | HRG Group Inc. | 46,925 | 546 |
| Apollo Commercial Real Estate Finance Inc. | 34,944 | 540 | |
| First Merchants Corp. | 23,943 | 531 | |
| Nelnet Inc. Class A | 14,073 | 529 | |
| Employers Holdings Inc. | 18,982 | 527 | |
| Boston Private Financial Holdings Inc. | 49,730 | 525 | |
| S&T Bancorp Inc. | 20,654 | 521 | |
| Ameris Bancorp | 19,260 | 520 | |
| Cash America International Inc. | 15,251 | 514 | |
| Franklin Street Properties Corp. | 54,023 | 514 | |
| * | Navigators Group Inc. | 6,277 | 508 |
| Infinity Property & Casualty Corp. | 6,783 | 507 | |
| Talmer Bancorp Inc. Class A | 30,067 | 505 | |
| LegacyTexas Financial Group Inc. | 28,374 | 504 | |
| * | FCB Financial Holdings Inc. Class A | 16,759 | 503 |
| Tompkins Financial Corp. | 8,887 | 502 | |
| *,^ | St. Joe Co. | 32,899 | 500 |
| Banner Corp. | 12,543 | 498 | |
| New Senior Investment Group Inc. | 51,314 | 497 | |
| * | Colony Starwood Homes | 22,613 | 497 |
| Safety Insurance Group Inc. | 8,950 | 495 | |
| United Fire Group Inc. | 12,170 | 491 | |
| ServisFirst Bancshares Inc. | 13,334 | 487 | |
| Towne Bank | 27,370 | 477 | |
| Alexander's Inc. | 1,236 | 476 | |
10
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| National General Holdings Corp. | 23,834 | 475 |
| EVERTEC Inc. | 39,188 | 466 |
| Stewart Information Services Corp. | 13,800 | 466 |
| Agree Realty Corp. | 12,331 | 457 |
| Chatham Lodging Trust | 22,766 | 457 |
| * FNFV Group | 44,638 | 454 |
| First Commonwealth Financial Corp. | 52,842 | 454 |
| Meridian Bancorp Inc. | 32,701 | 451 |
| Berkshire Hills Bancorp Inc. | 17,464 | 451 |
| Oritani Financial Corp. | 26,463 | 448 |
| Investors Real Estate Trust | 72,690 | 446 |
| Brookline Bancorp Inc. | 41,912 | 440 |
| Northfield Bancorp Inc. | 28,029 | 440 |
| * iStar Inc. | 51,141 | 433 |
| Lakeland Financial Corp. | 9,958 | 425 |
| Monmouth Real Estate Investment Corp. | 37,906 | 420 |
| ARMOUR Residential REIT Inc. | 21,809 | 420 |
| Wilshire Bancorp Inc. | 42,023 | 414 |
| * Ambac Financial Group Inc. | 27,065 | 413 |
| City Holding Co. | 9,136 | 403 |
| Hannon Armstrong Sustainable Infrastructure Capital Inc. | 22,846 | 402 |
| Greenhill & Co. Inc. | 17,423 | 402 |
| State Bank Financial Corp. | 21,350 | 400 |
| Rouse Properties Inc. | 21,762 | 397 |
| Hanmi Financial Corp. | 19,042 | 397 |
| American Capital Mortgage Investment Corp. | 28,315 | 391 |
| Universal Health Realty Income Trust | 7,483 | 388 |
| Banco Latinoamericano de Comercio Exterior SA | 18,066 | 386 |
| CenterState Banks Inc. | 27,309 | 382 |
| Sandy Spring Bancorp Inc. | 14,625 | 380 |
| Cohen & Steers Inc. | 12,155 | 378 |
| Virtus Investment Partners Inc. | 4,105 | 377 |
| * Greenlight Capital Re Ltd. Class A | 17,466 | 374 |
| Universal Insurance Holdings Inc. | 19,102 | 373 |
| Investment Technology Group Inc. | 20,335 | 373 |
| Cardinal Financial Corp. | 19,290 | 372 |
| BNC Bancorp | 18,045 | 366 |
| Capital Bank Financial Corp. | 12,404 | 365 |
| * Customers Bancorp Inc. | 16,105 | 365 |
| Maiden Holdings Ltd. | 30,356 | 363 |
| * Walker & Dunlop Inc. | 15,579 | 360 |
| Flushing Financial Corp. | 17,418 | 360 |
| Southside Bancshares Inc. | 15,255 | 357 |
| * Encore Capital Group Inc. | 15,335 | 357 |
| Banc of California Inc. | 22,820 | 350 |
| Cedar Realty Trust Inc. | 50,276 | 343 |
| Cass Information Systems Inc. | 6,876 | 343 |
| National Bank Holdings Corp. Class A | 17,640 | 341 |
| United Financial Bancorp Inc. | 29,058 | 336 |
| * Piper Jaffray Cos. | 7,913 | 335 |
| TriCo Bancshares | 13,472 | 334 |
| * Pacific Premier Bancorp Inc. | 16,247 | 334 |
| Urstadt Biddle Properties Inc. Class A | 16,749 | 331 |
| Stock Yards Bancorp Inc. | 8,809 | 329 |
| Enterprise Financial Services Corp. | 11,842 | 328 |
| FBL Financial Group Inc. Class A | 5,706 | 328 |
| * LendingTree Inc. | 3,704 | 327 |
| Heartland Financial USA Inc. | 11,117 | 327 |
| TrustCo Bank Corp. NY | 56,619 | 327 |
| CareTrust REIT Inc. | 28,648 | 326 |
| Yadkin Financial Corp. | 15,006 | 325 |
| Washington Trust Bancorp Inc. | 8,737 | 324 |
| Altisource Residential Corp. | 34,197 | 321 |
| Dime Community Bancshares Inc. | 18,613 | 317 |
11
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| First Interstate BancSystem Inc. Class A | 11,766 | 315 | |
| Community Trust Bancorp Inc. | 9,327 | 315 | |
| Heritage Financial Corp. | 17,996 | 314 | |
| American Residential Properties Inc. | 19,034 | 302 | |
| Diamond Hill Investment Group Inc. | 1,762 | 298 | |
| Silver Bay Realty Trust Corp. | 21,463 | 295 | |
| 1st Source Corp. | 9,619 | 293 | |
| First Potomac Realty Trust | 34,501 | 292 | |
| National Western Life Group Inc. Class A | 1,346 | 289 | |
| Heritage Insurance Holdings Inc. | 14,765 | 288 | |
| German American Bancorp Inc. | 8,898 | 284 | |
| Saul Centers Inc. | 5,747 | 281 | |
| Ashford Hospitality Trust Inc. | 50,369 | 279 | |
| InfraREIT Inc. | 13,168 | 278 | |
| Getty Realty Corp. | 15,289 | 278 | |
| Anworth Mortgage Asset Corp. | 58,826 | 276 | |
| Central Pacific Financial Corp. | 13,793 | 275 | |
| ConnectOne Bancorp Inc. | 17,803 | 275 | |
| First Busey Corp. | 14,461 | 274 | |
| Bryn Mawr Bank Corp. | 10,795 | 271 | |
| MainSource Financial Group Inc. | 13,005 | 269 | |
| Ladder Capital Corp. | 25,989 | 269 | |
| New York Mortgage Trust Inc. | 64,064 | 268 | |
| Western Asset Mortgage Capital Corp. | 24,573 | 266 | |
| * | HomeStreet Inc. | 13,018 | 260 |
| * | Nationstar Mortgage Holdings Inc. | 21,986 | 260 |
| Moelis & Co. Class A | 10,301 | 255 | |
| Bridge Bancorp Inc. | 8,939 | 254 | |
| Apollo Residential Mortgage Inc. | 19,611 | 253 | |
| Virtu Financial Inc. Class A | 11,108 | 248 | |
| CatchMark Timber Trust Inc. Class A | 23,263 | 248 | |
| BancFirst Corp. | 4,373 | 247 | |
| National Storage Affiliates Trust | 13,493 | 244 | |
| * | Ocwen Financial Corp. | 64,361 | 244 |
| NewBridge Bancorp | 21,823 | 239 | |
| * | Flagstar Bancorp Inc. | 12,423 | 239 |
| CoBiz Financial Inc. | 21,830 | 237 | |
| Blue Hills Bancorp Inc. | 16,901 | 233 | |
| * | INTL. FCStone Inc. | 9,083 | 232 |
| Great Southern Bancorp Inc. | 6,145 | 231 | |
| * | Cowen Group Inc. Class A | 67,537 | 229 |
| Waterstone Financial Inc. | 16,078 | 227 | |
| Mercantile Bank Corp. | 9,994 | 226 | |
| Financial Institutions Inc. | 8,425 | 223 | |
| Westwood Holdings Group Inc. | 4,494 | 223 | |
| First Bancorp | 12,011 | 222 | |
| RE/MAX Holdings Inc. Class A | 6,925 | 222 | |
| Clifton Bancorp Inc. | 15,025 | 222 | |
| Lakeland Bancorp Inc. | 22,175 | 222 | |
| First Defiance Financial Corp. | 5,626 | 220 | |
| Univest Corp. of Pennsylvania | 11,465 | 219 | |
| * | KCG Holdings Inc. Class A | 20,537 | 217 |
| * | First NBC Bank Holding Co. | 9,200 | 217 |
| * | Altisource Portfolio Solutions SA | 8,015 | 214 |
| * | CU Bancorp | 9,780 | 214 |
| First Financial Corp. | 6,440 | 212 | |
| State National Cos. Inc. | 18,799 | 212 | |
| Bank Mutual Corp. | 28,175 | 210 | |
| *,^ | Citizens Inc. Class A | 29,875 | 210 |
| AG Mortgage Investment Trust Inc. | 16,865 | 208 | |
| * | Seacoast Banking Corp. of Florida | 13,982 | 207 |
| Federated National Holding Co. | 8,624 | 206 | |
| Resource Capital Corp. | 18,545 | 206 | |
| Federal Agricultural Mortgage Corp. | 6,317 | 205 | |
12
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * HomeTrust Bancshares Inc. | 11,329 | 199 |
| First of Long Island Corp. | 7,121 | 198 |
| Independent Bank Corp. | 13,422 | 198 |
| Peoples Bancorp Inc. | 11,063 | 197 |
| Preferred Bank | 6,911 | 197 |
| United Insurance Holdings Corp. | 10,060 | 196 |
| Opus Bank | 6,052 | 195 |
| * Forestar Group Inc. | 19,742 | 192 |
| Gladstone Commercial Corp. | 12,910 | 192 |
| State Auto Financial Corp. | 8,912 | 192 |
| * Anchor BanCorp Wisconsin Inc. | 4,586 | 192 |
| James River Group Holdings Ltd. | 6,513 | 190 |
| Meta Financial Group Inc. | 4,555 | 189 |
| Stonegate Bank | 6,494 | 186 |
| Houlihan Lokey Inc. | 7,289 | 186 |
| * Marcus & Millichap Inc. | 8,330 | 186 |
| First Community Bancshares Inc. | 10,258 | 186 |
| Armada Hoffler Properties Inc. | 17,341 | 184 |
| Dynex Capital Inc. | 28,852 | 183 |
| Pacific Continental Corp. | 11,801 | 182 |
| HCI Group Inc. | 5,154 | 181 |
| Whitestone REIT | 16,085 | 180 |
| * First BanCorp | 67,275 | 180 |
| Park Sterling Corp. | 28,613 | 178 |
| Southwest Bancorp Inc. | 11,612 | 176 |
| Bank of Marin Bancorp | 3,551 | 175 |
| Arrow Financial Corp. | 6,620 | 173 |
| Camden National Corp. | 4,419 | 171 |
| OneBeacon Insurance Group Ltd. Class A | 13,225 | 171 |
| Fidelity & Guaranty Life | 6,884 | 171 |
| OM Asset Management plc | 14,949 | 170 |
| United Community Financial Corp. | 28,771 | 170 |
| Arlington Asset Investment Corp. Class A | 13,953 | 169 |
| * Walter Investment Management Corp. | 22,304 | 167 |
| West Bancorporation Inc. | 9,449 | 166 |
| Suffolk Bancorp | 6,814 | 165 |
| Peoples Financial Services Corp. | 4,525 | 164 |
| Independent Bank Group Inc. | 5,873 | 162 |
| Horizon Bancorp | 6,600 | 160 |
| Preferred Apartment Communities Inc. Class A | 13,199 | 160 |
| One Liberty Properties Inc. | 7,463 | 158 |
| Ashford Hospitality Prime Inc. | 16,110 | 158 |
| * World Acceptance Corp. | 4,282 | 157 |
| * NMI Holdings Inc. Class A | 30,626 | 156 |
| Ares Commercial Real Estate Corp. | 15,797 | 154 |
| Fidelity Southern Corp. | 10,234 | 153 |
| First Connecticut Bancorp Inc. | 9,449 | 152 |
| QCR Holdings Inc. | 6,765 | 152 |
| CNB Financial Corp. | 8,462 | 150 |
| Peapack Gladstone Financial Corp. | 9,017 | 149 |
| OFG Bancorp | 25,652 | 149 |
| Republic Bancorp Inc. Class A | 5,815 | 149 |
| * TriState Capital Holdings Inc. | 12,255 | 147 |
| * Ladenburg Thalmann Financial Services Inc. | 61,829 | 144 |
| Citizens & Northern Corp. | 7,237 | 144 |
| Easterly Government Properties Inc. | 8,398 | 144 |
| GAIN Capital Holdings Inc. | 19,849 | 144 |
| * Safeguard Scientifics Inc. | 12,109 | 143 |
| * Tejon Ranch Co. | 7,932 | 140 |
| * FRP Holdings Inc. | 4,106 | 139 |
| RAIT Financial Trust | 52,934 | 139 |
| Heritage Commerce Corp. | 14,834 | 138 |
| Baldwin & Lyons Inc. | 5,671 | 138 |
| BankFinancial Corp. | 11,265 | 136 |
13
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Territorial Bancorp Inc. | 5,267 | 136 | |
| * | Global Indemnity plc | 4,812 | 135 |
| OceanFirst Financial Corp. | 7,932 | 135 | |
| National Bankshares Inc. | 4,035 | 134 | |
| NexPoint Residential Trust Inc. | 11,249 | 133 | |
| UMH Properties Inc. | 14,119 | 133 | |
| Guaranty Bancorp | 8,800 | 131 | |
| Charter Financial Corp. | 9,519 | 131 | |
| Ames National Corp. | 5,526 | 129 | |
| Fox Chase Bancorp Inc. | 6,732 | 129 | |
| American National Bankshares Inc. | 5,069 | 129 | |
| Sierra Bancorp | 6,833 | 128 | |
| GAMCO Investors Inc. Class A | 3,688 | 128 | |
| MidWestOne Financial Group Inc. | 4,803 | 125 | |
| * | Sun Bancorp Inc. | 5,927 | 123 |
| Orchid Island Capital Inc. | 12,777 | 123 | |
| Bar Harbor Bankshares | 3,705 | 123 | |
| Consolidated-Tomoka Land Co. | 2,539 | 122 | |
| Independence Realty Trust Inc. | 18,823 | 121 | |
| Farmers Capital Bank Corp. | 4,655 | 120 | |
| First Bancorp Inc. | 6,237 | 118 | |
| * | PICO Holdings Inc. | 13,729 | 117 |
| * | Triumph Bancorp Inc. | 8,505 | 116 |
| Bluerock Residential Growth REIT Inc. Class A | 11,274 | 116 | |
| * | Old Second Bancorp Inc. | 17,105 | 114 |
| EMC Insurance Group Inc. | 4,623 | 111 | |
| * | Everi Holdings Inc. | 37,646 | 111 |
| * | Atlas Financial Holdings Inc. | 6,097 | 110 |
| * | eHealth Inc. | 10,762 | 109 |
| First Business Financial Services Inc. | 5,069 | 107 | |
| Penns Woods Bancorp Inc. | 2,759 | 107 | |
| Tiptree Financial Inc. Class A | 17,276 | 106 | |
| * | BSB Bancorp Inc. | 4,810 | 105 |
| Enterprise Bancorp Inc. | 4,518 | 103 | |
| Heritage Oaks Bancorp | 13,920 | 101 | |
| * | Cascade Bancorp | 18,814 | 101 |
| * | Associated Capital Group Inc. Class A | 3,688 | 101 |
| * | PennyMac Financial Services Inc. Class A | 7,926 | 98 |
| * | Real Industry Inc. | 13,943 | 98 |
| * | Regional Management Corp. | 6,360 | 97 |
| * | Bancorp Inc. | 20,184 | 96 |
| National Interstate Corp. | 4,312 | 96 | |
| * | NewStar Financial Inc. | 13,965 | 96 |
| * | CommunityOne Bancorp | 7,412 | 95 |
| Capital City Bank Group Inc. | 6,511 | 94 | |
| Hingham Institution for Savings | 792 | 93 | |
| CorEnergy Infrastructure Trust Inc. | 6,991 | 92 | |
| * | MoneyGram International Inc. | 17,067 | 92 |
| * | RMR Group Inc. Class A | 4,064 | 92 |
| Oppenheimer Holdings Inc. Class A | 6,275 | 89 | |
| Calamos Asset Management Inc. Class A | 10,441 | 88 | |
| Merchants Bancshares Inc. | 3,033 | 88 | |
| *,^ | Trupanion Inc. | 9,610 | 87 |
| * | Franklin Financial Network Inc. | 3,172 | 87 |
| * | Enova International Inc. | 14,996 | 87 |
| * | EZCORP Inc. Class A | 29,713 | 86 |
| * | Hallmark Financial Services Inc. | 8,595 | 86 |
| Crawford & Co. Class B | 17,015 | 84 | |
| * | C1 Financial Inc. | 3,596 | 81 |
| ^ | CPI Card Group Inc. | 10,076 | 80 |
| Century Bancorp Inc. Class A | 1,959 | 77 | |
| Access National Corp. | 4,110 | 76 | |
| Donegal Group Inc. Class A | 5,199 | 76 | |
| * | AV Homes Inc. | 7,506 | 75 |
14
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * National Commerce Corp. | 3,390 | 75 |
| * Bear State Financial Inc. | 7,829 | 72 |
| Independence Holding Co. | 4,305 | 70 |
| * Impac Mortgage Holdings Inc. | 5,089 | 68 |
| * Green Bancorp Inc. | 8,087 | 58 |
| ^ United Development Funding IV | 17,612 | 56 |
| Pzena Investment Management Inc. Class A | 7,677 | 48 |
| * On Deck Capital Inc. | 6,651 | 45 |
| * Stonegate Mortgage Corp. | 8,510 | 40 |
| Resource America Inc. Class A | 8,735 | 39 |
| Live Oak Bancshares Inc. | 2,760 | 37 |
| * Hampton Roads Bankshares Inc. | 19,004 | 32 |
| * Allegiance Bancshares Inc. | 1,745 | 30 |
| * Campus Crest Communities Inc. | 4,224 | 30 |
| * Equity Bancshares Inc. Class A | 1,302 | 27 |
| Great Ajax Corp. | 2,633 | 26 |
| People's Utah Bancorp | 1,622 | 25 |
| * Ashford Inc. | 608 | 24 |
| Medley Management Inc. Class A | 4,001 | 22 |
| * BBX Capital Corp. | 1,358 | 17 |
| * ZAIS Group Holdings Inc. | 2,665 | 13 |
| Fifth Street Asset Management Inc. | 3,856 | 12 |
| * JG Wentworth Co. Class A | 8,819 | 11 |
| * Altisource Asset Management Corp. | 474 | 8 |
| * Tejon Ranch Co. Warrants Exp. 8/31/2016 | 782 | — |
| 245,997 | ||
| Health Care (13.7%) | ||
| STERIS plc | 50,771 | 3,266 |
| West Pharmaceutical Services Inc. | 42,908 | 2,661 |
| * WellCare Health Plans Inc. | 26,167 | 2,352 |
| * Amsurg Corp. | 32,085 | 2,183 |
| * ABIOMED Inc. | 24,805 | 1,985 |
| * PAREXEL International Corp. | 32,777 | 1,924 |
| HealthSouth Corp. | 54,394 | 1,916 |
| * Team Health Holdings Inc. | 42,972 | 1,915 |
| * Neurocrine Biosciences Inc. | 50,888 | 1,872 |
| * Anacor Pharmaceuticals Inc. | 24,362 | 1,554 |
| * Prestige Brands Holdings Inc. | 31,116 | 1,522 |
| * LivaNova plc | 26,419 | 1,491 |
| Owens & Minor Inc. | 37,557 | 1,480 |
| * Molina Healthcare Inc. | 23,384 | 1,451 |
| * Myriad Genetics Inc. | 41,336 | 1,447 |
| * Impax Laboratories Inc. | 42,839 | 1,400 |
| * Ultragenyx Pharmaceutical Inc. | 22,896 | 1,396 |
| Chemed Corp. | 10,168 | 1,307 |
| Cantel Medical Corp. | 20,481 | 1,303 |
| * Medicines Co. | 39,518 | 1,271 |
| * Cepheid | 42,813 | 1,271 |
| * WebMD Health Corp. | 22,559 | 1,251 |
| * Catalent Inc. | 49,971 | 1,213 |
| * NuVasive Inc. | 28,835 | 1,205 |
| * Medidata Solutions Inc. | 32,996 | 1,138 |
| * Pacira Pharmaceuticals Inc. | 21,711 | 1,129 |
| * Neogen Corp. | 22,101 | 1,088 |
| * Integra LifeSciences Holdings Corp. | 16,957 | 1,040 |
| * Insulet Corp. | 33,911 | 1,039 |
| * Masimo Corp. | 26,155 | 990 |
| * Globus Medical Inc. | 40,649 | 988 |
| * Haemonetics Corp. | 30,644 | 983 |
| * Ligand Pharmaceuticals Inc. | 10,481 | 967 |
| * Magellan Health Inc. | 14,872 | 937 |
| * Wright Medical Group NV | 53,046 | 907 |
| * Nektar Therapeutics | 78,666 | 879 |
| * ACADIA Pharmaceuticals Inc. | 50,156 | 866 |
15
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Kite Pharma Inc. | 19,303 | 863 |
| * | Air Methods Corp. | 23,331 | 848 |
| * | Acorda Therapeutics Inc. | 25,586 | 837 |
| * | Portola Pharmaceuticals Inc. | 29,613 | 834 |
| * | AMN Healthcare Services Inc. | 28,169 | 801 |
| * | ICU Medical Inc. | 8,430 | 775 |
| * | Ironwood Pharmaceuticals Inc. Class A | 74,806 | 722 |
| * | Cambrex Corp. | 18,534 | 715 |
| * | ExamWorks Group Inc. | 24,462 | 712 |
| * | Natus Medical Inc. | 19,543 | 710 |
| * | Halyard Health Inc. | 27,634 | 705 |
| * | HMS Holdings Corp. | 52,751 | 695 |
| * | Novavax Inc. | 158,851 | 693 |
| * | Affymetrix Inc. | 46,158 | 648 |
| CONMED Corp. | 16,302 | 648 | |
| * | Prothena Corp. plc | 20,207 | 643 |
| * | Ophthotech Corp. | 14,083 | 634 |
| Ensign Group Inc. | 30,104 | 617 | |
| * | Amedisys Inc. | 16,701 | 614 |
| * | Emergent BioSolutions Inc. | 18,020 | 610 |
| Select Medical Holdings Corp. | 61,988 | 607 | |
| *,^ | Innoviva Inc. | 50,908 | 597 |
| * | Omnicell Inc. | 21,525 | 589 |
| * | Radius Health Inc. | 19,743 | 578 |
| * | Greatbatch Inc. | 15,218 | 575 |
| * | Nevro Corp. | 9,947 | 573 |
| * | TESARO Inc. | 13,899 | 562 |
| * | NxStage Medical Inc. | 37,337 | 556 |
| Analogic Corp. | 7,381 | 553 | |
| * | Depomed Inc. | 35,902 | 549 |
| * | AMAG Pharmaceuticals Inc. | 20,726 | 545 |
| * | ARIAD Pharmaceuticals Inc. | 99,398 | 543 |
| *,^ | ZIOPHARM Oncology Inc. | 68,870 | 541 |
| *,^ | MiMedx Group Inc. | 65,058 | 535 |
| * | Cynosure Inc. Class A | 13,150 | 535 |
| * | TherapeuticsMD Inc. | 86,305 | 527 |
| Abaxis Inc. | 13,399 | 526 | |
| * | Achillion Pharmaceuticals Inc. | 70,334 | 520 |
| Kindred Healthcare Inc. | 49,325 | 518 | |
| * | Surgical Care Affiliates Inc. | 12,765 | 517 |
| * | Halozyme Therapeutics Inc. | 63,261 | 514 |
| * | PRA Health Sciences Inc. | 11,748 | 507 |
| * | Repligen Corp. | 19,664 | 506 |
| Meridian Bioscience Inc. | 24,820 | 500 | |
| * | FibroGen Inc. | 28,683 | 497 |
| * | Exelixis Inc. | 134,654 | 490 |
| * | Merit Medical Systems Inc. | 26,056 | 490 |
| * | Luminex Corp. | 25,619 | 479 |
| Quality Systems Inc. | 29,950 | 466 | |
| * | HealthEquity Inc. | 21,676 | 451 |
| * | Intra-Cellular Therapies Inc. Class A | 16,023 | 451 |
| * | Insmed Inc. | 36,615 | 448 |
| * | Zeltiq Aesthetics Inc. | 19,381 | 446 |
| * | Five Prime Therapeutics Inc. | 13,623 | 444 |
| * | Orthofix International NV | 11,245 | 432 |
| * | Amicus Therapeutics Inc. | 69,604 | 429 |
| * | PharMerica Corp. | 18,154 | 420 |
| * | Merrimack Pharmaceuticals Inc. | 69,577 | 403 |
| * | Celldex Therapeutics Inc. | 58,793 | 400 |
| * | Lannett Co. Inc. | 15,875 | 399 |
| * | Anika Therapeutics Inc. | 8,690 | 392 |
| National HealthCare Corp. | 6,073 | 389 | |
| * | Providence Service Corp. | 8,089 | 384 |
| * | Endologix Inc. | 44,217 | 381 |
16
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Triple-S Management Corp. Class B | 14,465 | 379 |
| Computer Programs & Systems Inc. | 6,690 | 379 | |
| US Physical Therapy Inc. | 7,474 | 379 | |
| * | ImmunoGen Inc. | 51,712 | 376 |
| * | Sarepta Therapeutics Inc. | 26,961 | 370 |
| * | Acceleron Pharma Inc. | 14,414 | 365 |
| * | Spectranetics Corp. | 25,172 | 357 |
| * | Dynavax Technologies Corp. | 22,035 | 355 |
| * | Cempra Inc. | 20,695 | 348 |
| *,^ | Eagle Pharmaceuticals Inc. | 5,168 | 328 |
| * | Inogen Inc. | 9,483 | 324 |
| * | HeartWare International Inc. | 10,139 | 324 |
| * | Pacific Biosciences of California Inc. | 38,626 | 320 |
| * | LDR Holding Corp. | 15,301 | 318 |
| Atrion Corp. | 841 | 316 | |
| * | Vascular Solutions Inc. | 10,435 | 314 |
| * | INC Research Holdings Inc. Class A | 7,796 | 309 |
| * | Momenta Pharmaceuticals Inc. | 36,541 | 307 |
| * | Clovis Oncology Inc. | 16,357 | 305 |
| * | Capital Senior Living Corp. | 17,697 | 302 |
| * | MacroGenics Inc. | 18,889 | 302 |
| * | Retrophin Inc. | 21,028 | 299 |
| PDL BioPharma Inc. | 99,130 | 298 | |
| * | SciClone Pharmaceuticals Inc. | 30,006 | 298 |
| *,^ | Rockwell Medical Inc. | 30,314 | 291 |
| Phibro Animal Health Corp. Class A | 10,408 | 288 | |
| * | Exact Sciences Corp. | 56,322 | 283 |
| * | LHC Group Inc. | 7,832 | 279 |
| * | Cerus Corp. | 56,717 | 278 |
| * | AtriCure Inc. | 16,665 | 276 |
| * | Enanta Pharmaceuticals Inc. | 9,685 | 275 |
| *,^ | Inovio Pharmaceuticals Inc. | 43,506 | 274 |
| *,^ | Heron Therapeutics Inc. | 17,242 | 274 |
| * | Genomic Health Inc. | 10,647 | 271 |
| * | Sage Therapeutics Inc. | 9,162 | 269 |
| * | Quidel Corp. | 17,146 | 269 |
| * | Alder Biopharmaceuticals Inc. | 14,019 | 266 |
| * | NewLink Genetics Corp. | 12,541 | 264 |
| * | Theravance Biopharma Inc. | 16,759 | 263 |
| * | Supernus Pharmaceuticals Inc. | 20,721 | 260 |
| *,^ | Relypsa Inc. | 19,574 | 260 |
| *,^ | Insys Therapeutics Inc. | 14,268 | 249 |
| *,^ | Keryx Biopharmaceuticals Inc. | 60,287 | 242 |
| * | Accuray Inc. | 47,778 | 241 |
| * | Lexicon Pharmaceuticals Inc. | 25,185 | 235 |
| Invacare Corp. | 19,419 | 235 | |
| * | Cross Country Healthcare Inc. | 18,885 | 234 |
| * | Geron Corp. | 95,941 | 231 |
| *,^ | Omeros Corp. | 22,082 | 224 |
| * | OraSure Technologies Inc. | 33,341 | 224 |
| * | Albany Molecular Research Inc. | 15,113 | 223 |
| * | Sangamo BioSciences Inc. | 42,361 | 222 |
| * | Arena Pharmaceuticals Inc. | 147,350 | 220 |
| * | Adeptus Health Inc. Class A | 3,810 | 217 |
| * | CorVel Corp. | 5,191 | 215 |
| * | Dermira Inc. | 9,109 | 210 |
| * | NeoGenomics Inc. | 32,728 | 208 |
| * | Epizyme Inc. | 23,684 | 208 |
| * | Array BioPharma Inc. | 82,609 | 207 |
| * | Aerie Pharmaceuticals Inc. | 12,078 | 203 |
| * | BioTelemetry Inc. | 16,549 | 200 |
| Universal American Corp. | 29,643 | 198 | |
| * | Coherus Biosciences Inc. | 13,834 | 196 |
| * | Amphastar Pharmaceuticals Inc. | 18,624 | 196 |
17
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Vanda Pharmaceuticals Inc. | 24,825 | 195 |
| * | Sucampo Pharmaceuticals Inc. Class A | 14,581 | 192 |
| * | Healthways Inc. | 18,153 | 191 |
| * | Revance Therapeutics Inc. | 10,718 | 190 |
| * | Sagent Pharmaceuticals Inc. | 13,159 | 187 |
| * | Xencor Inc. | 16,844 | 185 |
| *,^ | Synergy Pharmaceuticals Inc. | 58,697 | 183 |
| * | Intersect ENT Inc. | 9,977 | 180 |
| * | Progenics Pharmaceuticals Inc. | 40,727 | 180 |
| * | Aralez Pharmaceuticals Inc. | 31,604 | 179 |
| * | Spectrum Pharmaceuticals Inc. | 39,172 | 177 |
| *,^ | Accelerate Diagnostics Inc. | 14,509 | 175 |
| * | Infinity Pharmaceuticals Inc. | 29,917 | 173 |
| * | TG Therapeutics Inc. | 20,496 | 171 |
| * | Spark Therapeutics Inc. | 5,193 | 165 |
| Landauer Inc. | 5,658 | 164 | |
| * | Raptor Pharmaceutical Corp. | 47,176 | 163 |
| * | Atara Biotherapeutics Inc. | 9,895 | 163 |
| * | PTC Therapeutics Inc. | 20,222 | 161 |
| * | AngioDynamics Inc. | 14,764 | 160 |
| * | Almost Family Inc. | 4,225 | 160 |
| CryoLife Inc. | 14,737 | 158 | |
| * | Press Ganey Holdings Inc. | 5,974 | 158 |
| * | Trevena Inc. | 18,818 | 158 |
| * | Cardiovascular Systems Inc. | 18,774 | 157 |
| * | Zogenix Inc. | 14,572 | 154 |
| * | XenoPort Inc. | 34,309 | 153 |
| * | ANI Pharmaceuticals Inc. | 4,614 | 153 |
| *,^ | MannKind Corp. | 144,073 | 148 |
| * | Lion Biotechnologies Inc. | 26,508 | 148 |
| * | Teligent Inc. | 24,633 | 144 |
| * | SurModics Inc. | 7,712 | 144 |
| * | Mirati Therapeutics Inc. | 6,818 | 144 |
| * | STAAR Surgical Co. | 22,523 | 140 |
| * | Corcept Therapeutics Inc. | 36,578 | 140 |
| * | Akebia Therapeutics Inc. | 18,862 | 138 |
| *,^ | Arrowhead Research Corp. | 35,132 | 137 |
| * | Otonomy Inc. | 10,810 | 137 |
| Utah Medical Products Inc. | 2,307 | 137 | |
| * | Immunomedics Inc. | 57,263 | 129 |
| * | Cytokinetics Inc. | 20,314 | 128 |
| * | La Jolla Pharmaceutical Co. | 8,207 | 126 |
| * | Ardelyx Inc. | 13,063 | 126 |
| * | Penumbra Inc. | 2,695 | 126 |
| * | Agenus Inc. | 44,920 | 124 |
| * | Civitas Solutions Inc. | 6,715 | 124 |
| * | Rigel Pharmaceuticals Inc. | 54,399 | 123 |
| * | GenMark Diagnostics Inc. | 24,867 | 123 |
| * | RTI Surgical Inc. | 35,136 | 123 |
| * | Chimerix Inc. | 26,557 | 122 |
| * | Surgery Partners Inc. | 9,252 | 121 |
| *,^ | Organovo Holdings Inc. | 53,570 | 121 |
| * | K2M Group Holdings Inc. | 10,101 | 120 |
| * | Concert Pharmaceuticals Inc. | 8,939 | 115 |
| * | Esperion Therapeutics Inc. | 7,659 | 114 |
| *,^ | Seres Therapeutics Inc. | 4,917 | 114 |
| * | Oxford Immunotec Global plc | 11,688 | 112 |
| * | RadNet Inc. | 19,655 | 112 |
| * | Paratek Pharmaceuticals Inc. | 7,318 | 112 |
| * | Aimmune Therapeutics Inc. | 6,934 | 111 |
| * | Axovant Sciences Ltd. | 8,798 | 111 |
| * | Regulus Therapeutics Inc. | 16,882 | 111 |
| * | Exactech Inc. | 5,911 | 110 |
| * | Fluidigm Corp. | 16,595 | 110 |
18
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Heska Corp. | 3,304 | 108 |
| * | BioDelivery Sciences International Inc. | 27,405 | 106 |
| LeMaitre Vascular Inc. | 7,186 | 106 | |
| * | Sequenom Inc. | 71,277 | 105 |
| *,^ | Vital Therapies Inc. | 12,498 | 104 |
| *,^ | Cellular Biomedicine Group Inc. | 5,950 | 103 |
| * | Foundation Medicine Inc. | 6,890 | 102 |
| * | BioSpecifics Technologies Corp. | 2,842 | 101 |
| *,^ | AAC Holdings Inc. | 4,939 | 101 |
| * | Loxo Oncology Inc. | 5,359 | 101 |
| * | CytRx Corp. | 37,769 | 100 |
| * | Sorrento Therapeutics Inc. | 16,312 | 99 |
| * | NanoString Technologies Inc. | 8,130 | 98 |
| * | Advaxis Inc. | 17,649 | 96 |
| * | OncoMed Pharmaceuticals Inc. | 10,017 | 95 |
| * | Blueprint Medicines Corp. | 5,380 | 93 |
| * | Adamas Pharmaceuticals Inc. | 7,188 | 92 |
| * | Addus HomeCare Corp. | 4,049 | 92 |
| * | Idera Pharmaceuticals Inc. | 51,051 | 91 |
| * | Tandem Diabetes Care Inc. | 10,119 | 90 |
| National Research Corp. Class A | 5,915 | 89 | |
| * | Galena Biopharma Inc. | 106,669 | 89 |
| * | Versartis Inc. | 13,450 | 88 |
| * | Curis Inc. | 63,948 | 88 |
| * | Cutera Inc. | 7,360 | 87 |
| *,^ | BioScrip Inc. | 40,078 | 87 |
| * | Tetraphase Pharmaceuticals Inc. | 21,259 | 86 |
| *,^ | Navidea Biopharmaceuticals Inc. | 86,769 | 86 |
| *,^ | Trovagene Inc. | 16,670 | 86 |
| * | Antares Pharma Inc. | 88,845 | 85 |
| *,^ | TransEnterix Inc. | 26,244 | 84 |
| * | BioCryst Pharmaceuticals Inc. | 42,173 | 84 |
| * | Aegerion Pharmaceuticals Inc. | 14,613 | 82 |
| * | Foamix Pharmaceuticals Ltd. | 13,871 | 79 |
| * | Collegium Pharmaceutical Inc. | 4,525 | 79 |
| * | Karyopharm Therapeutics Inc. | 13,342 | 79 |
| * | Ignyta Inc. | 12,306 | 79 |
| * | CTI BioPharma Corp. | 144,314 | 78 |
| * | OvaScience Inc. | 14,086 | 78 |
| * | Flexion Therapeutics Inc. | 8,224 | 78 |
| ^ | Osiris Therapeutics Inc. | 10,742 | 77 |
| *,^ | BioTime Inc. | 32,781 | 75 |
| *,^ | Teladoc Inc. | 5,367 | 74 |
| * | InVivo Therapeutics Holdings Corp. | 15,767 | 74 |
| * | Applied Genetic Technologies Corp. | 5,564 | 74 |
| * | Durect Corp. | 64,814 | 73 |
| * | Aduro Biotech Inc. | 5,025 | 73 |
| * | Vitae Pharmaceuticals Inc. | 7,720 | 70 |
| * | Anthera Pharmaceuticals Inc. | 22,693 | 69 |
| * | Ocular Therapeutix Inc. | 8,695 | 68 |
| * | Immune Design Corp. | 6,835 | 68 |
| * | Pfenex Inc. | 9,329 | 67 |
| *,^ | Unilife Corp. | 78,770 | 66 |
| * | Endocyte Inc. | 21,689 | 65 |
| * | SeaSpine Holdings Corp. | 5,170 | 65 |
| * | Glaukos Corp. | 3,932 | 65 |
| * | VIVUS Inc. | 61,617 | 64 |
| * | Castlight Health Inc. Class B | 18,635 | 62 |
| * | Five Star Quality Care Inc. | 26,103 | 62 |
| * | Zafgen Inc. | 9,864 | 62 |
| * | Aclaris Therapeutics Inc. | 3,338 | 61 |
| * | Global Blood Therapeutics Inc. | 3,932 | 59 |
| * | Cara Therapeutics Inc. | 11,820 | 58 |
| * | Imprivata Inc. | 5,021 | 58 |
19
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | CytomX Therapeutics Inc. | 4,491 | 58 |
| * | Novocure Ltd. | 4,946 | 58 |
| * | Avalanche Biotechnologies Inc. | 11,189 | 57 |
| * | Harvard Bioscience Inc. | 20,371 | 56 |
| * | ChemoCentryx Inc. | 16,937 | 56 |
| * | Peregrine Pharmaceuticals Inc. | 135,253 | 54 |
| * | Aratana Therapeutics Inc. | 16,462 | 54 |
| * | Pernix Therapeutics Holdings Inc. | 24,403 | 54 |
| * | Oncothyreon Inc. | 54,196 | 54 |
| * | ConforMIS Inc. | 5,867 | 53 |
| *,^ | Nobilis Health Corp. | 18,419 | 52 |
| * | Medgenics Inc. | 12,556 | 52 |
| * | Veracyte Inc. | 7,814 | 52 |
| * | Entellus Medical Inc. | 3,197 | 51 |
| * | REGENXBIO Inc. | 4,211 | 51 |
| * | T2 Biosystems Inc. | 6,270 | 50 |
| * | Northwest Biotherapeutics Inc. | 26,686 | 49 |
| * | Genocea Biosciences Inc. | 12,509 | 49 |
| * | Catalyst Pharmaceuticals Inc. | 43,513 | 46 |
| * | Bellicum Pharmaceuticals Inc. | 5,028 | 45 |
| * | Dicerna Pharmaceuticals Inc. | 8,766 | 43 |
| * | XOMA Corp. | 57,061 | 43 |
| * | Orexigen Therapeutics Inc. | 60,633 | 43 |
| * | Stemline Therapeutics Inc. | 8,942 | 43 |
| * | Chiasma Inc. | 4,143 | 41 |
| * | Alimera Sciences Inc. | 18,923 | 41 |
| * | Genesis Healthcare Inc. | 21,783 | 39 |
| * | Natera Inc. | 5,714 | 39 |
| * | Agile Therapeutics Inc. | 6,619 | 38 |
| * | Invitae Corp. | 4,254 | 37 |
| * | Assembly Biosciences Inc. | 7,966 | 36 |
| *,^ | Tokai Pharmaceuticals Inc. | 5,607 | 36 |
| * | Calithera Biosciences Inc. | 5,985 | 36 |
| * | Edge Therapeutics Inc. | 4,926 | 35 |
| * | Fibrocell Science Inc. | 15,491 | 35 |
| *,^ | Second Sight Medical Products Inc. | 6,706 | 34 |
| * | Sientra Inc. | 4,574 | 32 |
| * | Voyager Therapeutics Inc. | 3,339 | 32 |
| * | Neos Therapeutics Inc. | 3,158 | 31 |
| *,^ | CorMedix Inc. | 19,073 | 30 |
| * | Affimed NV | 8,839 | 28 |
| * | iRadimed Corp. | 1,576 | 28 |
| * | Asterias Biotherapeutics Inc. | 6,520 | 28 |
| * | Cidara Therapeutics Inc. | 2,744 | 28 |
| * | Corium International Inc. | 5,754 | 26 |
| * | MyoKardia Inc. | 3,674 | 26 |
| * | NantKwest Inc. | 3,770 | 26 |
| * | Hanger Inc. | 10,320 | 26 |
| * | Proteon Therapeutics Inc. | 4,557 | 25 |
| * | Flex Pharma Inc. | 3,023 | 22 |
| * | Dimension Therapeutics Inc. | 3,243 | 22 |
| * | Verastem Inc. | 18,616 | 21 |
| * | vTv Therapeutics Inc. Class A | 3,500 | 20 |
| * | Alliance HealthCare Services Inc. | 2,748 | 20 |
| * | Invuity Inc. | 2,621 | 19 |
| * | XBiotech Inc. | 2,239 | 17 |
| * | EndoChoice Holdings Inc. | 3,715 | 17 |
| * | Corindus Vascular Robotics Inc. | 12,078 | 16 |
| * | Lantheus Holdings Inc. | 6,997 | 15 |
| * | aTyr Pharma Inc. | 3,171 | 14 |
| * | Abeona Therapeutics Inc. | 5,841 | 13 |
| * | Nivalis Therapeutics Inc. | 2,836 | 13 |
| * | Synta Pharmaceuticals Corp. | 54,133 | 12 |
| * | Zynerba Pharmaceuticals Inc. | 1,934 | 12 |
20
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Catabasis Pharmaceuticals Inc. | 2,557 | 11 |
| * | Tobira Therapeutics Inc. | 1,230 | 9 |
| * | Threshold Pharmaceuticals Inc. | 38,281 | 9 |
| *,^ | Oncocyte Corp. | 1,626 | 6 |
| * | Carbylan Therapeutics Inc. | 6,607 | 4 |
| 124,226 | |||
| Materials & Processing (5.9%) | |||
| * | Berry Plastics Group Inc. | 70,938 | 2,208 |
| Sensient Technologies Corp. | 27,798 | 1,598 | |
| Olin Corp. | 98,488 | 1,493 | |
| PolyOne Corp. | 53,096 | 1,429 | |
| Belden Inc. | 25,424 | 1,393 | |
| * | Louisiana-Pacific Corp. | 84,878 | 1,349 |
| Balchem Corp. | 18,574 | 1,175 | |
| HB Fuller Co. | 29,915 | 1,151 | |
| * | Rexnord Corp. | 60,491 | 1,097 |
| * | Beacon Roofing Supply Inc. | 29,679 | 1,071 |
| Minerals Technologies Inc. | 20,656 | 1,050 | |
| * | Masonite International Corp. | 18,037 | 1,037 |
| Commercial Metals Co. | 68,685 | 1,009 | |
| * | Chemtura Corp. | 39,880 | 1,006 |
| Universal Forest Products Inc. | 11,914 | 914 | |
| * | RBC Bearings Inc. | 13,988 | 891 |
| Mueller Industries Inc. | 33,858 | 888 | |
| Worthington Industries Inc. | 28,500 | 887 | |
| Simpson Manufacturing Co. Inc. | 25,188 | 855 | |
| Axiall Corp. | 41,593 | 828 | |
| Carpenter Technology Corp. | 27,844 | 828 | |
| * | Trex Co. Inc. | 19,197 | 827 |
| Mueller Water Products Inc. Class A | 95,252 | 820 | |
| Kaiser Aluminum Corp. | 10,162 | 779 | |
| * | Headwaters Inc. | 43,724 | 770 |
| * | MRC Global Inc. | 61,335 | 733 |
| Apogee Enterprises Inc. | 17,339 | 692 | |
| Innospec Inc. | 14,476 | 628 | |
| Interface Inc. Class A | 39,241 | 624 | |
| Comfort Systems USA Inc. | 22,165 | 622 | |
| Quaker Chemical Corp. | 7,910 | 616 | |
| US Silica Holdings Inc. | 31,840 | 611 | |
| AAON Inc. | 24,564 | 609 | |
| Neenah Paper Inc. | 9,991 | 605 | |
| * | Stillwater Mining Co. | 71,857 | 603 |
| Stepan Co. | 11,583 | 575 | |
| Hecla Mining Co. | 221,226 | 573 | |
| * | Cabot Microelectronics Corp. | 14,734 | 567 |
| Schweitzer-Mauduit International Inc. | 18,222 | 551 | |
| KapStone Paper and Packaging Corp. | 50,587 | 518 | |
| Greif Inc. Class A | 18,455 | 489 | |
| PH Glatfelter Co. | 25,808 | 474 | |
| * | US Concrete Inc. | 8,715 | 468 |
| * | Gibraltar Industries Inc. | 18,509 | 458 |
| Calgon Carbon Corp. | 31,165 | 437 | |
| A Schulman Inc. | 17,624 | 435 | |
| * | Clearwater Paper Corp. | 10,680 | 434 |
| * | Ferro Corp. | 43,539 | 432 |
| * | Boise Cascade Co. | 23,516 | 394 |
| Advanced Drainage Systems Inc. | 20,239 | 393 | |
| * | Univar Inc. | 24,216 | 381 |
| Aceto Corp. | 17,434 | 374 | |
| Deltic Timber Corp. | 6,597 | 374 | |
| * | Summit Materials Inc. Class A | 19,158 | 350 |
| Quanex Building Products Corp. | 20,167 | 347 | |
| * | BMC Stock Holdings Inc. | 22,623 | 345 |
| Innophos Holdings Inc. | 11,850 | 343 | |
21
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Patrick Industries Inc. | 7,482 | 331 |
| * | Continental Building Products Inc. | 18,984 | 321 |
| Materion Corp. | 12,112 | 316 | |
| * | Kraton Performance Polymers Inc. | 18,370 | 315 |
| * | Coeur Mining Inc. | 81,097 | 313 |
| Ferroglobe plc | 38,974 | 306 | |
| * | AK Steel Holding Corp. | 104,994 | 300 |
| Insteel Industries Inc. | 11,107 | 291 | |
| * | PGT Inc. | 28,893 | 286 |
| Global Brass & Copper Holdings Inc. | 12,883 | 284 | |
| Griffon Corp. | 18,952 | 282 | |
| * | Installed Building Products Inc. | 12,083 | 270 |
| * | Builders FirstSource Inc. | 30,862 | 245 |
| * | Nortek Inc. | 5,708 | 235 |
| Schnitzer Steel Industries Inc. | 16,057 | 235 | |
| Haynes International Inc. | 7,507 | 231 | |
| American Vanguard Corp. | 17,079 | 215 | |
| * | Century Aluminum Co. | 29,867 | 214 |
| * | Koppers Holdings Inc. | 11,950 | 210 |
| NN Inc. | 16,332 | 207 | |
| Hawkins Inc. | 6,396 | 205 | |
| Tronox Ltd. Class A | 39,445 | 204 | |
| * | Unifi Inc. | 9,057 | 203 |
| * | Trinseo SA | 6,737 | 201 |
| Tredegar Corp. | 14,599 | 201 | |
| Chase Corp. | 4,080 | 192 | |
| *,^ | Cliffs Natural Resources Inc. | 88,678 | 192 |
| TimkenSteel Corp. | 24,248 | 187 | |
| AEP Industries Inc. | 2,363 | 186 | |
| FutureFuel Corp. | 14,463 | 185 | |
| * | NCI Building Systems Inc. | 16,635 | 182 |
| Rayonier Advanced Materials Inc. | 23,748 | 177 | |
| * | Multi Packaging Solutions International Ltd. | 11,113 | 171 |
| Myers Industries Inc. | 14,162 | 170 | |
| * | Landec Corp. | 15,959 | 161 |
| Culp Inc. | 6,015 | 153 | |
| * | Veritiv Corp. | 4,761 | 152 |
| * | OMNOVA Solutions Inc. | 27,241 | 143 |
| LSI Industries Inc. | 12,526 | 135 | |
| * | Ply Gem Holdings Inc. | 12,878 | 131 |
| KMG Chemicals Inc. | 5,988 | 128 | |
| Oil-Dri Corp. of America | 2,803 | 103 | |
| * | Senomyx Inc. | 24,680 | 82 |
| LB Foster Co. Class A | 5,877 | 81 | |
| Kronos Worldwide Inc. | 12,100 | 77 | |
| * | LSB Industries Inc. | 11,313 | 66 |
| United States Lime & Minerals Inc. | 1,188 | 63 | |
| * | Energy Fuels Inc. | 23,989 | 59 |
| * | Northwest Pipe Co. | 5,731 | 59 |
| Omega Flex Inc. | 1,789 | 57 | |
| Olympic Steel Inc. | 5,246 | 56 | |
| * | Lawson Products Inc. | 3,291 | 54 |
| * | Core Molding Technologies Inc. | 4,244 | 48 |
| *,^ | Uranium Energy Corp. | 54,887 | 47 |
| * | Intrepid Potash Inc. | 31,482 | 31 |
| * | Handy & Harman Ltd. | 1,430 | 29 |
| Rentech Inc. | 13,272 | 27 | |
| * | Ryerson Holding Corp. | 5,959 | 22 |
| Valhi Inc. | 10,162 | 13 | |
| * | NL Industries Inc. | 2,916 | 7 |
| 53,455 | |||
| Other (0.0%)2 | |||
| * | Dyax Corp. CVR Exp. 12/31/2019 | 83,094 | 92 |
| * | Leap Wireless International Inc CVR | 22,127 | 56 |
22
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Chelsea Therapeutics International Ltd. CVR Exp. 12/31/2016 | 31,094 | 3 |
| * | Cubist Pharmaceuticals, Inc. CVR | 13,664 | 2 |
| * | Omthera Pharmaceuticals Inc. CVR | 2,012 | 1 |
| * | Durata Therapeutics Inc CVR Exp. 12/31/2018 | 680 | 1 |
| * | Clinical Data Contingent Value Rights | 913 | — |
| * | Gerber Scientific Inc. CVR | 2,358 | — |
| * | Magnum Hunter Resources Corp. Warrants Exp. 4/15/2016 | 6,541 | — |
| 155 | |||
| Producer Durables (12.3%) | |||
| Curtiss-Wright Corp. | 28,261 | 1,995 | |
| MAXIMUS Inc. | 39,150 | 1,925 | |
| * | Teledyne Technologies Inc. | 21,012 | 1,790 |
| Woodward Inc. | 36,811 | 1,728 | |
| EMCOR Group Inc. | 37,274 | 1,710 | |
| Deluxe Corp. | 29,701 | 1,705 | |
| Littelfuse Inc. | 13,441 | 1,527 | |
| Convergys Corp. | 58,831 | 1,517 | |
| Healthcare Services Group Inc. | 42,539 | 1,509 | |
| CLARCOR Inc. | 29,874 | 1,438 | |
| * | Generac Holdings Inc. | 41,227 | 1,432 |
| EnerSys | 26,494 | 1,361 | |
| Allegiant Travel Co. Class A | 7,996 | 1,310 | |
| * | Hawaiian Holdings Inc. | 28,368 | 1,220 |
| * | Dycom Industries Inc. | 20,340 | 1,159 |
| Barnes Group Inc. | 32,542 | 1,117 | |
| * | Electronics For Imaging Inc. | 27,981 | 1,108 |
| CEB Inc. | 19,972 | 1,084 | |
| *,^ | XPO Logistics Inc. | 42,685 | 1,057 |
| Hillenbrand Inc. | 37,287 | 1,049 | |
| ABM Industries Inc. | 33,203 | 1,043 | |
| Matson Inc. | 25,818 | 1,035 | |
| HEICO Corp. Class A | 23,658 | 1,034 | |
| * | WageWorks Inc. | 21,232 | 1,023 |
| * | On Assignment Inc. | 30,897 | 1,020 |
| * | Esterline Technologies Corp. | 17,644 | 988 |
| Tetra Tech Inc. | 35,844 | 987 | |
| Granite Construction Inc. | 23,505 | 974 | |
| * | Moog Inc. Class A | 21,794 | 941 |
| * | ExlService Holdings Inc. | 19,888 | 937 |
| UniFirst Corp. | 8,829 | 931 | |
| Herman Miller Inc. | 35,401 | 924 | |
| Applied Industrial Technologies Inc. | 23,806 | 917 | |
| John Bean Technologies Corp. | 17,416 | 916 | |
| * | Itron Inc. | 22,904 | 913 |
| * | Proto Labs Inc. | 13,926 | 906 |
| Knight Transportation Inc. | 37,164 | 900 | |
| HNI Corp. | 26,530 | 897 | |
| * | Swift Transportation Co. | 52,637 | 897 |
| * | Darling Ingredients Inc. | 98,882 | 891 |
| * | KLX Inc. | 31,531 | 883 |
| Watts Water Technologies Inc. Class A | 16,787 | 866 | |
| Franklin Electric Co. Inc. | 28,501 | 851 | |
| Brink's Co. | 29,084 | 851 | |
| Korn/Ferry International | 29,897 | 850 | |
| Actuant Corp. Class A | 35,350 | 828 | |
| * | FTI Consulting Inc. | 24,774 | 815 |
| * | Hub Group Inc. Class A | 21,414 | 791 |
| Mobile Mini Inc. | 27,447 | 789 | |
| G&K Services Inc. Class A | 11,874 | 787 | |
| AZZ Inc. | 15,432 | 779 | |
| * | Huron Consulting Group Inc. | 13,748 | 763 |
| MSA Safety Inc. | 17,476 | 763 | |
| Forward Air Corp. | 18,552 | 755 | |
| * | Advisory Board Co. | 25,328 | 747 |
23
| Vanguard® Russell 2000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Aircastle Ltd. | 37,159 | 745 |
| Brady Corp. Class A | 28,348 | 741 |
| ^ Nordic American Tankers Ltd. | 53,293 | 737 |
| Exponent Inc. | 15,490 | 723 |
| * Advanced Energy Industries Inc. | 24,191 | 722 |
| Kaman Corp. | 16,199 | 712 |
| * OSI Systems Inc. | 11,768 | 710 |
| Werner Enterprises Inc. | 26,592 | 706 |
| * Sykes Enterprises Inc. | 23,116 | 704 |
| EnPro Industries Inc. | 13,538 | 702 |
| Essendant Inc. | 22,885 | 674 |
| * MasTec Inc. | 39,597 | 672 |
| HEICO Corp. | 11,451 | 659 |
| Scorpio Tankers Inc. | 105,839 | 658 |
| Albany International Corp. | 16,866 | 618 |
| * TASER International Inc. | 31,853 | 617 |
| Steelcase Inc. Class A | 49,271 | 615 |
| * Aerojet Rocketdyne Holdings Inc. | 37,196 | 578 |
| * TrueBlue Inc. | 24,941 | 572 |
| Badger Meter Inc. | 8,589 | 564 |
| Briggs & Stratton Corp. | 26,433 | 562 |
| SkyWest Inc. | 30,967 | 559 |
| ESCO Technologies Inc. | 15,612 | 557 |
| Knoll Inc. | 29,042 | 555 |
| Heartland Express Inc. | 30,086 | 554 |
| * Atlas Air Worldwide Holdings Inc. | 14,908 | 540 |
| Standex International Corp. | 7,610 | 536 |
| Tennant Co. | 10,924 | 508 |
| Astec Industries Inc. | 11,379 | 494 |
| Primoris Services Corp. | 23,054 | 492 |
| MTS Systems Corp. | 8,947 | 492 |
| ^ Lindsay Corp. | 6,691 | 484 |
| * ACCO Brands Corp. | 65,488 | 479 |
| US Ecology Inc. | 12,824 | 474 |
| * Wabash National Corp. | 40,381 | 474 |
| * Wesco Aircraft Holdings Inc. | 36,778 | 470 |
| * Virgin America Inc. | 14,972 | 467 |
| ^ Ship Finance International Ltd. | 35,640 | 464 |
| Cubic Corp. | 13,035 | 458 |
| ^ Insperity Inc. | 9,601 | 456 |
| * Echo Global Logistics Inc. | 17,738 | 453 |
| Encore Wire Corp. | 12,399 | 448 |
| AAR Corp. | 21,045 | 448 |
| Federal Signal Corp. | 37,449 | 444 |
| * TriMas Corp. | 26,851 | 444 |
| * Navigant Consulting Inc. | 28,721 | 436 |
| CIRCOR International Inc. | 10,264 | 411 |
| Sun Hydraulics Corp. | 13,668 | 407 |
| * Aegion Corp. Class A | 22,075 | 400 |
| Greenbrier Cos. Inc. | 15,539 | 395 |
| * Saia Inc. | 14,983 | 393 |
| * ICF International Inc. | 11,493 | 388 |
| Altra Industrial Motion Corp. | 15,567 | 378 |
| Multi-Color Corp. | 7,539 | 367 |
| * Rush Enterprises Inc. Class A | 21,104 | 366 |
| * Air Transport Services Group Inc. | 31,670 | 366 |
| * Chart Industries Inc. | 17,920 | 361 |
| * Astronics Corp. | 11,246 | 358 |
| McGrath RentCorp | 14,391 | 354 |
| Raven Industries Inc. | 22,785 | 348 |
| Hyster-Yale Materials Handling Inc. | 5,646 | 334 |
| * FARO Technologies Inc. | 10,307 | 330 |
| * Thermon Group Holdings Inc. | 19,046 | 323 |
| * RPX Corp. | 32,505 | 322 |
24
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Team Inc. | 12,521 | 321 |
| Bristow Group Inc. | 21,063 | 320 | |
| DHT Holdings Inc. | 54,446 | 317 | |
| * | TriNet Group Inc. | 24,175 | 316 |
| * | CBIZ Inc. | 29,556 | 313 |
| Resources Connection Inc. | 22,364 | 310 | |
| Kelly Services Inc. Class A | 17,849 | 308 | |
| ArcBest Corp. | 15,712 | 307 | |
| Ennis Inc. | 15,541 | 307 | |
| Alamo Group Inc. | 5,844 | 303 | |
| * | Tutor Perini Corp. | 22,039 | 294 |
| * | Lydall Inc. | 10,014 | 290 |
| * | Aerovironment Inc. | 11,628 | 289 |
| Gorman-Rupp Co. | 11,343 | 287 | |
| * | Blount International Inc. | 29,185 | 283 |
| * | MYR Group Inc. | 12,285 | 276 |
| * | Modine Manufacturing Co. | 29,015 | 275 |
| * | Paylocity Holding Corp. | 9,223 | 273 |
| * | PHH Corp. | 29,675 | 269 |
| TeleTech Holdings Inc. | 9,530 | 264 | |
| Douglas Dynamics Inc. | 13,417 | 262 | |
| * | Navistar International Corp. | 31,005 | 261 |
| TAL International Group Inc. | 20,256 | 258 | |
| * | SP Plus Corp. | 10,175 | 254 |
| Heidrick & Struggles International Inc. | 10,761 | 253 | |
| *,^ | Frontline Ltd. | 27,936 | 247 |
| Kadant Inc. | 6,464 | 247 | |
| Argan Inc. | 7,639 | 247 | |
| General Cable Corp. | 28,695 | 247 | |
| H&E Equipment Services Inc. | 18,347 | 242 | |
| Marten Transport Ltd. | 14,471 | 237 | |
| Kforce Inc. | 14,662 | 234 | |
| ^ | GasLog Ltd. | 24,274 | 231 |
| Teekay Tankers Ltd. Class A | 55,848 | 230 | |
| Kimball International Inc. Class B | 20,921 | 220 | |
| *,^ | Plug Power Inc. | 105,904 | 220 |
| Quad/Graphics Inc. | 17,034 | 216 | |
| American Railcar Industries Inc. | 5,142 | 212 | |
| * | Mistras Group Inc. | 9,849 | 211 |
| * | DHI Group Inc. | 27,034 | 210 |
| * | Roadrunner Transportation Systems Inc. | 16,696 | 195 |
| Hackett Group Inc. | 13,966 | 194 | |
| Forrester Research Inc. | 6,133 | 191 | |
| * | GP Strategies Corp. | 7,716 | 190 |
| Harsco Corp. | 48,031 | 182 | |
| Columbus McKinnon Corp. | 11,796 | 163 | |
| * | YRC Worldwide Inc. | 20,121 | 162 |
| Tidewater Inc. | 27,846 | 160 | |
| Mesa Laboratories Inc. | 1,776 | 160 | |
| * | Dorian LPG Ltd. | 14,696 | 158 |
| * | Monster Worldwide Inc. | 52,670 | 157 |
| * | Covenant Transportation Group Inc. Class A | 7,047 | 156 |
| VSE Corp. | 2,477 | 155 | |
| ^ | Textainer Group Holdings Ltd. | 12,771 | 154 |
| Barrett Business Services Inc. | 4,367 | 153 | |
| * | InnerWorkings Inc. | 21,923 | 151 |
| Park-Ohio Holdings Corp. | 5,114 | 150 | |
| * | Engility Holdings Inc. | 10,353 | 150 |
| Powell Industries Inc. | 5,584 | 148 | |
| * | ServiceSource International Inc. | 35,159 | 143 |
| Celadon Group Inc. | 15,795 | 142 | |
| * | PHI Inc. | 7,759 | 142 |
| * | Casella Waste Systems Inc. Class A | 23,317 | 138 |
| Miller Industries Inc. | 6,806 | 132 | |
25
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Titan International Inc. | 24,820 | 126 | |
| * | Milacron Holdings Corp. | 9,134 | 125 |
| NACCO Industries Inc. Class A | 2,499 | 123 | |
| * | Furmanite Corp. | 21,732 | 121 |
| * | Great Lakes Dredge & Dock Corp. | 34,693 | 118 |
| * | Vectrus Inc. | 6,072 | 117 |
| * | CRA International Inc. | 5,696 | 112 |
| Graham Corp. | 5,974 | 110 | |
| CECO Environmental Corp. | 17,433 | 108 | |
| FreightCar America Inc. | 7,232 | 108 | |
| * | Ascent Capital Group Inc. Class A | 7,642 | 106 |
| Hurco Cos. Inc. | 4,070 | 106 | |
| * | Control4 Corp. | 12,394 | 102 |
| * | Titan Machinery Inc. | 10,475 | 100 |
| * | DXP Enterprises Inc. | 7,336 | 100 |
| Electro Rent Corp. | 9,870 | 94 | |
| * | PFSweb Inc. | 7,215 | 93 |
| * | USA Truck Inc. | 5,739 | 91 |
| * | Ducommun Inc. | 6,254 | 90 |
| * | Kratos Defense & Security Solutions Inc. | 26,867 | 90 |
| * | Vishay Precision Group Inc. | 7,556 | 89 |
| Navios Maritime Acquisition Corp. | 49,041 | 83 | |
| Ardmore Shipping Corp. | 10,070 | 81 | |
| * | Vicor Corp. | 9,492 | 79 |
| * | CAI International Inc. | 9,718 | 76 |
| Marlin Business Services Corp. | 5,247 | 72 | |
| * | Hill International Inc. | 20,504 | 72 |
| Universal Truckload Services Inc. | 4,571 | 72 | |
| Allied Motion Technologies Inc. | 3,656 | 68 | |
| * | TRC Cos. Inc. | 10,053 | 67 |
| * | NV5 Global Inc. | 2,985 | 65 |
| * | Liquidity Services Inc. | 13,766 | 64 |
| * | HC2 Holdings Inc. | 15,444 | 61 |
| * | Gener8 Maritime Inc. | 9,563 | 59 |
| * | Astronics Corp. Class B | 1,877 | 58 |
| *,^ | ExOne Co. | 6,235 | 57 |
| * | Heritage-Crystal Clean Inc. | 7,418 | 57 |
| * | Gulfmark Offshore Inc. | 15,731 | 56 |
| * | Orion Marine Group Inc. | 15,592 | 56 |
| * | Radiant Logistics Inc. | 17,616 | 56 |
| Preformed Line Products Co. | 1,621 | 53 | |
| * | PAM Transportation Services Inc. | 1,807 | 52 |
| *,^ | Scorpio Bulkers Inc. | 16,089 | 51 |
| * | Xerium Technologies Inc. | 6,186 | 45 |
| CDI Corp. | 8,723 | 43 | |
| Twin Disc Inc. | 4,832 | 42 | |
| * | Commercial Vehicle Group Inc. | 16,325 | 41 |
| ^ | Navios Maritime Holdings Inc. | 47,714 | 39 |
| * | Volt Information Sciences Inc. | 5,041 | 37 |
| * | Neff Corp. Class A | 6,742 | 33 |
| * | Accuride Corp. | 22,848 | 29 |
| *,^ | 6D Global Technologies Inc. | 9,174 | 27 |
| * | Power Solutions International Inc. | 2,622 | 26 |
| * | Blue Bird Corp. | 2,899 | 26 |
| ^ | Golden Ocean Group Ltd. | 36,829 | 21 |
| * | Patriot National Inc. | 4,923 | 21 |
| ^ | Safe Bulkers Inc. | 22,580 | 14 |
| * | Eagle Bulk Shipping Inc. | 12,670 | 9 |
| * | Republic Airways Holdings Inc. | 12,513 | 8 |
| * | Ultrapetrol Bahamas Ltd. | 9,199 | 2 |
| 111,305 | |||
| Technology (14.6%) | |||
| * | Manhattan Associates Inc. | 43,864 | 2,424 |
| * | Tyler Technologies Inc. | 20,007 | 2,407 |
26
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Microsemi Corp. | 64,536 | 2,235 |
| * | Guidewire Software Inc. | 41,772 | 2,056 |
| FEI Co. | 24,698 | 2,006 | |
| * | EPAM Systems Inc. | 29,076 | 1,988 |
| * | Cavium Inc. | 32,954 | 1,960 |
| * | ViaSat Inc. | 25,425 | 1,856 |
| * | Take-Two Interactive Software Inc. | 50,406 | 1,814 |
| * | Synaptics Inc. | 21,906 | 1,779 |
| * | Aspen Technology Inc. | 50,827 | 1,676 |
| SYNNEX Corp. | 17,109 | 1,609 | |
| Blackbaud Inc. | 27,894 | 1,577 | |
| * | Integrated Device Technology Inc. | 80,485 | 1,563 |
| * | Tech Data Corp. | 21,820 | 1,536 |
| * | Ciena Corp. | 73,530 | 1,507 |
| * | Ellie Mae Inc. | 17,555 | 1,477 |
| * | CACI International Inc. Class A | 14,397 | 1,391 |
| Monolithic Power Systems Inc. | 23,545 | 1,391 | |
| * | Fairchild Semiconductor International Inc. Class A | 69,298 | 1,390 |
| * | Cirrus Logic Inc. | 37,848 | 1,333 |
| * | Verint Systems Inc. | 36,612 | 1,301 |
| * | ACI Worldwide Inc. | 69,674 | 1,300 |
| * | Qlik Technologies Inc. | 54,605 | 1,268 |
| * | Infinera Corp. | 79,492 | 1,247 |
| Science Applications International Corp. | 27,441 | 1,225 | |
| * | Coherent Inc. | 14,213 | 1,202 |
| * | comScore Inc. | 29,105 | 1,198 |
| * | Universal Display Corp. | 23,996 | 1,147 |
| Mentor Graphics Corp. | 59,737 | 1,141 | |
| * | NetScout Systems Inc. | 55,016 | 1,137 |
| * | Rovi Corp. | 49,037 | 1,117 |
| * | Proofpoint Inc. | 23,374 | 1,095 |
| InterDigital Inc. | 21,547 | 1,072 | |
| * | Silicon Laboratories Inc. | 25,541 | 1,054 |
| * | GrubHub Inc. | 44,741 | 1,053 |
| MKS Instruments Inc. | 31,710 | 1,043 | |
| * | Entegris Inc. | 83,734 | 1,035 |
| * | Cray Inc. | 24,358 | 1,033 |
| * | CommVault Systems Inc. | 27,043 | 1,013 |
| Intersil Corp. Class A | 78,124 | 998 | |
| Diebold Inc. | 38,768 | 962 | |
| * | Acxiom Corp. | 46,356 | 961 |
| Vishay Intertechnology Inc. | 80,937 | 958 | |
| * | Sanmina Corp. | 46,515 | 958 |
| * | Cornerstone OnDemand Inc. | 32,235 | 928 |
| Tessera Technologies Inc. | 31,197 | 920 | |
| * | Finisar Corp. | 61,673 | 899 |
| * | MicroStrategy Inc. Class A | 5,554 | 894 |
| * | Rambus Inc. | 68,392 | 891 |
| *,^ | Ambarella Inc. | 18,558 | 861 |
| * | Syntel Inc. | 18,781 | 859 |
| * | Polycom Inc. | 80,350 | 836 |
| * | Fleetmatics Group plc | 22,680 | 819 |
| * | NeuStar Inc. Class A | 32,837 | 817 |
| * | Advanced Micro Devices Inc. | 377,960 | 809 |
| Power Integrations Inc. | 17,482 | 801 | |
| Plantronics Inc. | 20,866 | 782 | |
| * | Progress Software Corp. | 30,198 | 762 |
| * | NETGEAR Inc. | 19,228 | 760 |
| * | Semtech Corp. | 39,252 | 752 |
| * | LogMeIn Inc. | 14,669 | 747 |
| CSG Systems International Inc. | 19,622 | 745 | |
| * | Plexus Corp. | 20,138 | 733 |
| * | Anixter International Inc. | 16,912 | 724 |
| * | Super Micro Computer Inc. | 21,983 | 714 |
27
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Imperva Inc. | 15,836 | 695 |
| * | Demandware Inc. | 19,874 | 689 |
| NIC Inc. | 39,147 | 689 | |
| * | II-VI Inc. | 31,358 | 688 |
| * | Bottomline Technologies de Inc. | 24,237 | 684 |
| * | Benchmark Electronics Inc. | 31,070 | 673 |
| * | DigitalGlobe Inc. | 43,228 | 650 |
| Methode Electronics Inc. | 22,705 | 649 | |
| * | Synchronoss Technologies Inc. | 23,088 | 647 |
| * | BroadSoft Inc. | 17,406 | 642 |
| * | QLogic Corp. | 49,251 | 635 |
| * | RealPage Inc. | 31,463 | 631 |
| * | Virtusa Corp. | 17,538 | 621 |
| * | Insight Enterprises Inc. | 23,137 | 604 |
| * | Fabrinet | 21,058 | 601 |
| * | Paycom Software Inc. | 18,788 | 599 |
| * | ScanSource Inc. | 15,967 | 597 |
| * | Rogers Corp. | 11,136 | 595 |
| * | Knowles Corp. | 51,873 | 590 |
| * | RingCentral Inc. Class A | 31,908 | 590 |
| * | Zendesk Inc. | 32,188 | 589 |
| Ebix Inc. | 15,903 | 589 | |
| * | Inphi Corp. | 22,847 | 578 |
| *,^ | Stratasys Ltd. | 30,542 | 576 |
| Monotype Imaging Holdings Inc. | 23,875 | 567 | |
| * | Ubiquiti Networks Inc. | 17,163 | 561 |
| * | iRobot Corp. | 17,779 | 557 |
| * | Luxoft Holding Inc. Class A | 10,940 | 555 |
| * | Infoblox Inc. | 35,761 | 554 |
| ADTRAN Inc. | 29,578 | 553 | |
| * | Newport Corp. | 23,780 | 541 |
| * | M/A-COM Technology Solutions Holdings Inc. | 14,070 | 533 |
| * | MaxLinear Inc. | 32,672 | 526 |
| Pegasystems Inc. | 21,483 | 523 | |
| * | Web.com Group Inc. | 26,173 | 475 |
| * | Envestnet Inc. | 23,058 | 473 |
| * | AVG Technologies NV | 24,360 | 466 |
| * | HubSpot Inc. | 11,072 | 461 |
| * | Callidus Software Inc. | 33,123 | 455 |
| * | Gigamon Inc. | 16,464 | 451 |
| * | Veeco Instruments Inc. | 24,017 | 446 |
| * | SPS Commerce Inc. | 9,866 | 441 |
| * | Lattice Semiconductor Corp. | 69,676 | 441 |
| * | Ruckus Wireless Inc. | 44,991 | 436 |
| * | Diodes Inc. | 22,349 | 428 |
| ManTech International Corp. Class A | 14,267 | 416 | |
| * | Ixia | 36,276 | 414 |
| * | Photronics Inc. | 39,145 | 398 |
| * | Endurance International Group Holdings Inc. | 35,291 | 397 |
| Brooks Automation Inc. | 40,563 | 395 | |
| * | CalAmp Corp. | 21,291 | 389 |
| * | Perficient Inc. | 20,963 | 378 |
| * | Rofin-Sinar Technologies Inc. | 16,892 | 377 |
| * | Qualys Inc. | 14,929 | 373 |
| * | InvenSense Inc. | 46,527 | 363 |
| * | Marketo Inc. | 21,008 | 354 |
| EarthLink Holdings Corp. | 61,402 | 346 | |
| * | Ultratech Inc. | 16,540 | 335 |
| * | Mercury Systems Inc. | 20,472 | 335 |
| * | Unisys Corp. | 29,823 | 321 |
| AVX Corp. | 27,206 | 319 | |
| * | Interactive Intelligence Group Inc. | 10,315 | 309 |
| * | Bankrate Inc. | 39,867 | 305 |
| * | Amkor Technology Inc. | 59,109 | 299 |
28
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | ShoreTel Inc. | 38,679 | 286 |
| * | Globant SA | 9,223 | 285 |
| CTS Corp. | 19,613 | 284 | |
| *,^ | Oclaro Inc. | 57,406 | 282 |
| * | Applied Micro Circuits Corp. | 48,743 | 282 |
| * | Cvent Inc. | 14,157 | 276 |
| * | Xura Inc. | 13,771 | 270 |
| * | Silver Spring Networks Inc. | 21,426 | 268 |
| * | GSI Group Inc. | 20,765 | 267 |
| * | Glu Mobile Inc. | 71,174 | 264 |
| Epiq Systems Inc. | 19,236 | 263 | |
| * | Rubicon Project Inc. | 15,645 | 258 |
| * | FormFactor Inc. | 33,921 | 258 |
| * | Rudolph Technologies Inc. | 19,393 | 251 |
| * | ePlus Inc. | 3,302 | 248 |
| * | DTS Inc. | 10,468 | 248 |
| * | Loral Space & Communications Inc. | 7,681 | 246 |
| * | Global Eagle Entertainment Inc. | 27,313 | 246 |
| * | CEVA Inc. | 12,445 | 244 |
| * | VASCO Data Security International Inc. | 17,737 | 244 |
| *,^ | Pure Storage Inc. Class A | 16,751 | 241 |
| * | Q2 Holdings Inc. | 11,827 | 240 |
| * | TTM Technologies Inc. | 34,464 | 226 |
| * | Sonus Networks Inc. | 28,870 | 225 |
| * | pdvWireless Inc. | 7,897 | 224 |
| * | GTT Communications Inc. | 14,731 | 218 |
| * | Nimble Storage Inc. | 29,474 | 213 |
| * | Vocera Communications Inc. | 15,349 | 213 |
| * | Wix.com Ltd. | 10,981 | 211 |
| * | Textura Corp. | 12,098 | 209 |
| * | SciQuest Inc. | 16,513 | 201 |
| * | Actua Corp. | 24,624 | 200 |
| * | Kimball Electronics Inc. | 17,407 | 199 |
| * | Nanometrics Inc. | 14,249 | 198 |
| Comtech Telecommunications Corp. | 9,621 | 198 | |
| Checkpoint Systems Inc. | 25,161 | 189 | |
| * | Applied Optoelectronics Inc. | 10,387 | 187 |
| * | Calix Inc. | 26,858 | 187 |
| * | PDF Solutions Inc. | 16,171 | 184 |
| * | Intralinks Holdings Inc. | 23,611 | 183 |
| * | Tangoe Inc. | 22,646 | 183 |
| * | NeoPhotonics Corp. | 16,712 | 183 |
| * | Xcerra Corp. | 32,056 | 183 |
| * | RetailMeNot Inc. | 22,531 | 182 |
| Cohu Inc. | 15,181 | 173 | |
| * | Extreme Networks Inc. | 61,197 | 173 |
| Park Electrochemical Corp. | 12,072 | 172 | |
| * | LivePerson Inc. | 33,283 | 171 |
| * | Axcelis Technologies Inc. | 67,710 | 169 |
| * | Cascade Microtech Inc. | 8,141 | 168 |
| * | Lionbridge Technologies Inc. | 37,850 | 167 |
| * | Mattson Technology Inc. | 45,441 | 164 |
| Daktronics Inc. | 23,161 | 164 | |
| IXYS Corp. | 14,484 | 163 | |
| Sapiens International Corp. NV | 13,809 | 163 | |
| PC Connection Inc. | 6,570 | 163 | |
| * | TrueCar Inc. | 28,878 | 157 |
| * | PROS Holdings Inc. | 14,045 | 154 |
| * | Harmonic Inc. | 45,194 | 151 |
| * | Avid Technology Inc. | 19,585 | 150 |
| * | Blucora Inc. | 23,995 | 148 |
| * | Immersion Corp. | 16,132 | 145 |
| NVE Corp. | 2,834 | 144 | |
| * | Benefitfocus Inc. | 4,578 | 144 |
29
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Sigma Designs Inc. | 20,704 | 142 |
| * | ChannelAdvisor Corp. | 13,286 | 141 |
| * | Zix Corp. | 35,200 | 140 |
| * | Digimarc Corp. | 4,600 | 139 |
| American Software Inc. Class A | 14,668 | 138 | |
| * | Alpha & Omega Semiconductor Ltd. | 11,615 | 137 |
| * | Silicon Graphics International Corp. | 21,553 | 131 |
| * | Model N Inc. | 12,628 | 130 |
| * | Digi International Inc. | 14,946 | 127 |
| * | Exar Corp. | 23,418 | 125 |
| *,^ | VirnetX Holding Corp. | 26,871 | 124 |
| * | OPOWER Inc. | 14,936 | 124 |
| * | Alliance Fiber Optic Products Inc. | 8,814 | 122 |
| * | Multi-Fineline Electronix Inc. | 5,373 | 121 |
| * | A10 Networks Inc. | 19,451 | 120 |
| * | KEYW Holding Corp. | 19,182 | 120 |
| * | Seachange International Inc. | 20,305 | 117 |
| Reis Inc. | 5,284 | 117 | |
| Black Box Corp. | 8,784 | 116 | |
| * | Five9 Inc. | 14,446 | 116 |
| * | Brightcove Inc. | 19,379 | 116 |
| QAD Inc. Class A | 5,913 | 116 | |
| * | DSP Group Inc. | 12,951 | 112 |
| * | Bazaarvoice Inc. | 34,945 | 110 |
| * | Ultra Clean Holdings Inc. | 19,796 | 104 |
| * | United Online Inc. | 8,366 | 103 |
| American Science & Engineering Inc. | 4,343 | 103 | |
| * | Telenav Inc. | 16,705 | 100 |
| * | Clearfield Inc. | 6,764 | 98 |
| * | Varonis Systems Inc. | 5,219 | 96 |
| * | Agilysys Inc. | 9,132 | 95 |
| Acacia Research Corp. | 30,146 | 95 | |
| * | Ciber Inc. | 47,293 | 95 |
| Bel Fuse Inc. Class B | 6,268 | 93 | |
| * | Alarm.com Holdings Inc. | 4,556 | 91 |
| * | New Relic Inc. | 3,327 | 89 |
| * | Datalink Corp. | 12,353 | 88 |
| * | Jive Software Inc. | 27,242 | 88 |
| * | Sparton Corp. | 5,974 | 86 |
| * | Box Inc. | 7,441 | 86 |
| * | Carbonite Inc. | 11,010 | 83 |
| * | KVH Industries Inc. | 9,126 | 83 |
| * | TechTarget Inc. | 11,682 | 82 |
| * | ARC Document Solutions Inc. | 23,060 | 81 |
| * | Internap Corp. | 31,323 | 80 |
| * | MobileIron Inc. | 22,401 | 75 |
| * | Evolent Health Inc. Class A | 7,489 | 75 |
| * | Aerohive Networks Inc. | 14,105 | 72 |
| * | Kopin Corp. | 37,166 | 71 |
| * | Quantum Corp. | 120,884 | 62 |
| * | Everyday Health Inc. | 12,848 | 61 |
| * | Guidance Software Inc. | 11,303 | 60 |
| * | Rapid7 Inc. | 4,526 | 60 |
| * | Barracuda Networks Inc. | 4,631 | 60 |
| * | EMCORE Corp. | 11,079 | 59 |
| *,^ | Park City Group Inc. | 6,425 | 58 |
| * | Limelight Networks Inc. | 37,124 | 58 |
| * | Rocket Fuel Inc. | 15,690 | 56 |
| * | Workiva Inc. | 4,449 | 56 |
| * | Marin Software Inc. | 18,380 | 55 |
| * | RealNetworks Inc. | 13,473 | 53 |
| * | Amber Road Inc. | 11,140 | 51 |
| * | Hortonworks Inc. | 4,362 | 50 |
| * | MINDBODY Inc. Class A | 4,031 | 47 |
30
| Vanguard® Russell 2000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Violin Memory Inc. | 54,517 | 44 |
| * | ModusLink Global Solutions Inc. | 22,117 | 42 |
| * | Novatel Wireless Inc. | 23,268 | 38 |
| * | Digital Turbine Inc. | 33,181 | 38 |
| *,^ | Appfolio Inc. | 3,165 | 37 |
| * | Travelzoo Inc. | 4,509 | 35 |
| * | Xactly Corp. | 4,403 | 26 |
| * | Apigee Corp. | 3,315 | 19 |
| * | Imation Corp. | 20,894 | 18 |
| * | Connecture Inc. | 4,361 | 13 |
| * | MaxPoint Interactive Inc. | 3,998 | 7 |
| * | Code Rebel Corp. | 481 | 1 |
| 132,640 | |||
| Utilities (5.5%) | |||
| Piedmont Natural Gas Co. Inc. | 46,973 | 2,791 | |
| IDACORP Inc. | 29,929 | 2,124 | |
| j2 Global Inc. | 28,640 | 2,093 | |
| WGL Holdings Inc. | 29,544 | 2,015 | |
| Portland General Electric Co. | 52,737 | 2,007 | |
| ONE Gas Inc. | 31,252 | 1,812 | |
| New Jersey Resources Corp. | 50,869 | 1,761 | |
| Black Hills Corp. | 30,428 | 1,704 | |
| Southwest Gas Corp. | 27,855 | 1,699 | |
| Laclede Group Inc. | 25,757 | 1,688 | |
| NorthWestern Corp. | 27,977 | 1,661 | |
| Cleco Corp. | 35,933 | 1,650 | |
| ALLETE Inc. | 29,001 | 1,538 | |
| PNM Resources Inc. | 47,389 | 1,513 | |
| Avista Corp. | 37,067 | 1,401 | |
| South Jersey Industries Inc. | 40,890 | 1,041 | |
| Cogent Communications Holdings Inc. | 27,513 | 1,010 | |
| MGE Energy Inc. | 20,686 | 1,004 | |
| El Paso Electric Co. | 24,040 | 982 | |
| American States Water Co. | 22,431 | 951 | |
| Empire District Electric Co. | 25,922 | 848 | |
| Ormat Technologies Inc. | 22,054 | 842 | |
| Northwest Natural Gas Co. | 16,230 | 810 | |
| * | Dynegy Inc. | 71,610 | 722 |
| California Water Service Group | 28,449 | 703 | |
| Consolidated Communications Holdings Inc. | 30,031 | 702 | |
| West Corp. | 31,271 | 697 | |
| Shenandoah Telecommunications Co. | 28,756 | 695 | |
| Otter Tail Corp. | 22,379 | 612 | |
| * | 8x8 Inc. | 52,286 | 608 |
| * | Vonage Holdings Corp. | 110,353 | 593 |
| Chesapeake Utilities Corp. | 9,073 | 565 | |
| Pattern Energy Group Inc. Class A | 33,078 | 562 | |
| ^ | Abengoa Yield plc | 29,454 | 494 |
| NRG Yield Inc. | 37,718 | 493 | |
| ^ | Windstream Holdings Inc. | 60,655 | 456 |
| * | Globalstar Inc. | 284,871 | 444 |
| Atlantic Tele-Network Inc. | 6,089 | 438 | |
| * | Cincinnati Bell Inc. | 126,128 | 436 |
| * | General Communication Inc. Class A | 20,800 | 397 |
| * | Gogo Inc. | 33,720 | 367 |
| SJW Corp. | 9,446 | 342 | |
| * | inContact Inc. | 36,915 | 342 |
| * | Iridium Communications Inc. | 48,436 | 336 |
| Inteliquent Inc. | 19,694 | 335 | |
| Unitil Corp. | 8,299 | 326 | |
| * | Talen Energy Corp. | 49,868 | 317 |
| * | ORBCOMM Inc. | 36,012 | 314 |
| Connecticut Water Service Inc. | 6,714 | 280 | |
| Middlesex Water Co. | 9,461 | 265 | |
31
| Vanguard® Russell 2000 Index Fund | |||||
| Schedule of Investments | |||||
| February 29, 2016 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| NRG Yield Inc. Class A | 20,906 | 259 | |||
| Spok Holdings Inc. | 12,839 | 227 | |||
| York Water Co. | 7,780 | 216 | |||
| * | FairPoint Communications Inc. | 12,303 | 185 | ||
| *,^ | Straight Path Communications Inc. Class B | 5,416 | 172 | ||
| * | Lumos Networks Corp. | 13,436 | 165 | ||
| * | Hawaiian Telcom Holdco Inc. | 6,755 | 162 | ||
| * | Boingo Wireless Inc. | 21,564 | 155 | ||
| IDT Corp. Class B | 10,384 | 135 | |||
| Artesian Resources Corp. Class A | 4,657 | 132 | |||
| Atlantic Power Corp. | 71,912 | 124 | |||
| * | NTELOS Holdings Corp. | 10,617 | 98 | ||
| Consolidated Water Co. Ltd. | 8,746 | 95 | |||
| Genie Energy Ltd. Class B | 7,165 | 66 | |||
| * | Pendrell Corp. | 93,064 | 53 | ||
| Spark Energy Inc. Class A | 1,938 | 47 | |||
| *,^ | Intelsat SA | 16,097 | 28 | ||
| 50,105 | |||||
| Total Common Stocks (Cost $1,090,469) | 903,606 | ||||
| Coupon | |||||
| Temporary Cash Investments (1.7%)1 | |||||
| Money Market Fund (1.6%) | |||||
| 3,4 | Vanguard Market Liquidity Fund | 0.475% | 15,320,491 | 15,320 | |
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.1%) | |||||
| 5,6 | Federal Home Loan Bank Discount Notes | 0.294% | 4/29/16 | 500 | 500 |
| Total Temporary Cash Investments (Cost $15,820) | 15,820 | ||||
| Total Investments (101.5%) (Cost $1,106,289) | 919,426 | ||||
| Other Assets and Liabilities—Net (-1.5%)4 | (13,676) | ||||
| Net Assets (100%) | 905,750 | ||||
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $11,378,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.1% and 1.4%, respectively, of net assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
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 Includes $12,364,000 of collateral received for securities on loan.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
6 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
32
| Vanguard® Russell 2000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Common Stocks (99.3%)1 | ||
| Consumer Discretionary (10.3%) | ||
| * Houghton Mifflin Harcourt Co. | 27,392 | 515 |
| Abercrombie & Fitch Co. | 14,994 | 436 |
| Cooper Tire & Rubber Co. | 11,031 | 434 |
| * DreamWorks Animation SKG Inc. Class A | 16,393 | 421 |
| CalAtlantic Group Inc. | 13,014 | 395 |
| * Helen of Troy Ltd. | 3,637 | 347 |
| Meredith Corp. | 7,931 | 345 |
| * Media General Inc. | 20,690 | 344 |
| * TRI Pointe Group Inc. | 32,916 | 339 |
| Time Inc. | 23,648 | 333 |
| Matthews International Corp. Class A | 6,756 | 320 |
| * Genesco Inc. | 4,773 | 315 |
| New York Times Co. Class A | 23,767 | 299 |
| Guess? Inc. | 13,391 | 286 |
| * Meritage Homes Corp. | 7,930 | 258 |
| * Ascena Retail Group Inc. | 30,104 | 254 |
| DeVry Education Group Inc. | 13,659 | 249 |
| Caleres Inc. | 8,560 | 243 |
| * Liberty TripAdvisor Holdings Inc. Class A | 11,375 | 232 |
| Children's Place Inc. | 3,272 | 223 |
| * Penn National Gaming Inc. | 15,950 | 221 |
| Group 1 Automotive Inc. | 3,955 | 221 |
| KB Home | 17,541 | 214 |
| International Speedway Corp. Class A | 5,995 | 207 |
| Scholastic Corp. | 5,729 | 201 |
| * Cooper-Standard Holding Inc. | 2,720 | 199 |
| Dana Holding Corp. | 15,420 | 192 |
| * Belmond Ltd. Class A | 20,822 | 191 |
| Bob Evans Farms Inc. | 4,149 | 178 |
| * Deckers Outdoor Corp. | 3,022 | 171 |
| Cato Corp. Class A | 4,683 | 170 |
| * Apollo Education Group Inc. | 20,314 | 166 |
| * Vitamin Shoppe Inc. | 6,014 | 166 |
| La-Z-Boy Inc. | 6,780 | 165 |
| Ethan Allen Interiors Inc. | 5,485 | 157 |
| New Media Investment Group Inc. | 9,643 | 151 |
| Callaway Golf Co. | 16,863 | 150 |
| National CineMedia Inc. | 9,975 | 149 |
| Rent-A-Center Inc. | 11,456 | 146 |
| Marriott Vacations Worldwide Corp. | 2,410 | 146 |
| MDC Partners Inc. Class A | 6,776 | 145 |
| Sonic Automotive Inc. Class A | 7,136 | 137 |
| * Biglari Holdings Inc. | 359 | 132 |
| Finish Line Inc. Class A | 7,169 | 131 |
| Standard Motor Products Inc. | 4,299 | 129 |
| * Shutterfly Inc. | 2,782 | 124 |
| Viad Corp. | 4,349 | 123 |
| MDC Holdings Inc. | 5,507 | 122 |
| Fred's Inc. Class A | 8,062 | 115 |
| Columbia Sportswear Co. | 1,888 | 112 |
| * Regis Corp. | 7,819 | 112 |
| * Carmike Cinemas Inc. | 5,049 | 111 |
| * Central Garden & Pet Co. Class A | 8,117 | 110 |
| * Caesars Entertainment Corp. | 12,091 | 109 |
| Barnes & Noble Inc. | 11,047 | 107 |
| AMC Entertainment Holdings Inc. | 4,291 | 103 |
| Movado Group Inc. | 3,494 | 102 |
| Superior Industries International Inc. | 5,101 | 101 |
| * Taylor Morrison Home Corp. Class A | 7,085 | 99 |
| * Burlington Stores Inc. | 1,710 | 96 |
| * FTD Cos. Inc. | 3,979 | 93 |
33
| Vanguard® Russell 2000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| *,^ | Conn's Inc. | 5,306 | 90 |
| * | Iconix Brand Group Inc. | 10,129 | 88 |
| Travelport Worldwide Ltd. | 6,741 | 88 | |
| Haverty Furniture Cos. Inc. | 4,452 | 87 | |
| National Presto Industries Inc. | 1,059 | 86 | |
| Sonic Corp. | 2,908 | 85 | |
| EW Scripps Co. Class A | 4,652 | 80 | |
| * | M/I Homes Inc. | 4,278 | 75 |
| * | Vera Bradley Inc. | 4,514 | 75 |
| Shoe Carnival Inc. | 3,178 | 75 | |
| Marcus Corp. | 3,896 | 73 | |
| American Eagle Outfitters Inc. | 4,769 | 73 | |
| * | Barnes & Noble Education Inc. | 6,805 | 73 |
| * | Del Frisco's Restaurant Group Inc. | 4,678 | 72 |
| * | K12 Inc. | 7,166 | 70 |
| * | Ruby Tuesday Inc. | 13,171 | 70 |
| *,^ | Lands' End Inc. | 2,878 | 69 |
| Hooker Furniture Corp. | 2,136 | 68 | |
| * | Performance Sports Group Ltd. | 8,957 | 68 |
| * | Lumber Liquidators Holdings Inc. | 5,746 | 65 |
| * | Meritor Inc. | 8,718 | 65 |
| * | Revlon Inc. Class A | 1,810 | 63 |
| * | Strayer Education Inc. | 1,383 | 62 |
| * | Entercom Communications Corp. Class A | 5,419 | 62 |
| * | Caesars Acquisition Co. Class A | 9,810 | 59 |
| Journal Media Group Inc. | 4,907 | 59 | |
| Citi Trends Inc. | 3,136 | 58 | |
| Stage Stores Inc. | 6,877 | 58 | |
| * | Denny's Corp. | 5,553 | 57 |
| * | WCI Communities Inc. | 3,293 | 57 |
| Carriage Services Inc. Class A | 2,690 | 55 | |
| Inter Parfums Inc. | 2,151 | 54 | |
| CSS Industries Inc. | 2,006 | 54 | |
| * | American Public Education Inc. | 3,500 | 54 |
| Big 5 Sporting Goods Corp. | 3,880 | 53 | |
| * | LGI Homes Inc. | 2,221 | 53 |
| Flexsteel Industries Inc. | 1,270 | 52 | |
| * | Beazer Homes USA Inc. | 7,035 | 52 |
| *,^ | Eros International plc | 6,002 | 48 |
| * | Perry Ellis International Inc. | 2,595 | 48 |
| * | Federal-Mogul Holdings Corp. | 6,507 | 47 |
| * | Century Communities Inc. | 2,979 | 47 |
| * | MarineMax Inc. | 2,619 | 46 |
| Stein Mart Inc. | 6,225 | 46 | |
| Speedway Motorsports Inc. | 2,484 | 45 | |
| * | Daily Journal Corp. | 230 | 45 |
| Ruth's Hospitality Group Inc. | 2,489 | 44 | |
| * | Chegg Inc. | 10,016 | 43 |
| Tower International Inc. | 2,002 | 43 | |
| * | William Lyon Homes Class A | 3,544 | 42 |
| * | Monarch Casino & Resort Inc. | 2,048 | 41 |
| * | Franklin Covey Co. | 2,334 | 40 |
| * | Build-A-Bear Workshop Inc. | 2,817 | 40 |
| Cracker Barrel Old Country Store Inc. | 260 | 39 | |
| * | Hovnanian Enterprises Inc. Class A | 25,318 | 38 |
| * | America's Car-Mart Inc. | 1,490 | 37 |
| * | Crocs Inc. | 3,736 | 37 |
| Weyco Group Inc. | 1,334 | 36 | |
| * | Career Education Corp. | 14,404 | 36 |
| Bassett Furniture Industries Inc. | 1,166 | 36 | |
| * | Cavco Industries Inc. | 425 | 35 |
| * | Elizabeth Arden Inc. | 5,540 | 34 |
| *,^ | Intrawest Resorts Holdings Inc. | 3,894 | 33 |
| Strattec Security Corp. | 636 | 33 | |
34
| Vanguard® Russell 2000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Horizon Global Corp. | 3,656 | 32 |
| * | Eldorado Resorts Inc. | 3,225 | 32 |
| * | West Marine Inc. | 3,886 | 32 |
| Harte-Hanks Inc. | 10,279 | 32 | |
| * | J Alexander's Holdings Inc. | 3,042 | 32 |
| * | Express Inc. | 1,826 | 31 |
| * | Sportsman's Warehouse Holdings Inc. | 2,389 | 31 |
| Marchex Inc. Class B | 7,198 | 31 | |
| Arctic Cat Inc. | 1,734 | 30 | |
| Saga Communications Inc. Class A | 776 | 29 | |
| * | Universal Electronics Inc. | 535 | 28 |
| Lifetime Brands Inc. | 2,357 | 28 | |
| * | Reading International Inc. Class A | 2,789 | 28 |
| * | Destination XL Group Inc. | 6,250 | 28 |
| * | JAKKS Pacific Inc. | 3,825 | 28 |
| *,^ | Hemisphere Media Group Inc. Class A | 1,976 | 27 |
| Johnson Outdoors Inc. Class A | 1,149 | 25 | |
| * | Bridgepoint Education Inc. | 3,791 | 24 |
| * | QuinStreet Inc. | 7,867 | 23 |
| DineEquity Inc. | 241 | 22 | |
| * | Care.com Inc. | 3,506 | 21 |
| * | New Home Co. Inc. | 2,098 | 21 |
| * | Systemax Inc. | 2,334 | 21 |
| Tribune Publishing Co. | 2,402 | 20 | |
| Escalade Inc. | 1,538 | 19 | |
| * | Black Diamond Inc. | 4,428 | 19 |
| * | Planet Fitness Inc. Class A | 1,306 | 19 |
| * | Zumiez Inc. | 902 | 19 |
| Universal Technical Institute Inc. | 4,482 | 18 | |
| * | Tilly's Inc. Class A | 2,391 | 17 |
| * | Carrols Restaurant Group Inc. | 1,180 | 16 |
| * | VOXX International Corp. Class A | 3,915 | 16 |
| * | Townsquare Media Inc. Class A | 1,507 | 15 |
| Metaldyne Performance Group Inc. | 1,000 | 14 | |
| * | Sizmek Inc. | 4,376 | 14 |
| * | Kona Grill Inc. | 959 | 14 |
| * | Cambium Learning Group Inc. | 3,033 | 14 |
| * | Tuesday Morning Corp. | 1,843 | 12 |
| * | Christopher & Banks Corp. | 8,623 | 12 |
| * | Skullcandy Inc. | 3,426 | 12 |
| * | Ollie's Bargain Outlet Holdings Inc. | 587 | 12 |
| * | Central European Media Enterprises Ltd. Class A | 4,711 | 12 |
| * | Motorcar Parts of America Inc. | 322 | 11 |
| Winnebago Industries Inc. | 582 | 11 | |
| * | Sequential Brands Group Inc. | 1,500 | 10 |
| * | Instructure Inc. | 635 | 9 |
| * | Duluth Holdings Inc. | 540 | 9 |
| * | Noodles & Co. Class A | 694 | 9 |
| * | Cumulus Media Inc. Class A | 34,523 | 9 |
| * | Shake Shack Inc. Class A | 140 | 6 |
| * | Weight Watchers International Inc. | 481 | 6 |
| * | Wingstop Inc. | 224 | 5 |
| * | Crown Media Holdings Inc. Class A | 1,211 | 5 |
| * | MCBC Holdings Inc. | 395 | 5 |
| Entravision Communications Corp. Class A | 678 | 5 | |
| * | EVINE Live Inc. | 10,084 | 5 |
| Libbey Inc. | 300 | 5 | |
| * | Morgans Hotel Group Co. | 3,340 | 5 |
| * | Fenix Parts Inc. | 910 | 5 |
| * | ZAGG Inc. | 306 | 3 |
| * | Fogo De Chao Inc. | 168 | 3 |
| * | Cherokee Inc. | 157 | 3 |
| * | Bravo Brio Restaurant Group Inc. | 328 | 3 |
| bebe stores, inc. | 5,220 | 2 | |
35
| Vanguard® Russell 2000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Isle of Capri Casinos Inc. | 210 | 2 |
| * Empire Resorts Inc. | 31 | — |
| 17,244 | ||
| Consumer Staples (3.3%) | ||
| * TreeHouse Foods Inc. | 12,115 | 1,023 |
| * Post Holdings Inc. | 13,246 | 920 |
| Sanderson Farms Inc. | 4,831 | 441 |
| Snyder's-Lance Inc. | 10,497 | 343 |
| * SUPERVALU Inc. | 56,621 | 289 |
| Fresh Del Monte Produce Inc. | 7,206 | 289 |
| Universal Corp. | 4,887 | 266 |
| SpartanNash Co. | 8,098 | 222 |
| Dean Foods Co. | 10,944 | 211 |
| Core-Mark Holding Co. Inc. | 2,396 | 177 |
| Andersons Inc. | 6,121 | 164 |
| * Seaboard Corp. | 52 | 152 |
| Lancaster Colony Corp. | 1,393 | 142 |
| * Omega Protein Corp. | 4,721 | 112 |
| Weis Markets Inc. | 2,399 | 100 |
| John B Sanfilippo & Son Inc. | 1,355 | 94 |
| Tootsie Roll Industries Inc. | 2,622 | 87 |
| * Smart & Final Stores Inc. | 5,152 | 84 |
| Ingles Markets Inc. Class A | 2,050 | 69 |
| * Seneca Foods Corp. Class A | 1,589 | 53 |
| * Nutraceutical International Corp. | 1,780 | 44 |
| Village Super Market Inc. Class A | 1,529 | 41 |
| Orchids Paper Products Co. | 1,426 | 39 |
| * Performance Food Group Co. | 1,490 | 37 |
| * United Natural Foods Inc. | 844 | 26 |
| B&G Foods Inc. | 654 | 23 |
| Nature's Sunshine Products Inc. | 2,156 | 18 |
| Alico Inc. | 708 | 17 |
| Coca-Cola Bottling Co. Consolidated | 79 | 14 |
| * Amplify Snack Brands Inc. | 1,340 | 14 |
| * Craft Brew Alliance Inc. | 1,563 | 13 |
| * Diamond Foods Inc. | 326 | 12 |
| * National Beverage Corp. | 109 | 4 |
| * Arcadia Biosciences Inc. | 946 | 3 |
| * Synutra International Inc. | 405 | 2 |
| * Fairway Group Holdings Corp. | 2,541 | 1 |
| 5,546 | ||
| Energy (3.0%) | ||
| * PDC Energy Inc. | 8,632 | 433 |
| * RSP Permian Inc. | 14,193 | 339 |
| * Oil States International Inc. | 11,164 | 292 |
| * Carrizo Oil & Gas Inc. | 11,833 | 254 |
| * Parsley Energy Inc. Class A | 13,829 | 254 |
| * Oasis Petroleum Inc. | 38,801 | 209 |
| * SEACOR Holdings Inc. | 3,927 | 190 |
| * McDermott International Inc. | 51,607 | 170 |
| * Forum Energy Technologies Inc. | 12,836 | 151 |
| * Synergy Resources Corp. | 22,868 | 143 |
| Green Plains Inc. | 8,220 | 112 |
| * Callon Petroleum Co. | 17,423 | 111 |
| * Matrix Service Co. | 5,816 | 107 |
| * Matador Resources Co. | 6,450 | 104 |
| * Exterran Corp. | 7,538 | 103 |
| Atwood Oceanics Inc. | 14,100 | 97 |
| * Helix Energy Solutions Group Inc. | 22,473 | 88 |
| * TETRA Technologies Inc. | 17,383 | 88 |
| Delek US Holdings Inc. | 5,441 | 86 |
| CARBO Ceramics Inc. | 4,164 | 83 |
| * Flotek Industries Inc. | 11,349 | 83 |
| * PowerSecure International Inc. | 3,906 | 73 |
36
| Vanguard® Russell 2000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Renewable Energy Group Inc. | 9,323 | 68 |
| * | Newpark Resources Inc. | 17,846 | 67 |
| Alon USA Energy Inc. | 6,627 | 65 | |
| * | REX American Resources Corp. | 1,231 | 62 |
| Tesco Corp. | 8,355 | 60 | |
| * | Hornbeck Offshore Services Inc. | 6,923 | 59 |
| Archrock Inc. | 14,728 | 59 | |
| * | Unit Corp. | 10,694 | 57 |
| * | Natural Gas Services Group Inc. | 2,702 | 49 |
| * | Northern Oil and Gas Inc. | 13,073 | 44 |
| * | Clean Energy Fuels Corp. | 15,109 | 44 |
| * | Parker Drilling Co. | 25,946 | 40 |
| * | Era Group Inc. | 4,368 | 40 |
| * | Sanchez Energy Corp. | 11,189 | 40 |
| * | EnerNOC Inc. | 5,789 | 36 |
| *,^ | EXCO Resources Inc. | 33,676 | 35 |
| * | Geospace Technologies Corp. | 2,836 | 32 |
| * | Bill Barrett Corp. | 10,674 | 31 |
| Panhandle Oil and Gas Inc. Class A | 1,933 | 30 | |
| * | Green Brick Partners Inc. | 4,666 | 29 |
| * | Pacific Ethanol Inc. | 6,957 | 27 |
| * | Westmoreland Coal Co. | 4,014 | 25 |
| TerraForm Global Inc. Class A | 7,510 | 24 | |
| * | Contango Oil & Gas Co. | 3,900 | 24 |
| * | Cloud Peak Energy Inc. | 13,710 | 23 |
| * | Ring Energy Inc. | 5,309 | 22 |
| * | Civeo Corp. | 23,835 | 21 |
| * | Ameresco Inc. Class A | 4,086 | 21 |
| * | Bonanza Creek Energy Inc. | 11,274 | 21 |
| * | Pioneer Energy Services Corp. | 14,720 | 20 |
| * | Sunrun Inc. | 3,573 | 20 |
| * | FuelCell Energy Inc. | 3,507 | 20 |
| * | Clayton Williams Energy Inc. | 1,356 | 20 |
| * | Abraxas Petroleum Corp. | 21,436 | 19 |
| * | Stone Energy Corp. | 12,360 | 19 |
| SunCoke Energy Inc. | 3,958 | 19 | |
| Nordic American Offshore Ltd. | 3,913 | 18 | |
| * | Basic Energy Services Inc. | 9,784 | 17 |
| Adams Resources & Energy Inc. | 439 | 14 | |
| * | Independence Contract Drilling Inc. | 3,438 | 13 |
| *,^ | W&T Offshore Inc. | 7,233 | 13 |
| * | Vivint Solar Inc. | 1,663 | 13 |
| * | C&J Energy Services Ltd. | 12,133 | 13 |
| * | Gastar Exploration Inc. | 16,409 | 11 |
| Hallador Energy Co. | 2,031 | 10 | |
| * | Eclipse Resources Corp. | 9,704 | 9 |
| *,^ | Peabody Energy Corp. | 3,609 | 9 |
| * | Jones Energy Inc. Class A | 5,817 | 9 |
| * | Halcon Resources Corp. | 14,321 | 8 |
| Energy XXI Ltd. | 18,540 | 7 | |
| * | Rex Energy Corp. | 9,809 | 6 |
| * | Key Energy Services Inc. | 24,585 | 6 |
| * | Ultra Petroleum Corp. | 15,325 | 5 |
| * | Par Pacific Holdings Inc. | 276 | 5 |
| *,^ | Erin Energy Corp. | 2,215 | 5 |
| * | Approach Resources Inc. | 6,674 | 5 |
| * | Seventy Seven Energy Inc. | 10,384 | 5 |
| * | ION Geophysical Corp. | 1,400 | 4 |
| * | TransAtlantic Petroleum Ltd. | 4,772 | 3 |
| * | Triangle Petroleum Corp. | 8,614 | 3 |
| * | Earthstone Energy Inc. | 240 | 3 |
| North Atlantic Drilling Ltd. | 1,457 | 3 | |
| * | Fairmount Santrol Holdings Inc. | 1,128 | 2 |
37
| Vanguard® Russell 2000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Global Geophysical Services Inc. | 223 | — |
| 5,081 | ||
| Financial Services (43.2%) | ||
| Highwoods Properties Inc. | 20,231 | 881 |
| First American Financial Corp. | 23,317 | 863 |
| Investors Bancorp Inc. | 75,018 | 849 |
| EPR Properties | 12,301 | 766 |
| Umpqua Holdings Corp. | 47,443 | 714 |
| FirstMerit Corp. | 35,662 | 700 |
| CNO Financial Group Inc. | 40,001 | 697 |
| DCT Industrial Trust Inc. | 19,112 | 692 |
| Gramercy Property Trust | 90,251 | 681 |
| Webster Financial Corp. | 19,528 | 656 |
| Healthcare Realty Trust Inc. | 21,599 | 627 |
| Sun Communities Inc. | 9,175 | 620 |
| Prosperity Bancshares Inc. | 15,070 | 610 |
| LaSalle Hotel Properties | 24,308 | 592 |
| RLI Corp. | 9,295 | 583 |
| Medical Properties Trust Inc. | 50,347 | 583 |
| PrivateBancorp Inc. | 16,920 | 581 |
| New Residential Investment Corp. | 49,598 | 581 |
| Sunstone Hotel Investors Inc. | 44,917 | 579 |
| Education Realty Trust Inc. | 13,610 | 540 |
| FNB Corp. | 43,662 | 536 |
| United Bankshares Inc. | 14,954 | 524 |
| First Industrial Realty Trust Inc. | 23,844 | 513 |
| MB Financial Inc. | 16,180 | 494 |
| Acadia Realty Trust | 14,815 | 490 |
| Kite Realty Group Trust | 18,002 | 485 |
| Fulton Financial Corp. | 38,058 | 480 |
| GEO Group Inc. | 16,086 | 467 |
| Cathay General Bancorp | 17,218 | 460 |
| Valley National Bancorp | 50,103 | 451 |
| Radian Group Inc. | 41,248 | 445 |
| Primerica Inc. | 10,423 | 440 |
| Wintrust Financial Corp. | 10,222 | 434 |
| Washington Federal Inc. | 20,440 | 433 |
| Equity One Inc. | 15,725 | 431 |
| * Stifel Financial Corp. | 14,635 | 424 |
| Pebblebrook Hotel Trust | 15,490 | 421 |
| UMB Financial Corp. | 8,487 | 417 |
| BancorpSouth Inc. | 20,814 | 415 |
| Selective Insurance Group Inc. | 12,277 | 412 |
| Hudson Pacific Properties Inc. | 16,053 | 409 |
| Cousins Properties Inc. | 46,699 | 404 |
| Physicians Realty Trust | 23,329 | 401 |
| Colony Capital Inc. Class A | 24,088 | 395 |
| Retail Opportunity Investments Corp. | 21,454 | 394 |
| IBERIABANK Corp. | 8,235 | 393 |
| First Citizens BancShares Inc. Class A | 1,663 | 389 |
| Glacier Bancorp Inc. | 16,292 | 388 |
| Hancock Holding Co. | 16,799 | 388 |
| DiamondRock Hospitality Co. | 43,300 | 385 |
| Mack-Cali Realty Corp. | 19,230 | 383 |
| Capitol Federal Financial Inc. | 30,341 | 381 |
| Washington REIT | 14,698 | 380 |
| RLJ Lodging Trust | 18,083 | 379 |
| Janus Capital Group Inc. | 29,017 | 375 |
| Sterling Bancorp | 25,861 | 373 |
| Xenia Hotels & Resorts Inc. | 24,095 | 369 |
| Columbia Banking System Inc. | 12,451 | 359 |
| CVB Financial Corp. | 22,934 | 356 |
| Alexander & Baldwin Inc. | 10,544 | 353 |
| PS Business Parks Inc. | 3,770 | 346 |
38
| Vanguard® Russell 2000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Kennedy-Wilson Holdings Inc. | 18,160 | 345 |
| Lexington Realty Trust | 44,357 | 343 |
| Community Bank System Inc. | 9,230 | 342 |
| New York REIT Inc. | 35,076 | 337 |
| National Penn Bancshares Inc. | 30,246 | 337 |
| Argo Group International Holdings Ltd. | 6,032 | 336 |
| National Health Investors Inc. | 5,339 | 336 |
| Pinnacle Financial Partners Inc. | 7,175 | 333 |
| Chesapeake Lodging Trust | 12,879 | 327 |
| Monogram Residential Trust Inc. | 35,958 | 327 |
| LTC Properties Inc. | 7,218 | 321 |
| Trustmark Corp. | 14,590 | 319 |
| DuPont Fabros Technology Inc. | 8,840 | 315 |
| * Enstar Group Ltd. | 1,965 | 311 |
| South State Corp. | 4,944 | 309 |
| EastGroup Properties Inc. | 5,592 | 303 |
| Invesco Mortgage Capital Inc. | 26,612 | 301 |
| * Texas Capital Bancshares Inc. | 9,192 | 297 |
| Astoria Financial Corp. | 19,446 | 290 |
| Hatteras Financial Corp. | 20,928 | 288 |
| Ramco-Gershenson Properties Trust | 17,107 | 287 |
| Pennsylvania REIT | 14,944 | 286 |
| Old National Bancorp | 25,292 | 282 |
| First Midwest Bancorp Inc. | 16,858 | 282 |
| Select Income REIT | 13,551 | 279 |
| * MGIC Investment Corp. | 40,549 | 277 |
| Northwest Bancshares Inc. | 21,954 | 276 |
| Horace Mann Educators Corp. | 8,897 | 274 |
| EverBank Financial Corp. | 20,934 | 273 |
| * Western Alliance Bancorp | 9,078 | 270 |
| CYS Investments Inc. | 34,208 | 268 |
| Simmons First National Corp. Class A | 6,458 | 266 |
| International Bancshares Corp. | 11,717 | 264 |
| Provident Financial Services Inc. | 14,195 | 264 |
| Kemper Corp. | 9,322 | 251 |
| Renasant Corp. | 8,019 | 250 |
| Westamerica Bancorporation | 5,477 | 246 |
| STAG Industrial Inc. | 13,973 | 245 |
| Chemical Financial Corp. | 7,228 | 245 |
| BBCN Bancorp Inc. | 17,054 | 244 |
| NBT Bancorp Inc. | 9,443 | 244 |
| Parkway Properties Inc. | 18,149 | 243 |
| Independent Bank Corp. | 5,606 | 242 |
| Kearny Financial Corp. | 20,052 | 240 |
| Park National Corp. | 2,799 | 238 |
| American Equity Investment Life Holding Co. | 17,454 | 237 |
| Sabra Health Care REIT Inc. | 11,885 | 237 |
| WesBanco Inc. | 8,248 | 233 |
| CubeSmart | 7,708 | 230 |
| FelCor Lodging Trust Inc. | 30,726 | 227 |
| * Beneficial Bancorp Inc. | 17,745 | 227 |
| Government Properties Income Trust | 15,113 | 224 |
| First Financial Bancorp | 13,236 | 222 |
| Union Bankshares Corp. | 9,684 | 220 |
| Great Western Bancorp Inc. | 8,873 | 218 |
| Redwood Trust Inc. | 18,121 | 215 |
| PennyMac Mortgage Investment Trust | 16,034 | 211 |
| AMERISAFE Inc. | 4,075 | 210 |
| STORE Capital Corp. | 8,689 | 210 |
| Terreno Realty Corp. | 9,241 | 205 |
| * Green Dot Corp. Class A | 9,867 | 204 |
| Summit Hotel Properties Inc. | 18,760 | 203 |
| * MBIA Inc. | 29,259 | 201 |
| Rexford Industrial Realty Inc. | 11,891 | 200 |
39
| Vanguard® Russell 2000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Capstead Mortgage Corp. | 20,590 | 200 | |
| Hersha Hospitality Trust Class A | 9,891 | 199 | |
| United Community Banks Inc. | 11,451 | 198 | |
| Apollo Commercial Real Estate Finance Inc. | 12,550 | 194 | |
| First Merchants Corp. | 8,709 | 193 | |
| Nelnet Inc. Class A | 5,106 | 192 | |
| WSFS Financial Corp. | 6,265 | 190 | |
| Boston Private Financial Holdings Inc. | 17,869 | 189 | |
| S&T Bancorp Inc. | 7,477 | 189 | |
| Ameris Bancorp | 6,924 | 187 | |
| * | Third Point Reinsurance Ltd. | 16,877 | 187 |
| * | Navigators Group Inc. | 2,282 | 185 |
| Cash America International Inc. | 5,470 | 184 | |
| Infinity Property & Casualty Corp. | 2,465 | 184 | |
| Franklin Street Properties Corp. | 19,352 | 184 | |
| Talmer Bancorp Inc. Class A | 10,948 | 184 | |
| Tompkins Financial Corp. | 3,223 | 182 | |
| LegacyTexas Financial Group Inc. | 10,242 | 182 | |
| * | FCB Financial Holdings Inc. Class A | 6,019 | 181 |
| New Senior Investment Group Inc. | 18,630 | 181 | |
| *,^ | St. Joe Co. | 11,863 | 180 |
| * | Colony Starwood Homes | 8,214 | 180 |
| Safety Insurance Group Inc. | 3,248 | 180 | |
| Banner Corp. | 4,516 | 179 | |
| * | Hilltop Holdings Inc. | 10,544 | 176 |
| United Fire Group Inc. | 4,357 | 176 | |
| ServisFirst Bancshares Inc. | 4,796 | 175 | |
| Towne Bank | 9,808 | 171 | |
| Stewart Information Services Corp. | 4,943 | 167 | |
| * | FNFV Group | 16,336 | 166 |
| Chatham Lodging Trust | 8,246 | 165 | |
| First Commonwealth Financial Corp. | 19,165 | 165 | |
| Agree Realty Corp. | 4,441 | 165 | |
| Berkshire Hills Bancorp Inc. | 6,360 | 164 | |
| Investors Real Estate Trust | 26,406 | 162 | |
| Oritani Financial Corp. | 9,488 | 161 | |
| Northfield Bancorp Inc. | 10,116 | 159 | |
| Brookline Bancorp Inc. | 15,105 | 159 | |
| * | iStar Inc. | 18,428 | 156 |
| National General Holdings Corp. | 7,749 | 154 | |
| First Financial Bankshares Inc. | 5,808 | 153 | |
| Lakeland Financial Corp. | 3,584 | 153 | |
| ARMOUR Residential REIT Inc. | 7,879 | 152 | |
| Monmouth Real Estate Investment Corp. | 13,614 | 151 | |
| Wilshire Bancorp Inc. | 15,230 | 150 | |
| Hannon Armstrong Sustainable Infrastructure Capital Inc. | 8,261 | 145 | |
| City Holding Co. | 3,287 | 145 | |
| State Bank Financial Corp. | 7,715 | 144 | |
| Rouse Properties Inc. | 7,907 | 144 | |
| Hanmi Financial Corp. | 6,899 | 144 | |
| American Capital Mortgage Investment Corp. | 10,230 | 141 | |
| Meridian Bancorp Inc. | 10,139 | 140 | |
| Banco Latinoamericano de Comercio Exterior SA | 6,496 | 139 | |
| Sandy Spring Bancorp Inc. | 5,333 | 139 | |
| CenterState Banks Inc. | 9,818 | 137 | |
| Inland Real Estate Corp. | 12,888 | 137 | |
| Capital Bank Financial Corp. | 4,561 | 134 | |
| * | Greenlight Capital Re Ltd. Class A | 6,262 | 134 |
| * | Ambac Financial Group Inc. | 8,661 | 132 |
| Flushing Financial Corp. | 6,361 | 131 | |
| * | Customers Bancorp Inc. | 5,779 | 131 |
| Southside Bancshares Inc. | 5,482 | 128 | |
| Virtus Investment Partners Inc. | 1,396 | 128 | |
| Banc of California Inc. | 8,245 | 126 | |
40
| Vanguard® Russell 2000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Cardinal Financial Corp. | 6,524 | 126 | |
| National Bank Holdings Corp. Class A | 6,497 | 126 | |
| Cedar Realty Trust Inc. | 18,389 | 126 | |
| TriCo Bancshares | 4,928 | 122 | |
| * | Piper Jaffray Cos. | 2,859 | 121 |
| * | Pacific Premier Bancorp Inc. | 5,870 | 121 |
| Heartland Financial USA Inc. | 4,098 | 121 | |
| Stock Yards Bancorp Inc. | 3,210 | 120 | |
| Enterprise Financial Services Corp. | 4,323 | 120 | |
| FBL Financial Group Inc. Class A | 2,084 | 120 | |
| Washington Trust Bancorp Inc. | 3,214 | 119 | |
| TrustCo Bank Corp. NY | 20,614 | 119 | |
| Investment Technology Group Inc. | 6,453 | 118 | |
| Yadkin Financial Corp. | 5,460 | 118 | |
| Altisource Residential Corp. | 12,402 | 116 | |
| Maiden Holdings Ltd. | 9,630 | 115 | |
| Dime Community Bancshares Inc. | 6,754 | 115 | |
| Community Trust Bancorp Inc. | 3,398 | 115 | |
| Heritage Financial Corp. | 6,560 | 114 | |
| First Interstate BancSystem Inc. Class A | 4,268 | 114 | |
| Sovran Self Storage Inc. | 1,074 | 114 | |
| BNC Bancorp | 5,591 | 113 | |
| American Residential Properties Inc. | 6,993 | 111 | |
| * | HRG Group Inc. | 9,466 | 110 |
| * | Encore Capital Group Inc. | 4,739 | 110 |
| Silver Bay Realty Trust Corp. | 7,913 | 109 | |
| 1st Source Corp. | 3,555 | 108 | |
| First Potomac Realty Trust | 12,770 | 108 | |
| Urstadt Biddle Properties Inc. Class A | 5,302 | 105 | |
| National Western Life Group Inc. Class A | 485 | 104 | |
| German American Bancorp Inc. | 3,219 | 103 | |
| United Financial Bancorp Inc. | 8,770 | 102 | |
| Getty Realty Corp. | 5,558 | 101 | |
| InfraREIT Inc. | 4,771 | 101 | |
| Ashford Hospitality Trust Inc. | 18,162 | 100 | |
| ConnectOne Bancorp Inc. | 6,509 | 100 | |
| Anworth Mortgage Asset Corp. | 21,254 | 100 | |
| Central Pacific Financial Corp. | 5,006 | 100 | |
| First Busey Corp. | 5,250 | 100 | |
| New York Mortgage Trust Inc. | 23,709 | 99 | |
| Western Asset Mortgage Capital Corp. | 9,130 | 99 | |
| MainSource Financial Group Inc. | 4,722 | 98 | |
| Bryn Mawr Bank Corp. | 3,876 | 97 | |
| Ladder Capital Corp. | 9,390 | 97 | |
| *,^ | Nationstar Mortgage Holdings Inc. | 7,943 | 94 |
| Bridge Bancorp Inc. | 3,248 | 92 | |
| CatchMark Timber Trust Inc. Class A | 8,622 | 92 | |
| Home BancShares Inc. | 2,280 | 90 | |
| BancFirst Corp. | 1,592 | 90 | |
| * | Ocwen Financial Corp. | 23,219 | 88 |
| Apollo Residential Mortgage Inc. | 6,811 | 88 | |
| * | Flagstar Bancorp Inc. | 4,494 | 86 |
| Great Southern Bancorp Inc. | 2,292 | 86 | |
| CoBiz Financial Inc. | 7,934 | 86 | |
| NewBridge Bancorp | 7,612 | 83 | |
| RE/MAX Holdings Inc. Class A | 2,574 | 83 | |
| Blue Hills Bancorp Inc. | 5,951 | 82 | |
| Mercantile Bank Corp. | 3,585 | 81 | |
| Waterstone Financial Inc. | 5,729 | 81 | |
| Clifton Bancorp Inc. | 5,452 | 80 | |
| Lakeland Bancorp Inc. | 8,042 | 80 | |
| Financial Institutions Inc. | 3,007 | 80 | |
| Univest Corp. of Pennsylvania | 4,174 | 80 | |
| * | CU Bancorp | 3,565 | 78 |
41
| Vanguard® Russell 2000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| First Bancorp | 4,189 | 77 | |
| First Financial Corp. | 2,345 | 77 | |
| First Defiance Financial Corp. | 1,966 | 77 | |
| * | First NBC Bank Holding Co. | 3,236 | 76 |
| * | Cowen Group Inc. Class A | 22,337 | 76 |
| Resource Capital Corp. | 6,772 | 75 | |
| * | Seacoast Banking Corp. of Florida | 5,051 | 75 |
| Employers Holdings Inc. | 2,680 | 74 | |
| AG Mortgage Investment Trust Inc. | 6,024 | 74 | |
| Bank Mutual Corp. | 9,894 | 74 | |
| *,^ | Citizens Inc. Class A | 10,414 | 73 |
| First of Long Island Corp. | 2,597 | 72 | |
| Federal Agricultural Mortgage Corp. | 2,222 | 72 | |
| Federated National Holding Co. | 3,008 | 72 | |
| Independent Bank Corp. | 4,874 | 72 | |
| * | HomeTrust Bancshares Inc. | 4,065 | 72 |
| * | Eagle Bancorp Inc. | 1,556 | 71 |
| Opus Bank | 2,210 | 71 | |
| United Insurance Holdings Corp. | 3,650 | 71 | |
| Preferred Bank | 2,478 | 71 | |
| Gladstone Commercial Corp. | 4,682 | 70 | |
| Peoples Bancorp Inc. | 3,900 | 70 | |
| * | Forestar Group Inc. | 7,134 | 70 |
| State National Cos. Inc. | 6,112 | 69 | |
| State Auto Financial Corp. | 3,181 | 68 | |
| James River Group Holdings Ltd. | 2,334 | 68 | |
| * | Anchor BanCorp Wisconsin Inc. | 1,627 | 68 |
| Stonegate Bank | 2,362 | 68 | |
| * | KCG Holdings Inc. Class A | 6,372 | 67 |
| Armada Hoffler Properties Inc. | 6,286 | 67 | |
| Meta Financial Group Inc. | 1,602 | 66 | |
| Dynex Capital Inc. | 10,433 | 66 | |
| * | First BanCorp | 24,699 | 66 |
| * | Walker & Dunlop Inc. | 2,848 | 66 |
| First Community Bancshares Inc. | 3,578 | 65 | |
| * | HomeStreet Inc. | 3,225 | 64 |
| Whitestone REIT | 5,732 | 64 | |
| Pacific Continental Corp. | 4,140 | 64 | |
| Park Sterling Corp. | 10,250 | 64 | |
| Bank of Marin Bancorp | 1,268 | 63 | |
| OneBeacon Insurance Group Ltd. Class A | 4,819 | 62 | |
| Arrow Financial Corp. | 2,377 | 62 | |
| Potlatch Corp. | 2,348 | 62 | |
| United Community Financial Corp. | 10,442 | 62 | |
| Camden National Corp. | 1,581 | 61 | |
| Southwest Bancorp Inc. | 4,041 | 61 | |
| Suffolk Bancorp | 2,490 | 60 | |
| * | INTL. FCStone Inc. | 2,362 | 60 |
| * | Walter Investment Management Corp. | 8,006 | 60 |
| West Bancorporation Inc. | 3,414 | 60 | |
| Fidelity & Guaranty Life | 2,389 | 59 | |
| Arlington Asset Investment Corp. Class A | 4,880 | 59 | |
| Horizon Bancorp | 2,438 | 59 | |
| Peoples Financial Services Corp. | 1,611 | 58 | |
| Preferred Apartment Communities Inc. Class A | 4,753 | 58 | |
| Ashford Hospitality Prime Inc. | 5,829 | 57 | |
| One Liberty Properties Inc. | 2,690 | 57 | |
| Independent Bank Group Inc. | 2,068 | 57 | |
| HCI Group Inc. | 1,617 | 57 | |
| Ares Commercial Real Estate Corp. | 5,796 | 57 | |
| QCR Holdings Inc. | 2,505 | 56 | |
| Fidelity Southern Corp. | 3,737 | 56 | |
| OFG Bancorp | 9,593 | 56 | |
| First Connecticut Bancorp Inc. | 3,435 | 55 | |
42
| Vanguard® Russell 2000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * TriState Capital Holdings Inc. | 4,573 | 55 |
| CNB Financial Corp. | 3,097 | 55 |
| Peapack Gladstone Financial Corp. | 3,310 | 55 |
| * NMI Holdings Inc. Class A | 10,732 | 55 |
| Republic Bancorp Inc. Class A | 2,135 | 55 |
| Cass Information Systems Inc. | 1,076 | 54 |
| * Safeguard Scientifics Inc. | 4,440 | 53 |
| Citizens & Northern Corp. | 2,629 | 52 |
| * Tejon Ranch Co. | 2,955 | 52 |
| RAIT Financial Trust | 19,286 | 51 |
| * FRP Holdings Inc. | 1,462 | 50 |
| * Global Indemnity plc | 1,762 | 49 |
| National Bankshares Inc. | 1,475 | 49 |
| Baldwin & Lyons Inc. | 1,994 | 49 |
| NexPoint Residential Trust Inc. | 4,076 | 48 |
| Heritage Commerce Corp. | 5,155 | 48 |
| OceanFirst Financial Corp. | 2,822 | 48 |
| Fox Chase Bancorp Inc. | 2,477 | 48 |
| UMH Properties Inc. | 5,012 | 47 |
| Sierra Bancorp | 2,506 | 47 |
| American National Bankshares Inc. | 1,852 | 47 |
| BankFinancial Corp. | 3,899 | 47 |
| Guaranty Bancorp | 3,145 | 47 |
| * Ladenburg Thalmann Financial Services Inc. | 19,981 | 47 |
| Territorial Bancorp Inc. | 1,808 | 47 |
| CyrusOne Inc. | 1,167 | 46 |
| Ames National Corp. | 1,976 | 46 |
| Orchid Island Capital Inc. | 4,717 | 45 |
| Charter Financial Corp. | 3,259 | 45 |
| Independence Realty Trust Inc. | 6,838 | 44 |
| Houlihan Lokey Inc. | 1,704 | 44 |
| MidWestOne Financial Group Inc. | 1,671 | 44 |
| * Triumph Bancorp Inc. | 3,153 | 43 |
| First Bancorp Inc. | 2,279 | 43 |
| * Sun Bancorp Inc. | 2,037 | 42 |
| GAIN Capital Holdings Inc. | 5,814 | 42 |
| Bar Harbor Bankshares | 1,268 | 42 |
| * Old Second Bancorp Inc. | 6,254 | 42 |
| * PICO Holdings Inc. | 4,882 | 42 |
| * Everi Holdings Inc. | 13,961 | 41 |
| Bluerock Residential Growth REIT Inc. Class A | 3,999 | 41 |
| Farmers Capital Bank Corp. | 1,590 | 41 |
| EMC Insurance Group Inc. | 1,663 | 40 |
| Penns Woods Bancorp Inc. | 1,016 | 39 |
| Tiptree Financial Inc. Class A | 6,353 | 39 |
| First Business Financial Services Inc. | 1,840 | 39 |
| * BSB Bancorp Inc. | 1,725 | 38 |
| Heritage Insurance Holdings Inc. | 1,929 | 38 |
| Enterprise Bancorp Inc. | 1,633 | 37 |
| Heritage Oaks Bancorp | 4,978 | 36 |
| * Cascade Bancorp | 6,629 | 36 |
| * NewStar Financial Inc. | 5,126 | 35 |
| CorEnergy Infrastructure Trust Inc. | 2,593 | 34 |
| * CommunityOne Bancorp | 2,662 | 34 |
| * Bancorp Inc. | 7,153 | 34 |
| Hingham Institution for Savings | 286 | 34 |
| Capital City Bank Group Inc. | 2,326 | 34 |
| * MoneyGram International Inc. | 6,208 | 33 |
| * RMR Group Inc. Class A | 1,478 | 33 |
| * Regional Management Corp. | 2,163 | 33 |
| * Franklin Financial Network Inc. | 1,199 | 33 |
| American Assets Trust Inc. | 885 | 33 |
| Calamos Asset Management Inc. Class A | 3,849 | 33 |
| * EZCORP Inc. Class A | 10,983 | 32 |
43
| Vanguard® Russell 2000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Consolidated-Tomoka Land Co. | 662 | 32 |
| Merchants Bancshares Inc. | 1,092 | 32 |
| Oppenheimer Holdings Inc. Class A | 2,219 | 31 |
| * PennyMac Financial Services Inc. Class A | 2,479 | 31 |
| * Hallmark Financial Services Inc. | 3,066 | 31 |
| * C1 Financial Inc. | 1,331 | 30 |
| Century Bancorp Inc. Class A | 757 | 30 |
| Access National Corp. | 1,591 | 30 |
| * National Commerce Corp. | 1,338 | 29 |
| Donegal Group Inc. Class A | 1,907 | 28 |
| * Bear State Financial Inc. | 2,985 | 27 |
| * AV Homes Inc. | 2,742 | 27 |
| National Interstate Corp. | 1,209 | 27 |
| Independence Holding Co. | 1,480 | 24 |
| * Green Bancorp Inc. | 3,127 | 22 |
| * World Acceptance Corp. | 585 | 22 |
| * Atlas Financial Holdings Inc. | 1,169 | 21 |
| Crawford & Co. Class B | 4,065 | 20 |
| ^ United Development Funding IV | 6,222 | 20 |
| First Cash Financial Services Inc. | 465 | 20 |
| * Real Industry Inc. | 2,024 | 14 |
| Live Oak Bancshares Inc. | 1,038 | 14 |
| * Stonegate Mortgage Corp. | 2,801 | 13 |
| Alexander's Inc. | 34 | 13 |
| Saul Centers Inc. | 266 | 13 |
| Resource America Inc. Class A | 2,821 | 13 |
| QTS Realty Trust Inc. Class A | 280 | 12 |
| * Hampton Roads Bankshares Inc. | 7,166 | 12 |
| Moelis & Co. Class A | 480 | 12 |
| People's Utah Bancorp | 691 | 11 |
| * Allegiance Bancshares Inc. | 578 | 10 |
| * Campus Crest Communities Inc. | 1,390 | 10 |
| Great Ajax Corp. | 935 | 9 |
| * Equity Bancshares Inc. Class A | 431 | 9 |
| * BBX Capital Corp. | 592 | 7 |
| ^ CPI Card Group Inc. | 763 | 6 |
| National Storage Affiliates Trust | 249 | 5 |
| * Trupanion Inc. | 453 | 4 |
| * JG Wentworth Co. Class A | 3,035 | 4 |
| * Enova International Inc. | 594 | 3 |
| * Impac Mortgage Holdings Inc. | 139 | 2 |
| * Altisource Asset Management Corp. | 26 | — |
| * RCS Capital Corp. Class A | 236 | — |
| * Tejon Ranch Co. Warrants Exp. 8/31/2016 | 22 | — |
| 72,423 | ||
| Health Care (4.2%) | ||
| * Amsurg Corp. | 8,787 | 598 |
| Owens & Minor Inc. | 13,586 | 535 |
| * Medicines Co. | 12,863 | 414 |
| * Magellan Health Inc. | 5,393 | 340 |
| * Halyard Health Inc. | 10,069 | 257 |
| CONMED Corp. | 5,922 | 235 |
| * Integra LifeSciences Holdings Corp. | 3,401 | 209 |
| * Greatbatch Inc. | 5,482 | 207 |
| Kindred Healthcare Inc. | 17,985 | 189 |
| * Haemonetics Corp. | 5,804 | 186 |
| Analogic Corp. | 2,435 | 183 |
| * Merit Medical Systems Inc. | 9,491 | 179 |
| * Affymetrix Inc. | 11,976 | 168 |
| * LivaNova plc | 2,866 | 162 |
| * Luminex Corp. | 8,646 | 161 |
| * Wright Medical Group NV | 9,235 | 158 |
| * Orthofix International NV | 4,050 | 156 |
| * PharMerica Corp. | 6,533 | 151 |
44
| Vanguard® Russell 2000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| National HealthCare Corp. | 2,180 | 140 | |
| * | Triple-S Management Corp. Class B | 5,222 | 137 |
| PDL BioPharma Inc. | 35,656 | 107 | |
| * | ICU Medical Inc. | 1,099 | 101 |
| * | Theravance Biopharma Inc. | 6,233 | 98 |
| * | LHC Group Inc. | 2,660 | 95 |
| Invacare Corp. | 6,868 | 83 | |
| * | OraSure Technologies Inc. | 11,025 | 74 |
| Universal American Corp. | 10,575 | 71 | |
| * | Healthways Inc. | 6,587 | 69 |
| * | Emergent BioSolutions Inc. | 1,894 | 64 |
| CryoLife Inc. | 5,486 | 59 | |
| * | AngioDynamics Inc. | 5,393 | 59 |
| * | Almost Family Inc. | 1,537 | 58 |
| * | Quidel Corp. | 3,643 | 57 |
| * | Dermira Inc. | 2,165 | 50 |
| * | Akebia Therapeutics Inc. | 6,799 | 50 |
| * | Lexicon Pharmaceuticals Inc. | 5,289 | 49 |
| * | Spectrum Pharmaceuticals Inc. | 10,406 | 47 |
| * | Amedisys Inc. | 1,228 | 45 |
| * | SurModics Inc. | 2,228 | 42 |
| * | Exactech Inc. | 2,163 | 40 |
| * | Loxo Oncology Inc. | 1,936 | 36 |
| * | Adamas Pharmaceuticals Inc. | 2,615 | 33 |
| * | BioScrip Inc. | 15,118 | 33 |
| * | Anika Therapeutics Inc. | 721 | 33 |
| * | Cross Country Healthcare Inc. | 2,620 | 33 |
| Meridian Bioscience Inc. | 1,498 | 30 | |
| * | Versartis Inc. | 4,401 | 29 |
| * | Addus HomeCare Corp. | 1,255 | 28 |
| * | Acorda Therapeutics Inc. | 838 | 27 |
| * | Innoviva Inc. | 2,312 | 27 |
| *,^ | TransEnterix Inc. | 8,319 | 27 |
| * | AtriCure Inc. | 1,571 | 26 |
| * | Amphastar Pharmaceuticals Inc. | 2,412 | 25 |
| * | Endocyte Inc. | 8,241 | 25 |
| * | Cytokinetics Inc. | 3,749 | 24 |
| * | Arrowhead Research Corp. | 6,052 | 24 |
| * | Five Star Quality Care Inc. | 9,790 | 23 |
| LeMaitre Vascular Inc. | 1,574 | 23 | |
| * | ACADIA Pharmaceuticals Inc. | 1,338 | 23 |
| * | Harvard Bioscience Inc. | 6,998 | 19 |
| * | Surgery Partners Inc. | 1,459 | 19 |
| * | Cynosure Inc. Class A | 398 | 16 |
| Ensign Group Inc. | 759 | 16 | |
| * | Cerus Corp. | 3,114 | 15 |
| Select Medical Holdings Corp. | 1,523 | 15 | |
| * | Vanda Pharmaceuticals Inc. | 1,778 | 14 |
| * | Calithera Biosciences Inc. | 2,330 | 14 |
| * | Array BioPharma Inc. | 5,276 | 13 |
| * | Stemline Therapeutics Inc. | 2,692 | 13 |
| * | SeaSpine Holdings Corp. | 1,020 | 13 |
| * | Celldex Therapeutics Inc. | 1,880 | 13 |
| *,^ | Rockwell Medical Inc. | 1,296 | 12 |
| * | Ignyta Inc. | 1,854 | 12 |
| * | Inovio Pharmaceuticals Inc. | 1,853 | 12 |
| * | Surgical Care Affiliates Inc. | 278 | 11 |
| * | Rigel Pharmaceuticals Inc. | 4,670 | 11 |
| * | Cutera Inc. | 865 | 10 |
| * | Agenus Inc. | 3,685 | 10 |
| * | Hanger Inc. | 3,708 | 9 |
| *,^ | Teladoc Inc. | 556 | 8 |
| * | Merrimack Pharmaceuticals Inc. | 1,259 | 7 |
| * | Genesis Healthcare Inc. | 3,922 | 7 |
45
| Vanguard® Russell 2000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Penumbra Inc. | 147 | 7 |
| * | Navidea Biopharmaceuticals Inc. | 6,824 | 7 |
| * | Tokai Pharmaceuticals Inc. | 1,040 | 7 |
| * | RTI Surgical Inc. | 1,835 | 6 |
| * | BioCryst Pharmaceuticals Inc. | 2,880 | 6 |
| * | Verastem Inc. | 5,112 | 6 |
| *,^ | Omeros Corp. | 464 | 5 |
| * | Alliance HealthCare Services Inc. | 610 | 4 |
| * | Immunomedics Inc. | 1,901 | 4 |
| National Research Corp. Class A | 260 | 4 | |
| * | Geron Corp. | 1,608 | 4 |
| * | Entellus Medical Inc. | 241 | 4 |
| * | Seres Therapeutics Inc. | 160 | 4 |
| * | Glaukos Corp. | 206 | 3 |
| * | Aimmune Therapeutics Inc. | 211 | 3 |
| * | Axovant Sciences Ltd. | 267 | 3 |
| * | Idera Pharmaceuticals Inc. | 1,769 | 3 |
| * | Novocure Ltd. | 267 | 3 |
| *,^ | Unilife Corp. | 3,438 | 3 |
| * | ConforMIS Inc. | 306 | 3 |
| Osiris Therapeutics Inc. | 352 | 3 | |
| * | Cardiovascular Systems Inc. | 300 | 2 |
| * | Aclaris Therapeutics Inc. | 115 | 2 |
| * | CytomX Therapeutics Inc. | 155 | 2 |
| * | XOMA Corp. | 2,610 | 2 |
| * | Global Blood Therapeutics Inc. | 132 | 2 |
| * | Oxford Immunotec Global plc | 195 | 2 |
| * | REGENXBIO Inc. | 147 | 2 |
| * | Aratana Therapeutics Inc. | 518 | 2 |
| * | Chiasma Inc. | 139 | 1 |
| * | EndoChoice Holdings Inc. | 280 | 1 |
| * | Natera Inc. | 184 | 1 |
| * | Edge Therapeutics Inc. | 169 | 1 |
| * | Voyager Therapeutics Inc. | 115 | 1 |
| * | Peregrine Pharmaceuticals Inc. | 2,692 | 1 |
| * | Invuity Inc. | 138 | 1 |
| * | Neos Therapeutics Inc. | 101 | 1 |
| * | MyoKardia Inc. | 128 | 1 |
| * | NantKwest Inc. | 127 | 1 |
| * | Lantheus Holdings Inc. | 364 | 1 |
| * | Dimension Therapeutics Inc. | 112 | 1 |
| * | Assembly Biosciences Inc. | 164 | 1 |
| * | vTv Therapeutics Inc. Class A | 119 | 1 |
| * | Nivalis Therapeutics Inc. | 93 | — |
| * | Catabasis Pharmaceuticals Inc. | 84 | — |
| * | Zynerba Pharmaceuticals Inc. | 48 | — |
| * | Threshold Pharmaceuticals Inc. | 643 | — |
| 7,023 | |||
| Materials & Processing (4.4%) | |||
| Commercial Metals Co. | 24,978 | 367 | |
| Universal Forest Products Inc. | 4,346 | 333 | |
| * | Berry Plastics Group Inc. | 10,448 | 325 |
| Axiall Corp. | 15,175 | 302 | |
| Olin Corp. | 19,824 | 301 | |
| Carpenter Technology Corp. | 10,060 | 299 | |
| * | Beacon Roofing Supply Inc. | 8,081 | 292 |
| Simpson Manufacturing Co. Inc. | 8,359 | 284 | |
| * | MRC Global Inc. | 22,121 | 264 |
| Worthington Industries Inc. | 7,928 | 247 | |
| Innospec Inc. | 5,202 | 226 | |
| Hecla Mining Co. | 79,648 | 206 | |
| Sensient Technologies Corp. | 3,565 | 205 | |
| Kaiser Aluminum Corp. | 2,458 | 188 | |
| Greif Inc. Class A | 6,639 | 176 | |
46
| Vanguard® Russell 2000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| PH Glatfelter Co. | 9,321 | 171 | |
| * | Gibraltar Industries Inc. | 6,674 | 165 |
| Schweitzer-Mauduit International Inc. | 5,398 | 163 | |
| * | Stillwater Mining Co. | 17,683 | 148 |
| Innophos Holdings Inc. | 4,257 | 123 | |
| * | Kraton Performance Polymers Inc. | 6,817 | 117 |
| Quanex Building Products Corp. | 6,742 | 116 | |
| Materion Corp. | 4,378 | 114 | |
| * | Coeur Mining Inc. | 29,569 | 114 |
| * | AK Steel Holding Corp. | 38,659 | 111 |
| Stepan Co. | 2,146 | 107 | |
| Mueller Industries Inc. | 4,026 | 106 | |
| Neenah Paper Inc. | 1,650 | 100 | |
| Calgon Carbon Corp. | 6,216 | 87 | |
| Schnitzer Steel Industries Inc. | 5,619 | 82 | |
| Griffon Corp. | 5,233 | 78 | |
| Haynes International Inc. | 2,470 | 76 | |
| *,^ | Cliffs Natural Resources Inc. | 32,560 | 70 |
| * | Century Aluminum Co. | 9,809 | 70 |
| Tronox Ltd. Class A | 13,495 | 70 | |
| * | Univar Inc. | 4,440 | 70 |
| American Vanguard Corp. | 5,431 | 69 | |
| * | Unifi Inc. | 2,974 | 67 |
| FutureFuel Corp. | 5,179 | 66 | |
| TimkenSteel Corp. | 8,471 | 66 | |
| Rayonier Advanced Materials Inc. | 8,654 | 65 | |
| Quaker Chemical Corp. | 814 | 63 | |
| Hawkins Inc. | 1,844 | 59 | |
| Tredegar Corp. | 4,221 | 58 | |
| * | Veritiv Corp. | 1,746 | 56 |
| LSI Industries Inc. | 4,593 | 50 | |
| * | Landec Corp. | 4,563 | 46 |
| * | Louisiana-Pacific Corp. | 2,418 | 38 |
| Oil-Dri Corp. of America | 1,041 | 38 | |
| * | Cabot Microelectronics Corp. | 833 | 32 |
| LB Foster Co. Class A | 2,278 | 31 | |
| Kronos Worldwide Inc. | 4,605 | 29 | |
| Minerals Technologies Inc. | 490 | 25 | |
| * | Boise Cascade Co. | 1,437 | 24 |
| * | OMNOVA Solutions Inc. | 4,372 | 23 |
| * | Multi Packaging Solutions International Ltd. | 1,427 | 22 |
| United States Lime & Minerals Inc. | 383 | 20 | |
| * | Northwest Pipe Co. | 1,942 | 20 |
| * | LSB Industries Inc. | 2,895 | 17 |
| Olympic Steel Inc. | 1,541 | 17 | |
| Aceto Corp. | 768 | 17 | |
| A Schulman Inc. | 626 | 15 | |
| Comfort Systems USA Inc. | 505 | 14 | |
| * | Intrepid Potash Inc. | 12,163 | 12 |
| * | Energy Fuels Inc. | 4,581 | 11 |
| * | Handy & Harman Ltd. | 552 | 11 |
| Global Brass & Copper Holdings Inc. | 462 | 10 | |
| Insteel Industries Inc. | 383 | 10 | |
| Chase Corp. | 149 | 7 | |
| * | Ryerson Holding Corp. | 1,790 | 7 |
| * | Lawson Products Inc. | 305 | 5 |
| * | NL Industries Inc. | 1,171 | 3 |
| Valhi Inc. | 1,757 | 2 | |
| 7,398 | |||
| Other (0.0%)2 | |||
| * | Leap Wireless International Inc. CVR | 7,564 | 19 |
| * | Gerber Scientific Inc. CVR | 519 | — |
47
| Vanguard® Russell 2000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Magnum Hunter Resources Corp. Warrants Exp. 4/15/2016 | 1,575 | — |
| 19 | ||
| Producer Durables (12.0%) | ||
| Curtiss-Wright Corp. | 9,668 | 682 |
| EMCOR Group Inc. | 13,488 | 619 |
| Convergys Corp. | 21,280 | 549 |
| * Teledyne Technologies Inc. | 5,657 | 482 |
| Barnes Group Inc. | 11,814 | 405 |
| ABM Industries Inc. | 12,077 | 379 |
| EnerSys | 7,017 | 360 |
| Tetra Tech Inc. | 13,004 | 358 |
| * Esterline Technologies Corp. | 6,376 | 357 |
| Granite Construction Inc. | 8,496 | 352 |
| UniFirst Corp. | 3,208 | 338 |
| * Itron Inc. | 8,302 | 331 |
| * Darling Ingredients Inc. | 35,696 | 322 |
| * KLX Inc. | 11,393 | 319 |
| Watts Water Technologies Inc. Class A | 6,085 | 314 |
| * Moog Inc. Class A | 7,216 | 312 |
| Actuant Corp. Class A | 12,873 | 301 |
| Deluxe Corp. | 4,881 | 280 |
| * FTI Consulting Inc. | 8,260 | 272 |
| Aircastle Ltd. | 13,501 | 271 |
| Brady Corp. Class A | 10,333 | 270 |
| ^ Nordic American Tankers Ltd. | 19,112 | 264 |
| Mobile Mini Inc. | 8,892 | 256 |
| * Sykes Enterprises Inc. | 8,356 | 255 |
| * MasTec Inc. | 14,335 | 243 |
| * Huron Consulting Group Inc. | 4,365 | 242 |
| Essendant Inc. | 8,221 | 242 |
| Scorpio Tankers Inc. | 38,363 | 239 |
| Kaman Corp. | 5,363 | 236 |
| Briggs & Stratton Corp. | 9,580 | 204 |
| SkyWest Inc. | 11,121 | 201 |
| Applied Industrial Technologies Inc. | 5,212 | 201 |
| ESCO Technologies Inc. | 5,608 | 200 |
| * Atlas Air Worldwide Holdings Inc. | 5,374 | 195 |
| Woodward Inc. | 4,122 | 194 |
| Werner Enterprises Inc. | 7,278 | 193 |
| Albany International Corp. | 5,252 | 192 |
| * OSI Systems Inc. | 3,170 | 191 |
| Astec Industries Inc. | 4,088 | 178 |
| * ACCO Brands Corp. | 23,675 | 173 |
| * Wesco Aircraft Holdings Inc. | 13,294 | 170 |
| Ship Finance International Ltd. | 12,781 | 167 |
| Cubic Corp. | 4,669 | 164 |
| AAR Corp. | 7,645 | 163 |
| Federal Signal Corp. | 13,435 | 159 |
| * Navigant Consulting Inc. | 10,404 | 158 |
| * TriMas Corp. | 9,171 | 152 |
| CIRCOR International Inc. | 3,704 | 148 |
| * Aegion Corp. Class A | 7,919 | 143 |
| * ICF International Inc. | 4,219 | 143 |
| Korn/Ferry International | 4,946 | 141 |
| * Chart Industries Inc. | 6,624 | 134 |
| * Rush Enterprises Inc. Class A | 7,660 | 133 |
| * Air Transport Services Group Inc. | 11,419 | 132 |
| McGrath RentCorp | 5,164 | 127 |
| * Advanced Energy Industries Inc. | 4,068 | 121 |
| DHT Holdings Inc. | 20,117 | 117 |
| Bristow Group Inc. | 7,554 | 115 |
| * CBIZ Inc. | 10,742 | 114 |
| * Aerojet Rocketdyne Holdings Inc. | 7,197 | 112 |
| Kelly Services Inc. Class A | 6,463 | 111 |
48
| Vanguard® Russell 2000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Ennis Inc. | 5,607 | 111 | |
| Raven Industries Inc. | 7,209 | 110 | |
| Alamo Group Inc. | 2,102 | 109 | |
| * | Tutor Perini Corp. | 8,163 | 109 |
| * | Aerovironment Inc. | 4,284 | 107 |
| EnPro Industries Inc. | 2,005 | 104 | |
| * | Thermon Group Holdings Inc. | 6,030 | 102 |
| * | RPX Corp. | 10,311 | 102 |
| * | MYR Group Inc. | 4,553 | 102 |
| MSA Safety Inc. | 2,284 | 100 | |
| * | Modine Manufacturing Co. | 10,442 | 99 |
| * | PHH Corp. | 10,744 | 97 |
| Resources Connection Inc. | 6,676 | 93 | |
| *,^ | Frontline Ltd. | 10,406 | 92 |
| * | FARO Technologies Inc. | 2,847 | 91 |
| TAL International Group Inc. | 7,056 | 90 | |
| Heidrick & Struggles International Inc. | 3,799 | 89 | |
| Hyster-Yale Materials Handling Inc. | 1,485 | 88 | |
| * | Navistar International Corp. | 10,186 | 86 |
| Teekay Tankers Ltd. Class A | 20,765 | 85 | |
| ^ | GasLog Ltd. | 8,831 | 84 |
| Gorman-Rupp Co. | 3,114 | 79 | |
| G&K Services Inc. Class A | 1,167 | 77 | |
| Quad/Graphics Inc. | 6,096 | 77 | |
| Marten Transport Ltd. | 4,559 | 75 | |
| Kadant Inc. | 1,950 | 74 | |
| Littelfuse Inc. | 652 | 74 | |
| ArcBest Corp. | 3,720 | 73 | |
| Douglas Dynamics Inc. | 3,587 | 70 | |
| * | Lydall Inc. | 2,409 | 70 |
| * | XPO Logistics Inc. | 2,671 | 66 |
| Columbus McKinnon Corp. | 4,269 | 59 | |
| ^ | American Railcar Industries Inc. | 1,430 | 59 |
| Tidewater Inc. | 10,083 | 58 | |
| * | Dorian LPG Ltd. | 5,377 | 58 |
| * | Monster Worldwide Inc. | 19,309 | 58 |
| Primoris Services Corp. | 2,645 | 56 | |
| ^ | Textainer Group Holdings Ltd. | 4,696 | 56 |
| VSE Corp. | 883 | 55 | |
| * | Engility Holdings Inc. | 3,806 | 55 |
| Standex International Corp. | 736 | 52 | |
| Powell Industries Inc. | 1,932 | 51 | |
| Kimball International Inc. Class B | 4,708 | 50 | |
| * | DHI Group Inc. | 6,094 | 47 |
| * | YRC Worldwide Inc. | 5,680 | 46 |
| * | PHI Inc. | 2,490 | 45 |
| Titan International Inc. | 8,608 | 44 | |
| NACCO Industries Inc. Class A | 879 | 43 | |
| TeleTech Holdings Inc. | 1,560 | 43 | |
| Miller Industries Inc. | 2,230 | 43 | |
| * | Roadrunner Transportation Systems Inc. | 3,600 | 42 |
| * | Casella Waste Systems Inc. Class A | 6,972 | 41 |
| * | Great Lakes Dredge & Dock Corp. | 11,688 | 40 |
| Graham Corp. | 2,160 | 40 | |
| * | Ascent Capital Group Inc. Class A | 2,824 | 39 |
| * | CRA International Inc. | 1,945 | 38 |
| * | Control4 Corp. | 4,440 | 36 |
| Hurco Cos. Inc. | 1,397 | 36 | |
| Encore Wire Corp. | 1,001 | 36 | |
| * | Titan Machinery Inc. | 3,681 | 35 |
| * | Mistras Group Inc. | 1,602 | 34 |
| * | Ducommun Inc. | 2,347 | 34 |
| Electro Rent Corp. | 3,545 | 34 | |
| * | InnerWorkings Inc. | 4,850 | 33 |
49
| Vanguard® Russell 2000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Vishay Precision Group Inc. | 2,765 | 32 |
| * | Kratos Defense & Security Solutions Inc. | 9,687 | 32 |
| *,^ | Plug Power Inc. | 15,435 | 32 |
| Matson Inc. | 786 | 31 | |
| CECO Environmental Corp. | 4,968 | 31 | |
| Ardmore Shipping Corp. | 3,816 | 31 | |
| CLARCOR Inc. | 632 | 30 | |
| Navios Maritime Acquisition Corp. | 17,404 | 30 | |
| * | CAI International Inc. | 3,787 | 29 |
| * | Hill International Inc. | 8,255 | 29 |
| Altra Industrial Motion Corp. | 1,173 | 28 | |
| Marlin Business Services Corp. | 1,923 | 27 | |
| Lindsay Corp. | 361 | 26 | |
| * | Milacron Holdings Corp. | 1,900 | 26 |
| * | DXP Enterprises Inc. | 1,892 | 26 |
| * | TRC Cos. Inc. | 3,785 | 25 |
| * | Liquidity Services Inc. | 5,307 | 25 |
| * | ExlService Holdings Inc. | 506 | 24 |
| * | Hub Group Inc. Class A | 644 | 24 |
| * | Orion Marine Group Inc. | 6,387 | 23 |
| * | Gener8 Maritime Inc. | 3,537 | 22 |
| Franklin Electric Co. Inc. | 711 | 21 | |
| * | Gulfmark Offshore Inc. | 5,817 | 21 |
| * | Scorpio Bulkers Inc. | 6,598 | 21 |
| * | ServiceSource International Inc. | 5,073 | 21 |
| * | USA Truck Inc. | 1,289 | 20 |
| * | ExOne Co. | 2,167 | 20 |
| Preformed Line Products Co. | 596 | 19 | |
| FreightCar America Inc. | 1,296 | 19 | |
| * | Heritage-Crystal Clean Inc. | 2,339 | 18 |
| ^ | Navios Maritime Holdings Inc. | 19,105 | 16 |
| Celadon Group Inc. | 1,748 | 16 | |
| Twin Disc Inc. | 1,762 | 15 | |
| CDI Corp. | 2,950 | 14 | |
| Exponent Inc. | 293 | 14 | |
| Tennant Co. | 282 | 13 | |
| * | Virgin America Inc. | 380 | 12 |
| Argan Inc. | 363 | 12 | |
| * | TriNet Group Inc. | 795 | 10 |
| Universal Truckload Services Inc. | 538 | 8 | |
| * | HC2 Holdings Inc. | 2,086 | 8 |
| ^ | Golden Ocean Group Ltd. | 13,340 | 8 |
| General Cable Corp. | 768 | 7 | |
| * | Neff Corp. Class A | 1,220 | 6 |
| * | Furmanite Corp. | 1,049 | 6 |
| *,^ | 6D Global Technologies Inc. | 1,910 | 6 |
| * | SP Plus Corp. | 215 | 5 |
| ^ | Safe Bulkers Inc. | 7,811 | 5 |
| * | Volt Information Sciences Inc. | 642 | 5 |
| * | Eagle Bulk Shipping Inc. | 4,528 | 3 |
| * | Vicor Corp. | 364 | 3 |
| * | Republic Airways Holdings Inc. | 4,292 | 3 |
| * | Covenant Transportation Group Inc. Class A | 121 | 3 |
| * | Vectrus Inc. | 108 | 2 |
| * | PFSweb Inc. | 154 | 2 |
| * | Ultrapetrol Bahamas Ltd. | 4,363 | 1 |
| * | Radiant Logistics Inc. | 265 | 1 |
| * | Accuride Corp. | 599 | 1 |
| 20,145 | |||
| Technology (9.7%) | |||
| SYNNEX Corp. | 6,188 | 582 | |
| * | Tech Data Corp. | 7,889 | 555 |
| * | CACI International Inc. Class A | 5,208 | 503 |
| * | Fairchild Semiconductor International Inc. Class A | 25,074 | 503 |
50
| Vanguard® Russell 2000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Mentor Graphics Corp. | 21,562 | 412 | |
| * | Rovi Corp. | 17,824 | 406 |
| * | Coherent Inc. | 4,694 | 397 |
| MKS Instruments Inc. | 11,515 | 379 | |
| Intersil Corp. Class A | 28,450 | 363 | |
| * | Acxiom Corp. | 16,877 | 350 |
| * | Sanmina Corp. | 16,923 | 349 |
| Vishay Intertechnology Inc. | 29,238 | 346 | |
| * | Finisar Corp. | 22,446 | 327 |
| * | Take-Two Interactive Software Inc. | 8,810 | 317 |
| * | Polycom Inc. | 29,185 | 304 |
| * | Progress Software Corp. | 10,944 | 276 |
| * | NETGEAR Inc. | 6,952 | 275 |
| * | Anixter International Inc. | 6,173 | 264 |
| * | II-VI Inc. | 11,247 | 247 |
| * | Benchmark Electronics Inc. | 11,233 | 243 |
| * | DigitalGlobe Inc. | 15,558 | 234 |
| * | QLogic Corp. | 17,794 | 229 |
| * | Insight Enterprises Inc. | 8,324 | 217 |
| * | Fabrinet | 7,604 | 217 |
| * | ScanSource Inc. | 5,747 | 215 |
| * | Knowles Corp. | 18,732 | 213 |
| * | NeuStar Inc. Class A | 8,388 | 209 |
| * | Stratasys Ltd. | 10,941 | 206 |
| ADTRAN Inc. | 10,729 | 201 | |
| * | NetScout Systems Inc. | 9,494 | 196 |
| * | Semtech Corp. | 9,466 | 181 |
| * | Advanced Micro Devices Inc. | 76,824 | 164 |
| * | Plexus Corp. | 4,506 | 164 |
| * | iRobot Corp. | 5,215 | 163 |
| * | Veeco Instruments Inc. | 8,700 | 161 |
| * | Entegris Inc. | 12,585 | 156 |
| * | Diodes Inc. | 8,097 | 155 |
| ManTech International Corp. Class A | 5,229 | 152 | |
| * | Rogers Corp. | 2,766 | 148 |
| * | Photronics Inc. | 14,350 | 146 |
| Brooks Automation Inc. | 14,586 | 142 | |
| * | Newport Corp. | 5,766 | 131 |
| Tessera Technologies Inc. | 4,410 | 130 | |
| * | Ultratech Inc. | 5,986 | 121 |
| * | Mercury Systems Inc. | 7,406 | 121 |
| * | Lattice Semiconductor Corp. | 19,087 | 121 |
| * | Rofin-Sinar Technologies Inc. | 5,379 | 120 |
| AVX Corp. | 10,019 | 118 | |
| * | Silicon Laboratories Inc. | 2,710 | 112 |
| * | Bankrate Inc. | 14,359 | 110 |
| * | Amkor Technology Inc. | 21,494 | 109 |
| *,^ | Oclaro Inc. | 21,284 | 105 |
| CTS Corp. | 7,220 | 104 | |
| * | ViaSat Inc. | 1,387 | 101 |
| Power Integrations Inc. | 2,148 | 98 | |
| * | GSI Group Inc. | 7,503 | 97 |
| * | ePlus Inc. | 1,113 | 84 |
| * | TTM Technologies Inc. | 12,525 | 82 |
| * | Sonus Networks Inc. | 10,491 | 82 |
| * | ShoreTel Inc. | 10,766 | 80 |
| * | Rudolph Technologies Inc. | 5,747 | 74 |
| * | Applied Micro Circuits Corp. | 12,576 | 73 |
| Comtech Telecommunications Corp. | 3,449 | 71 | |
| * | Kimball Electronics Inc. | 6,190 | 71 |
| * | Nanometrics Inc. | 5,089 | 71 |
| * | Actua Corp. | 8,613 | 70 |
| Checkpoint Systems Inc. | 8,974 | 67 | |
| * | Calix Inc. | 9,426 | 66 |
51
| Vanguard® Russell 2000 Value Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * NeoPhotonics Corp. | 5,925 | 65 |
| * Microsemi Corp. | 1,867 | 65 |
| Cohu Inc. | 5,498 | 63 |
| * RetailMeNot Inc. | 7,688 | 62 |
| Park Electrochemical Corp. | 4,326 | 62 |
| * Axcelis Technologies Inc. | 24,159 | 60 |
| IXYS Corp. | 5,299 | 60 |
| Epiq Systems Inc. | 4,344 | 59 |
| PC Connection Inc. | 2,268 | 56 |
| * Extreme Networks Inc. | 19,510 | 55 |
| * Blucora Inc. | 8,681 | 53 |
| * Sigma Designs Inc. | 7,511 | 52 |
| * FormFactor Inc. | 6,513 | 50 |
| * Alpha & Omega Semiconductor Ltd. | 4,065 | 48 |
| * Harmonic Inc. | 13,716 | 46 |
| * Glu Mobile Inc. | 12,256 | 45 |
| Daktronics Inc. | 6,411 | 45 |
| * Digi International Inc. | 5,289 | 45 |
| * KEYW Holding Corp. | 7,125 | 44 |
| * Perficient Inc. | 2,436 | 44 |
| * CEVA Inc. | 2,239 | 44 |
| * Multi-Fineline Electronix Inc. | 1,930 | 44 |
| Black Box Corp. | 3,261 | 43 |
| * Unisys Corp. | 3,909 | 42 |
| American Software Inc. Class A | 4,383 | 41 |
| * DSP Group Inc. | 4,745 | 41 |
| * Seachange International Inc. | 7,076 | 41 |
| InterDigital Inc. | 792 | 39 |
| * United Online Inc. | 3,137 | 39 |
| * Bottomline Technologies de Inc. | 1,352 | 38 |
| * Exar Corp. | 7,020 | 38 |
| * Xcerra Corp. | 6,540 | 37 |
| American Science & Engineering Inc. | 1,568 | 37 |
| * Telenav Inc. | 5,996 | 36 |
| * Ultra Clean Holdings Inc. | 6,798 | 36 |
| * Ciber Inc. | 17,446 | 35 |
| Acacia Research Corp. | 10,832 | 34 |
| * Agilysys Inc. | 3,275 | 34 |
| Bel Fuse Inc. Class B | 2,215 | 33 |
| * SciQuest Inc. | 2,648 | 32 |
| QAD Inc. Class A | 1,626 | 32 |
| * Pure Storage Inc. Class A | 2,194 | 32 |
| * Intralinks Holdings Inc. | 4,052 | 31 |
| * Datalink Corp. | 4,248 | 30 |
| NVE Corp. | 584 | 30 |
| * Kopin Corp. | 14,422 | 28 |
| * Verint Systems Inc. | 752 | 27 |
| * Vocera Communications Inc. | 1,858 | 26 |
| * Quantum Corp. | 47,395 | 24 |
| * pdvWireless Inc. | 846 | 24 |
| * EMCORE Corp. | 4,419 | 24 |
| * Bazaarvoice Inc. | 7,338 | 23 |
| * TechTarget Inc. | 2,862 | 20 |
| * Limelight Networks Inc. | 12,492 | 19 |
| * Avid Technology Inc. | 2,505 | 19 |
| * Rocket Fuel Inc. | 5,387 | 19 |
| * RealNetworks Inc. | 4,860 | 19 |
| * Marin Software Inc. | 5,497 | 17 |
| * Ixia | 1,314 | 15 |
| Reis Inc. | 675 | 15 |
| * ModusLink Global Solutions Inc. | 7,751 | 15 |
| Sapiens International Corp. NV | 1,197 | 14 |
| * Ubiquiti Networks Inc. | 431 | 14 |
| * Cascade Microtech Inc. | 632 | 13 |
52
| Vanguard® Russell 2000 Value Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Sparton Corp. | 872 | 13 |
| * | Applied Optoelectronics Inc. | 662 | 12 |
| * | DTS Inc. | 493 | 12 |
| * | KVH Industries Inc. | 863 | 8 |
| * | Alarm.com Holdings Inc. | 324 | 6 |
| * | Silver Spring Networks Inc. | 457 | 6 |
| * | Imation Corp. | 6,460 | 6 |
| * | Evolent Health Inc. Class A | 536 | 5 |
| * | Rapid7 Inc. | 323 | 4 |
| * | PDF Solutions Inc. | 376 | 4 |
| * | MINDBODY Inc. Class A | 291 | 3 |
| * | Digimarc Corp. | 105 | 3 |
| *,^ | Appfolio Inc. | 228 | 3 |
| * | Brightcove Inc. | 374 | 2 |
| * | Xactly Corp. | 312 | 2 |
| * | Everyday Health Inc. | 346 | 2 |
| * | Novatel Wireless Inc. | 825 | 1 |
| * | Park City Group Inc. | 136 | 1 |
| * | Amber Road Inc. | 182 | 1 |
| * | Digital Turbine Inc. | 684 | 1 |
| 16,324 | |||
| Utilities (9.2%) | |||
| Piedmont Natural Gas Co. Inc. | 16,946 | 1,007 | |
| IDACORP Inc. | 10,830 | 769 | |
| WGL Holdings Inc. | 10,697 | 729 | |
| Portland General Electric Co. | 19,094 | 727 | |
| ONE Gas Inc. | 11,314 | 656 | |
| New Jersey Resources Corp. | 18,411 | 637 | |
| Black Hills Corp. | 11,012 | 617 | |
| Southwest Gas Corp. | 10,080 | 615 | |
| Laclede Group Inc. | 9,321 | 611 | |
| NorthWestern Corp. | 10,123 | 601 | |
| Cleco Corp. | 13,010 | 597 | |
| ALLETE Inc. | 10,494 | 556 | |
| PNM Resources Inc. | 17,145 | 547 | |
| Avista Corp. | 13,411 | 507 | |
| South Jersey Industries Inc. | 14,757 | 376 | |
| MGE Energy Inc. | 7,478 | 363 | |
| El Paso Electric Co. | 8,717 | 356 | |
| American States Water Co. | 7,470 | 317 | |
| Empire District Electric Co. | 9,419 | 308 | |
| Northwest Natural Gas Co. | 5,905 | 295 | |
| * | Dynegy Inc. | 25,916 | 261 |
| California Water Service Group | 10,261 | 254 | |
| Otter Tail Corp. | 8,047 | 220 | |
| West Corp. | 9,707 | 216 | |
| Chesapeake Utilities Corp. | 3,271 | 204 | |
| Pattern Energy Group Inc. Class A | 11,981 | 203 | |
| * | Vonage Holdings Corp. | 35,798 | 192 |
| Ormat Technologies Inc. | 4,685 | 179 | |
| Abengoa Yield plc | 10,565 | 177 | |
| NRG Yield Inc. | 13,519 | 177 | |
| * | Globalstar Inc. | 103,157 | 161 |
| Atlantic Tele-Network Inc. | 2,210 | 159 | |
| * | Cincinnati Bell Inc. | 45,311 | 157 |
| * | 8x8 Inc. | 12,309 | 143 |
| SJW Corp. | 3,430 | 124 | |
| * | Iridium Communications Inc. | 17,758 | 123 |
| Unitil Corp. | 3,028 | 119 | |
| * | Talen Energy Corp. | 18,112 | 115 |
| * | ORBCOMM Inc. | 12,974 | 113 |
| Connecticut Water Service Inc. | 2,427 | 101 | |
| Middlesex Water Co. | 3,514 | 98 | |
| NRG Yield Inc. Class A | 7,534 | 93 | |
53
| Vanguard® Russell 2000 Value Index Fund | |||||
| Schedule of Investments | |||||
| February 29, 2016 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| Consolidated Communications Holdings Inc. | 3,730 | 87 | |||
| Spok Holdings Inc. | 4,614 | 82 | |||
| Inteliquent Inc. | 4,157 | 71 | |||
| York Water Co. | 2,491 | 69 | |||
| * | Hawaiian Telcom Holdco Inc. | 2,433 | 58 | ||
| Artesian Resources Corp. Class A | 1,663 | 47 | |||
| Atlantic Power Corp. | 25,863 | 45 | |||
| IDT Corp. Class B | 3,029 | 39 | |||
| Shenandoah Telecommunications Co. | 1,476 | 36 | |||
| * | NTELOS Holdings Corp. | 3,758 | 35 | ||
| Consolidated Water Co. Ltd. | 3,173 | 35 | |||
| * | Boingo Wireless Inc. | 3,796 | 27 | ||
| * | Pendrell Corp. | 34,411 | 20 | ||
| Genie Energy Ltd. Class B | 1,963 | 18 | |||
| * | inContact Inc. | 1,306 | 12 | ||
| Windstream Holdings Inc. | 1,469 | 11 | |||
| * | Lumos Networks Corp. | 636 | 8 | ||
| * | Intelsat SA | 4,067 | 7 | ||
| Spark Energy Inc. Class A | 70 | 2 | |||
| 15,489 | |||||
| Total Common Stocks (Cost $195,295) | 166,692 | ||||
| Coupon | |||||
| Temporary Cash Investments (1.0%)1 | |||||
| Money Market Fund (0.6%) | |||||
| 3,4 | Vanguard Market Liquidity Fund | 0.475% | 1,028,000 | 1,028 | |
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.4%) | |||||
| 5 | Federal Home Loan Bank Discount Notes | 0.245% | 4/20/16 | 100 | 100 |
| 5,6 | Federal Home Loan Bank Discount Notes | 0.290% | 4/29/16 | 500 | 500 |
| 600 | |||||
| Total Temporary Cash Investments (Cost $1,628) | 1,628 | ||||
| Total Investments (100.3%) (Cost $196,923) | 168,320 | ||||
| Other Assets and Liabilities—Net (-0.3%)4 | (466) | ||||
| Net Assets (100%) | 167,854 | ||||
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $867,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 0.3%, respectively, of net assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
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 Includes $937,000 of collateral received for securities on loan.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
6 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
54
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Common Stocks (99.7%)1 | |||
| Consumer Discretionary (19.8%) | |||
| Vail Resorts Inc. | 17,961 | 2,288 | |
| * | Burlington Stores Inc. | 33,327 | 1,868 |
| Pool Corp. | 21,523 | 1,728 | |
| * | Buffalo Wild Wings Inc. | 9,374 | 1,487 |
| Texas Roadhouse Inc. Class A | 34,528 | 1,440 | |
| * | Cimpress NV | 16,180 | 1,427 |
| ^ | Cracker Barrel Old Country Store Inc. | 8,867 | 1,313 |
| American Eagle Outfitters Inc. | 85,324 | 1,302 | |
| * | Tenneco Inc. | 28,514 | 1,298 |
| Cheesecake Factory Inc. | 24,051 | 1,200 | |
| Jack in the Box Inc. | 17,107 | 1,176 | |
| * | Bright Horizons Family Solutions Inc. | 18,439 | 1,168 |
| Monro Muffler Brake Inc. | 15,699 | 1,073 | |
| Bloomin' Brands Inc. | 61,145 | 1,057 | |
| Lithia Motors Inc. Class A | 11,239 | 1,042 | |
| * | G-III Apparel Group Ltd. | 19,674 | 1,038 |
| * | Five Below Inc. | 26,877 | 1,031 |
| Sinclair Broadcast Group Inc. Class A | 32,681 | 1,009 | |
| Big Lots Inc. | 24,458 | 989 | |
| * | Steven Madden Ltd. | 27,772 | 978 |
| Wolverine World Wide Inc. | 50,962 | 965 | |
| * | Grand Canyon Education Inc. | 23,242 | 906 |
| Chico's FAS Inc. | 70,920 | 905 | |
| * | IMAX Corp. | 29,810 | 880 |
| * | Pinnacle Entertainment Inc. | 29,865 | 863 |
| HSN Inc. | 16,077 | 854 | |
| Churchill Downs Inc. | 6,284 | 852 | |
| * | Stamps.com Inc. | 7,053 | 836 |
| Papa John's International Inc. | 14,338 | 834 | |
| PriceSmart Inc. | 9,627 | 744 | |
| * | Gentherm Inc. | 17,780 | 741 |
| * | Asbury Automotive Group Inc. | 12,558 | 733 |
| Drew Industries Inc. | 11,926 | 718 | |
| DineEquity Inc. | 7,822 | 715 | |
| Sotheby's | 30,787 | 700 | |
| Nexstar Broadcasting Group Inc. Class A | 15,500 | 693 | |
| * | Boyd Gaming Corp. | 39,538 | 685 |
| * | Smith & Wesson Holding Corp. | 26,603 | 675 |
| * | Dorman Products Inc. | 13,231 | 669 |
| Sturm Ruger & Co. Inc. | 9,249 | 650 | |
| * | Express Inc. | 37,651 | 649 |
| * | Restoration Hardware Holdings Inc. | 16,474 | 626 |
| * | Popeyes Louisiana Kitchen Inc. | 11,461 | 624 |
| SeaWorld Entertainment Inc. | 33,817 | 612 | |
| Columbia Sportswear Co. | 9,913 | 590 | |
| * | Helen of Troy Ltd. | 5,773 | 550 |
| * | American Axle & Manufacturing Holdings Inc. | 37,582 | 549 |
| * | Tumi Holdings Inc. | 27,792 | 549 |
| Oxford Industries Inc. | 7,260 | 527 | |
| * | Deckers Outdoor Corp. | 9,250 | 523 |
| * | LifeLock Inc. | 46,716 | 515 |
| Sonic Corp. | 17,462 | 513 | |
| * | La Quinta Holdings Inc. | 46,405 | 504 |
| Dana Holding Corp. | 40,225 | 500 | |
| * | Shutterfly Inc. | 11,126 | 494 |
| Travelport Worldwide Ltd. | 36,714 | 477 | |
| * | Krispy Kreme Doughnuts Inc. | 32,167 | 471 |
| * | BJ's Restaurants Inc. | 10,652 | 470 |
| * | Red Robin Gourmet Burgers Inc. | 7,006 | 456 |
| *,^ | Mattress Firm Holding Corp. | 10,069 | 453 |
| * | Diamond Resorts International Inc. | 20,460 | 446 |
55
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| ^ | Buckle Inc. | 13,922 | 443 |
| * | Fiesta Restaurant Group Inc. | 13,288 | 440 |
| Marriott Vacations Worldwide Corp. | 7,237 | 438 | |
| * | Select Comfort Corp. | 24,394 | 437 |
| * | American Woodmark Corp. | 6,373 | 435 |
| * | Dave & Buster's Entertainment Inc. | 11,197 | 413 |
| * | TiVo Inc. | 47,755 | 401 |
| * | Hibbett Sports Inc. | 11,214 | 398 |
| *,^ | Wayfair Inc. | 9,858 | 384 |
| * | Francesca's Holdings Corp. | 20,811 | 376 |
| * | Tailored Brands Inc. | 23,852 | 368 |
| * | Gray Television Inc. | 31,013 | 358 |
| *,^ | Shutterstock Inc. | 9,685 | 338 |
| *,^ | Zoe's Kitchen Inc. | 9,549 | 334 |
| EW Scripps Co. Class A | 18,634 | 322 | |
| * | Universal Electronics Inc. | 5,977 | 318 |
| * | Denny's Corp. | 28,923 | 299 |
| Nutrisystem Inc. | 14,283 | 291 | |
| * | 2U Inc. | 12,993 | 290 |
| ClubCorp Holdings Inc. | 21,676 | 288 | |
| * | Crocs Inc. | 29,359 | 287 |
| * | Motorcar Parts of America Inc. | 8,216 | 283 |
| Capella Education Co. | 6,034 | 279 | |
| * | Cavco Industries Inc. | 3,423 | 278 |
| ^ | Outerwall Inc. | 8,532 | 266 |
| *,^ | Quotient Technology Inc. | 30,550 | 266 |
| * | Nautilus Inc. | 15,456 | 261 |
| * | Chuy's Holdings Inc. | 8,127 | 260 |
| * | HealthStream Inc. | 12,480 | 258 |
| Interval Leisure Group Inc. | 19,352 | 251 | |
| CalAtlantic Group Inc. | 8,215 | 249 | |
| World Wrestling Entertainment Inc. Class A | 14,887 | 249 | |
| La-Z-Boy Inc. | 9,770 | 238 | |
| Entravision Communications Corp. Class A | 29,887 | 231 | |
| Winnebago Industries Inc. | 12,148 | 228 | |
| * | Liberty TripAdvisor Holdings Inc. Class A | 10,757 | 219 |
| * | RealD Inc. | 20,034 | 216 |
| *,^ | Scientific Games Corp. Class A | 24,431 | 208 |
| Ruth's Hospitality Group Inc. | 11,581 | 203 | |
| Pier 1 Imports Inc. | 40,943 | 202 | |
| * | Angie's List Inc. | 21,759 | 201 |
| * | Carrols Restaurant Group Inc. | 14,774 | 196 |
| * | XO Group Inc. | 13,153 | 188 |
| * | Meritor Inc. | 24,982 | 186 |
| Children's Place Inc. | 2,640 | 180 | |
| * | Tile Shop Holdings Inc. | 13,460 | 170 |
| Libbey Inc. | 10,210 | 170 | |
| New York Times Co. Class A | 13,438 | 169 | |
| * | Stoneridge Inc. | 13,677 | 165 |
| * | Zumiez Inc. | 7,896 | 163 |
| Blue Nile Inc. | 5,907 | 154 | |
| *,^ | Weight Watchers International Inc. | 12,722 | 150 |
| MDC Holdings Inc. | 6,692 | 148 | |
| * | Malibu Boats Inc. Class A | 8,772 | 135 |
| * | Potbelly Corp. | 10,760 | 135 |
| Group 1 Automotive Inc. | 2,408 | 134 | |
| * | ZAGG Inc. | 12,816 | 134 |
| * | Ascena Retail Group Inc. | 15,284 | 129 |
| MDC Partners Inc. Class A | 5,960 | 127 | |
| * | Fox Factory Holding Corp. | 8,347 | 125 |
| Cooper Tire & Rubber Co. | 3,163 | 124 | |
| Tower International Inc. | 5,723 | 123 | |
| Kirkland's Inc. | 8,552 | 122 | |
| * | Party City Holdco Inc. | 12,328 | 122 |
56
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Tuesday Morning Corp. | 17,910 | 121 |
| * | Habit Restaurants Inc. Class A | 5,653 | 117 |
| * | Isle of Capri Casinos Inc. | 10,315 | 117 |
| Finish Line Inc. Class A | 6,368 | 116 | |
| * | MarineMax Inc. | 6,502 | 115 |
| National CineMedia Inc. | 7,539 | 113 | |
| Winmark Corp. | 1,105 | 107 | |
| *,^ | Shake Shack Inc. Class A | 2,501 | 104 |
| * | Strayer Education Inc. | 2,203 | 99 |
| *,^ | TubeMogul Inc. | 7,737 | 99 |
| * | 1-800-Flowers.com Inc. Class A | 12,536 | 98 |
| * | Sequential Brands Group Inc. | 13,667 | 95 |
| * | Houghton Mifflin Harcourt Co. | 4,876 | 92 |
| * | Overstock.com Inc. | 6,083 | 89 |
| Inter Parfums Inc. | 3,493 | 88 | |
| * | El Pollo Loco Holdings Inc. | 6,734 | 87 |
| *,^ | Jamba Inc. | 6,314 | 84 |
| * | Eastman Kodak Co. | 8,839 | 84 |
| Bassett Furniture Industries Inc. | 2,685 | 83 | |
| Cato Corp. Class A | 2,294 | 83 | |
| * | Etsy Inc. | 10,075 | 80 |
| * | Ollie's Bargain Outlet Holdings Inc. | 3,846 | 78 |
| * | Eldorado Resorts Inc. | 6,920 | 69 |
| Superior Uniform Group Inc. | 3,789 | 67 | |
| *,^ | Central European Media Enterprises Ltd. Class A | 27,211 | 67 |
| * | Cherokee Inc. | 3,922 | 67 |
| * | Planet Fitness Inc. Class A | 4,619 | 66 |
| * | Wingstop Inc. | 2,759 | 66 |
| * | Crown Media Holdings Inc. Class A | 14,713 | 65 |
| * | Chegg Inc. | 14,846 | 64 |
| Tribune Publishing Co. | 7,471 | 63 | |
| * | Bojangles' Inc. | 4,223 | 61 |
| * | Boot Barn Holdings Inc. | 5,708 | 58 |
| Collectors Universe Inc. | 3,409 | 54 | |
| Caleres Inc. | 1,861 | 53 | |
| * | Revlon Inc. Class A | 1,490 | 52 |
| * | Bravo Brio Restaurant Group Inc. | 6,534 | 51 |
| *,^ | Noodles & Co. Class A | 3,869 | 50 |
| Liberty Tax Inc. | 2,841 | 48 | |
| * | Vince Holding Corp. | 7,355 | 47 |
| * | Papa Murphy's Holdings Inc. | 4,348 | 47 |
| * | TRI Pointe Group Inc. | 4,398 | 45 |
| Metaldyne Performance Group Inc. | 3,166 | 45 | |
| * | Sportsman's Warehouse Holdings Inc. | 3,479 | 45 |
| Arctic Cat Inc. | 2,369 | 41 | |
| * | Meritage Homes Corp. | 1,269 | 41 |
| * | Container Store Group Inc. | 7,527 | 41 |
| * | LGI Homes Inc. | 1,681 | 40 |
| * | Duluth Holdings Inc. | 2,334 | 39 |
| Matthews International Corp. Class A | 803 | 38 | |
| Marine Products Corp. | 5,103 | 37 | |
| * | M/I Homes Inc. | 2,086 | 37 |
| * | Penn National Gaming Inc. | 2,627 | 36 |
| *,^ | Lands' End Inc. | 1,390 | 33 |
| * | Cooper-Standard Holding Inc. | 447 | 33 |
| Bob Evans Farms Inc. | 750 | 32 | |
| * | Central Garden & Pet Co. Class A | 2,342 | 32 |
| * | Fogo De Chao Inc. | 1,975 | 32 |
| * | Kona Grill Inc. | 2,118 | 31 |
| Carriage Services Inc. Class A | 1,484 | 31 | |
| * | MCBC Holdings Inc. | 2,291 | 30 |
| * | Vitamin Shoppe Inc. | 904 | 25 |
| * | Fenix Parts Inc. | 4,444 | 22 |
| * | Reading International Inc. Class A | 1,901 | 19 |
57
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | America's Car-Mart Inc. | 718 | 18 |
| *,^ | Empire Resorts Inc. | 1,420 | 18 |
| AMC Entertainment Holdings Inc. | 728 | 17 | |
| * | William Lyon Homes Class A | 1,457 | 17 |
| * | Destination XL Group Inc. | 3,702 | 16 |
| Escalade Inc. | 1,261 | 16 | |
| Strattec Security Corp. | 279 | 14 | |
| * | Carmike Cinemas Inc. | 640 | 14 |
| Hooker Furniture Corp. | 429 | 14 | |
| * | Del Frisco's Restaurant Group Inc. | 841 | 13 |
| * | Instructure Inc. | 853 | 12 |
| * | Franklin Covey Co. | 697 | 12 |
| * | Skullcandy Inc. | 3,285 | 12 |
| * | Performance Sports Group Ltd. | 1,423 | 11 |
| * | Care.com Inc. | 1,607 | 10 |
| * | Century Communities Inc. | 616 | 10 |
| Citi Trends Inc. | 498 | 9 | |
| * | New Home Co. Inc. | 885 | 9 |
| * | Build-A-Bear Workshop Inc. | 602 | 9 |
| * | JAKKS Pacific Inc. | 1,071 | 8 |
| * | Morgans Hotel Group Co. | 4,879 | 7 |
| Journal Media Group Inc. | 572 | 7 | |
| * | Monarch Casino & Resort Inc. | 228 | 5 |
| * | Black Diamond Inc. | 926 | 4 |
| Weyco Group Inc. | 133 | 4 | |
| * | VOXX International Corp. Class A | 902 | 4 |
| * | Horizon Global Corp. | 404 | 4 |
| * | Hemisphere Media Group Inc. Class A | 218 | 3 |
| 72,947 | |||
| Consumer Staples (3.8%) | |||
| Casey's General Stores Inc. | 19,197 | 2,027 | |
| Vector Group Ltd. | 42,317 | 983 | |
| B&G Foods Inc. | 27,107 | 938 | |
| * | Boston Beer Co. Inc. Class A | 4,496 | 846 |
| ^ | Cal-Maine Foods Inc. | 15,483 | 826 |
| J&J Snack Foods Corp. | 7,354 | 815 | |
| WD-40 Co. | 7,206 | 778 | |
| * | United Natural Foods Inc. | 22,776 | 703 |
| *,^ | Diplomat Pharmacy Inc. | 17,914 | 638 |
| Lancaster Colony Corp. | 5,951 | 606 | |
| * | Fresh Market Inc. | 21,392 | 493 |
| * | Diamond Foods Inc. | 12,372 | 468 |
| Core-Mark Holding Co. Inc. | 5,932 | 437 | |
| Dean Foods Co. | 21,537 | 415 | |
| Calavo Growers Inc. | 7,245 | 388 | |
| Coca-Cola Bottling Co. Consolidated | 2,099 | 367 | |
| * | USANA Health Sciences Inc. | 2,780 | 313 |
| * | National Beverage Corp. | 5,359 | 204 |
| * | Chefs' Warehouse Inc. | 9,257 | 175 |
| PetMed Express Inc. | 9,911 | 163 | |
| Medifast Inc. | 5,324 | 161 | |
| ^ | Natural Health Trends Corp. | 3,887 | 121 |
| * | Performance Food Group Co. | 4,809 | 119 |
| MGP Ingredients Inc. | 4,992 | 117 | |
| Tootsie Roll Industries Inc. | 3,299 | 110 | |
| * | Farmer Brothers Co. | 3,834 | 101 |
| * | Natural Grocers by Vitamin Cottage Inc. | 4,477 | 90 |
| Limoneira Co. | 5,807 | 81 | |
| John B Sanfilippo & Son Inc. | 1,073 | 75 | |
| *,^ | Freshpet Inc. | 10,577 | 70 |
| Ingles Markets Inc. Class A | 1,864 | 63 | |
| * | Inventure Foods Inc. | 9,335 | 57 |
| * | Synutra International Inc. | 8,807 | 45 |
| * | Amplify Snack Brands Inc. | 4,149 | 43 |
58
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Orchids Paper Products Co. | 1,185 | 33 | |
| * | Seaboard Corp. | 11 | 32 |
| * | Lifeway Foods Inc. | 2,451 | 28 |
| * | Castle Brands Inc. | 31,794 | 26 |
| * | Craft Brew Alliance Inc. | 1,646 | 14 |
| * | Arcadia Biosciences Inc. | 1,540 | 4 |
| Alico Inc. | 162 | 4 | |
| * | Fairway Group Holdings Corp. | 1,967 | 1 |
| 13,978 | |||
| Energy (0.9%) | |||
| Western Refining Inc. | 35,086 | 936 | |
| SemGroup Corp. Class A | 21,569 | 410 | |
| * | Matador Resources Co. | 21,459 | 346 |
| * | Parsley Energy Inc. Class A | 17,590 | 323 |
| Delek US Holdings Inc. | 15,672 | 248 | |
| * | Par Pacific Holdings Inc. | 7,111 | 140 |
| SunCoke Energy Inc. | 23,363 | 111 | |
| * | Trecora Resources | 9,985 | 97 |
| * | RigNet Inc. | 5,962 | 79 |
| *,^ | Solazyme Inc. | 40,674 | 63 |
| * | Fairmount Santrol Holdings Inc. | 29,268 | 58 |
| Panhandle Oil and Gas Inc. Class A | 3,688 | 57 | |
| Evolution Petroleum Corp. | 11,753 | 51 | |
| * | Vivint Solar Inc. | 6,115 | 48 |
| * | PowerSecure International Inc. | 2,050 | 38 |
| * | Isramco Inc. | 426 | 35 |
| * | Synergy Resources Corp. | 5,366 | 34 |
| *,^ | Enphase Energy Inc. | 13,714 | 32 |
| * | Carrizo Oil & Gas Inc. | 1,477 | 32 |
| *,^ | FuelCell Energy Inc. | 3,040 | 17 |
| TerraForm Global Inc. Class A | 4,479 | 14 | |
| *,^ | Ultra Petroleum Corp. | 37,585 | 13 |
| Hallador Energy Co. | 1,536 | 7 | |
| * | Sunrun Inc. | 882 | 5 |
| * | ION Geophysical Corp. | 1,116 | 4 |
| *,^ | Erin Energy Corp. | 550 | 1 |
| 3,199 | |||
| Financial Services (10.3%) | |||
| MarketAxess Holdings Inc. | 18,450 | 2,186 | |
| CubeSmart | 64,476 | 1,928 | |
| Sovran Self Storage Inc. | 16,966 | 1,806 | |
| Heartland Payment Systems Inc. | 18,054 | 1,688 | |
| * | Euronet Worldwide Inc. | 25,650 | 1,681 |
| Fair Isaac Corp. | 15,316 | 1,524 | |
| Bank of the Ozarks Inc. | 38,468 | 1,456 | |
| CyrusOne Inc. | 29,974 | 1,188 | |
| Urban Edge Properties | 43,787 | 1,065 | |
| Ryman Hospitality Properties Inc. | 21,447 | 1,027 | |
| Home BancShares Inc. | 23,014 | 910 | |
| * | Blackhawk Network Holdings Inc. | 26,780 | 906 |
| Evercore Partners Inc. Class A | 17,113 | 799 | |
| BGC Partners Inc. Class A | 90,495 | 782 | |
| CoreSite Realty Corp. | 12,041 | 776 | |
| * | Cardtronics Inc. | 22,220 | 749 |
| WisdomTree Investments Inc. | 56,165 | 666 | |
| * | Western Alliance Bancorp | 21,814 | 648 |
| Financial Engines Inc. | 25,673 | 626 | |
| American Assets Trust Inc. | 16,365 | 607 | |
| QTS Realty Trust Inc. Class A | 13,135 | 585 | |
| * | PRA Group Inc. | 23,929 | 584 |
| * | BofI Holding Inc. | 30,443 | 564 |
| First Cash Financial Services Inc. | 12,893 | 544 | |
| * | Essent Group Ltd. | 27,544 | 530 |
| * | MGIC Investment Corp. | 75,378 | 516 |
59
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Eagle Bancorp Inc. | 11,186 | 513 |
| RLJ Lodging Trust | 23,989 | 503 | |
| ^ | First Financial Bankshares Inc. | 18,432 | 487 |
| HFF Inc. Class A | 18,763 | 470 | |
| National Health Investors Inc. | 6,315 | 397 | |
| DuPont Fabros Technology Inc. | 10,946 | 390 | |
| EVERTEC Inc. | 32,662 | 389 | |
| Potlatch Corp. | 14,563 | 385 | |
| Alexander's Inc. | 962 | 370 | |
| Greenhill & Co. Inc. | 14,441 | 333 | |
| Universal Health Realty Income Trust | 6,166 | 320 | |
| Cohen & Steers Inc. | 9,999 | 311 | |
| ^ | Universal Insurance Holdings Inc. | 15,804 | 309 |
| * | LendingTree Inc. | 3,105 | 274 |
| CareTrust REIT Inc. | 23,807 | 271 | |
| Sun Communities Inc. | 3,953 | 267 | |
| Employers Holdings Inc. | 9,537 | 265 | |
| Diamond Hill Investment Group Inc. | 1,481 | 250 | |
| * | Hilltop Holdings Inc. | 13,476 | 225 |
| Virtu Financial Inc. Class A | 9,437 | 211 | |
| Saul Centers Inc. | 4,225 | 207 | |
| * | HRG Group Inc. | 17,390 | 202 |
| National Storage Affiliates Trust | 10,773 | 195 | |
| Westwood Holdings Group Inc. | 3,851 | 191 | |
| Moelis & Co. Class A | 7,725 | 191 | |
| * | Altisource Portfolio Solutions SA | 6,593 | 176 |
| EastGroup Properties Inc. | 3,143 | 170 | |
| Cass Information Systems Inc. | 3,168 | 158 | |
| Heritage Insurance Holdings Inc. | 7,645 | 149 | |
| * | Marcus & Millichap Inc. | 6,632 | 148 |
| * | Walker & Dunlop Inc. | 6,372 | 147 |
| Inland Real Estate Corp. | 13,772 | 146 | |
| OM Asset Management plc | 12,027 | 137 | |
| Easterly Government Properties Inc. | 6,764 | 116 | |
| GAMCO Investors Inc. Class A | 3,157 | 110 | |
| Sabra Health Care REIT Inc. | 4,877 | 97 | |
| PS Business Parks Inc. | 1,017 | 93 | |
| Equity One Inc. | 3,402 | 93 | |
| * | eHealth Inc. | 8,948 | 90 |
| * | Associated Capital Group Inc. Class A | 3,159 | 86 |
| Kennedy-Wilson Holdings Inc. | 4,373 | 83 | |
| * | World Acceptance Corp. | 2,261 | 83 |
| Janus Capital Group Inc. | 6,216 | 80 | |
| * | HomeStreet Inc. | 3,474 | 69 |
| * | Enova International Inc. | 11,649 | 67 |
| *,^ | Trupanion Inc. | 7,090 | 64 |
| Pinnacle Financial Partners Inc. | 1,352 | 63 | |
| Meridian Bancorp Inc. | 3,832 | 53 | |
| * | Real Industry Inc. | 7,471 | 53 |
| United Financial Bancorp Inc. | 4,367 | 51 | |
| *,^ | Impac Mortgage Holdings Inc. | 3,761 | 50 |
| ^ | CPI Card Group Inc. | 6,351 | 50 |
| * | Texas Capital Bancshares Inc. | 1,552 | 50 |
| Houlihan Lokey Inc. | 1,933 | 49 | |
| * | INTL. FCStone Inc. | 1,867 | 48 |
| * | Encore Capital Group Inc. | 2,038 | 47 |
| LTC Properties Inc. | 1,020 | 45 | |
| Renasant Corp. | 1,326 | 41 | |
| BNC Bancorp | 2,035 | 41 | |
| * | Atlas Financial Holdings Inc. | 2,272 | 41 |
| National General Holdings Corp. | 1,989 | 40 | |
| Investment Technology Group Inc. | 2,139 | 39 | |
| South State Corp. | 624 | 39 | |
| Pzena Investment Management Inc. Class A | 6,000 | 37 | |
60
| Vanguard® Russell 2000 Growth Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * On Deck Capital Inc. | 5,529 | 37 |
| * Ambac Financial Group Inc. | 2,411 | 37 |
| Maiden Holdings Ltd. | 2,909 | 35 |
| Urstadt Biddle Properties Inc. Class A | 1,661 | 33 |
| * Third Point Reinsurance Ltd. | 2,821 | 31 |
| Consolidated-Tomoka Land Co. | 645 | 31 |
| WSFS Financial Corp. | 793 | 24 |
| * KCG Holdings Inc. Class A | 2,090 | 22 |
| Crawford & Co. Class B | 4,458 | 22 |
| * Ashford Inc. | 515 | 21 |
| Cardinal Financial Corp. | 968 | 19 |
| National Interstate Corp. | 807 | 18 |
| Virtus Investment Partners Inc. | 191 | 18 |
| HCI Group Inc. | 480 | 17 |
| GAIN Capital Holdings Inc. | 2,324 | 17 |
| State National Cos. Inc. | 1,326 | 15 |
| Medley Management Inc. Class A | 2,649 | 15 |
| * Ladenburg Thalmann Financial Services Inc. | 5,612 | 13 |
| * PennyMac Financial Services Inc. Class A | 888 | 11 |
| * ZAIS Group Holdings Inc. | 2,054 | 10 |
| * Cowen Group Inc. Class A | 3,035 | 10 |
| Fifth Street Asset Management Inc. | 2,498 | 8 |
| Resource America Inc. Class A | 1,444 | 7 |
| * Stonegate Mortgage Corp. | 1,279 | 6 |
| * Altisource Asset Management Corp. | 304 | 5 |
| * Regional Management Corp. | 327 | 5 |
| * Tejon Ranch Co. Warrants Exp. 8/31/2016 | 617 | — |
| 37,953 | ||
| Health Care (23.6%) | ||
| STERIS plc | 42,066 | 2,706 |
| West Pharmaceutical Services Inc. | 35,562 | 2,206 |
| * WellCare Health Plans Inc. | 21,726 | 1,953 |
| * ABIOMED Inc. | 20,591 | 1,647 |
| * PAREXEL International Corp. | 27,213 | 1,597 |
| HealthSouth Corp. | 45,130 | 1,590 |
| * Team Health Holdings Inc. | 35,528 | 1,583 |
| * Neurocrine Biosciences Inc. | 42,137 | 1,550 |
| * Anacor Pharmaceuticals Inc. | 20,220 | 1,290 |
| * Prestige Brands Holdings Inc. | 25,795 | 1,261 |
| * Molina Healthcare Inc. | 19,370 | 1,202 |
| * Myriad Genetics Inc. | 34,257 | 1,199 |
| * Impax Laboratories Inc. | 35,370 | 1,156 |
| * Ultragenyx Pharmaceutical Inc. | 18,956 | 1,156 |
| Chemed Corp. | 8,427 | 1,083 |
| Cantel Medical Corp. | 16,942 | 1,078 |
| * Cepheid | 35,409 | 1,051 |
| * WebMD Health Corp. | 18,640 | 1,034 |
| * Catalent Inc. | 41,263 | 1,001 |
| * NuVasive Inc. | 23,850 | 997 |
| * Medidata Solutions Inc. | 27,263 | 941 |
| * Pacira Pharmaceuticals Inc. | 17,974 | 935 |
| * Neogen Corp. | 18,275 | 900 |
| * LivaNova plc | 15,331 | 865 |
| * Insulet Corp. | 28,008 | 858 |
| * Globus Medical Inc. | 33,894 | 824 |
| * Masimo Corp. | 21,603 | 817 |
| * Ligand Pharmaceuticals Inc. | 8,661 | 799 |
| * Nektar Therapeutics | 64,950 | 726 |
| * Kite Pharma Inc. | 16,031 | 717 |
| * Air Methods Corp. | 19,416 | 705 |
| * Portola Pharmaceuticals Inc. | 24,655 | 695 |
| * AMN Healthcare Services Inc. | 23,416 | 666 |
| * ACADIA Pharmaceuticals Inc. | 38,468 | 664 |
| * Acorda Therapeutics Inc. | 19,309 | 632 |
61
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Ironwood Pharmaceuticals Inc. Class A | 62,368 | 602 |
| * | Cambrex Corp. | 15,491 | 597 |
| * | ExamWorks Group Inc. | 20,469 | 596 |
| * | Natus Medical Inc. | 16,314 | 593 |
| * | HMS Holdings Corp. | 43,869 | 578 |
| * | Novavax Inc. | 132,502 | 578 |
| * | Prothena Corp. plc | 16,628 | 529 |
| * | Ophthotech Corp. | 11,665 | 525 |
| * | Omnicell Inc. | 17,954 | 491 |
| Ensign Group Inc. | 23,437 | 481 | |
| Select Medical Holdings Corp. | 48,900 | 479 | |
| * | Radius Health Inc. | 16,294 | 477 |
| * | Nevro Corp. | 8,272 | 476 |
| * | TESARO Inc. | 11,557 | 468 |
| * | NxStage Medical Inc. | 31,292 | 466 |
| * | Depomed Inc. | 29,711 | 454 |
| * | ARIAD Pharmaceuticals Inc. | 83,113 | 454 |
| * | AMAG Pharmaceuticals Inc. | 17,122 | 450 |
| *,^ | ZIOPHARM Oncology Inc. | 56,511 | 444 |
| *,^ | MiMedx Group Inc. | 53,915 | 444 |
| * | Amsurg Corp. | 6,505 | 443 |
| Abaxis Inc. | 11,173 | 438 | |
| * | TherapeuticsMD Inc. | 70,939 | 433 |
| * | Halozyme Therapeutics Inc. | 52,654 | 428 |
| *,^ | Innoviva Inc. | 36,497 | 428 |
| * | Achillion Pharmaceuticals Inc. | 57,752 | 427 |
| * | PRA Health Sciences Inc. | 9,877 | 426 |
| * | Repligen Corp. | 16,157 | 416 |
| * | ICU Medical Inc. | 4,513 | 415 |
| * | Surgical Care Affiliates Inc. | 10,116 | 410 |
| * | FibroGen Inc. | 23,510 | 407 |
| * | Cynosure Inc. Class A | 10,005 | 407 |
| *,^ | Exelixis Inc. | 111,690 | 407 |
| * | Amedisys Inc. | 11,022 | 405 |
| * | Wright Medical Group NV | 23,049 | 394 |
| * | Haemonetics Corp. | 12,153 | 390 |
| Quality Systems Inc. | 24,556 | 382 | |
| * | Integra LifeSciences Holdings Corp. | 6,160 | 378 |
| * | HealthEquity Inc. | 17,825 | 371 |
| * | Insmed Inc. | 30,225 | 370 |
| * | Intra-Cellular Therapies Inc. Class A | 13,103 | 368 |
| * | Zeltiq Aesthetics Inc. | 15,838 | 365 |
| * | Five Prime Therapeutics Inc. | 11,134 | 363 |
| * | Emergent BioSolutions Inc. | 10,537 | 356 |
| * | Amicus Therapeutics Inc. | 56,939 | 351 |
| Meridian Bioscience Inc. | 17,244 | 347 | |
| * | Lannett Co. Inc. | 13,031 | 328 |
| * | Providence Service Corp. | 6,745 | 320 |
| Computer Programs & Systems Inc. | 5,589 | 317 | |
| * | Endologix Inc. | 36,102 | 311 |
| * | Merrimack Pharmaceuticals Inc. | 53,684 | 311 |
| US Physical Therapy Inc. | 6,119 | 310 | |
| * | ImmunoGen Inc. | 42,340 | 308 |
| * | Acceleron Pharma Inc. | 12,123 | 307 |
| * | Sarepta Therapeutics Inc. | 22,108 | 303 |
| * | Celldex Therapeutics Inc. | 43,931 | 299 |
| * | Spectranetics Corp. | 20,886 | 296 |
| *,^ | Cempra Inc. | 17,418 | 293 |
| * | Dynavax Technologies Corp. | 18,012 | 290 |
| * | HeartWare International Inc. | 8,517 | 272 |
| *,^ | Eagle Pharmaceuticals Inc. | 4,229 | 268 |
| * | Pacific Biosciences of California Inc. | 32,080 | 266 |
| * | Inogen Inc. | 7,765 | 265 |
| Atrion Corp. | 704 | 265 | |
62
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | LDR Holding Corp. | 12,507 | 260 |
| * | Vascular Solutions Inc. | 8,537 | 257 |
| * | Anika Therapeutics Inc. | 5,676 | 256 |
| * | Clovis Oncology Inc. | 13,720 | 255 |
| * | INC Research Holdings Inc. Class A | 6,400 | 254 |
| * | Momenta Pharmaceuticals Inc. | 30,022 | 252 |
| * | Capital Senior Living Corp. | 14,584 | 249 |
| * | MacroGenics Inc. | 15,506 | 248 |
| * | Retrophin Inc. | 17,248 | 245 |
| * | SciClone Pharmaceuticals Inc. | 24,650 | 245 |
| Phibro Animal Health Corp. Class A | 8,628 | 239 | |
| * | Exact Sciences Corp. | 47,280 | 238 |
| *,^ | Heron Therapeutics Inc. | 14,410 | 229 |
| * | Sage Therapeutics Inc. | 7,749 | 228 |
| * | Enanta Pharmaceuticals Inc. | 7,929 | 225 |
| * | Genomic Health Inc. | 8,780 | 223 |
| * | Alder Biopharmaceuticals Inc. | 11,508 | 219 |
| * | NewLink Genetics Corp. | 10,263 | 216 |
| * | Supernus Pharmaceuticals Inc. | 17,060 | 214 |
| *,^ | Relypsa Inc. | 16,065 | 213 |
| *,^ | Rockwell Medical Inc. | 21,917 | 210 |
| *,^ | Keryx Biopharmaceuticals Inc. | 51,486 | 207 |
| *,^ | Insys Therapeutics Inc. | 11,624 | 203 |
| *,^ | Inovio Pharmaceuticals Inc. | 31,897 | 201 |
| * | Accuray Inc. | 39,110 | 198 |
| * | Cerus Corp. | 40,002 | 196 |
| * | Albany Molecular Research Inc. | 12,385 | 183 |
| * | Sangamo BioSciences Inc. | 34,472 | 181 |
| * | Arena Pharmaceuticals Inc. | 120,359 | 179 |
| * | Geron Corp. | 73,966 | 178 |
| * | CorVel Corp. | 4,295 | 178 |
| *,^ | Omeros Corp. | 17,518 | 178 |
| * | AtriCure Inc. | 10,636 | 176 |
| * | Epizyme Inc. | 19,686 | 173 |
| * | Adeptus Health Inc. Class A | 3,029 | 172 |
| * | Aerie Pharmaceuticals Inc. | 10,222 | 172 |
| * | NeoGenomics Inc. | 26,790 | 171 |
| * | Coherus Biosciences Inc. | 11,773 | 167 |
| * | Revance Therapeutics Inc. | 9,110 | 161 |
| * | BioTelemetry Inc. | 13,285 | 160 |
| * | Sucampo Pharmaceuticals Inc. Class A | 12,121 | 159 |
| *,^ | Synergy Pharmaceuticals Inc. | 49,724 | 155 |
| * | Sagent Pharmaceuticals Inc. | 10,828 | 154 |
| * | Xencor Inc. | 13,878 | 153 |
| * | Affymetrix Inc. | 10,786 | 151 |
| * | Progenics Pharmaceuticals Inc. | 33,957 | 150 |
| * | Aralez Pharmaceuticals Inc. | 26,248 | 149 |
| * | Intersect ENT Inc. | 8,045 | 145 |
| *,^ | Accelerate Diagnostics Inc. | 12,063 | 145 |
| * | Array BioPharma Inc. | 57,310 | 144 |
| * | TG Therapeutics Inc. | 17,233 | 144 |
| * | Raptor Pharmaceutical Corp. | 40,294 | 139 |
| * | Infinity Pharmaceuticals Inc. | 23,955 | 138 |
| * | Spark Therapeutics Inc. | 4,345 | 138 |
| Landauer Inc. | 4,697 | 137 | |
| * | Atara Biotherapeutics Inc. | 8,209 | 135 |
| * | PTC Therapeutics Inc. | 16,797 | 134 |
| * | Press Ganey Holdings Inc. | 5,016 | 132 |
| * | Trevena Inc. | 15,593 | 131 |
| * | Vanda Pharmaceuticals Inc. | 16,388 | 129 |
| * | XenoPort Inc. | 28,779 | 129 |
| * | Zogenix Inc. | 12,087 | 128 |
| * | ANI Pharmaceuticals Inc. | 3,851 | 127 |
| *,^ | MannKind Corp. | 122,127 | 126 |
63
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Lion Biotechnologies Inc. | 22,033 | 123 |
| * | Cardiovascular Systems Inc. | 14,645 | 122 |
| * | Cross Country Healthcare Inc. | 9,766 | 121 |
| * | STAAR Surgical Co. | 19,116 | 119 |
| * | Mirati Therapeutics Inc. | 5,622 | 119 |
| *,^ | Teligent Inc. | 20,204 | 118 |
| * | Corcept Therapeutics Inc. | 30,413 | 116 |
| * | Otonomy Inc. | 8,984 | 114 |
| Utah Medical Products Inc. | 1,863 | 110 | |
| * | Amphastar Pharmaceuticals Inc. | 10,349 | 109 |
| * | Civitas Solutions Inc. | 5,728 | 106 |
| * | Chimerix Inc. | 22,780 | 105 |
| * | Ardelyx Inc. | 10,856 | 105 |
| * | Medicines Co. | 3,243 | 104 |
| * | La Jolla Pharmaceutical Co. | 6,742 | 104 |
| * | GenMark Diagnostics Inc. | 20,651 | 102 |
| * | K2M Group Holdings Inc. | 8,617 | 102 |
| *,^ | Organovo Holdings Inc. | 45,049 | 101 |
| *,^ | Immunomedics Inc. | 43,769 | 99 |
| * | RadNet Inc. | 17,069 | 97 |
| * | Concert Pharmaceuticals Inc. | 7,560 | 97 |
| * | Esperion Therapeutics Inc. | 6,446 | 96 |
| * | Fluidigm Corp. | 14,161 | 94 |
| * | Paratek Pharmaceuticals Inc. | 6,045 | 92 |
| * | Heska Corp. | 2,827 | 92 |
| * | Regulus Therapeutics Inc. | 13,972 | 92 |
| * | Oxford Immunotec Global plc | 9,505 | 91 |
| * | Quidel Corp. | 5,817 | 91 |
| * | Penumbra Inc. | 1,919 | 89 |
| * | CytRx Corp. | 33,724 | 89 |
| * | BioDelivery Sciences International Inc. | 22,918 | 89 |
| *,^ | Vital Therapies Inc. | 10,628 | 88 |
| *,^ | Seres Therapeutics Inc. | 3,788 | 88 |
| * | Foundation Medicine Inc. | 5,894 | 87 |
| * | BioSpecifics Technologies Corp. | 2,455 | 87 |
| *,^ | Sequenom Inc. | 59,188 | 87 |
| * | Sorrento Therapeutics Inc. | 14,037 | 85 |
| *,^ | Cellular Biomedicine Group Inc. | 4,885 | 85 |
| * | Agenus Inc. | 30,194 | 84 |
| * | RTI Surgical Inc. | 23,849 | 83 |
| *,^ | AAC Holdings Inc. | 4,017 | 82 |
| * | Advaxis Inc. | 14,893 | 81 |
| * | Aimmune Therapeutics Inc. | 5,042 | 81 |
| * | Blueprint Medicines Corp. | 4,650 | 81 |
| * | NanoString Technologies Inc. | 6,693 | 81 |
| * | Tandem Diabetes Care Inc. | 8,928 | 80 |
| * | Axovant Sciences Ltd. | 6,294 | 79 |
| * | OncoMed Pharmaceuticals Inc. | 8,248 | 79 |
| * | Rigel Pharmaceuticals Inc. | 34,115 | 77 |
| * | Lexicon Pharmaceuticals Inc. | 8,236 | 77 |
| *,^ | Trovagene Inc. | 14,835 | 76 |
| * | Antares Pharma Inc. | 77,929 | 75 |
| * | Curis Inc. | 54,563 | 75 |
| *,^ | Galena Biopharma Inc. | 88,905 | 74 |
| * | Tetraphase Pharmaceuticals Inc. | 17,710 | 72 |
| * | Aegerion Pharmaceuticals Inc. | 12,404 | 70 |
| * | Idera Pharmaceuticals Inc. | 38,694 | 69 |
| * | Karyopharm Therapeutics Inc. | 11,320 | 67 |
| National Research Corp. Class A | 4,404 | 66 | |
| * | BioTime Inc. | 28,606 | 66 |
| * | Foamix Pharmaceuticals Ltd. | 11,371 | 65 |
| * | Collegium Pharmaceutical Inc. | 3,718 | 65 |
| * | Flexion Therapeutics Inc. | 6,855 | 65 |
| *,^ | OvaScience Inc. | 11,632 | 65 |
64
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Dermira Inc. | 2,772 | 64 |
| * | Durect Corp. | 55,654 | 63 |
| * | CTI BioPharma Corp. | 112,892 | 61 |
| * | Surgery Partners Inc. | 4,635 | 61 |
| *,^ | Arrowhead Research Corp. | 15,600 | 61 |
| * | Aduro Biotech Inc. | 4,141 | 60 |
| *,^ | InVivo Therapeutics Holdings Corp. | 12,684 | 59 |
| ^ | Osiris Therapeutics Inc. | 8,317 | 59 |
| * | Applied Genetic Technologies Corp. | 4,475 | 59 |
| * | Vitae Pharmaceuticals Inc. | 6,562 | 59 |
| * | Pfenex Inc. | 8,229 | 59 |
| * | Immune Design Corp. | 5,772 | 58 |
| * | BioCryst Pharmaceuticals Inc. | 28,974 | 58 |
| * | Anthera Pharmaceuticals Inc. | 18,936 | 57 |
| * | Cytokinetics Inc. | 9,023 | 57 |
| *,^ | Navidea Biopharmaceuticals Inc. | 57,075 | 56 |
| * | Ocular Therapeutix Inc. | 7,173 | 56 |
| * | Castlight Health Inc. Class B | 16,108 | 53 |
| *,^ | VIVUS Inc. | 49,573 | 52 |
| * | Imprivata Inc. | 4,351 | 50 |
| * | Cutera Inc. | 4,174 | 49 |
| * | Zafgen Inc. | 7,871 | 49 |
| *,^ | Teladoc Inc. | 3,495 | 48 |
| * | Cara Therapeutics Inc. | 9,716 | 48 |
| * | Avalanche Biotechnologies Inc. | 9,334 | 48 |
| * | Oncothyreon Inc. | 47,730 | 47 |
| * | Global Blood Therapeutics Inc. | 3,155 | 47 |
| * | Pernix Therapeutics Holdings Inc. | 20,791 | 46 |
| * | Glaukos Corp. | 2,756 | 45 |
| * | Aclaris Therapeutics Inc. | 2,462 | 45 |
| * | ChemoCentryx Inc. | 13,359 | 44 |
| * | Medgenics Inc. | 10,603 | 44 |
| *,^ | Nobilis Health Corp. | 15,266 | 44 |
| *,^ | Unilife Corp. | 50,570 | 43 |
| * | Veracyte Inc. | 6,436 | 42 |
| *,^ | CytomX Therapeutics Inc. | 3,283 | 42 |
| * | Aratana Therapeutics Inc. | 12,823 | 42 |
| *,^ | Peregrine Pharmaceuticals Inc. | 104,536 | 42 |
| * | Ignyta Inc. | 6,499 | 42 |
| *,^ | Northwest Biotherapeutics Inc. | 22,351 | 41 |
| * | T2 Biosystems Inc. | 5,116 | 41 |
| * | Genocea Biosciences Inc. | 10,309 | 40 |
| * | Catalyst Pharmaceuticals Inc. | 37,875 | 40 |
| *,^ | Novocure Ltd. | 3,376 | 39 |
| Analogic Corp. | 522 | 39 | |
| * | Spectrum Pharmaceuticals Inc. | 8,573 | 39 |
| * | Agile Therapeutics Inc. | 6,629 | 38 |
| * | ConforMIS Inc. | 4,133 | 38 |
| * | REGENXBIO Inc. | 3,102 | 38 |
| * | Orexigen Therapeutics Inc. | 51,095 | 36 |
| * | Dicerna Pharmaceuticals Inc. | 7,213 | 36 |
| * | Bellicum Pharmaceuticals Inc. | 3,951 | 36 |
| * | Entellus Medical Inc. | 2,186 | 35 |
| LeMaitre Vascular Inc. | 2,148 | 32 | |
| * | Alimera Sciences Inc. | 14,520 | 31 |
| * | Chiasma Inc. | 3,132 | 31 |
| *,^ | Invitae Corp. | 3,496 | 30 |
| * | Sientra Inc. | 4,182 | 29 |
| *,^ | Second Sight Medical Products Inc. | 5,710 | 29 |
| * | Assembly Biosciences Inc. | 6,425 | 29 |
| * | Natera Inc. | 4,280 | 29 |
| * | Fibrocell Science Inc. | 12,477 | 28 |
| * | Luminex Corp. | 1,474 | 28 |
| * | XOMA Corp. | 36,129 | 27 |
65
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Edge Therapeutics Inc. | 3,603 | 26 |
| *,^ | CorMedix Inc. | 16,347 | 26 |
| * | SeaSpine Holdings Corp. | 1,921 | 24 |
| * | iRadimed Corp. | 1,345 | 24 |
| *,^ | Asterias Biotherapeutics Inc. | 5,581 | 24 |
| * | Voyager Therapeutics Inc. | 2,462 | 24 |
| * | Cidara Therapeutics Inc. | 2,343 | 23 |
| * | Neos Therapeutics Inc. | 2,362 | 23 |
| * | Affimed NV | 7,304 | 23 |
| * | Corium International Inc. | 5,087 | 23 |
| * | SurModics Inc. | 1,196 | 22 |
| * | Proteon Therapeutics Inc. | 3,683 | 20 |
| *,^ | NantKwest Inc. | 2,847 | 20 |
| * | Flex Pharma Inc. | 2,599 | 19 |
| * | MyoKardia Inc. | 2,679 | 19 |
| * | OraSure Technologies Inc. | 2,507 | 17 |
| * | vTv Therapeutics Inc. Class A | 2,945 | 17 |
| * | Dimension Therapeutics Inc. | 2,403 | 16 |
| * | XBiotech Inc. | 2,006 | 15 |
| * | Genesis Healthcare Inc. | 8,596 | 15 |
| * | Corindus Vascular Robotics Inc. | 10,782 | 15 |
| * | Invuity Inc. | 1,905 | 14 |
| * | LHC Group Inc. | 387 | 14 |
| * | aTyr Pharma Inc. | 2,946 | 13 |
| * | Abeona Therapeutics Inc. | 5,785 | 13 |
| * | EndoChoice Holdings Inc. | 2,739 | 12 |
| * | Lantheus Holdings Inc. | 5,257 | 11 |
| * | Synta Pharmaceuticals Corp. | 48,633 | 11 |
| *,^ | Tokai Pharmaceuticals Inc. | 1,721 | 11 |
| * | Nivalis Therapeutics Inc. | 2,380 | 11 |
| * | Zynerba Pharmaceuticals Inc. | 1,628 | 10 |
| * | Catabasis Pharmaceuticals Inc. | 2,151 | 9 |
| * | Tobira Therapeutics Inc. | 1,264 | 9 |
| * | Addus HomeCare Corp. | 322 | 7 |
| *,^ | TransEnterix Inc. | 2,132 | 7 |
| * | Alliance HealthCare Services Inc. | 952 | 7 |
| * | Versartis Inc. | 1,034 | 7 |
| * | Threshold Pharmaceuticals Inc. | 28,793 | 7 |
| * | Stemline Therapeutics Inc. | 1,349 | 7 |
| * | Oncocyte Corp. | 1,349 | 5 |
| * | Carbylan Therapeutics Inc. | 6,520 | 4 |
| * | Verastem Inc. | 1,453 | 2 |
| 86,955 | |||
| Materials & Processing (7.4%) | |||
| PolyOne Corp. | 43,991 | 1,184 | |
| Belden Inc. | 21,049 | 1,153 | |
| * | Berry Plastics Group Inc. | 35,041 | 1,091 |
| * | Louisiana-Pacific Corp. | 64,641 | 1,027 |
| Balchem Corp. | 15,337 | 970 | |
| HB Fuller Co. | 24,877 | 958 | |
| * | Rexnord Corp. | 50,296 | 912 |
| * | Masonite International Corp. | 14,908 | 857 |
| Sensient Technologies Corp. | 14,878 | 855 | |
| * | Chemtura Corp. | 33,156 | 837 |
| Minerals Technologies Inc. | 16,102 | 818 | |
| * | RBC Bearings Inc. | 11,586 | 738 |
| Mueller Water Products Inc. Class A | 79,515 | 685 | |
| * | Trex Co. Inc. | 15,878 | 684 |
| * | Headwaters Inc. | 36,485 | 643 |
| Apogee Enterprises Inc. | 14,454 | 577 | |
| Olin Corp. | 36,299 | 550 | |
| Interface Inc. Class A | 32,719 | 520 | |
| US Silica Holdings Inc. | 26,480 | 508 | |
| AAON Inc. | 20,311 | 504 | |
66
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Mueller Industries Inc. | 19,048 | 499 | |
| Comfort Systems USA Inc. | 17,389 | 488 | |
| KapStone Paper and Packaging Corp. | 42,173 | 432 | |
| * | Cabot Microelectronics Corp. | 10,368 | 399 |
| * | US Concrete Inc. | 7,188 | 386 |
| Quaker Chemical Corp. | 4,680 | 364 | |
| * | Ferro Corp. | 35,954 | 357 |
| * | Clearwater Paper Corp. | 8,747 | 356 |
| Advanced Drainage Systems Inc. | 16,561 | 321 | |
| A Schulman Inc. | 12,949 | 320 | |
| Deltic Timber Corp. | 5,423 | 307 | |
| * | Summit Materials Inc. Class A | 15,714 | 287 |
| * | BMC Stock Holdings Inc. | 18,546 | 283 |
| * | Patrick Industries Inc. | 6,311 | 279 |
| Neenah Paper Inc. | 4,518 | 274 | |
| * | Boise Cascade Co. | 16,324 | 273 |
| Aceto Corp. | 12,522 | 269 | |
| * | Continental Building Products Inc. | 15,588 | 263 |
| Ferroglobe plc | 32,110 | 252 | |
| * | PGT Inc. | 23,644 | 234 |
| Stepan Co. | 4,692 | 233 | |
| * | Installed Building Products Inc. | 9,874 | 221 |
| Insteel Industries Inc. | 8,375 | 219 | |
| * | Beacon Roofing Supply Inc. | 6,069 | 219 |
| Kaiser Aluminum Corp. | 2,842 | 218 | |
| Global Brass & Copper Holdings Inc. | 9,576 | 211 | |
| * | Builders FirstSource Inc. | 25,149 | 199 |
| * | Nortek Inc. | 4,807 | 198 |
| * | Koppers Holdings Inc. | 10,265 | 180 |
| Calgon Carbon Corp. | 12,052 | 169 | |
| Worthington Industries Inc. | 5,409 | 168 | |
| *,^ | Trinseo SA | 5,618 | 168 |
| NN Inc. | 13,086 | 166 | |
| * | Stillwater Mining Co. | 19,046 | 160 |
| AEP Industries Inc. | 1,947 | 153 | |
| * | Univar Inc. | 9,550 | 150 |
| * | NCI Building Systems Inc. | 13,294 | 145 |
| Chase Corp. | 3,075 | 145 | |
| Myers Industries Inc. | 11,969 | 144 | |
| Culp Inc. | 5,093 | 130 | |
| * | Ply Gem Holdings Inc. | 10,632 | 109 |
| KMG Chemicals Inc. | 4,803 | 103 | |
| * | Multi Packaging Solutions International Ltd. | 6,209 | 95 |
| Schweitzer-Mauduit International Inc. | 2,674 | 81 | |
| * | Senomyx Inc. | 22,122 | 73 |
| * | OMNOVA Solutions Inc. | 13,984 | 73 |
| Griffon Corp. | 3,928 | 58 | |
| Simpson Manufacturing Co. Inc. | 1,651 | 56 | |
| Omega Flex Inc. | 1,380 | 44 | |
| * | Core Molding Technologies Inc. | 3,662 | 42 |
| *,^ | Uranium Energy Corp. | 46,591 | 40 |
| Tredegar Corp. | 2,618 | 36 | |
| * | Lawson Products Inc. | 1,982 | 32 |
| * | Energy Fuels Inc. | 12,800 | 32 |
| Hawkins Inc. | 923 | 30 | |
| * | Landec Corp. | 2,755 | 28 |
| American Vanguard Corp. | 1,846 | 23 | |
| Quanex Building Products Corp. | 1,344 | 23 | |
| Rentech Inc. | 11,007 | 22 | |
| * | LSB Industries Inc. | 3,688 | 22 |
| * | Century Aluminum Co. | 1,895 | 14 |
| Haynes International Inc. | 428 | 13 | |
| * | Unifi Inc. | 453 | 10 |
| Olympic Steel Inc. | 855 | 9 | |
67
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Valhi Inc. | 5,296 | 7 | |
| * | Handy & Harman Ltd. | 265 | 5 |
| United States Lime & Minerals Inc. | 59 | 3 | |
| * | Ryerson Holding Corp. | 329 | 1 |
| 27,394 | |||
| Other (0.0%)2 | |||
| * | Dyax Corp CVR Exp. 12/31/2019 | 73,258 | 81 |
| * | Leap Wireless International Inc CVR | 4,106 | 10 |
| * | Chelsea Therapeutics International Ltd. CVR Exp. 12/31/2016 | 27,975 | 3 |
| * | Cubist Pharmaceuticals, Inc. CVR | 13,027 | 2 |
| * | Omthera Pharmaceuticals Inc. CVR | 2,001 | 1 |
| * | Durata Therapeutics Inc CVR Exp. 12/31/2018 | 534 | 1 |
| * | Clinical Data Contingent Value Rights | 367 | — |
| * | Magnum Hunter Resources Corp. Warrants Exp. 4/15/2016 | 1,888 | — |
| 98 | |||
| Producer Durables (12.5%) | |||
| MAXIMUS Inc. | 32,505 | 1,598 | |
| Healthcare Services Group Inc. | 35,263 | 1,251 | |
| * | Generac Holdings Inc. | 34,111 | 1,185 |
| CLARCOR Inc. | 23,329 | 1,123 | |
| Littelfuse Inc. | 9,620 | 1,093 | |
| Allegiant Travel Co. Class A | 6,618 | 1,085 | |
| * | Hawaiian Holdings Inc. | 23,577 | 1,014 |
| Woodward Inc. | 21,096 | 990 | |
| * | Dycom Industries Inc. | 16,810 | 958 |
| * | Electronics For Imaging Inc. | 23,131 | 916 |
| CEB Inc. | 16,509 | 896 | |
| Hillenbrand Inc. | 31,076 | 874 | |
| HEICO Corp. Class A | 19,707 | 861 | |
| * | WageWorks Inc. | 17,670 | 851 |
| * | On Assignment Inc. | 25,525 | 843 |
| Matson Inc. | 19,700 | 790 | |
| Deluxe Corp. | 13,546 | 778 | |
| Herman Miller Inc. | 29,508 | 770 | |
| John Bean Technologies Corp. | 14,451 | 760 | |
| Knight Transportation Inc. | 30,927 | 749 | |
| * | Proto Labs Inc. | 11,511 | 749 |
| HNI Corp. | 22,014 | 744 | |
| * | Swift Transportation Co. | 43,499 | 741 |
| *,^ | XPO Logistics Inc. | 29,117 | 721 |
| * | ExlService Holdings Inc. | 15,288 | 720 |
| Brink's Co. | 24,070 | 704 | |
| Franklin Electric Co. Inc. | 21,837 | 652 | |
| AZZ Inc. | 12,739 | 643 | |
| Forward Air Corp. | 15,310 | 623 | |
| * | Advisory Board Co. | 20,937 | 617 |
| * | Hub Group Inc. Class A | 16,297 | 602 |
| Exponent Inc. | 12,213 | 570 | |
| HEICO Corp. | 9,523 | 548 | |
| Steelcase Inc. Class A | 41,243 | 515 | |
| * | TASER International Inc. | 26,519 | 514 |
| * | TrueBlue Inc. | 20,799 | 477 |
| G&K Services Inc. Class A | 7,184 | 476 | |
| Badger Meter Inc. | 7,179 | 472 | |
| Knoll Inc. | 24,200 | 462 | |
| Heartland Express Inc. | 24,957 | 459 | |
| MSA Safety Inc. | 9,251 | 404 | |
| MTS Systems Corp. | 7,327 | 403 | |
| Tennant Co. | 8,492 | 395 | |
| US Ecology Inc. | 10,659 | 394 | |
| * | Wabash National Corp. | 33,421 | 392 |
| Korn/Ferry International | 13,668 | 388 | |
| * | Teledyne Technologies Inc. | 4,472 | 381 |
| Insperity Inc. | 7,974 | 379 | |
68
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Echo Global Logistics Inc. | 14,613 | 373 |
| * | Virgin America Inc. | 11,599 | 362 |
| EnPro Industries Inc. | 6,740 | 350 | |
| ^ | Lindsay Corp. | 4,692 | 340 |
| Sun Hydraulics Corp. | 11,204 | 334 | |
| Greenbrier Cos. Inc. | 13,012 | 331 | |
| * | Saia Inc. | 12,402 | 326 |
| * | Advanced Energy Industries Inc. | 10,913 | 326 |
| Standex International Corp. | 4,621 | 325 | |
| * | Astronics Corp. | 9,586 | 305 |
| EnerSys | 5,894 | 303 | |
| Multi-Color Corp. | 6,207 | 302 | |
| Applied Industrial Technologies Inc. | 7,843 | 302 | |
| Encore Wire Corp. | 7,926 | 286 | |
| Primoris Services Corp. | 13,069 | 279 | |
| * | Team Inc. | 10,643 | 273 |
| Altra Industrial Motion Corp. | 10,474 | 255 | |
| * | TriNet Group Inc. | 18,681 | 245 |
| * | Blount International Inc. | 24,067 | 233 |
| * | Paylocity Holding Corp. | 7,654 | 227 |
| * | Aerojet Rocketdyne Holdings Inc. | 14,579 | 226 |
| H&E Equipment Services Inc. | 15,456 | 204 | |
| * | SP Plus Corp. | 7,842 | 196 |
| Kforce Inc. | 12,179 | 194 | |
| General Cable Corp. | 22,130 | 190 | |
| Argan Inc. | 5,592 | 180 | |
| Hackett Group Inc. | 11,694 | 163 | |
| * | GP Strategies Corp. | 6,398 | 158 |
| Forrester Research Inc. | 4,943 | 154 | |
| * | OSI Systems Inc. | 2,543 | 154 |
| Harsco Corp. | 39,643 | 150 | |
| Werner Enterprises Inc. | 5,189 | 138 | |
| Mesa Laboratories Inc. | 1,422 | 128 | |
| Park-Ohio Holdings Corp. | 4,309 | 127 | |
| * | Covenant Transportation Group Inc. Class A | 5,565 | 123 |
| Barrett Business Services Inc. | 3,507 | 123 | |
| TeleTech Holdings Inc. | 4,410 | 122 | |
| *,^ | Plug Power Inc. | 51,219 | 107 |
| * | Mistras Group Inc. | 4,703 | 101 |
| * | Vectrus Inc. | 4,943 | 95 |
| Curtiss-Wright Corp. | 1,308 | 92 | |
| * | Furmanite Corp. | 15,952 | 89 |
| Celadon Group Inc. | 9,433 | 85 | |
| ArcBest Corp. | 4,268 | 84 | |
| * | Lydall Inc. | 2,849 | 82 |
| Hyster-Yale Materials Handling Inc. | 1,362 | 81 | |
| * | Huron Consulting Group Inc. | 1,420 | 79 |
| * | PFSweb Inc. | 5,683 | 73 |
| Albany International Corp. | 1,976 | 72 | |
| * | Moog Inc. Class A | 1,666 | 72 |
| * | ServiceSource International Inc. | 17,485 | 71 |
| Kimball International Inc. Class B | 6,176 | 65 | |
| * | Roadrunner Transportation Systems Inc. | 5,331 | 62 |
| * | DHI Group Inc. | 7,944 | 62 |
| * | FARO Technologies Inc. | 1,892 | 61 |
| Mobile Mini Inc. | 2,080 | 60 | |
| * | Vicor Corp. | 6,925 | 57 |
| * | FTI Consulting Inc. | 1,744 | 57 |
| Allied Motion Technologies Inc. | 2,980 | 55 | |
| * | NV5 Global Inc. | 2,444 | 53 |
| Gorman-Rupp Co. | 2,094 | 53 | |
| Douglas Dynamics Inc. | 2,607 | 51 | |
| American Railcar Industries Inc. | 1,171 | 48 | |
| * | InnerWorkings Inc. | 7,022 | 48 |
69
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Kaman Corp. | 1,066 | 47 | |
| FreightCar America Inc. | 3,107 | 46 | |
| Resources Connection Inc. | 3,320 | 46 | |
| * | Radiant Logistics Inc. | 14,181 | 45 |
| * | PAM Transportation Services Inc. | 1,459 | 42 |
| * | Milacron Holdings Corp. | 2,894 | 40 |
| * | Astronics Corp. Class B | 1,251 | 39 |
| * | Xerium Technologies Inc. | 5,259 | 39 |
| Universal Truckload Services Inc. | 2,459 | 38 | |
| * | Commercial Vehicle Group Inc. | 14,340 | 36 |
| * | Thermon Group Holdings Inc. | 2,084 | 35 |
| Raven Industries Inc. | 2,202 | 34 | |
| * | RPX Corp. | 3,289 | 33 |
| Kadant Inc. | 850 | 32 | |
| * | HC2 Holdings Inc. | 7,725 | 31 |
| * | USA Truck Inc. | 1,724 | 27 |
| * | DXP Enterprises Inc. | 1,823 | 25 |
| * | YRC Worldwide Inc. | 3,067 | 25 |
| * | TriMas Corp. | 1,444 | 24 |
| * | Blue Bird Corp. | 2,607 | 24 |
| * | Volt Information Sciences Inc. | 3,102 | 23 |
| * | Power Solutions International Inc. | 2,221 | 22 |
| * | Accuride Corp. | 16,896 | 22 |
| Marten Transport Ltd. | 1,108 | 18 | |
| * | Casella Waste Systems Inc. Class A | 3,058 | 18 |
| CECO Environmental Corp. | 2,764 | 17 | |
| *,^ | Patriot National Inc. | 3,972 | 17 |
| Heidrick & Struggles International Inc. | 527 | 12 | |
| * | Navistar International Corp. | 1,339 | 11 |
| *,^ | 6D Global Technologies Inc. | 3,567 | 10 |
| * | Neff Corp. Class A | 2,060 | 10 |
| * | Great Lakes Dredge & Dock Corp. | 2,488 | 8 |
| * | PHI Inc. | 461 | 8 |
| Miller Industries Inc. | 432 | 8 | |
| Titan International Inc. | 1,534 | 8 | |
| * | Heritage-Crystal Clean Inc. | 404 | 3 |
| * | Gener8 Maritime Inc. | 357 | 2 |
| 46,177 | |||
| Technology (19.7%) | |||
| * | Manhattan Associates Inc. | 36,401 | 2,012 |
| * | Tyler Technologies Inc. | 16,638 | 2,002 |
| * | Microsemi Corp. | 49,238 | 1,705 |
| * | Guidewire Software Inc. | 34,618 | 1,704 |
| FEI Co. | 20,502 | 1,666 | |
| * | EPAM Systems Inc. | 24,131 | 1,650 |
| * | Cavium Inc. | 27,282 | 1,623 |
| * | Synaptics Inc. | 18,166 | 1,475 |
| * | Aspen Technology Inc. | 42,121 | 1,389 |
| Blackbaud Inc. | 23,199 | 1,311 | |
| * | ViaSat Inc. | 17,929 | 1,309 |
| * | Integrated Device Technology Inc. | 66,845 | 1,298 |
| * | Ciena Corp. | 60,875 | 1,248 |
| * | Ellie Mae Inc. | 14,503 | 1,220 |
| Monolithic Power Systems Inc. | 19,498 | 1,152 | |
| * | Cirrus Logic Inc. | 31,277 | 1,102 |
| * | ACI Worldwide Inc. | 57,584 | 1,075 |
| * | Qlik Technologies Inc. | 45,049 | 1,046 |
| * | Infinera Corp. | 65,649 | 1,030 |
| * | Verint Systems Inc. | 28,599 | 1,016 |
| Science Applications International Corp. | 22,713 | 1,014 | |
| * | comScore Inc. | 24,258 | 998 |
| * | Universal Display Corp. | 19,840 | 948 |
| * | Proofpoint Inc. | 19,468 | 912 |
| * | GrubHub Inc. | 37,181 | 875 |
70
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Cray Inc. | 20,191 | 856 |
| * | CommVault Systems Inc. | 22,357 | 838 |
| InterDigital Inc. | 16,018 | 797 | |
| Diebold Inc. | 32,014 | 795 | |
| * | Take-Two Interactive Software Inc. | 21,679 | 780 |
| * | Cornerstone OnDemand Inc. | 26,642 | 767 |
| * | Rambus Inc. | 57,062 | 744 |
| * | MicroStrategy Inc. Class A | 4,599 | 740 |
| *,^ | Ambarella Inc. | 15,508 | 720 |
| * | Syntel Inc. | 15,533 | 710 |
| * | Fleetmatics Group plc | 18,878 | 682 |
| Plantronics Inc. | 17,447 | 654 | |
| * | LogMeIn Inc. | 12,127 | 617 |
| CSG Systems International Inc. | 16,194 | 615 | |
| * | Silicon Laboratories Inc. | 14,886 | 614 |
| * | Super Micro Computer Inc. | 18,241 | 592 |
| * | Imperva Inc. | 13,056 | 573 |
| NIC Inc. | 32,439 | 571 | |
| * | Demandware Inc. | 16,425 | 570 |
| Methode Electronics Inc. | 18,998 | 543 | |
| * | Synchronoss Technologies Inc. | 19,219 | 538 |
| * | BroadSoft Inc. | 14,460 | 533 |
| * | RealPage Inc. | 26,167 | 525 |
| * | Virtusa Corp. | 14,661 | 519 |
| * | Entegris Inc. | 40,575 | 502 |
| * | Paycom Software Inc. | 15,502 | 494 |
| ^ | Ebix Inc. | 13,299 | 492 |
| * | RingCentral Inc. Class A | 26,575 | 492 |
| * | NetScout Systems Inc. | 23,717 | 490 |
| * | Zendesk Inc. | 26,671 | 488 |
| * | Bottomline Technologies de Inc. | 17,167 | 484 |
| * | Inphi Corp. | 18,988 | 480 |
| Tessera Technologies Inc. | 15,993 | 471 | |
| Monotype Imaging Holdings Inc. | 19,842 | 471 | |
| * | Luxoft Holding Inc. Class A | 9,092 | 462 |
| * | Infoblox Inc. | 29,672 | 459 |
| Power Integrations Inc. | 9,712 | 445 | |
| * | M/A-COM Technology Solutions Holdings Inc. | 11,638 | 441 |
| *,^ | Ubiquiti Networks Inc. | 13,371 | 437 |
| * | MaxLinear Inc. | 27,136 | 437 |
| Pegasystems Inc. | 17,755 | 432 | |
| * | Envestnet Inc. | 19,224 | 394 |
| * | Web.com Group Inc. | 21,532 | 391 |
| * | AVG Technologies NV | 20,153 | 386 |
| * | HubSpot Inc. | 9,241 | 385 |
| * | Callidus Software Inc. | 27,153 | 373 |
| * | Gigamon Inc. | 13,484 | 369 |
| * | SPS Commerce Inc. | 8,119 | 363 |
| * | Ruckus Wireless Inc. | 37,125 | 359 |
| * | CalAmp Corp. | 17,852 | 326 |
| * | Endurance International Group Holdings Inc. | 28,933 | 325 |
| * | Ixia | 26,890 | 307 |
| * | Qualys Inc. | 12,228 | 305 |
| * | InvenSense Inc. | 38,179 | 298 |
| * | Advanced Micro Devices Inc. | 138,043 | 295 |
| * | Marketo Inc. | 17,104 | 289 |
| EarthLink Holdings Corp. | 50,840 | 287 | |
| * | Interactive Intelligence Group Inc. | 8,585 | 257 |
| * | Globant SA | 7,561 | 233 |
| * | Plexus Corp. | 6,300 | 229 |
| * | Cvent Inc. | 11,516 | 225 |
| * | Xura Inc. | 11,229 | 220 |
| * | Perficient Inc. | 11,888 | 215 |
| * | Semtech Corp. | 11,119 | 213 |
71
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Silver Spring Networks Inc. | 16,999 | 212 |
| * | Rubicon Project Inc. | 12,803 | 211 |
| * | Loral Space & Communications Inc. | 6,497 | 208 |
| * | Global Eagle Entertainment Inc. | 22,943 | 206 |
| *,^ | VASCO Data Security International Inc. | 14,549 | 200 |
| * | NeuStar Inc. Class A | 7,980 | 198 |
| * | Q2 Holdings Inc. | 9,654 | 196 |
| * | Nimble Storage Inc. | 25,188 | 182 |
| * | DTS Inc. | 7,632 | 181 |
| * | GTT Communications Inc. | 12,212 | 180 |
| * | Wix.com Ltd. | 9,323 | 179 |
| * | Textura Corp. | 9,645 | 166 |
| * | Unisys Corp. | 15,410 | 166 |
| * | Tangoe Inc. | 19,114 | 155 |
| * | Rogers Corp. | 2,878 | 154 |
| * | Newport Corp. | 6,583 | 150 |
| * | LivePerson Inc. | 27,840 | 143 |
| * | PDF Solutions Inc. | 12,314 | 140 |
| * | Lionbridge Technologies Inc. | 31,625 | 139 |
| * | Mattson Technology Inc. | 36,895 | 133 |
| *,^ | Pure Storage Inc. Class A | 9,092 | 131 |
| * | TrueCar Inc. | 23,827 | 129 |
| * | PROS Holdings Inc. | 11,624 | 128 |
| * | pdvWireless Inc. | 4,397 | 125 |
| * | Immersion Corp. | 13,788 | 124 |
| * | Applied Optoelectronics Inc. | 6,847 | 123 |
| * | Benefitfocus Inc. | 3,880 | 122 |
| * | Glu Mobile Inc. | 31,583 | 117 |
| * | Vocera Communications Inc. | 8,306 | 115 |
| * | ChannelAdvisor Corp. | 10,647 | 113 |
| * | Zix Corp. | 28,289 | 113 |
| * | Cascade Microtech Inc. | 5,447 | 112 |
| Sapiens International Corp. NV | 9,298 | 110 | |
| * | Model N Inc. | 10,364 | 107 |
| *,^ | OPOWER Inc. | 12,875 | 106 |
| *,^ | Digimarc Corp. | 3,501 | 106 |
| *,^ | VirnetX Holding Corp. | 22,625 | 105 |
| * | Silicon Graphics International Corp. | 17,203 | 104 |
| * | A10 Networks Inc. | 16,814 | 104 |
| * | FormFactor Inc. | 13,304 | 101 |
| * | Alliance Fiber Optic Products Inc. | 7,213 | 100 |
| * | CEVA Inc. | 4,978 | 98 |
| * | Five9 Inc. | 11,874 | 96 |
| * | SciQuest Inc. | 7,861 | 96 |
| * | Lattice Semiconductor Corp. | 14,601 | 92 |
| * | Brightcove Inc. | 15,253 | 92 |
| * | Coherent Inc. | 1,043 | 88 |
| * | iRobot Corp. | 2,767 | 87 |
| * | Intralinks Holdings Inc. | 10,850 | 84 |
| Epiq Systems Inc. | 6,145 | 84 | |
| * | Varonis Systems Inc. | 4,494 | 83 |
| * | Clearfield Inc. | 5,663 | 82 |
| * | Avid Technology Inc. | 10,334 | 79 |
| * | New Relic Inc. | 2,869 | 76 |
| * | Jive Software Inc. | 23,357 | 76 |
| *,^ | Box Inc. | 6,531 | 75 |
| * | ARC Document Solutions Inc. | 20,557 | 72 |
| * | Xcerra Corp. | 12,076 | 69 |
| * | Carbonite Inc. | 9,101 | 69 |
| * | Internap Corp. | 26,909 | 69 |
| * | MobileIron Inc. | 19,669 | 66 |
| Reis Inc. | 2,793 | 62 | |
| * | Applied Micro Circuits Corp. | 10,365 | 60 |
| *,^ | Alarm.com Holdings Inc. | 2,979 | 59 |
72
| Vanguard® Russell 2000 Growth Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Aerohive Networks Inc. | 11,147 | 57 |
| * | KVH Industries Inc. | 6,041 | 55 |
| NVE Corp. | 1,052 | 54 | |
| * | Hortonworks Inc. | 4,376 | 51 |
| * | Barracuda Networks Inc. | 3,864 | 50 |
| * | Evolent Health Inc. Class A | 4,893 | 49 |
| * | ShoreTel Inc. | 6,595 | 49 |
| * | Guidance Software Inc. | 9,093 | 49 |
| * | Everyday Health Inc. | 9,427 | 45 |
| * | Workiva Inc. | 3,497 | 44 |
| *,^ | Park City Group Inc. | 4,738 | 43 |
| * | Bazaarvoice Inc. | 13,198 | 41 |
| * | Sparton Corp. | 2,771 | 40 |
| * | Rapid7 Inc. | 2,960 | 39 |
| * | Amber Road Inc. | 7,921 | 36 |
| * | Rofin-Sinar Technologies Inc. | 1,601 | 36 |
| * | Violin Memory Inc. | 43,385 | 35 |
| *,^ | MINDBODY Inc. Class A | 2,644 | 31 |
| * | Rudolph Technologies Inc. | 2,316 | 30 |
| * | Digital Turbine Inc. | 24,877 | 28 |
| Daktronics Inc. | 3,926 | 28 | |
| * | Novatel Wireless Inc. | 16,400 | 27 |
| * | Travelzoo Inc. | 3,422 | 27 |
| QAD Inc. Class A | 1,275 | 25 | |
| *,^ | Appfolio Inc. | 2,085 | 24 |
| * | Harmonic Inc. | 6,762 | 23 |
| American Software Inc. Class A | 2,333 | 22 | |
| * | TechTarget Inc. | 2,925 | 20 |
| * | Xactly Corp. | 2,952 | 17 |
| * | Exar Corp. | 3,044 | 16 |
| * | Apigee Corp. | 2,706 | 16 |
| * | ePlus Inc. | 195 | 15 |
| * | Extreme Networks Inc. | 4,023 | 11 |
| * | Connecture Inc. | 3,260 | 10 |
| * | RetailMeNot Inc. | 1,204 | 10 |
| * | Marin Software Inc. | 1,462 | 4 |
| * | Datalink Corp. | 569 | 4 |
| * | MaxPoint Interactive Inc. | 2,196 | 4 |
| * | Code Rebel Corp. | 571 | 1 |
| 72,568 | |||
| Utilities (1.7%) | |||
| j2 Global Inc. | 23,782 | 1,738 | |
| Cogent Communications Holdings Inc. | 22,779 | 836 | |
| Shenandoah Telecommunications Co. | 20,597 | 498 | |
| Consolidated Communications Holdings Inc. | 16,236 | 380 | |
| ^ | Windstream Holdings Inc. | 46,990 | 353 |
| * | General Communication Inc. Class A | 17,229 | 329 |
| *,^ | Gogo Inc. | 27,600 | 300 |
| Ormat Technologies Inc. | 7,627 | 291 | |
| * | inContact Inc. | 27,574 | 256 |
| * | 8x8 Inc. | 15,259 | 178 |
| * | FairPoint Communications Inc. | 10,209 | 153 |
| *,^ | Straight Path Communications Inc. Class B | 4,687 | 149 |
| * | Lumos Networks Corp. | 9,624 | 118 |
| Inteliquent Inc. | 6,890 | 117 | |
| West Corp. | 3,543 | 79 | |
| * | Boingo Wireless Inc. | 10,215 | 73 |
| American States Water Co. | 1,600 | 68 | |
| * | Vonage Holdings Corp. | 9,220 | 50 |
| Spark Energy Inc. Class A | 1,371 | 33 | |
| York Water Co. | 585 | 16 | |
| IDT Corp. Class B | 1,188 | 16 | |
| Genie Energy Ltd. Class B | 1,446 | 13 | |
73
| Vanguard® Russell 2000 Growth Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Market | ||||
| Value | ||||
| Shares | ($000) | |||
| * Intelsat SA | 3,879 | 7 | ||
| 6,051 | ||||
| Total Common Stocks (Cost $429,298) | 367,320 | |||
| Coupon | ||||
| Temporary Cash Investments (2.7%)1 | ||||
| Money Market Fund (2.6%) | ||||
| 3,4 Vanguard Market Liquidity Fund | 0.475% | 9,694,796 | 9,695 | |
| Face | ||||
| Maturity | Amount | |||
| Date | ($000) | |||
| U.S. Government and Agency Obligations (0.1%) | ||||
| 5,6 Federal Home Loan Bank Discount Notes | 0.582% | 7/8/16 | 200 | 200 |
| Total Temporary Cash Investments (Cost $9,895) | 9,895 | |||
| Total Investments (102.4%) (Cost $439,193) | 377,215 | |||
| Other Assets and Liabilities—Net (-2.4%)4 | (8,832) | |||
| Net Assets (100%) | 368,383 | |||
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $8,523,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and 2.4%, respectively, of net assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
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 Includes $9,266,000 of collateral received for securities on loan.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
6 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
74
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75
© 2016 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA18512 042016
| Vanguard® Russell 3000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Common Stocks (99.6%)1 | |||
| Consumer Discretionary (14.9%) | |||
| * | Amazon.com Inc. | 17,227 | 9,518 |
| Walt Disney Co. | 76,717 | 7,328 | |
| Home Depot Inc. | 58,736 | 7,290 | |
| Comcast Corp. Class A | 113,248 | 6,538 | |
| McDonald's Corp. | 43,385 | 5,084 | |
| Wal-Mart Stores Inc. | 71,237 | 4,726 | |
| Starbucks Corp. | 67,732 | 3,943 | |
| NIKE Inc. Class B | 61,262 | 3,773 | |
| Costco Wholesale Corp. | 19,874 | 2,982 | |
| * | Priceline Group Inc. | 2,343 | 2,964 |
| Lowe's Cos. Inc. | 42,962 | 2,901 | |
| Time Warner Inc. | 37,153 | 2,460 | |
| Time Warner Cable Inc. | 12,791 | 2,441 | |
| TJX Cos. Inc. | 30,826 | 2,284 | |
| Target Corp. | 28,949 | 2,271 | |
| Ford Motor Co. | 176,739 | 2,211 | |
| General Motors Co. | 72,732 | 2,141 | |
| * | Netflix Inc. | 19,301 | 1,803 |
| Twenty-First Century Fox Inc. Class A | 50,616 | 1,368 | |
| Yum! Brands Inc. | 18,480 | 1,339 | |
| * | eBay Inc. | 54,938 | 1,308 |
| * | O'Reilly Automotive Inc. | 4,598 | 1,197 |
| * | AutoZone Inc. | 1,419 | 1,099 |
| Johnson Controls Inc. | 29,898 | 1,090 | |
| Dollar General Corp. | 13,730 | 1,019 | |
| Ross Stores Inc. | 18,540 | 1,019 | |
| CBS Corp. Class B | 20,778 | 1,005 | |
| VF Corp. | 15,198 | 990 | |
| L Brands Inc. | 11,181 | 948 | |
| Carnival Corp. | 19,217 | 922 | |
| Delphi Automotive plc | 13,060 | 871 | |
| Estee Lauder Cos. Inc. Class A | 9,486 | 866 | |
| Omnicom Group Inc. | 11,056 | 860 | |
| *,^ | Tesla Motors Inc. | 4,382 | 841 |
| Nielsen Holdings plc | 16,671 | 839 | |
| * | Dollar Tree Inc. | 10,440 | 838 |
| Las Vegas Sands Corp. | 16,606 | 802 | |
| * | Chipotle Mexican Grill Inc. Class A | 1,425 | 726 |
| * | Under Armour Inc. Class A | 8,092 | 677 |
| Genuine Parts Co. | 6,949 | 626 | |
| *,^ | Charter Communications Inc. Class A | 3,404 | 611 |
| Macy's Inc. | 13,990 | 605 | |
| Twenty-First Century Fox Inc. | 22,169 | 602 | |
| Marriott International Inc. Class A | 8,723 | 594 | |
| Viacom Inc. Class B | 15,790 | 582 | |
| Royal Caribbean Cruises Ltd. | 7,663 | 570 | |
| * | Liberty Interactive Corp. QVC Group Class A | 22,437 | 569 |
| Whirlpool Corp. | 3,626 | 563 | |
| Expedia Inc. | 5,379 | 560 | |
| Starwood Hotels & Resorts Worldwide Inc. | 7,870 | 544 | |
| Hanesbrands Inc. | 18,464 | 526 | |
| Tractor Supply Co. | 6,069 | 513 | |
| * | Mohawk Industries Inc. | 2,849 | 512 |
| Mattel Inc. | 15,479 | 503 | |
| Advance Auto Parts Inc. | 3,362 | 499 | |
| * | Jarden Corp. | 9,408 | 498 |
| Hilton Worldwide Holdings Inc. | 23,838 | 495 | |
| Coach Inc. | 12,659 | 493 | |
| * | Ulta Salon Cosmetics & Fragrance Inc. | 2,872 | 474 |
| * | DISH Network Corp. Class A | 9,920 | 468 |
| * | Michael Kors Holdings Ltd. | 8,191 | 464 |
1
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Newell Rubbermaid Inc. | 12,011 | 457 |
| Best Buy Co. Inc. | 13,534 | 438 |
| * CarMax Inc. | 8,789 | 407 |
| Interpublic Group of Cos. Inc. | 18,807 | 402 |
| Kohl's Corp. | 8,448 | 394 |
| Signet Jewelers Ltd. | 3,595 | 390 |
| Wyndham Worldwide Corp. | 5,349 | 390 |
| Hasbro Inc. | 5,118 | 388 |
| Foot Locker Inc. | 6,207 | 388 |
| DR Horton Inc. | 14,497 | 387 |
| * Sirius XM Holdings Inc. | 102,777 | 382 |
| * MGM Resorts International | 19,899 | 377 |
| * LKQ Corp. | 13,577 | 375 |
| Goodyear Tire & Rubber Co. | 12,369 | 373 |
| Harley-Davidson Inc. | 8,537 | 369 |
| * Bed Bath & Beyond Inc. | 7,672 | 368 |
| Fortune Brands Home & Security Inc. | 7,289 | 366 |
| Darden Restaurants Inc. | 5,635 | 360 |
| Lear Corp. | 3,550 | 360 |
| H&R Block Inc. | 10,502 | 345 |
| BorgWarner Inc. | 10,175 | 333 |
| Tiffany & Co. | 5,047 | 328 |
| Lennar Corp. Class A | 7,792 | 327 |
| * Liberty Media Corp. | 9,324 | 325 |
| Domino's Pizza Inc. | 2,440 | 325 |
| Nordstrom Inc. | 6,287 | 323 |
| * TripAdvisor Inc. | 5,128 | 321 |
| * Discovery Communications Inc. | 12,774 | 315 |
| * lululemon athletica Inc. | 4,950 | 311 |
| Wynn Resorts Ltd. | 3,637 | 300 |
| * Norwegian Cruise Line Holdings Ltd. | 6,050 | 297 |
| PulteGroup Inc. | 17,047 | 293 |
| PVH Corp. | 3,684 | 292 |
| Cablevision Systems Corp. Class A | 8,947 | 291 |
| * NVR Inc. | 177 | 290 |
| Gap Inc. | 10,461 | 289 |
| Polaris Industries Inc. | 3,116 | 274 |
| Leggett & Platt Inc. | 6,107 | 273 |
| Staples Inc. | 28,748 | 272 |
| Aramark | 8,573 | 269 |
| Harman International Industries Inc. | 3,314 | 254 |
| TEGNA Inc. | 10,165 | 250 |
| Scripps Networks Interactive Inc. Class A | 4,133 | 245 |
| News Corp. Class A | 22,314 | 241 |
| Ralph Lauren Corp. Class A | 2,645 | 240 |
| Carter's Inc. | 2,358 | 240 |
| * Panera Bread Co. Class A | 1,153 | 239 |
| * Sally Beauty Holdings Inc. | 7,340 | 232 |
| * Liberty Ventures Class A | 6,301 | 231 |
| * WABCO Holdings Inc. | 2,413 | 228 |
| KAR Auction Services Inc. | 6,393 | 226 |
| Garmin Ltd. | 5,432 | 220 |
| Lamar Advertising Co. Class A | 3,725 | 213 |
| * Toll Brothers Inc. | 7,733 | 212 |
| Service Corp. International | 9,004 | 212 |
| Vail Resorts Inc. | 1,657 | 211 |
| Williams-Sonoma Inc. | 4,012 | 209 |
| Dunkin' Brands Group Inc. | 4,386 | 204 |
| Gentex Corp. | 13,524 | 197 |
| * Burlington Stores Inc. | 3,416 | 192 |
| * Skechers U.S.A. Inc. Class A | 5,509 | 181 |
| * AMC Networks Inc. Class A | 2,755 | 181 |
| Brunswick Corp. | 4,242 | 180 |
| * ServiceMaster Global Holdings Inc. | 4,748 | 180 |
2
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Cinemark Holdings Inc. | 5,426 | 180 |
| Dick's Sporting Goods Inc. | 4,214 | 179 |
| * Discovery Communications Inc. Class A | 7,153 | 179 |
| * AutoNation Inc. | 3,360 | 173 |
| Six Flags Entertainment Corp. | 3,351 | 170 |
| * Liberty Media Corp. Class A | 4,777 | 170 |
| Pool Corp. | 2,054 | 165 |
| * Tempur Sealy International Inc. | 2,728 | 157 |
| * Liberty Broadband Corp. | 3,065 | 154 |
| GameStop Corp. Class A | 4,922 | 152 |
| * Vista Outdoor Inc. | 3,063 | 151 |
| * Hertz Global Holdings Inc. | 17,749 | 151 |
| * Live Nation Entertainment Inc. | 6,696 | 147 |
| * Madison Square Garden Co. Class A | 941 | 146 |
| Brinker International Inc. | 2,871 | 143 |
| * JC Penney Co. Inc. | 13,892 | 142 |
| American Eagle Outfitters Inc. | 9,163 | 140 |
| * Buffalo Wild Wings Inc. | 879 | 139 |
| Tribune Media Co. Class A | 3,767 | 135 |
| Texas Roadhouse Inc. Class A | 3,226 | 135 |
| * Cimpress NV | 1,521 | 134 |
| * Murphy USA Inc. | 2,090 | 133 |
| Outfront Media Inc. | 6,464 | 132 |
| Visteon Corp. | 1,874 | 131 |
| Cracker Barrel Old Country Store Inc. | 872 | 129 |
| * Office Depot Inc. | 25,410 | 129 |
| * Helen of Troy Ltd. | 1,314 | 125 |
| * Avis Budget Group Inc. | 4,859 | 125 |
| Thor Industries Inc. | 2,235 | 124 |
| * Houghton Mifflin Harcourt Co. | 6,497 | 122 |
| * Cabela's Inc. | 2,521 | 121 |
| Coty Inc. Class A | 4,169 | 119 |
| * Kate Spade & Co. | 5,926 | 117 |
| * Bright Horizons Family Solutions Inc. | 1,852 | 117 |
| * Tenneco Inc. | 2,572 | 117 |
| Tupperware Brands Corp. | 2,292 | 115 |
| CST Brands Inc. | 3,522 | 114 |
| AMERCO | 328 | 112 |
| Cheesecake Factory Inc. | 2,246 | 112 |
| CalAtlantic Group Inc. | 3,655 | 111 |
| Jack in the Box Inc. | 1,517 | 104 |
| Lithia Motors Inc. Class A | 1,119 | 104 |
| Abercrombie & Fitch Co. | 3,564 | 104 |
| John Wiley & Sons Inc. Class A | 2,358 | 103 |
| Big Lots Inc. | 2,503 | 101 |
| * Urban Outfitters Inc. | 3,810 | 101 |
| * Starz | 4,001 | 101 |
| Bloomin' Brands Inc. | 5,756 | 100 |
| * Pandora Media Inc. | 9,596 | 98 |
| * G-III Apparel Group Ltd. | 1,843 | 97 |
| Cooper Tire & Rubber Co. | 2,425 | 95 |
| Dana Holding Corp. | 7,499 | 93 |
| Lions Gate Entertainment Corp. | 4,379 | 92 |
| * Fossil Group Inc. | 1,958 | 92 |
| Monro Muffler Brake Inc. | 1,343 | 92 |
| Wolverine World Wide Inc. | 4,802 | 91 |
| * IMAX Corp. | 3,075 | 91 |
| * Stamps.com Inc. | 751 | 89 |
| * Five Below Inc. | 2,308 | 89 |
| Sinclair Broadcast Group Inc. Class A | 2,789 | 86 |
| Wendy's Co. | 9,090 | 85 |
| * TRI Pointe Group Inc. | 8,252 | 85 |
| * Steven Madden Ltd. | 2,394 | 84 |
| Dillard's Inc. Class A | 995 | 83 |
3
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Hyatt Hotels Corp. Class A | 1,785 | 82 |
| * DreamWorks Animation SKG Inc. Class A | 3,186 | 82 |
| * Deckers Outdoor Corp. | 1,441 | 82 |
| DSW Inc. Class A | 3,065 | 80 |
| Churchill Downs Inc. | 580 | 79 |
| Choice Hotels International Inc. | 1,485 | 77 |
| Drew Industries Inc. | 1,275 | 77 |
| * Grand Canyon Education Inc. | 1,968 | 77 |
| * Liberty TripAdvisor Holdings Inc. Class A | 3,748 | 76 |
| Chico's FAS Inc. | 5,960 | 76 |
| Graham Holdings Co. Class B | 154 | 75 |
| Cable One Inc. | 173 | 74 |
| Gannett Co. Inc. | 4,854 | 74 |
| Avon Products Inc. | 19,124 | 73 |
| New York Times Co. Class A | 5,788 | 73 |
| * Pinnacle Entertainment Inc. | 2,512 | 73 |
| Columbia Sportswear Co. | 1,216 | 72 |
| HSN Inc. | 1,359 | 72 |
| * Boyd Gaming Corp. | 4,134 | 72 |
| * Shutterfly Inc. | 1,587 | 71 |
| Papa John's International Inc. | 1,207 | 70 |
| * Express Inc. | 4,013 | 69 |
| ^ Regal Entertainment Group Class A | 3,510 | 69 |
| * Media General Inc. | 4,095 | 68 |
| Penske Automotive Group Inc. | 1,784 | 67 |
| Meredith Corp. | 1,544 | 67 |
| * Genesco Inc. | 1,014 | 67 |
| Matthews International Corp. Class A | 1,410 | 67 |
| SeaWorld Entertainment Inc. | 3,661 | 66 |
| Sonic Corp. | 2,239 | 66 |
| DineEquity Inc. | 717 | 66 |
| * Asbury Automotive Group Inc. | 1,123 | 66 |
| * Dorman Products Inc. | 1,287 | 65 |
| Marriott Vacations Worldwide Corp. | 1,068 | 65 |
| Time Inc. | 4,514 | 64 |
| PriceSmart Inc. | 820 | 63 |
| * Gentherm Inc. | 1,515 | 63 |
| * Liberty Broadband Corp. Class A | 1,253 | 63 |
| * Michaels Cos. Inc. | 2,658 | 62 |
| Aaron's Inc. | 2,682 | 62 |
| * Ascena Retail Group Inc. | 7,204 | 61 |
| Nexstar Broadcasting Group Inc. Class A | 1,331 | 59 |
| International Game Technology plc | 4,000 | 59 |
| Travelport Worldwide Ltd. | 4,548 | 59 |
| * Restoration Hardware Holdings Inc. | 1,553 | 59 |
| * Smith & Wesson Holding Corp. | 2,295 | 58 |
| Sotheby's | 2,551 | 58 |
| Children's Place Inc. | 828 | 56 |
| Group 1 Automotive Inc. | 984 | 55 |
| * Meritage Homes Corp. | 1,675 | 54 |
| La-Z-Boy Inc. | 2,107 | 51 |
| Sturm Ruger & Co. Inc. | 728 | 51 |
| * Popeyes Louisiana Kitchen Inc. | 931 | 51 |
| Guess? Inc. | 2,369 | 51 |
| * GoPro Inc. Class A | 4,117 | 49 |
| DeVry Education Group Inc. | 2,663 | 49 |
| Caleres Inc. | 1,712 | 49 |
| * American Axle & Manufacturing Holdings Inc. | 3,253 | 48 |
| * Penn National Gaming Inc. | 3,432 | 48 |
| * MSG Networks Inc. | 2,826 | 46 |
| * LifeLock Inc. | 4,025 | 44 |
| * Tumi Holdings Inc. | 2,183 | 43 |
| Oxford Industries Inc. | 586 | 43 |
| * La Quinta Holdings Inc. | 3,895 | 42 |
4
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| KB Home | 3,310 | 40 |
| * Cooper-Standard Holding Inc. | 550 | 40 |
| Bob Evans Farms Inc. | 933 | 40 |
| * BJ's Restaurants Inc. | 905 | 40 |
| EW Scripps Co. Class A | 2,229 | 39 |
| * Select Comfort Corp. | 2,120 | 38 |
| International Speedway Corp. Class A | 1,086 | 37 |
| Cato Corp. Class A | 1,031 | 37 |
| * American Woodmark Corp. | 544 | 37 |
| * Fiesta Restaurant Group Inc. | 1,119 | 37 |
| * Krispy Kreme Doughnuts Inc. | 2,522 | 37 |
| * Red Robin Gourmet Burgers Inc. | 565 | 37 |
| * Hibbett Sports Inc. | 1,031 | 37 |
| * Belmond Ltd. Class A | 3,959 | 36 |
| * Mattress Firm Holding Corp. | 800 | 36 |
| National CineMedia Inc. | 2,404 | 36 |
| MDC Partners Inc. Class A | 1,683 | 36 |
| * Denny's Corp. | 3,472 | 36 |
| Buckle Inc. | 1,119 | 36 |
| * Diamond Resorts International Inc. | 1,631 | 36 |
| Finish Line Inc. Class A | 1,948 | 36 |
| * Dave & Buster's Entertainment Inc. | 937 | 35 |
| Extended Stay America Inc. | 2,332 | 34 |
| * Universal Electronics Inc. | 645 | 34 |
| * Vitamin Shoppe Inc. | 1,234 | 34 |
| MDC Holdings Inc. | 1,525 | 34 |
| Scholastic Corp. | 962 | 34 |
| * TiVo Inc. | 3,974 | 33 |
| * Wayfair Inc. | 832 | 32 |
| * Apollo Education Group Inc. | 3,769 | 31 |
| Ethan Allen Interiors Inc. | 1,080 | 31 |
| * Tailored Brands Inc. | 1,985 | 31 |
| Callaway Golf Co. | 3,426 | 30 |
| * Crocs Inc. | 3,106 | 30 |
| * Meritor Inc. | 3,932 | 29 |
| * Francesca's Holdings Corp. | 1,611 | 29 |
| Rent-A-Center Inc. | 2,260 | 29 |
| * Biglari Holdings Inc. | 75 | 28 |
| * Zoe's Kitchen Inc. | 789 | 28 |
| New Media Investment Group Inc. | 1,754 | 27 |
| * Shutterstock Inc. | 767 | 27 |
| * Cavco Industries Inc. | 327 | 27 |
| * Motorcar Parts of America Inc. | 765 | 26 |
| Nutrisystem Inc. | 1,296 | 26 |
| Standard Motor Products Inc. | 845 | 25 |
| Sonic Automotive Inc. Class A | 1,292 | 25 |
| Outerwall Inc. | 787 | 25 |
| * Regis Corp. | 1,626 | 23 |
| Ruth's Hospitality Group Inc. | 1,316 | 23 |
| Fred's Inc. Class A | 1,616 | 23 |
| AMC Entertainment Holdings Inc. | 950 | 23 |
| * Quotient Technology Inc. | 2,622 | 23 |
| * Fitbit Inc. Class A | 1,858 | 23 |
| ClubCorp Holdings Inc. | 1,707 | 23 |
| * Central Garden & Pet Co. Class A | 1,663 | 23 |
| * Caesars Entertainment Corp. | 2,482 | 22 |
| * Strayer Education Inc. | 496 | 22 |
| Capella Education Co. | 483 | 22 |
| * 2U Inc. | 991 | 22 |
| * Carmike Cinemas Inc. | 979 | 22 |
| Viad Corp. | 743 | 21 |
| * Angie's List Inc. | 2,262 | 21 |
| * Chuy's Holdings Inc. | 645 | 21 |
| * Nautilus Inc. | 1,206 | 20 |
5
| Vanguard® Russell 3000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Interval Leisure Group Inc. | 1,572 | 20 | |
| * | HealthStream Inc. | 976 | 20 |
| * | Taylor Morrison Home Corp. Class A | 1,441 | 20 |
| * | MarineMax Inc. | 1,124 | 20 |
| Tower International Inc. | 925 | 20 | |
| * | Weight Watchers International Inc. | 1,675 | 20 |
| * | FTD Cos. Inc. | 842 | 20 |
| Barnes & Noble Inc. | 1,985 | 19 | |
| * | Zumiez Inc. | 925 | 19 |
| Pier 1 Imports Inc. | 3,828 | 19 | |
| * | Carrols Restaurant Group Inc. | 1,415 | 19 |
| Winnebago Industries Inc. | 999 | 19 | |
| World Wrestling Entertainment Inc. Class A | 1,101 | 18 | |
| Superior Industries International Inc. | 929 | 18 | |
| Viacom Inc. Class A | 441 | 18 | |
| * | Scientific Games Corp. Class A | 2,147 | 18 |
| Entravision Communications Corp. Class A | 2,335 | 18 | |
| *,^ | Conn's Inc. | 1,060 | 18 |
| * | Vera Bradley Inc. | 1,081 | 18 |
| * | Planet Fitness Inc. Class A | 1,241 | 18 |
| * | Gray Television Inc. | 1,540 | 18 |
| Movado Group Inc. | 595 | 17 | |
| * | Lands' End Inc. | 714 | 17 |
| * | RealD Inc. | 1,527 | 17 |
| Bassett Furniture Industries Inc. | 521 | 16 | |
| * | Iconix Brand Group Inc. | 1,855 | 16 |
| Inter Parfums Inc. | 634 | 16 | |
| * | Revlon Inc. Class A | 443 | 16 |
| * | M/I Homes Inc. | 879 | 15 |
| Lennar Corp. Class B | 458 | 15 | |
| National Presto Industries Inc. | 189 | 15 | |
| * | Tile Shop Holdings Inc. | 1,219 | 15 |
| *,^ | Sears Holdings Corp. | 879 | 15 |
| Libbey Inc. | 913 | 15 | |
| * | Stoneridge Inc. | 1,255 | 15 |
| Marcus Corp. | 789 | 15 | |
| Haverty Furniture Cos. Inc. | 758 | 15 | |
| * | XO Group Inc. | 1,030 | 15 |
| Shoe Carnival Inc. | 608 | 14 | |
| * | Chegg Inc. | 3,333 | 14 |
| * | Del Frisco's Restaurant Group Inc. | 918 | 14 |
| * | Performance Sports Group Ltd. | 1,835 | 14 |
| Journal Media Group Inc. | 1,148 | 14 | |
| Blue Nile Inc. | 525 | 14 | |
| Carriage Services Inc. Class A | 653 | 13 | |
| * | Barnes & Noble Education Inc. | 1,258 | 13 |
| * | Tuesday Morning Corp. | 1,988 | 13 |
| * | K12 Inc. | 1,350 | 13 |
| * | Entercom Communications Corp. Class A | 1,131 | 13 |
| * | Caesars Acquisition Co. Class A | 2,131 | 13 |
| * | Ruby Tuesday Inc. | 2,435 | 13 |
| * | Lumber Liquidators Holdings Inc. | 1,115 | 13 |
| Stage Stores Inc. | 1,479 | 12 | |
| * | LGI Homes Inc. | 516 | 12 |
| * | WCI Communities Inc. | 705 | 12 |
| * | Potbelly Corp. | 963 | 12 |
| Citi Trends Inc. | 648 | 12 | |
| Winmark Corp. | 122 | 12 | |
| Big 5 Sporting Goods Corp. | 849 | 12 | |
| Hooker Furniture Corp. | 364 | 12 | |
| * | Daily Journal Corp. | 59 | 12 |
| CSS Industries Inc. | 415 | 11 | |
| * | Sequential Brands Group Inc. | 1,606 | 11 |
| * | Party City Holdco Inc. | 1,117 | 11 |
6
| Vanguard® Russell 3000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Malibu Boats Inc. Class A | 693 | 11 |
| Tribune Publishing Co. | 1,266 | 11 | |
| Flexsteel Industries Inc. | 260 | 11 | |
| Speedway Motorsports Inc. | 580 | 11 | |
| * | Perry Ellis International Inc. | 572 | 11 |
| * | ZAGG Inc. | 986 | 10 |
| * | Monarch Casino & Resort Inc. | 510 | 10 |
| * | Isle of Capri Casinos Inc. | 881 | 10 |
| Weyco Group Inc. | 362 | 10 | |
| * | Fox Factory Holding Corp. | 656 | 10 |
| * | Franklin Covey Co. | 564 | 10 |
| * | 1-800-Flowers.com Inc. Class A | 1,246 | 10 |
| * | American Public Education Inc. | 628 | 10 |
| Strattec Security Corp. | 188 | 10 | |
| Stein Mart Inc. | 1,293 | 10 | |
| * | Build-A-Bear Workshop Inc. | 667 | 10 |
| * | Habit Restaurants Inc. Class A | 453 | 9 |
| * | Eldorado Resorts Inc. | 939 | 9 |
| * | William Lyon Homes Class A | 782 | 9 |
| * | Sportsman's Warehouse Holdings Inc. | 715 | 9 |
| * | Beazer Homes USA Inc. | 1,266 | 9 |
| Arctic Cat Inc. | 526 | 9 | |
| * | Century Communities Inc. | 584 | 9 |
| * | Federal-Mogul Holdings Corp. | 1,265 | 9 |
| * | Reading International Inc. Class A | 883 | 9 |
| * | Eros International plc | 1,095 | 9 |
| Kirkland's Inc. | 600 | 9 | |
| * | West Marine Inc. | 1,043 | 9 |
| * | Overstock.com Inc. | 570 | 8 |
| * | America's Car-Mart Inc. | 330 | 8 |
| * | Eastman Kodak Co. | 821 | 8 |
| * | Elizabeth Arden Inc. | 1,217 | 8 |
| * | Hovnanian Enterprises Inc. Class A | 4,888 | 7 |
| *,^ | Intrawest Resorts Holdings Inc. | 853 | 7 |
| * | Shake Shack Inc. Class A | 172 | 7 |
| * | El Pollo Loco Holdings Inc. | 543 | 7 |
| * | Wingstop Inc. | 288 | 7 |
| * | TubeMogul Inc. | 532 | 7 |
| * | Care.com Inc. | 1,118 | 7 |
| * | Bridgepoint Education Inc. | 1,016 | 6 |
| * | Career Education Corp. | 2,521 | 6 |
| * | Ollie's Bargain Outlet Holdings Inc. | 314 | 6 |
| * | J Alexander's Holdings Inc. | 608 | 6 |
| * | JAKKS Pacific Inc. | 829 | 6 |
| * | Jamba Inc. | 450 | 6 |
| Clear Channel Outdoor Holdings Inc. Class A | 1,644 | 6 | |
| Liberty Tax Inc. | 345 | 6 | |
| Harte-Hanks Inc. | 1,872 | 6 | |
| * | Duluth Holdings Inc. | 343 | 6 |
| * | Horizon Global Corp. | 612 | 5 |
| * | Etsy Inc. | 670 | 5 |
| Metaldyne Performance Group Inc. | 367 | 5 | |
| * | Black Diamond Inc. | 1,213 | 5 |
| Saga Communications Inc. Class A | 138 | 5 | |
| * | Vince Holding Corp. | 788 | 5 |
| * | Central European Media Enterprises Ltd. Class A | 2,067 | 5 |
| * | Destination XL Group Inc. | 1,116 | 5 |
| Marchex Inc. Class B | 1,128 | 5 | |
| * | Cherokee Inc. | 284 | 5 |
| * | Boot Barn Holdings Inc. | 472 | 5 |
| * | Papa Murphy's Holdings Inc. | 438 | 5 |
| * | Bojangles' Inc. | 320 | 5 |
| * | Noodles & Co. Class A | 358 | 5 |
| * | Skullcandy Inc. | 1,249 | 4 |
7
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Superior Uniform Group Inc. | 243 | 4 |
| * Kona Grill Inc. | 280 | 4 |
| * Bravo Brio Restaurant Group Inc. | 512 | 4 |
| * Crown Media Holdings Inc. Class A | 897 | 4 |
| * Fogo De Chao Inc. | 213 | 3 |
| * Instructure Inc. | 229 | 3 |
| Escalade Inc. | 256 | 3 |
| Lifetime Brands Inc. | 269 | 3 |
| * Hemisphere Media Group Inc. Class A | 225 | 3 |
| * QuinStreet Inc. | 1,036 | 3 |
| * Container Store Group Inc. | 537 | 3 |
| Collectors Universe Inc. | 171 | 3 |
| Johnson Outdoors Inc. Class A | 118 | 3 |
| * Systemax Inc. | 285 | 3 |
| * Townsquare Media Inc. Class A | 256 | 3 |
| * Fenix Parts Inc. | 471 | 2 |
| Universal Technical Institute Inc. | 563 | 2 |
| * New Home Co. Inc. | 215 | 2 |
| * Sizmek Inc. | 646 | 2 |
| Marine Products Corp. | 278 | 2 |
| * Cambium Learning Group Inc. | 441 | 2 |
| * VOXX International Corp. Class A | 485 | 2 |
| * Tilly's Inc. Class A | 261 | 2 |
| * Christopher & Banks Corp. | 939 | 1 |
| * Cumulus Media Inc. Class A | 4,847 | 1 |
| * Morgans Hotel Group Co. | 725 | 1 |
| * Empire Resorts Inc. | 73 | 1 |
| bebe stores inc | 1,798 | 1 |
| * EVINE Live Inc. | 996 | 1 |
| * MCBC Holdings Inc. | 8 | — |
| 139,502 | ||
| Consumer Staples (8.5%) | ||
| Procter & Gamble Co. | 122,567 | 9,841 |
| Coca-Cola Co. | 177,252 | 7,645 |
| PepsiCo Inc. | 66,752 | 6,530 |
| Philip Morris International Inc. | 70,069 | 6,378 |
| Altria Group Inc. | 88,995 | 5,479 |
| CVS Health Corp. | 51,086 | 4,964 |
| Walgreens Boots Alliance Inc. | 38,758 | 3,060 |
| Mondelez International Inc. Class A | 73,361 | 2,973 |
| Colgate-Palmolive Co. | 41,042 | 2,694 |
| Kimberly-Clark Corp. | 16,504 | 2,150 |
| Kraft Heinz Co. | 26,698 | 2,056 |
| Reynolds American Inc. | 37,546 | 1,893 |
| Kroger Co. | 44,446 | 1,774 |
| General Mills Inc. | 26,873 | 1,582 |
| Sysco Corp. | 26,732 | 1,180 |
| Constellation Brands Inc. Class A | 7,346 | 1,039 |
| Archer-Daniels-Midland Co. | 27,873 | 974 |
| Tyson Foods Inc. Class A | 13,402 | 868 |
| * Monster Beverage Corp. | 6,694 | 840 |
| Kellogg Co. | 11,325 | 838 |
| ConAgra Foods Inc. | 19,302 | 812 |
| Dr Pepper Snapple Group Inc. | 8,768 | 803 |
| Clorox Co. | 5,999 | 758 |
| JM Smucker Co. | 5,429 | 693 |
| Mead Johnson Nutrition Co. | 8,430 | 622 |
| Molson Coors Brewing Co. Class B | 7,144 | 609 |
| Hershey Co. | 6,646 | 604 |
| McCormick & Co. Inc. | 5,895 | 550 |
| Keurig Green Mountain Inc. | 5,871 | 540 |
| Church & Dwight Co. Inc. | 5,835 | 530 |
| Hormel Foods Corp. | 12,154 | 517 |
| Brown-Forman Corp. Class B | 5,196 | 512 |
8
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Coca-Cola Enterprises Inc. | 10,378 | 503 |
| Campbell Soup Co. | 7,804 | 482 |
| Whole Foods Market Inc. | 14,832 | 464 |
| * Rite Aid Corp. | 45,498 | 362 |
| Ingredion Inc. | 3,153 | 319 |
| Bunge Ltd. | 6,410 | 319 |
| * WhiteWave Foods Co. Class A | 8,141 | 315 |
| Pinnacle Foods Inc. | 5,256 | 227 |
| * TreeHouse Foods Inc. | 2,550 | 215 |
| * Edgewell Personal Care Co. | 2,788 | 213 |
| * Sprouts Farmers Market Inc. | 7,093 | 202 |
| * Post Holdings Inc. | 2,834 | 197 |
| Casey's General Stores Inc. | 1,759 | 186 |
| * Herbalife Ltd. | 3,308 | 181 |
| * Hain Celestial Group Inc. | 4,550 | 168 |
| Brown-Forman Corp. Class A | 1,300 | 139 |
| Flowers Foods Inc. | 7,895 | 135 |
| GNC Holdings Inc. Class A | 3,982 | 113 |
| Energizer Holdings Inc. | 2,874 | 112 |
| Spectrum Brands Holdings Inc. | 1,084 | 104 |
| Nu Skin Enterprises Inc. Class A | 2,967 | 90 |
| Core-Mark Holding Co. Inc. | 1,185 | 87 |
| B&G Foods Inc. | 2,465 | 85 |
| Sanderson Farms Inc. | 922 | 84 |
| Vector Group Ltd. | 3,597 | 84 |
| WD-40 Co. | 761 | 82 |
| Lancaster Colony Corp. | 786 | 80 |
| Dean Foods Co. | 4,021 | 78 |
| Snyder's-Lance Inc. | 2,370 | 78 |
| * Boston Beer Co. Inc. Class A | 382 | 72 |
| * United Natural Foods Inc. | 2,305 | 71 |
| ^ Cal-Maine Foods Inc. | 1,330 | 71 |
| J&J Snack Foods Corp. | 623 | 69 |
| * Pilgrim's Pride Corp. | 2,523 | 62 |
| * Fresh Market Inc. | 2,513 | 58 |
| * SUPERVALU Inc. | 10,933 | 56 |
| * Diplomat Pharmacy Inc. | 1,527 | 54 |
| Fresh Del Monte Produce Inc. | 1,325 | 53 |
| Universal Corp. | 957 | 52 |
| SpartanNash Co. | 1,464 | 40 |
| * Diamond Foods Inc. | 978 | 37 |
| Coca-Cola Bottling Co. Consolidated | 189 | 33 |
| * Seaboard Corp. | 11 | 32 |
| * Blue Buffalo Pet Products Inc. | 1,715 | 31 |
| Calavo Growers Inc. | 573 | 31 |
| Andersons Inc. | 1,137 | 31 |
| * USANA Health Sciences Inc. | 244 | 28 |
| Tootsie Roll Industries Inc. | 737 | 25 |
| John B Sanfilippo & Son Inc. | 332 | 23 |
| * Omega Protein Corp. | 962 | 23 |
| * National Beverage Corp. | 555 | 21 |
| Ingles Markets Inc. Class A | 579 | 20 |
| * Performance Food Group Co. | 745 | 18 |
| Weis Markets Inc. | 409 | 17 |
| * Amplify Snack Brands Inc. | 1,642 | 17 |
| Medifast Inc. | 545 | 17 |
| * Smart & Final Stores Inc. | 936 | 15 |
| PetMed Express Inc. | 874 | 14 |
| * Seneca Foods Corp. Class A | 415 | 14 |
| * Chefs' Warehouse Inc. | 686 | 13 |
| * Nutraceutical International Corp. | 464 | 11 |
| * Farmer Brothers Co. | 407 | 11 |
| * Natural Grocers by Vitamin Cottage Inc. | 489 | 10 |
| Orchids Paper Products Co. | 356 | 10 |
9
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Village Super Market Inc. Class A | 344 | 9 |
| MGP Ingredients Inc. | 359 | 8 |
| Natural Health Trends Corp. | 258 | 8 |
| Limoneira Co. | 542 | 8 |
| * Inventure Foods Inc. | 947 | 6 |
| * Freshpet Inc. | 814 | 5 |
| Alico Inc. | 213 | 5 |
| Nature's Sunshine Products Inc. | 283 | 2 |
| * Synutra International Inc. | 448 | 2 |
| * Craft Brew Alliance Inc. | 273 | 2 |
| * Castle Brands Inc. | 2,219 | 2 |
| * Lifeway Foods Inc. | 116 | 1 |
| * Arcadia Biosciences Inc. | 268 | 1 |
| * Fairway Group Holdings Corp. | 1,151 | — |
| 79,231 | ||
| Energy (5.9%) | ||
| Exxon Mobil Corp. | 188,893 | 15,140 |
| Chevron Corp. | 85,016 | 7,094 |
| Schlumberger Ltd. | 57,337 | 4,112 |
| Occidental Petroleum Corp. | 34,755 | 2,392 |
| Phillips 66 | 24,454 | 1,941 |
| ConocoPhillips | 55,699 | 1,884 |
| EOG Resources Inc. | 24,914 | 1,613 |
| Kinder Morgan Inc. | 80,665 | 1,459 |
| Valero Energy Corp. | 21,715 | 1,305 |
| Halliburton Co. | 38,572 | 1,245 |
| Spectra Energy Corp. | 30,495 | 890 |
| Anadarko Petroleum Corp. | 23,076 | 876 |
| Pioneer Natural Resources Co. | 7,252 | 874 |
| Baker Hughes Inc. | 19,628 | 841 |
| Marathon Petroleum Corp. | 24,370 | 835 |
| Apache Corp. | 17,285 | 662 |
| * Cameron International Corp. | 8,805 | 577 |
| Noble Energy Inc. | 19,438 | 573 |
| Hess Corp. | 12,484 | 544 |
| Williams Cos. Inc. | 33,836 | 541 |
| * Concho Resources Inc. | 5,867 | 529 |
| National Oilwell Varco Inc. | 17,260 | 505 |
| Tesoro Corp. | 5,771 | 466 |
| Devon Energy Corp. | 21,703 | 427 |
| * Cheniere Energy Inc. | 10,997 | 393 |
| EQT Corp. | 6,802 | 379 |
| Cabot Oil & Gas Corp. | 18,270 | 368 |
| Cimarex Energy Co. | 4,189 | 352 |
| Columbia Pipeline Group Inc. | 17,795 | 323 |
| HollyFrontier Corp. | 8,138 | 275 |
| * FMC Technologies Inc. | 10,775 | 264 |
| * First Solar Inc. | 3,529 | 254 |
| Marathon Oil Corp. | 30,439 | 250 |
| Helmerich & Payne Inc. | 4,382 | 232 |
| * Weatherford International plc | 36,075 | 231 |
| * Diamondback Energy Inc. | 3,221 | 230 |
| ONEOK Inc. | 9,124 | 219 |
| * Newfield Exploration Co. | 7,277 | 198 |
| Targa Resources Corp. | 7,259 | 195 |
| Range Resources Corp. | 7,469 | 177 |
| World Fuel Services Corp. | 3,480 | 163 |
| Murphy Oil Corp. | 8,059 | 138 |
| PBF Energy Inc. Class A | 4,550 | 137 |
| Oceaneering International Inc. | 4,485 | 124 |
| * Gulfport Energy Corp. | 4,921 | 118 |
| Patterson-UTI Energy Inc. | 7,417 | 115 |
| Nabors Industries Ltd. | 15,079 | 108 |
| * Dril-Quip Inc. | 1,943 | 105 |
10
| Vanguard® Russell 3000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Southwestern Energy Co. | 17,343 | 100 |
| Noble Corp. plc | 11,598 | 97 | |
| Ensco plc Class A | 11,089 | 96 | |
| * | Continental Resources Inc. | 3,951 | 92 |
| Energen Corp. | 3,435 | 91 | |
| Western Refining Inc. | 3,338 | 89 | |
| Rowan Cos. plc Class A | 6,364 | 85 | |
| * | PDC Energy Inc. | 1,688 | 85 |
| QEP Resources Inc. | 8,483 | 83 | |
| CONSOL Energy Inc. | 9,550 | 82 | |
| * | Parsley Energy Inc. Class A | 4,352 | 80 |
| Golar LNG Ltd. | 4,301 | 79 | |
| Superior Energy Services Inc. | 7,655 | 79 | |
| * | NOW Inc. | 4,502 | 73 |
| * | RSP Permian Inc. | 2,973 | 71 |
| ^ | Chesapeake Energy Corp. | 26,436 | 69 |
| * | Antero Resources Corp. | 2,914 | 67 |
| * | Matador Resources Co. | 3,660 | 59 |
| * | Oil States International Inc. | 2,203 | 58 |
| * | Carrizo Oil & Gas Inc. | 2,660 | 57 |
| * | SunPower Corp. Class A | 2,348 | 55 |
| Diamond Offshore Drilling Inc. | 2,743 | 55 | |
| *,^ | SolarCity Corp. | 2,739 | 51 |
| * | Cobalt International Energy Inc. | 17,755 | 47 |
| * | WPX Energy Inc. | 11,309 | 47 |
| * | Memorial Resource Development Corp. | 3,936 | 38 |
| Delek US Holdings Inc. | 2,390 | 38 | |
| *,^ | Seadrill Ltd. | 16,356 | 37 |
| * | Whiting Petroleum Corp. | 8,953 | 36 |
| * | SEACOR Holdings Inc. | 709 | 34 |
| SemGroup Corp. Class A | 1,779 | 34 | |
| * | Laredo Petroleum Inc. | 6,406 | 33 |
| RPC Inc. | 2,380 | 32 | |
| * | Oasis Petroleum Inc. | 5,911 | 32 |
| * | McDermott International Inc. | 9,399 | 31 |
| TerraForm Power Inc. Class A | 3,203 | 31 | |
| * | Kosmos Energy Ltd. | 6,131 | 30 |
| * | Rice Energy Inc. | 3,126 | 29 |
| * | Forum Energy Technologies Inc. | 2,343 | 28 |
| * | Synergy Resources Corp. | 4,052 | 25 |
| SM Energy Co. | 2,788 | 25 | |
| * | Matrix Service Co. | 1,220 | 22 |
| * | SunEdison Inc. | 11,169 | 22 |
| Frank's International NV | 1,566 | 22 | |
| Green Plains Inc. | 1,541 | 21 | |
| * | Exterran Corp. | 1,438 | 20 |
| Denbury Resources Inc. | 15,119 | 19 | |
| Atwood Oceanics Inc. | 2,762 | 19 | |
| * | Callon Petroleum Co. | 2,825 | 18 |
| * | PowerSecure International Inc. | 959 | 18 |
| * | TETRA Technologies Inc. | 3,527 | 18 |
| * | Helix Energy Solutions Group Inc. | 4,129 | 16 |
| CVR Energy Inc. | 674 | 16 | |
| CARBO Ceramics Inc. | 773 | 15 | |
| * | Flotek Industries Inc. | 2,119 | 15 |
| * | REX American Resources Corp. | 292 | 15 |
| * | Newpark Resources Inc. | 3,444 | 13 |
| * | Renewable Energy Group Inc. | 1,703 | 12 |
| SunCoke Energy Inc. | 2,559 | 12 | |
| Tesco Corp. | 1,635 | 12 | |
| Archrock Inc. | 2,907 | 12 | |
| * | Hornbeck Offshore Services Inc. | 1,333 | 11 |
| * | Sunrun Inc. | 1,974 | 11 |
| * | Natural Gas Services Group Inc. | 599 | 11 |
11
| Vanguard® Russell 3000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Unit Corp. | 1,970 | 11 |
| * | Par Pacific Holdings Inc. | 527 | 10 |
| Panhandle Oil and Gas Inc. Class A | 643 | 10 | |
| * | Clean Energy Fuels Corp. | 3,356 | 10 |
| * | Parker Drilling Co. | 6,007 | 9 |
| California Resources Corp. | 16,664 | 9 | |
| * | Trecora Resources | 915 | 9 |
| * | Sanchez Energy Corp. | 2,260 | 8 |
| * | EnerNOC Inc. | 1,295 | 8 |
| * | Northern Oil and Gas Inc. | 2,368 | 8 |
| * | Era Group Inc. | 805 | 7 |
| * | Bill Barrett Corp. | 2,287 | 7 |
| * | Solazyme Inc. | 4,037 | 6 |
| * | RigNet Inc. | 469 | 6 |
| Evolution Petroleum Corp. | 1,431 | 6 | |
| * | Vivint Solar Inc. | 781 | 6 |
| * | Fairmount Santrol Holdings Inc. | 3,015 | 6 |
| TerraForm Global Inc. Class A | 1,881 | 6 | |
| Alon USA Energy Inc. | 589 | 6 | |
| * | Westmoreland Coal Co. | 769 | 5 |
| * | EXCO Resources Inc. | 4,449 | 5 |
| * | Geospace Technologies Corp. | 392 | 4 |
| * | Ring Energy Inc. | 1,022 | 4 |
| * | Civeo Corp. | 4,676 | 4 |
| * | Independence Contract Drilling Inc. | 1,065 | 4 |
| * | Clayton Williams Energy Inc. | 263 | 4 |
| * | Stone Energy Corp. | 2,469 | 4 |
| * | Bonanza Creek Energy Inc. | 1,941 | 4 |
| * | FuelCell Energy Inc. | 624 | 4 |
| * | Cloud Peak Energy Inc. | 2,011 | 3 |
| * | Basic Energy Services Inc. | 1,876 | 3 |
| * | Contango Oil & Gas Co. | 520 | 3 |
| * | Pacific Ethanol Inc. | 758 | 3 |
| * | Abraxas Petroleum Corp. | 3,262 | 3 |
| * | Green Brick Partners Inc. | 468 | 3 |
| * | Pioneer Energy Services Corp. | 2,014 | 3 |
| * | Enphase Energy Inc. | 1,177 | 3 |
| * | Ameresco Inc. Class A | 511 | 3 |
| Nordic American Offshore Ltd. | 525 | 2 | |
| * | Ultra Petroleum Corp. | 6,541 | 2 |
| * | Isramco Inc. | 28 | 2 |
| * | C&J Energy Services Ltd. | 2,195 | 2 |
| *,^ | EP Energy Corp. Class A | 1,301 | 2 |
| * | Gastar Exploration Inc. | 3,085 | 2 |
| * | Eclipse Resources Corp. | 2,099 | 2 |
| *,^ | Peabody Energy Corp. | 806 | 2 |
| Adams Resources & Energy Inc. | 60 | 2 | |
| * | Jones Energy Inc. Class A | 1,127 | 2 |
| * | Halcon Resources Corp. | 2,860 | 2 |
| * | W&T Offshore Inc. | 895 | 2 |
| * | Seventy Seven Energy Inc. | 2,886 | 1 |
| * | Erin Energy Corp. | 470 | 1 |
| Hallador Energy Co. | 224 | 1 | |
| Energy XXI Ltd. | 2,616 | 1 | |
| * | Rex Energy Corp. | 1,595 | 1 |
| * | Key Energy Services Inc. | 4,044 | 1 |
| * | Approach Resources Inc. | 1,180 | 1 |
| * | ION Geophysical Corp. | 251 | 1 |
| * | Triangle Petroleum Corp. | 2,320 | 1 |
| * | Earthstone Energy Inc. | 47 | 1 |
| North Atlantic Drilling Ltd. | 236 | — | |
| * | TransAtlantic Petroleum Ltd. | 571 | — |
| 55,654 | |||
12
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Financial Services (19.2%) | ||
| * Berkshire Hathaway Inc. Class B | 84,026 | 11,274 |
| Wells Fargo & Co. | 210,477 | 9,876 |
| JPMorgan Chase & Co. | 167,659 | 9,439 |
| Visa Inc. Class A | 88,540 | 6,409 |
| Bank of America Corp. | 475,153 | 5,949 |
| Citigroup Inc. | 137,379 | 5,337 |
| MasterCard Inc. Class A | 45,126 | 3,922 |
| Goldman Sachs Group Inc. | 19,579 | 2,928 |
| US Bancorp | 75,590 | 2,912 |
| American International Group Inc. | 55,742 | 2,798 |
| Simon Property Group Inc. | 14,118 | 2,679 |
| * Chubb Ltd. | 21,049 | 2,432 |
| American Express Co. | 38,896 | 2,162 |
| * PayPal Holdings Inc. | 55,053 | 2,100 |
| PNC Financial Services Group Inc. | 23,473 | 1,909 |
| Bank of New York Mellon Corp. | 50,460 | 1,786 |
| American Tower Corporation | 19,115 | 1,762 |
| BlackRock Inc. | 5,646 | 1,761 |
| Morgan Stanley | 69,582 | 1,719 |
| MetLife Inc. | 42,163 | 1,668 |
| Public Storage | 6,560 | 1,637 |
| Capital One Financial Corp. | 24,855 | 1,634 |
| Travelers Cos. Inc. | 13,337 | 1,434 |
| Marsh & McLennan Cos. Inc. | 24,109 | 1,375 |
| Prudential Financial Inc. | 20,369 | 1,346 |
| CME Group Inc. | 14,589 | 1,334 |
| Crown Castle International Corp. | 15,183 | 1,313 |
| Charles Schwab Corp. | 51,555 | 1,291 |
| Intercontinental Exchange Inc. | 5,252 | 1,252 |
| Equity Residential | 16,555 | 1,233 |
| Aon plc | 12,802 | 1,220 |
| Aflac Inc. | 19,729 | 1,174 |
| BB&T Corp. | 34,906 | 1,123 |
| McGraw Hill Financial Inc. | 12,449 | 1,117 |
| Allstate Corp. | 17,583 | 1,116 |
| AvalonBay Communities Inc. | 5,963 | 1,023 |
| * Fiserv Inc. | 10,624 | 1,016 |
| State Street Corp. | 18,529 | 1,015 |
| * Synchrony Financial | 37,501 | 1,011 |
| Welltower Inc. | 15,768 | 1,006 |
| Weyerhaeuser Co. | 36,261 | 942 |
| Equinix Inc. | 3,071 | 933 |
| Discover Financial Services | 19,902 | 924 |
| Prologis Inc. | 23,533 | 905 |
| Progressive Corp. | 26,433 | 844 |
| Ventas Inc. | 14,950 | 832 |
| T. Rowe Price Group Inc. | 11,796 | 815 |
| Hartford Financial Services Group Inc. | 19,041 | 802 |
| Boston Properties Inc. | 6,896 | 787 |
| SunTrust Banks Inc. | 23,178 | 769 |
| Fidelity National Information Services Inc. | 12,863 | 749 |
| M&T Bank Corp. | 7,207 | 739 |
| Vornado Realty Trust | 8,491 | 733 |
| General Growth Properties Inc. | 26,511 | 730 |
| Moody's Corp. | 8,055 | 715 |
| Ameriprise Financial Inc. | 8,172 | 686 |
| Realty Income Corp. | 11,387 | 667 |
| Franklin Resources Inc. | 17,798 | 638 |
| Northern Trust Corp. | 10,592 | 629 |
| HCP Inc. | 20,868 | 617 |
| Essex Property Trust Inc. | 2,947 | 617 |
| * Alliance Data Systems Corp. | 2,813 | 591 |
| Equifax Inc. | 5,478 | 575 |
13
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Macerich Co. | 7,256 | 574 |
| Fifth Third Bancorp | 37,009 | 565 |
| Thomson Reuters Corp. | 15,081 | 552 |
| * Markel Corp. | 631 | 541 |
| * FleetCor Technologies Inc. | 4,170 | 532 |
| Host Hotels & Resorts Inc. | 34,658 | 531 |
| Invesco Ltd. | 19,502 | 521 |
| Digital Realty Trust Inc. | 6,513 | 515 |
| Kimco Realty Corp. | 19,089 | 511 |
| Principal Financial Group Inc. | 13,131 | 496 |
| XL Group plc Class A | 13,662 | 470 |
| Loews Corp. | 12,849 | 467 |
| Cincinnati Financial Corp. | 7,362 | 465 |
| Regions Financial Corp. | 61,232 | 460 |
| Extra Space Storage Inc. | 5,597 | 460 |
| Federal Realty Investment Trust | 3,073 | 455 |
| Annaly Capital Management Inc. | 42,134 | 427 |
| Lincoln National Corp. | 11,556 | 422 |
| Western Union Co. | 22,941 | 419 |
| FNF Group | 12,455 | 411 |
| UDR Inc. | 11,820 | 406 |
| KeyCorp | 37,696 | 398 |
| First Republic Bank | 6,357 | 391 |
| SL Green Realty Corp. | 4,428 | 390 |
| Everest Re Group Ltd. | 2,041 | 380 |
| * Arch Capital Group Ltd. | 5,548 | 377 |
| * Ally Financial Inc. | 21,316 | 375 |
| Global Payments Inc. | 6,120 | 373 |
| TD Ameritrade Holding Corp. | 11,951 | 342 |
| * Alleghany Corp. | 735 | 341 |
| * Affiliated Managers Group Inc. | 2,454 | 340 |
| VEREIT Inc. | 42,019 | 337 |
| Total System Services Inc. | 7,613 | 332 |
| * Vantiv Inc. Class A | 6,324 | 329 |
| Unum Group | 11,457 | 327 |
| New York Community Bancorp Inc. | 21,586 | 327 |
| Nasdaq Inc. | 5,151 | 326 |
| * CBRE Group Inc. Class A | 12,753 | 324 |
| MSCI Inc. Class A | 4,571 | 322 |
| Huntington Bancshares Inc. | 36,223 | 317 |
| Duke Realty Corp. | 15,219 | 315 |
| Arthur J Gallagher & Co. | 7,869 | 314 |
| * E*TRADE Financial Corp. | 13,360 | 313 |
| Torchmark Corp. | 5,904 | 302 |
| Mid-America Apartment Communities Inc. | 3,337 | 300 |
| Jack Henry & Associates Inc. | 3,642 | 300 |
| Broadridge Financial Solutions Inc. | 5,279 | 296 |
| Regency Centers Corp. | 4,192 | 296 |
| PartnerRe Ltd. | 2,104 | 295 |
| * Signature Bank | 2,234 | 289 |
| Camden Property Trust | 3,841 | 287 |
| Voya Financial Inc. | 9,585 | 281 |
| American Capital Agency Corp. | 15,493 | 280 |
| Comerica Inc. | 8,268 | 279 |
| FactSet Research Systems Inc. | 1,845 | 278 |
| Citizens Financial Group Inc. | 14,402 | 277 |
| Iron Mountain Inc. | 9,309 | 273 |
| Equity LifeStyle Properties Inc. | 3,840 | 269 |
| National Retail Properties Inc. | 6,098 | 268 |
| Reinsurance Group of America Inc. Class A | 2,939 | 265 |
| WP Carey Inc. | 4,618 | 262 |
| Omega Healthcare Investors Inc. | 8,078 | 259 |
| Apartment Investment & Management Co. | 6,974 | 255 |
| Alexandria Real Estate Equities Inc. | 3,171 | 251 |
14
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| SEI Investments Co. | 6,538 | 250 |
| Raymond James Financial Inc. | 5,653 | 248 |
| CIT Group Inc. | 8,178 | 244 |
| Axis Capital Holdings Ltd. | 4,512 | 242 |
| RenaissanceRe Holdings Ltd. | 2,095 | 237 |
| CBOE Holdings Inc. | 3,750 | 234 |
| DDR Corp. | 13,845 | 232 |
| WR Berkley Corp. | 4,377 | 225 |
| CubeSmart | 7,483 | 224 |
| American Campus Communities Inc. | 5,102 | 223 |
| Spirit Realty Capital Inc. | 20,526 | 219 |
| StanCorp Financial Group Inc. | 1,909 | 219 |
| Assurant Inc. | 3,082 | 219 |
| Kilroy Realty Corp. | 3,919 | 213 |
| American Financial Group Inc. | 3,159 | 212 |
| Leucadia National Corp. | 14,652 | 212 |
| Old Republic International Corp. | 11,800 | 210 |
| * Realogy Holdings Corp. | 6,521 | 208 |
| People's United Financial Inc. | 14,074 | 206 |
| MarketAxess Holdings Inc. | 1,720 | 204 |
| Taubman Centers Inc. | 2,867 | 203 |
| * SVB Financial Group | 2,280 | 203 |
| White Mountains Insurance Group Ltd. | 261 | 200 |
| Jones Lang LaSalle Inc. | 1,959 | 200 |
| Weingarten Realty Investors | 5,622 | 198 |
| Liberty Property Trust | 6,824 | 197 |
| Lazard Ltd. Class A | 5,600 | 197 |
| Zions Bancorporation | 9,075 | 193 |
| East West Bancorp Inc. | 6,427 | 193 |
| Navient Corp. | 17,550 | 190 |
| Starwood Property Trust Inc. | 10,752 | 189 |
| Highwoods Properties Inc. | 4,326 | 188 |
| * Forest City Realty Trust Inc. Class A | 10,013 | 187 |
| Brixmor Property Group Inc. | 7,835 | 184 |
| First American Financial Corp. | 4,886 | 181 |
| Endurance Specialty Holdings Ltd. | 2,900 | 181 |
| Investors Bancorp Inc. | 15,735 | 178 |
| Sovran Self Storage Inc. | 1,660 | 177 |
| Douglas Emmett Inc. | 6,581 | 177 |
| Validus Holdings Ltd. | 3,877 | 174 |
| Brown & Brown Inc. | 5,333 | 172 |
| Hospitality Properties Trust | 7,015 | 170 |
| Hanover Insurance Group Inc. | 2,047 | 170 |
| EPR Properties | 2,718 | 169 |
| Commerce Bancshares Inc. | 3,972 | 169 |
| Senior Housing Properties Trust | 10,732 | 168 |
| * Howard Hughes Corp. | 1,803 | 167 |
| Heartland Payment Systems Inc. | 1,770 | 166 |
| Healthcare Trust of America Inc. Class A | 5,941 | 165 |
| Retail Properties of America Inc. | 11,065 | 163 |
| Dun & Bradstreet Corp. | 1,686 | 161 |
| Synovus Financial Corp. | 6,071 | 161 |
| * Equity Commonwealth | 6,027 | 160 |
| Eaton Vance Corp. | 5,493 | 159 |
| * Euronet Worldwide Inc. | 2,419 | 159 |
| PacWest Bancorp | 4,922 | 158 |
| Corrections Corp. of America | 5,386 | 156 |
| FirstMerit Corp. | 7,855 | 154 |
| DCT Industrial Trust Inc. | 4,247 | 154 |
| BankUnited Inc. | 4,754 | 153 |
| Umpqua Holdings Corp. | 10,152 | 153 |
| First Niagara Financial Group Inc. | 16,412 | 152 |
| Assured Guaranty Ltd. | 6,047 | 150 |
| Sun Communities Inc. | 2,207 | 149 |
15
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Tanger Factory Outlet Centers Inc. | 4,547 | 146 |
| * CoreLogic Inc. | 4,187 | 145 |
| Post Properties Inc. | 2,578 | 144 |
| Apple Hospitality REIT Inc. | 7,522 | 143 |
| Webster Financial Corp. | 4,250 | 143 |
| Fair Isaac Corp. | 1,432 | 143 |
| Allied World Assurance Co. Holdings AG | 4,376 | 142 |
| Healthcare Realty Trust Inc. | 4,885 | 142 |
| Gramercy Property Trust | 18,613 | 141 |
| CNO Financial Group Inc. | 7,907 | 138 |
| Bank of the Ozarks Inc. | 3,639 | 138 |
| RLI Corp. | 2,125 | 133 |
| Sunstone Hotel Investors Inc. | 10,311 | 133 |
| Rayonier Inc. | 6,078 | 133 |
| Prosperity Bancshares Inc. | 3,258 | 132 |
| Two Harbors Investment Corp. | 16,955 | 131 |
| Aspen Insurance Holdings Ltd. | 2,937 | 131 |
| First Horizon National Corp. | 10,911 | 131 |
| Popular Inc. | 4,912 | 130 |
| Legg Mason Inc. | 4,530 | 129 |
| Piedmont Office Realty Trust Inc. Class A | 7,040 | 129 |
| PrivateBancorp Inc. | 3,753 | 129 |
| Paramount Group Inc. | 8,477 | 128 |
| RLJ Lodging Trust | 6,106 | 128 |
| LaSalle Hotel Properties | 5,254 | 128 |
| Bank of Hawaii Corp. | 1,978 | 126 |
| Education Realty Trust Inc. | 3,161 | 125 |
| FNB Corp. | 10,156 | 125 |
| ProAssurance Corp. | 2,517 | 124 |
| New Residential Investment Corp. | 10,516 | 123 |
| Columbia Property Trust Inc. | 6,004 | 122 |
| Cullen/Frost Bankers Inc. | 2,508 | 120 |
| Associated Banc-Corp | 6,956 | 120 |
| First Industrial Realty Trust Inc. | 5,500 | 118 |
| National Health Investors Inc. | 1,876 | 118 |
| Medical Properties Trust Inc. | 10,188 | 118 |
| * Western Alliance Bancorp | 3,934 | 117 |
| * WEX Inc. | 1,777 | 116 |
| MFA Financial Inc. | 17,031 | 116 |
| * SLM Corp. | 19,677 | 115 |
| Erie Indemnity Co. Class A | 1,217 | 114 |
| CyrusOne Inc. | 2,863 | 113 |
| Home BancShares Inc. | 2,871 | 113 |
| Federated Investors Inc. Class B | 4,277 | 112 |
| United Bankshares Inc. | 3,189 | 112 |
| Fulton Financial Corp. | 8,819 | 111 |
| Brandywine Realty Trust | 9,004 | 111 |
| Chimera Investment Corp. | 8,413 | 110 |
| Care Capital Properties Inc. | 4,115 | 109 |
| * MGIC Investment Corp. | 15,844 | 108 |
| American Homes 4 Rent Class A | 7,614 | 107 |
| GEO Group Inc. | 3,662 | 106 |
| MB Financial Inc. | 3,478 | 106 |
| Gaming and Leisure Properties Inc. | 4,050 | 106 |
| Communications Sales & Leasing Inc. | 5,625 | 106 |
| Equity One Inc. | 3,839 | 105 |
| Valley National Bancorp | 11,631 | 105 |
| Ryman Hospitality Properties Inc. | 2,181 | 104 |
| Washington Federal Inc. | 4,770 | 101 |
| * First Data Corp. Class A | 8,006 | 100 |
| NorthStar Asset Management Group Inc. | 9,121 | 100 |
| Cathay General Bancorp | 3,719 | 99 |
| Interactive Brokers Group Inc. | 2,863 | 98 |
| NorthStar Realty Finance Corp. | 7,822 | 98 |
16
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Radian Group Inc. | 9,016 | 97 |
| Hudson Pacific Properties Inc. | 3,812 | 97 |
| Janus Capital Group Inc. | 7,484 | 97 |
| Cousins Properties Inc. | 11,114 | 96 |
| BancorpSouth Inc. | 4,822 | 96 |
| Acadia Realty Trust | 2,890 | 96 |
| DuPont Fabros Technology Inc. | 2,653 | 95 |
| Pebblebrook Hotel Trust | 3,478 | 94 |
| Kite Realty Group Trust | 3,501 | 94 |
| AmTrust Financial Services Inc. | 3,829 | 94 |
| Waddell & Reed Financial Inc. Class A | 3,987 | 93 |
| Wintrust Financial Corp. | 2,191 | 93 |
| First Citizens BancShares Inc. Class A | 397 | 93 |
| * Stifel Financial Corp. | 3,209 | 93 |
| Glacier Bancorp Inc. | 3,878 | 92 |
| IBERIABANK Corp. | 1,933 | 92 |
| Corporate Office Properties Trust | 3,937 | 92 |
| Colony Capital Inc. Class A | 5,612 | 92 |
| DiamondRock Hospitality Co. | 10,244 | 91 |
| Urban Edge Properties | 3,727 | 91 |
| * Blackhawk Network Holdings Inc. | 2,676 | 91 |
| Primerica Inc. | 2,141 | 90 |
| CBL & Associates Properties Inc. | 7,741 | 89 |
| Kennedy-Wilson Holdings Inc. | 4,669 | 89 |
| TCF Financial Corp. | 7,766 | 88 |
| First Financial Bankshares Inc. | 3,314 | 88 |
| * Zillow Group Inc. | 4,038 | 87 |
| PS Business Parks Inc. | 918 | 84 |
| WP Glimcher Inc. | 9,521 | 82 |
| Selective Insurance Group Inc. | 2,415 | 81 |
| Argo Group International Holdings Ltd. | 1,454 | 81 |
| UMB Financial Corp. | 1,642 | 81 |
| New York REIT Inc. | 8,317 | 80 |
| LPL Financial Holdings Inc. | 3,818 | 77 |
| Mack-Cali Realty Corp. | 3,792 | 75 |
| Capitol Federal Financial Inc. | 5,964 | 75 |
| Washington REIT | 2,884 | 75 |
| Retail Opportunity Investments Corp. | 4,054 | 75 |
| EastGroup Properties Inc. | 1,370 | 74 |
| Hancock Holding Co. | 3,165 | 73 |
| Sterling Bancorp | 5,060 | 73 |
| * Eagle Bancorp Inc. | 1,587 | 73 |
| Empire State Realty Trust Inc. | 4,623 | 72 |
| Xenia Hotels & Resorts Inc. | 4,611 | 71 |
| WisdomTree Investments Inc. | 5,933 | 70 |
| * Credit Acceptance Corp. | 356 | 70 |
| Columbia Banking System Inc. | 2,432 | 70 |
| Community Bank System Inc. | 1,889 | 70 |
| Pinnacle Financial Partners Inc. | 1,503 | 70 |
| CVB Financial Corp. | 4,474 | 69 |
| Alexander & Baldwin Inc. | 2,060 | 69 |
| * Texas Capital Bancshares Inc. | 2,116 | 68 |
| * Enstar Group Ltd. | 432 | 68 |
| Northwest Bancshares Inc. | 5,398 | 68 |
| Physicians Realty Trust | 3,941 | 68 |
| Evercore Partners Inc. Class A | 1,445 | 67 |
| LTC Properties Inc. | 1,516 | 67 |
| BGC Partners Inc. Class A | 7,792 | 67 |
| Lexington Realty Trust | 8,679 | 67 |
| Renasant Corp. | 2,147 | 67 |
| National Penn Bancshares Inc. | 5,972 | 66 |
| Provident Financial Services Inc. | 3,541 | 66 |
| Sabra Health Care REIT Inc. | 3,297 | 66 |
| Morningstar Inc. | 817 | 65 |
17
| Vanguard® Russell 3000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Monogram Residential Trust Inc. | 7,120 | 65 | |
| * | Cardtronics Inc. | 1,911 | 64 |
| QTS Realty Trust Inc. Class A | 1,437 | 64 | |
| Chesapeake Lodging Trust | 2,516 | 64 | |
| Astoria Financial Corp. | 4,272 | 64 | |
| CoreSite Realty Corp. | 983 | 63 | |
| Westamerica Bancorporation | 1,407 | 63 | |
| STAG Industrial Inc. | 3,599 | 63 | |
| South State Corp. | 1,008 | 63 | |
| Trustmark Corp. | 2,873 | 63 | |
| NBT Bancorp Inc. | 2,415 | 62 | |
| Mercury General Corp. | 1,157 | 61 | |
| Government Properties Income Trust | 4,006 | 59 | |
| American Assets Trust Inc. | 1,591 | 59 | |
| Potlatch Corp. | 2,230 | 59 | |
| Simmons First National Corp. Class A | 1,428 | 59 | |
| Invesco Mortgage Capital Inc. | 5,195 | 59 | |
| First Financial Bancorp | 3,490 | 59 | |
| ^ | BOK Financial Corp. | 1,187 | 58 |
| * | OneMain Holdings Inc. Class A | 2,545 | 57 |
| Hatteras Financial Corp. | 4,127 | 57 | |
| Pennsylvania REIT | 2,961 | 57 | |
| Redwood Trust Inc. | 4,736 | 56 | |
| First Midwest Bancorp Inc. | 3,354 | 56 | |
| American Equity Investment Life Holding Co. | 4,080 | 55 | |
| Old National Bancorp | 4,970 | 55 | |
| PennyMac Mortgage Investment Trust | 4,173 | 55 | |
| Horace Mann Educators Corp. | 1,769 | 54 | |
| * | PRA Group Inc. | 2,220 | 54 |
| * | Hilltop Holdings Inc. | 3,216 | 54 |
| EverBank Financial Corp. | 4,074 | 53 | |
| Financial Engines Inc. | 2,167 | 53 | |
| Ramco-Gershenson Properties Trust | 3,146 | 53 | |
| International Bancshares Corp. | 2,322 | 52 | |
| * | Third Point Reinsurance Ltd. | 4,722 | 52 |
| STORE Capital Corp. | 2,156 | 52 | |
| * | Genworth Financial Inc. Class A | 24,193 | 51 |
| S&T Bancorp Inc. | 1,992 | 50 | |
| Select Income REIT | 2,398 | 49 | |
| Kemper Corp. | 1,835 | 49 | |
| CYS Investments Inc. | 6,276 | 49 | |
| Parkway Properties Inc. | 3,621 | 48 | |
| TFS Financial Corp. | 2,847 | 48 | |
| * | BofI Holding Inc. | 2,574 | 48 |
| First Cash Financial Services Inc. | 1,124 | 47 | |
| BBCN Bancorp Inc. | 3,290 | 47 | |
| FelCor Lodging Trust Inc. | 6,143 | 45 | |
| Chemical Financial Corp. | 1,339 | 45 | |
| * | Essent Group Ltd. | 2,351 | 45 |
| Park National Corp. | 523 | 45 | |
| EVERTEC Inc. | 3,742 | 45 | |
| Independent Bank Corp. | 1,004 | 43 | |
| Artisan Partners Asset Management Inc. Class A | 1,505 | 43 | |
| Union Bankshares Corp. | 1,866 | 42 | |
| Kearny Financial Corp. | 3,547 | 42 | |
| * | MBIA Inc. | 6,117 | 42 |
| New Senior Investment Group Inc. | 4,320 | 42 | |
| * | Zillow Group Inc. Class A | 1,782 | 41 |
| WSFS Financial Corp. | 1,357 | 41 | |
| WesBanco Inc. | 1,447 | 41 | |
| Great Western Bancorp Inc. | 1,661 | 41 | |
| LegacyTexas Financial Group Inc. | 2,273 | 40 | |
| *,^ | St. Joe Co. | 2,651 | 40 |
| HFF Inc. Class A | 1,610 | 40 | |
18
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Beneficial Bancorp Inc. | 3,148 | 40 |
| Hersha Hospitality Trust Class A | 1,999 | 40 |
| First Merchants Corp. | 1,808 | 40 |
| AMERISAFE Inc. | 762 | 39 |
| Capstead Mortgage Corp. | 3,971 | 39 |
| * Green Dot Corp. Class A | 1,844 | 38 |
| * Santander Consumer USA Holdings Inc. | 3,711 | 38 |
| Summit Hotel Properties Inc. | 3,508 | 38 |
| * TransUnion | 1,438 | 38 |
| * HRG Group Inc. | 3,250 | 38 |
| Employers Holdings Inc. | 1,362 | 38 |
| Cash America International Inc. | 1,099 | 37 |
| Terreno Realty Corp. | 1,672 | 37 |
| United Community Banks Inc. | 2,138 | 37 |
| Ameris Bancorp | 1,370 | 37 |
| Rexford Industrial Realty Inc. | 2,192 | 37 |
| Talmer Bancorp Inc. Class A | 2,192 | 37 |
| United Fire Group Inc. | 912 | 37 |
| Inland Real Estate Corp. | 3,421 | 36 |
| * Navigators Group Inc. | 443 | 36 |
| * FNFV Group | 3,468 | 35 |
| Apollo Commercial Real Estate Finance Inc. | 2,278 | 35 |
| Infinity Property & Casualty Corp. | 468 | 35 |
| Alexander's Inc. | 90 | 35 |
| Tompkins Financial Corp. | 609 | 34 |
| Nelnet Inc. Class A | 907 | 34 |
| Boston Private Financial Holdings Inc. | 3,229 | 34 |
| * FCB Financial Holdings Inc. Class A | 1,124 | 34 |
| Oritani Financial Corp. | 1,980 | 33 |
| First Commonwealth Financial Corp. | 3,898 | 33 |
| Franklin Street Properties Corp. | 3,505 | 33 |
| ServisFirst Bancshares Inc. | 909 | 33 |
| ARMOUR Residential REIT Inc. | 1,699 | 33 |
| * Colony Starwood Homes | 1,488 | 33 |
| Banner Corp. | 816 | 32 |
| CareTrust REIT Inc. | 2,819 | 32 |
| Safety Insurance Group Inc. | 579 | 32 |
| Meridian Bancorp Inc. | 2,281 | 31 |
| Brookline Bancorp Inc. | 2,954 | 31 |
| Four Corners Property Trust Inc. | 1,888 | 31 |
| Towne Bank | 1,769 | 31 |
| Stewart Information Services Corp. | 904 | 31 |
| Northfield Bancorp Inc. | 1,932 | 30 |
| CNA Financial Corp. | 1,044 | 30 |
| American National Insurance Co. | 295 | 30 |
| Chatham Lodging Trust | 1,493 | 30 |
| Lakeland Financial Corp. | 699 | 30 |
| Rouse Properties Inc. | 1,633 | 30 |
| Berkshire Hills Bancorp Inc. | 1,153 | 30 |
| * iStar Inc. | 3,502 | 30 |
| Investors Real Estate Trust | 4,773 | 29 |
| Universal Health Realty Income Trust | 558 | 29 |
| National Bank Holdings Corp. Class A | 1,485 | 29 |
| American Capital Mortgage Investment Corp. | 2,065 | 29 |
| City Holding Co. | 644 | 28 |
| Agree Realty Corp. | 766 | 28 |
| Wilshire Bancorp Inc. | 2,878 | 28 |
| Sandy Spring Bancorp Inc. | 1,089 | 28 |
| Hanmi Financial Corp. | 1,350 | 28 |
| * Piper Jaffray Cos. | 664 | 28 |
| National General Holdings Corp. | 1,407 | 28 |
| Cardinal Financial Corp. | 1,429 | 28 |
| Greenhill & Co. Inc. | 1,161 | 27 |
| Virtus Investment Partners Inc. | 291 | 27 |
19
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Universal Insurance Holdings Inc. | 1,364 | 27 |
| Monmouth Real Estate Investment Corp. | 2,399 | 27 |
| * Ambac Financial Group Inc. | 1,740 | 27 |
| State Bank Financial Corp. | 1,405 | 26 |
| United Financial Bancorp Inc. | 2,229 | 26 |
| Maiden Holdings Ltd. | 2,152 | 26 |
| NorthStar Realty Europe Corp. | 2,617 | 26 |
| Cohen & Steers Inc. | 807 | 25 |
| Banco Latinoamericano de Comercio Exterior SA | 1,175 | 25 |
| Cedar Realty Trust Inc. | 3,666 | 25 |
| Capital Bank Financial Corp. | 849 | 25 |
| Cass Information Systems Inc. | 500 | 25 |
| Washington Trust Bancorp Inc. | 669 | 25 |
| Southside Bancshares Inc. | 1,059 | 25 |
| CenterState Banks Inc. | 1,765 | 25 |
| * Customers Bancorp Inc. | 1,090 | 25 |
| Investment Technology Group Inc. | 1,324 | 24 |
| Urstadt Biddle Properties Inc. Class A | 1,217 | 24 |
| TrustCo Bank Corp. NY | 4,167 | 24 |
| * Greenlight Capital Re Ltd. Class A | 1,122 | 24 |
| First Interstate BancSystem Inc. Class A | 887 | 24 |
| * Walker & Dunlop Inc. | 1,026 | 24 |
| * Encore Capital Group Inc. | 1,008 | 23 |
| TriCo Bancshares | 930 | 23 |
| Flushing Financial Corp. | 1,112 | 23 |
| * LendingClub Corp. | 2,622 | 23 |
| Yadkin Financial Corp. | 1,051 | 23 |
| Anworth Mortgage Asset Corp. | 4,797 | 23 |
| BNC Bancorp | 1,101 | 22 |
| Heartland Financial USA Inc. | 755 | 22 |
| Hannon Armstrong Sustainable Infrastructure Capital Inc. | 1,258 | 22 |
| * KCG Holdings Inc. Class A | 2,090 | 22 |
| Enterprise Financial Services Corp. | 786 | 22 |
| Altisource Residential Corp. | 2,322 | 22 |
| First Potomac Realty Trust | 2,548 | 22 |
| German American Bancorp Inc. | 675 | 22 |
| Saul Centers Inc. | 435 | 21 |
| Banc of California Inc. | 1,376 | 21 |
| * LendingTree Inc. | 237 | 21 |
| Heritage Insurance Holdings Inc. | 1,057 | 21 |
| Dime Community Bancshares Inc. | 1,207 | 21 |
| FBL Financial Group Inc. Class A | 357 | 21 |
| Stock Yards Bancorp Inc. | 536 | 20 |
| Diamond Hill Investment Group Inc. | 118 | 20 |
| InfraREIT Inc. | 937 | 20 |
| Virtu Financial Inc. Class A | 887 | 20 |
| Western Asset Mortgage Capital Corp. | 1,829 | 20 |
| Waterstone Financial Inc. | 1,389 | 20 |
| Moelis & Co. Class A | 792 | 20 |
| * Nationstar Mortgage Holdings Inc. | 1,656 | 20 |
| Ashford Hospitality Trust Inc. | 3,518 | 19 |
| New York Mortgage Trust Inc. | 4,612 | 19 |
| 1st Source Corp. | 631 | 19 |
| Heritage Financial Corp. | 1,101 | 19 |
| Ladder Capital Corp. | 1,857 | 19 |
| * HomeStreet Inc. | 960 | 19 |
| Community Trust Bancorp Inc. | 562 | 19 |
| American Residential Properties Inc. | 1,174 | 19 |
| Silver Bay Realty Trust Corp. | 1,351 | 19 |
| National Western Life Group Inc. Class A | 85 | 18 |
| Getty Realty Corp. | 994 | 18 |
| Central Pacific Financial Corp. | 906 | 18 |
| ConnectOne Bancorp Inc. | 1,168 | 18 |
| Bryn Mawr Bank Corp. | 707 | 18 |
20
| Vanguard® Russell 3000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Mercantile Bank Corp. | 776 | 18 | |
| *,^ | Square Inc. | 1,671 | 17 |
| First Busey Corp. | 916 | 17 | |
| MainSource Financial Group Inc. | 831 | 17 | |
| * | Altisource Portfolio Solutions SA | 642 | 17 |
| Blue Hills Bancorp Inc. | 1,239 | 17 | |
| Clifton Bancorp Inc. | 1,121 | 17 | |
| * | Cowen Group Inc. Class A | 4,861 | 16 |
| CatchMark Timber Trust Inc. Class A | 1,545 | 16 | |
| * | Flagstar Bancorp Inc. | 850 | 16 |
| First Defiance Financial Corp. | 416 | 16 | |
| * | Pacific Premier Bancorp Inc. | 793 | 16 |
| Financial Institutions Inc. | 614 | 16 | |
| Resource Capital Corp. | 1,461 | 16 | |
| First Bancorp | 873 | 16 | |
| BancFirst Corp. | 283 | 16 | |
| Great Southern Bancorp Inc. | 425 | 16 | |
| * | Ocwen Financial Corp. | 4,192 | 16 |
| Apollo Residential Mortgage Inc. | 1,226 | 16 | |
| * | HomeTrust Bancshares Inc. | 896 | 16 |
| Federal Agricultural Mortgage Corp. | 482 | 16 | |
| NewBridge Bancorp | 1,430 | 16 | |
| First Financial Corp. | 474 | 16 | |
| CoBiz Financial Inc. | 1,432 | 16 | |
| United Insurance Holdings Corp. | 795 | 16 | |
| Independent Bank Corp. | 1,048 | 15 | |
| RE/MAX Holdings Inc. Class A | 470 | 15 | |
| Bank Mutual Corp. | 2,008 | 15 | |
| Lakeland Bancorp Inc. | 1,494 | 15 | |
| First of Long Island Corp. | 532 | 15 | |
| State National Cos. Inc. | 1,309 | 15 | |
| Preferred Bank | 515 | 15 | |
| Univest Corp. of Pennsylvania | 768 | 15 | |
| United Community Financial Corp. | 2,434 | 14 | |
| * | INTL. FCStone Inc. | 557 | 14 |
| * | CU Bancorp | 649 | 14 |
| Bridge Bancorp Inc. | 499 | 14 | |
| Pacific Continental Corp. | 915 | 14 | |
| National Storage Affiliates Trust | 773 | 14 | |
| Fidelity & Guaranty Life | 564 | 14 | |
| First Community Bancshares Inc. | 766 | 14 | |
| * | First BanCorp | 5,167 | 14 |
| * | Anchor BanCorp Wisconsin Inc. | 331 | 14 |
| HCI Group Inc. | 392 | 14 | |
| Houlihan Lokey Inc. | 537 | 14 | |
| Camden National Corp. | 353 | 14 | |
| *,^ | Citizens Inc. Class A | 1,949 | 14 |
| Westwood Holdings Group Inc. | 275 | 14 | |
| Arrow Financial Corp. | 518 | 14 | |
| Park Sterling Corp. | 2,158 | 13 | |
| Peoples Bancorp Inc. | 748 | 13 | |
| Stonegate Bank | 464 | 13 | |
| First Connecticut Bancorp Inc. | 826 | 13 | |
| State Auto Financial Corp. | 615 | 13 | |
| Dynex Capital Inc. | 2,083 | 13 | |
| Opus Bank | 408 | 13 | |
| * | First NBC Bank Holding Co. | 558 | 13 |
| Bank of Marin Bancorp | 265 | 13 | |
| OneBeacon Insurance Group Ltd. Class A | 1,012 | 13 | |
| Suffolk Bancorp | 538 | 13 | |
| AG Mortgage Investment Trust Inc. | 1,050 | 13 | |
| Southwest Bancorp Inc. | 838 | 13 | |
| Federated National Holding Co. | 531 | 13 | |
| * | TriState Capital Holdings Inc. | 1,053 | 13 |
21
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Republic Bancorp Inc. Class A | 489 | 13 |
| Citizens & Northern Corp. | 624 | 12 |
| One Liberty Properties Inc. | 584 | 12 |
| National Bankshares Inc. | 372 | 12 |
| Arlington Asset Investment Corp. Class A | 1,014 | 12 |
| Peoples Financial Services Corp. | 338 | 12 |
| * Seacoast Banking Corp. of Florida | 822 | 12 |
| CNB Financial Corp. | 687 | 12 |
| Meta Financial Group Inc. | 294 | 12 |
| * Global Indemnity plc | 431 | 12 |
| Baldwin & Lyons Inc. | 495 | 12 |
| * Marcus & Millichap Inc. | 540 | 12 |
| * FRP Holdings Inc. | 353 | 12 |
| OM Asset Management plc | 1,039 | 12 |
| OceanFirst Financial Corp. | 689 | 12 |
| American National Bankshares Inc. | 458 | 12 |
| West Bancorporation Inc. | 659 | 12 |
| * Forestar Group Inc. | 1,182 | 12 |
| Horizon Bancorp | 467 | 11 |
| Ames National Corp. | 481 | 11 |
| Whitestone REIT | 1,001 | 11 |
| Guaranty Bancorp | 742 | 11 |
| Gladstone Commercial Corp. | 739 | 11 |
| Armada Hoffler Properties Inc. | 1,034 | 11 |
| * Walter Investment Management Corp. | 1,461 | 11 |
| Fidelity Southern Corp. | 730 | 11 |
| * Sun Bancorp Inc. | 516 | 11 |
| * World Acceptance Corp. | 290 | 11 |
| * NMI Holdings Inc. Class A | 2,082 | 11 |
| Heritage Commerce Corp. | 1,138 | 11 |
| First Bancorp Inc. | 560 | 11 |
| Independent Bank Group Inc. | 383 | 11 |
| * Tejon Ranch Co. | 593 | 10 |
| * Ladenburg Thalmann Financial Services Inc. | 4,443 | 10 |
| James River Group Holdings Ltd. | 352 | 10 |
| * Safeguard Scientifics Inc. | 864 | 10 |
| RAIT Financial Trust | 3,833 | 10 |
| UMH Properties Inc. | 1,066 | 10 |
| Easterly Government Properties Inc. | 573 | 10 |
| Peapack Gladstone Financial Corp. | 589 | 10 |
| Penns Woods Bancorp Inc. | 252 | 10 |
| Ares Commercial Real Estate Corp. | 1,000 | 10 |
| First Business Financial Services Inc. | 459 | 10 |
| EMC Insurance Group Inc. | 400 | 10 |
| Heritage Oaks Bancorp | 1,316 | 10 |
| Ashford Hospitality Prime Inc. | 934 | 9 |
| MidWestOne Financial Group Inc. | 352 | 9 |
| * eHealth Inc. | 907 | 9 |
| * Triumph Bancorp Inc. | 668 | 9 |
| OFG Bancorp | 1,561 | 9 |
| Preferred Apartment Communities Inc. Class A | 749 | 9 |
| QCR Holdings Inc. | 395 | 9 |
| * Trupanion Inc. | 975 | 9 |
| * C1 Financial Inc. | 391 | 9 |
| National Interstate Corp. | 385 | 9 |
| * PennyMac Financial Services Inc. Class A | 677 | 8 |
| * NewStar Financial Inc. | 1,217 | 8 |
| Charter Financial Corp. | 602 | 8 |
| Consolidated-Tomoka Land Co. | 167 | 8 |
| * PICO Holdings Inc. | 934 | 8 |
| GAMCO Investors Inc. Class A | 227 | 8 |
| GAIN Capital Holdings Inc. | 1,082 | 8 |
| * Regional Management Corp. | 497 | 8 |
| NexPoint Residential Trust Inc. | 641 | 8 |
22
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Everi Holdings Inc. | 2,446 | 7 |
| Tiptree Financial Inc. Class A | 1,161 | 7 |
| * Bancorp Inc. | 1,482 | 7 |
| * RMR Group Inc. Class A | 308 | 7 |
| Oppenheimer Holdings Inc. Class A | 490 | 7 |
| * EZCORP Inc. Class A | 2,360 | 7 |
| Crawford & Co. Class B | 1,386 | 7 |
| Territorial Bancorp Inc. | 263 | 7 |
| BankFinancial Corp. | 556 | 7 |
| * AV Homes Inc. | 664 | 7 |
| * Old Second Bancorp Inc. | 984 | 7 |
| Independence Realty Trust Inc. | 1,021 | 7 |
| * Enova International Inc. | 1,123 | 6 |
| Bluerock Residential Growth REIT Inc. Class A | 628 | 6 |
| Bar Harbor Bankshares | 191 | 6 |
| Farmers Capital Bank Corp. | 245 | 6 |
| * Associated Capital Group Inc. Class A | 227 | 6 |
| Fox Chase Bancorp Inc. | 323 | 6 |
| ^ CPI Card Group Inc. | 768 | 6 |
| Sierra Bancorp | 323 | 6 |
| Orchid Island Capital Inc. | 610 | 6 |
| * BSB Bancorp Inc. | 266 | 6 |
| * Real Industry Inc. | 806 | 6 |
| Hingham Institution for Savings | 48 | 6 |
| * Atlas Financial Holdings Inc. | 299 | 5 |
| * MoneyGram International Inc. | 904 | 5 |
| Capital City Bank Group Inc. | 337 | 5 |
| * Franklin Financial Network Inc. | 172 | 5 |
| Resource America Inc. Class A | 1,020 | 5 |
| CorEnergy Infrastructure Trust Inc. | 334 | 4 |
| Access National Corp. | 237 | 4 |
| Calamos Asset Management Inc. Class A | 519 | 4 |
| * Cascade Bancorp | 814 | 4 |
| United Development Funding IV | 1,345 | 4 |
| * National Commerce Corp. | 194 | 4 |
| * Bear State Financial Inc. | 454 | 4 |
| Enterprise Bancorp Inc. | 183 | 4 |
| Merchants Bancshares Inc. | 137 | 4 |
| Century Bancorp Inc. Class A | 98 | 4 |
| * Hallmark Financial Services Inc. | 384 | 4 |
| * Impac Mortgage Holdings Inc. | 286 | 4 |
| * Green Bancorp Inc. | 520 | 4 |
| * CommunityOne Bancorp | 273 | 3 |
| Independence Holding Co. | 202 | 3 |
| * Stonegate Mortgage Corp. | 645 | 3 |
| Donegal Group Inc. Class A | 189 | 3 |
| Live Oak Bancshares Inc. | 202 | 3 |
| * On Deck Capital Inc. | 370 | 2 |
| * Allegiance Bancshares Inc. | 131 | 2 |
| * Equity Bancshares Inc. Class A | 98 | 2 |
| People's Utah Bancorp | 133 | 2 |
| Pzena Investment Management Inc. Class A | 299 | 2 |
| * Campus Crest Communities Inc. | 262 | 2 |
| Great Ajax Corp. | 146 | 1 |
| * Hampton Roads Bankshares Inc. | 679 | 1 |
| * Ashford Inc. | 28 | 1 |
| Medley Management Inc. Class A | 165 | 1 |
| * Altisource Asset Management Corp. | 46 | 1 |
| * BBX Capital Corp. | 59 | 1 |
| * ZAIS Group Holdings Inc. | 136 | 1 |
| Fifth Street Asset Management Inc. | 163 | 1 |
| * JG Wentworth Co. Class A | 380 | — |
| * Tejon Ranch Co. Warrants | 64 | — |
| 180,173 | ||
23
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Health Care (14.0%) | ||
| Johnson & Johnson | 125,281 | 13,181 |
| Pfizer Inc. | 278,298 | 8,257 |
| Merck & Co. Inc. | 127,782 | 6,416 |
| Gilead Sciences Inc. | 66,503 | 5,802 |
| * Allergan plc | 17,766 | 5,154 |
| UnitedHealth Group Inc. | 43,102 | 5,133 |
| Medtronic plc | 64,531 | 4,994 |
| Amgen Inc. | 34,419 | 4,897 |
| Bristol-Myers Squibb Co. | 75,176 | 4,656 |
| AbbVie Inc. | 74,683 | 4,078 |
| * Celgene Corp. | 35,830 | 3,613 |
| Eli Lilly & Co. | 44,254 | 3,186 |
| * Biogen Inc. | 10,073 | 2,613 |
| Abbott Laboratories | 67,384 | 2,610 |
| Thermo Fisher Scientific Inc. | 17,998 | 2,325 |
| * Express Scripts Holding Co. | 30,405 | 2,140 |
| Aetna Inc. | 15,699 | 1,705 |
| Cigna Corp. | 11,696 | 1,633 |
| McKesson Corp. | 10,419 | 1,621 |
| Anthem Inc. | 11,873 | 1,552 |
| Stryker Corp. | 15,279 | 1,526 |
| Becton Dickinson and Co. | 9,533 | 1,406 |
| * Alexion Pharmaceuticals Inc. | 9,810 | 1,381 |
| * Regeneron Pharmaceuticals Inc. | 3,524 | 1,353 |
| Cardinal Health Inc. | 15,021 | 1,227 |
| Humana Inc. | 6,758 | 1,196 |
| * Boston Scientific Corp. | 60,409 | 1,026 |
| * HCA Holdings Inc. | 14,408 | 997 |
| * Illumina Inc. | 6,498 | 976 |
| Baxter International Inc. | 24,556 | 970 |
| Baxalta Inc. | 24,479 | 943 |
| * Intuitive Surgical Inc. | 1,669 | 940 |
| * Vertex Pharmaceuticals Inc. | 10,977 | 938 |
| Zoetis Inc. | 22,543 | 926 |
| * Edwards Lifesciences Corp. | 9,838 | 856 |
| * Mylan NV | 18,821 | 848 |
| Perrigo Co. plc | 6,563 | 829 |
| AmerisourceBergen Corp. Class A | 9,359 | 811 |
| Zimmer Biomet Holdings Inc. | 7,717 | 747 |
| * Cerner Corp. | 13,567 | 693 |
| St. Jude Medical Inc. | 12,739 | 684 |
| CR Bard Inc. | 3,359 | 646 |
| * Henry Schein Inc. | 3,847 | 637 |
| * BioMarin Pharmaceutical Inc. | 7,258 | 594 |
| Agilent Technologies Inc. | 15,265 | 570 |
| * DaVita HealthCare Partners Inc. | 8,043 | 531 |
| * Incyte Corp. | 7,069 | 520 |
| * Laboratory Corp. of America Holdings | 4,621 | 508 |
| Universal Health Services Inc. Class B | 4,220 | 466 |
| * Endo International plc | 10,286 | 430 |
| Quest Diagnostics Inc. | 6,406 | 426 |
| DENTSPLY International Inc. | 6,443 | 393 |
| * Hologic Inc. | 10,921 | 378 |
| ResMed Inc. | 6,541 | 372 |
| * Varian Medical Systems Inc. | 4,601 | 360 |
| * Mallinckrodt plc | 5,255 | 342 |
| * Jazz Pharmaceuticals plc | 2,724 | 331 |
| Cooper Cos. Inc. | 2,268 | 324 |
| * IDEXX Laboratories Inc. | 4,368 | 320 |
| * Centene Corp. | 5,500 | 313 |
| * MEDNAX Inc. | 4,349 | 292 |
| * Sirona Dental Systems Inc. | 2,484 | 275 |
| Teleflex Inc. | 1,866 | 267 |
24
| Vanguard® Russell 3000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | United Therapeutics Corp. | 2,152 | 262 |
| * | Medivation Inc. | 7,275 | 260 |
| * | Align Technology Inc. | 3,680 | 243 |
| * | DexCom Inc. | 3,706 | 241 |
| STERIS plc | 3,748 | 241 | |
| PerkinElmer Inc. | 5,073 | 240 | |
| * | athenahealth Inc. | 1,753 | 226 |
| * | Quintiles Transnational Holdings Inc. | 3,514 | 220 |
| * | Health Net Inc. | 3,491 | 217 |
| * | QIAGEN NV | 10,257 | 217 |
| * | Alkermes plc | 6,595 | 213 |
| * | Alere Inc. | 3,932 | 210 |
| * | Alnylam Pharmaceuticals Inc. | 3,454 | 202 |
| West Pharmaceutical Services Inc. | 3,246 | 201 | |
| * | Ionis Pharmaceuticals Inc. | 5,621 | 194 |
| * | Envision Healthcare Holdings Inc. | 8,832 | 194 |
| * | VCA Inc. | 3,765 | 192 |
| * | WellCare Health Plans Inc. | 1,987 | 179 |
| Patterson Cos. Inc. | 3,923 | 170 | |
| * | Amsurg Corp. | 2,480 | 169 |
| * | Charles River Laboratories International Inc. | 2,216 | 163 |
| * | ABIOMED Inc. | 1,917 | 153 |
| * | Acadia Healthcare Co. Inc. | 2,709 | 150 |
| * | PAREXEL International Corp. | 2,526 | 148 |
| * | Team Health Holdings Inc. | 3,312 | 148 |
| Bio-Techne Corp. | 1,717 | 147 | |
| * | Seattle Genetics Inc. | 4,860 | 147 |
| HealthSouth Corp. | 4,164 | 147 | |
| * | Bruker Corp. | 5,490 | 143 |
| * | Neurocrine Biosciences Inc. | 3,826 | 141 |
| *,^ | OPKO Health Inc. | 13,965 | 130 |
| * | LifePoint Health Inc. | 2,049 | 128 |
| * | Bio-Rad Laboratories Inc. Class A | 944 | 127 |
| Owens & Minor Inc. | 3,170 | 125 | |
| * | Prestige Brands Holdings Inc. | 2,553 | 125 |
| Hill-Rom Holdings Inc. | 2,673 | 124 | |
| * | Brookdale Senior Living Inc. | 8,326 | 120 |
| * | Anacor Pharmaceuticals Inc. | 1,818 | 116 |
| * | Tenet Healthcare Corp. | 4,540 | 113 |
| * | Myriad Genetics Inc. | 3,217 | 113 |
| * | Allscripts Healthcare Solutions Inc. | 8,876 | 111 |
| * | Impax Laboratories Inc. | 3,379 | 110 |
| * | Ultragenyx Pharmaceutical Inc. | 1,806 | 110 |
| * | LivaNova plc | 1,945 | 110 |
| Chemed Corp. | 839 | 108 | |
| * | Molina Healthcare Inc. | 1,712 | 106 |
| * | Medicines Co. | 3,274 | 105 |
| * | Catalent Inc. | 4,253 | 103 |
| * | Akorn Inc. | 3,765 | 100 |
| * | NuVasive Inc. | 2,393 | 100 |
| * | Cepheid | 3,281 | 97 |
| * | Pacira Pharmaceuticals Inc. | 1,776 | 92 |
| Cantel Medical Corp. | 1,417 | 90 | |
| * | WebMD Health Corp. | 1,604 | 89 |
| * | Medidata Solutions Inc. | 2,561 | 88 |
| * | Integra LifeSciences Holdings Corp. | 1,403 | 86 |
| * | Intercept Pharmaceuticals Inc. | 752 | 84 |
| * | Ligand Pharmaceuticals Inc. | 906 | 84 |
| * | Community Health Systems Inc. | 5,263 | 80 |
| * | Intrexon Corp. | 2,532 | 78 |
| * | Wright Medical Group NV | 4,523 | 77 |
| * | Neogen Corp. | 1,564 | 77 |
| * | Bluebird Bio Inc. | 1,629 | 75 |
| * | Kite Pharma Inc. | 1,651 | 74 |
25
| Vanguard® Russell 3000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Insulet Corp. | 2,401 | 74 |
| * | Veeva Systems Inc. Class A | 2,986 | 73 |
| * | Magellan Health Inc. | 1,149 | 72 |
| * | Globus Medical Inc. | 2,903 | 71 |
| * | Masimo Corp. | 1,852 | 70 |
| * | Haemonetics Corp. | 2,175 | 70 |
| * | Premier Inc. Class A | 2,039 | 66 |
| * | ACADIA Pharmaceuticals Inc. | 3,795 | 66 |
| * | Portola Pharmaceuticals Inc. | 2,315 | 65 |
| * | Ironwood Pharmaceuticals Inc. Class A | 6,660 | 64 |
| * | Natus Medical Inc. | 1,731 | 63 |
| * | Nektar Therapeutics | 5,595 | 63 |
| * | ICU Medical Inc. | 679 | 62 |
| * | Air Methods Corp. | 1,675 | 61 |
| * | Acorda Therapeutics Inc. | 1,839 | 60 |
| * | Amedisys Inc. | 1,595 | 59 |
| * | AMN Healthcare Services Inc. | 2,046 | 58 |
| * | Puma Biotechnology Inc. | 1,293 | 58 |
| * | Novavax Inc. | 12,466 | 54 |
| * | Ophthotech Corp. | 1,206 | 54 |
| * | ARIAD Pharmaceuticals Inc. | 9,692 | 53 |
| * | Agios Pharmaceuticals Inc. | 1,371 | 53 |
| * | Nevro Corp. | 912 | 53 |
| * | Cambrex Corp. | 1,352 | 52 |
| * | ExamWorks Group Inc. | 1,782 | 52 |
| * | NxStage Medical Inc. | 3,420 | 51 |
| * | PRA Health Sciences Inc. | 1,162 | 50 |
| * | Halyard Health Inc. | 1,956 | 50 |
| Abaxis Inc. | 1,245 | 49 | |
| CONMED Corp. | 1,174 | 47 | |
| * | Greatbatch Inc. | 1,214 | 46 |
| * | Radius Health Inc. | 1,536 | 45 |
| * | FibroGen Inc. | 2,553 | 44 |
| * | HMS Holdings Corp. | 3,357 | 44 |
| * | Affymetrix Inc. | 3,124 | 44 |
| Select Medical Holdings Corp. | 4,473 | 44 | |
| * | Exelixis Inc. | 11,806 | 43 |
| * | Prothena Corp. plc | 1,332 | 42 |
| * | TherapeuticsMD Inc. | 6,872 | 42 |
| * | AMAG Pharmaceuticals Inc. | 1,557 | 41 |
| * | TESARO Inc. | 1,010 | 41 |
| Ensign Group Inc. | 1,968 | 40 | |
| * | Emergent BioSolutions Inc. | 1,161 | 39 |
| * | Merrimack Pharmaceuticals Inc. | 6,737 | 39 |
| * | Innoviva Inc. | 3,316 | 39 |
| *,^ | ZIOPHARM Oncology Inc. | 4,930 | 39 |
| * | Depomed Inc. | 2,534 | 39 |
| * | Omnicell Inc. | 1,363 | 37 |
| Kindred Healthcare Inc. | 3,534 | 37 | |
| * | Cynosure Inc. Class A | 911 | 37 |
| Analogic Corp. | 491 | 37 | |
| * | Surgical Care Affiliates Inc. | 881 | 36 |
| * | Halozyme Therapeutics Inc. | 4,380 | 36 |
| * | Achillion Pharmaceuticals Inc. | 4,777 | 35 |
| Meridian Bioscience Inc. | 1,735 | 35 | |
| * | MiMedx Group Inc. | 4,241 | 35 |
| * | Intra-Cellular Therapies Inc. Class A | 1,215 | 34 |
| * | Amicus Therapeutics Inc. | 5,428 | 33 |
| Quality Systems Inc. | 2,150 | 33 | |
| * | Repligen Corp. | 1,290 | 33 |
| * | Orthofix International NV | 853 | 33 |
| * | Merit Medical Systems Inc. | 1,719 | 32 |
| * | Insmed Inc. | 2,642 | 32 |
| * | Five Prime Therapeutics Inc. | 974 | 32 |
26
| Vanguard® Russell 3000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Sarepta Therapeutics Inc. | 2,273 | 31 |
| * | Luminex Corp. | 1,665 | 31 |
| * | Dynavax Technologies Corp. | 1,898 | 31 |
| * | Pacific Biosciences of California Inc. | 3,599 | 30 |
| * | MacroGenics Inc. | 1,855 | 30 |
| * | HealthEquity Inc. | 1,409 | 29 |
| * | LDR Holding Corp. | 1,409 | 29 |
| * | Zeltiq Aesthetics Inc. | 1,264 | 29 |
| US Physical Therapy Inc. | 564 | 29 | |
| * | Endologix Inc. | 3,309 | 29 |
| * | Lannett Co. Inc. | 1,128 | 28 |
| Computer Programs & Systems Inc. | 499 | 28 | |
| * | VWR Corp. | 1,144 | 28 |
| * | Celldex Therapeutics Inc. | 4,069 | 28 |
| * | PharMerica Corp. | 1,189 | 28 |
| * | Anika Therapeutics Inc. | 599 | 27 |
| * | ImmunoGen Inc. | 3,675 | 27 |
| * | Providence Service Corp. | 543 | 26 |
| * | Heron Therapeutics Inc. | 1,611 | 26 |
| * | Dermira Inc. | 1,107 | 26 |
| * | Spectranetics Corp. | 1,758 | 25 |
| * | Alder Biopharmaceuticals Inc. | 1,306 | 25 |
| National HealthCare Corp. | 378 | 24 | |
| * | Clovis Oncology Inc. | 1,278 | 24 |
| * | Trevena Inc. | 2,795 | 23 |
| Atrion Corp. | 62 | 23 | |
| * | Exact Sciences Corp. | 4,558 | 23 |
| * | Eagle Pharmaceuticals Inc. | 358 | 23 |
| * | Inogen Inc. | 654 | 22 |
| * | Triple-S Management Corp. Class B | 850 | 22 |
| * | Acceleron Pharma Inc. | 856 | 22 |
| * | Capital Senior Living Corp. | 1,253 | 21 |
| * | HeartWare International Inc. | 668 | 21 |
| * | Genomic Health Inc. | 834 | 21 |
| * | Cempra Inc. | 1,251 | 21 |
| * | AtriCure Inc. | 1,249 | 21 |
| * | SciClone Pharmaceuticals Inc. | 2,061 | 20 |
| * | INC Research Holdings Inc. Class A | 514 | 20 |
| * | Revance Therapeutics Inc. | 1,149 | 20 |
| PDL BioPharma Inc. | 6,699 | 20 | |
| * | Momenta Pharmaceuticals Inc. | 2,389 | 20 |
| * | Fluidigm Corp. | 2,989 | 20 |
| * | Theravance Biopharma Inc. | 1,260 | 20 |
| * | Aimmune Therapeutics Inc. | 1,227 | 20 |
| *,^ | Rockwell Medical Inc. | 2,030 | 20 |
| * | Quidel Corp. | 1,243 | 20 |
| * | Cerus Corp. | 3,969 | 19 |
| Phibro Animal Health Corp. Class A | 700 | 19 | |
| * | Retrophin Inc. | 1,355 | 19 |
| * | Vascular Solutions Inc. | 625 | 19 |
| * | Inovio Pharmaceuticals Inc. | 2,967 | 19 |
| * | LHC Group Inc. | 513 | 18 |
| * | Supernus Pharmaceuticals Inc. | 1,443 | 18 |
| * | Accuray Inc. | 3,583 | 18 |
| * | NewLink Genetics Corp. | 840 | 18 |
| Invacare Corp. | 1,451 | 18 | |
| * | Enanta Pharmaceuticals Inc. | 617 | 18 |
| * | Geron Corp. | 7,151 | 17 |
| * | Relypsa Inc. | 1,281 | 17 |
| * | Juno Therapeutics Inc. | 470 | 17 |
| * | Sage Therapeutics Inc. | 561 | 17 |
| * | Press Ganey Holdings Inc. | 624 | 16 |
| * | Insys Therapeutics Inc. | 925 | 16 |
| * | Keryx Biopharmaceuticals Inc. | 4,022 | 16 |
27
| Vanguard® Russell 3000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | BioTelemetry Inc. | 1,327 | 16 |
| * | Lexicon Pharmaceuticals Inc. | 1,627 | 15 |
| * | Seres Therapeutics Inc. | 653 | 15 |
| Universal American Corp. | 2,258 | 15 | |
| * | Healthways Inc. | 1,412 | 15 |
| * | Amphastar Pharmaceuticals Inc. | 1,410 | 15 |
| * | Sangamo BioSciences Inc. | 2,798 | 15 |
| * | Cross Country Healthcare Inc. | 1,156 | 14 |
| * | Sucampo Pharmaceuticals Inc. Class A | 1,086 | 14 |
| * | Coherus Biosciences Inc. | 1,006 | 14 |
| *,^ | Omeros Corp. | 1,403 | 14 |
| *,^ | Teladoc Inc. | 1,018 | 14 |
| * | Arena Pharmaceuticals Inc. | 9,408 | 14 |
| * | Array BioPharma Inc. | 5,491 | 14 |
| * | Albany Molecular Research Inc. | 921 | 14 |
| * | Vanda Pharmaceuticals Inc. | 1,729 | 14 |
| * | Aerie Pharmaceuticals Inc. | 803 | 14 |
| * | OraSure Technologies Inc. | 2,015 | 14 |
| * | Almost Family Inc. | 355 | 13 |
| * | Sagent Pharmaceuticals Inc. | 940 | 13 |
| * | Synergy Pharmaceuticals Inc. | 4,248 | 13 |
| * | Adeptus Health Inc. Class A | 232 | 13 |
| CryoLife Inc. | 1,233 | 13 | |
| * | Glaukos Corp. | 802 | 13 |
| * | Infinity Pharmaceuticals Inc. | 2,217 | 13 |
| * | CorVel Corp. | 298 | 12 |
| * | Xencor Inc. | 1,108 | 12 |
| Landauer Inc. | 413 | 12 | |
| * | Spectrum Pharmaceuticals Inc. | 2,640 | 12 |
| * | Progenics Pharmaceuticals Inc. | 2,685 | 12 |
| * | ANI Pharmaceuticals Inc. | 358 | 12 |
| * | Lion Biotechnologies Inc. | 2,108 | 12 |
| * | Civitas Solutions Inc. | 624 | 12 |
| * | SurModics Inc. | 617 | 12 |
| Utah Medical Products Inc. | 193 | 11 | |
| * | TG Therapeutics Inc. | 1,371 | 11 |
| * | NeoGenomics Inc. | 1,775 | 11 |
| * | PTC Therapeutics Inc. | 1,412 | 11 |
| * | Spark Therapeutics Inc. | 350 | 11 |
| * | Raptor Pharmaceutical Corp. | 3,146 | 11 |
| * | AngioDynamics Inc. | 995 | 11 |
| * | Cardiovascular Systems Inc. | 1,243 | 10 |
| * | Accelerate Diagnostics Inc. | 859 | 10 |
| * | Rigel Pharmaceuticals Inc. | 4,512 | 10 |
| * | RadNet Inc. | 1,779 | 10 |
| * | Immunomedics Inc. | 4,482 | 10 |
| * | Global Blood Therapeutics Inc. | 678 | 10 |
| * | Zogenix Inc. | 953 | 10 |
| * | STAAR Surgical Co. | 1,616 | 10 |
| * | Epizyme Inc. | 1,136 | 10 |
| * | Arrowhead Research Corp. | 2,560 | 10 |
| * | Atara Biotherapeutics Inc. | 602 | 10 |
| * | Exactech Inc. | 529 | 10 |
| *,^ | MannKind Corp. | 9,556 | 10 |
| * | Chimerix Inc. | 2,114 | 10 |
| * | Intersect ENT Inc. | 534 | 10 |
| * | Teligent Inc. | 1,645 | 10 |
| * | ConforMIS Inc. | 1,031 | 9 |
| * | Penumbra Inc. | 201 | 9 |
| * | Surgery Partners Inc. | 708 | 9 |
| * | Oxford Immunotec Global plc | 966 | 9 |
| * | XenoPort Inc. | 2,072 | 9 |
| * | Corcept Therapeutics Inc. | 2,399 | 9 |
| * | Agenus Inc. | 3,159 | 9 |
28
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Tandem Diabetes Care Inc. | 972 | 9 |
| * RTI Surgical Inc. | 2,383 | 8 |
| * Mirati Therapeutics Inc. | 393 | 8 |
| * Loxo Oncology Inc. | 437 | 8 |
| * BioDelivery Sciences International Inc. | 2,114 | 8 |
| * K2M Group Holdings Inc. | 683 | 8 |
| * Axovant Sciences Ltd. | 635 | 8 |
| * Addus HomeCare Corp. | 348 | 8 |
| * Sorrento Therapeutics Inc. | 1,297 | 8 |
| * NanoString Technologies Inc. | 650 | 8 |
| * CytRx Corp. | 2,954 | 8 |
| * Navidea Biopharmaceuticals Inc. | 7,842 | 8 |
| * Esperion Therapeutics Inc. | 519 | 8 |
| * Foundation Medicine Inc. | 498 | 7 |
| * Curis Inc. | 5,358 | 7 |
| * Aralez Pharmaceuticals Inc. | 1,279 | 7 |
| * Advaxis Inc. | 1,328 | 7 |
| * GenMark Diagnostics Inc. | 1,464 | 7 |
| * Regulus Therapeutics Inc. | 1,102 | 7 |
| * Otonomy Inc. | 566 | 7 |
| * Collegium Pharmaceutical Inc. | 411 | 7 |
| * Organovo Holdings Inc. | 3,141 | 7 |
| * BioSpecifics Technologies Corp. | 195 | 7 |
| * Akebia Therapeutics Inc. | 940 | 7 |
| * Sequenom Inc. | 4,518 | 7 |
| * Cytokinetics Inc. | 1,035 | 7 |
| * Concert Pharmaceuticals Inc. | 504 | 7 |
| * Blueprint Medicines Corp. | 365 | 6 |
| * Imprivata Inc. | 547 | 6 |
| * Paratek Pharmaceuticals Inc. | 413 | 6 |
| * AAC Holdings Inc. | 305 | 6 |
| * OncoMed Pharmaceuticals Inc. | 652 | 6 |
| * Tetraphase Pharmaceuticals Inc. | 1,519 | 6 |
| * La Jolla Pharmaceutical Co. | 391 | 6 |
| * Antares Pharma Inc. | 6,247 | 6 |
| * Vitae Pharmaceuticals Inc. | 659 | 6 |
| * InVivo Therapeutics Holdings Corp. | 1,266 | 6 |
| LeMaitre Vascular Inc. | 402 | 6 |
| * Heska Corp. | 181 | 6 |
| * Versartis Inc. | 885 | 6 |
| * Applied Genetic Technologies Corp. | 438 | 6 |
| * Cellular Biomedicine Group Inc. | 326 | 6 |
| * Galena Biopharma Inc. | 6,768 | 6 |
| * BioCryst Pharmaceuticals Inc. | 2,816 | 6 |
| * Five Star Quality Care Inc. | 2,354 | 6 |
| * Cutera Inc. | 464 | 6 |
| * VIVUS Inc. | 5,206 | 5 |
| * BioTime Inc. | 2,336 | 5 |
| * Vital Therapies Inc. | 647 | 5 |
| * Karyopharm Therapeutics Inc. | 910 | 5 |
| Osiris Therapeutics Inc. | 745 | 5 |
| * Aegerion Pharmaceuticals Inc. | 933 | 5 |
| * Flexion Therapeutics Inc. | 553 | 5 |
| * Adamas Pharmaceuticals Inc. | 407 | 5 |
| * OvaScience Inc. | 923 | 5 |
| * Entellus Medical Inc. | 313 | 5 |
| * BioScrip Inc. | 2,268 | 5 |
| * ChemoCentryx Inc. | 1,474 | 5 |
| * Veracyte Inc. | 731 | 5 |
| * Aclaris Therapeutics Inc. | 260 | 5 |
| * Idera Pharmaceuticals Inc. | 2,668 | 5 |
| * Pernix Therapeutics Holdings Inc. | 2,145 | 5 |
| * Ardelyx Inc. | 473 | 5 |
| * Immune Design Corp. | 448 | 5 |
29
| Vanguard® Russell 3000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| * | Zafgen Inc. | 712 | 4 |
| * | Aratana Therapeutics Inc. | 1,356 | 4 |
| * | CytomX Therapeutics Inc. | 343 | 4 |
| * | Novocure Ltd. | 376 | 4 |
| * | Foamix Pharmaceuticals Ltd. | 762 | 4 |
| * | Castlight Health Inc. Class B | 1,304 | 4 |
| * | Durect Corp. | 3,742 | 4 |
| * | T2 Biosystems Inc. | 521 | 4 |
| * | Trovagene Inc. | 805 | 4 |
| * | Ocular Therapeutix Inc. | 519 | 4 |
| * | Oncothyreon Inc. | 4,076 | 4 |
| * | Alimera Sciences Inc. | 1,858 | 4 |
| * | Aduro Biotech Inc. | 273 | 4 |
| * | REGENXBIO Inc. | 325 | 4 |
| * | Stemline Therapeutics Inc. | 819 | 4 |
| * | Avalanche Biotechnologies Inc. | 763 | 4 |
| * | Ignyta Inc. | 611 | 4 |
| * | Catalyst Pharmaceuticals Inc. | 3,659 | 4 |
| * | Pfenex Inc. | 538 | 4 |
| * | Tokai Pharmaceuticals Inc. | 602 | 4 |
| * | Peregrine Pharmaceuticals Inc. | 9,259 | 4 |
| * | Anthera Pharmaceuticals Inc. | 1,188 | 4 |
| National Research Corp. Class A | 233 | 4 | |
| * | SeaSpine Holdings Corp. | 271 | 3 |
| * | Unilife Corp. | 3,910 | 3 |
| * | Endocyte Inc. | 1,091 | 3 |
| * | Cara Therapeutics Inc. | 645 | 3 |
| * | CTI BioPharma Corp. | 5,835 | 3 |
| * | Northwest Biotherapeutics Inc. | 1,695 | 3 |
| * | Harvard Bioscience Inc. | 1,104 | 3 |
| * | Nobilis Health Corp. | 1,065 | 3 |
| * | Natera Inc. | 441 | 3 |
| * | Dicerna Pharmaceuticals Inc. | 579 | 3 |
| * | Second Sight Medical Products Inc. | 554 | 3 |
| * | Genocea Biosciences Inc. | 723 | 3 |
| * | Orexigen Therapeutics Inc. | 3,927 | 3 |
| * | Edge Therapeutics Inc. | 376 | 3 |
| * | XOMA Corp. | 3,506 | 3 |
| * | Genesis Healthcare Inc. | 1,425 | 3 |
| * | Voyager Therapeutics Inc. | 260 | 3 |
| * | Bellicum Pharmaceuticals Inc. | 264 | 2 |
| * | Medgenics Inc. | 556 | 2 |
| *,^ | TransEnterix Inc. | 694 | 2 |
| * | Assembly Biosciences Inc. | 467 | 2 |
| * | Agile Therapeutics Inc. | 349 | 2 |
| * | MyoKardia Inc. | 281 | 2 |
| * | NantKwest Inc. | 286 | 2 |
| * | Fibrocell Science Inc. | 809 | 2 |
| * | iRadimed Corp. | 101 | 2 |
| * | aTyr Pharma Inc. | 381 | 2 |
| * | Dimension Therapeutics Inc. | 253 | 2 |
| * | Hanger Inc. | 660 | 2 |
| * | CorMedix Inc. | 1,020 | 2 |
| * | Affimed NV | 499 | 2 |
| * | Invuity Inc. | 212 | 2 |
| * | Asterias Biotherapeutics Inc. | 351 | 2 |
| * | Cidara Therapeutics Inc. | 150 | 2 |
| * | Proteon Therapeutics Inc. | 253 | 1 |
| * | Verastem Inc. | 1,181 | 1 |
| * | Corium International Inc. | 288 | 1 |
| * | EndoChoice Holdings Inc. | 283 | 1 |
| * | Lantheus Holdings Inc. | 545 | 1 |
| * | Sientra Inc. | 159 | 1 |
| * | XBiotech Inc. | 145 | 1 |
30
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Calithera Biosciences Inc. | 179 | 1 |
| * vTv Therapeutics Inc. Class A | 180 | 1 |
| * Corindus Vascular Robotics Inc. | 759 | 1 |
| * Nivalis Therapeutics Inc. | 212 | 1 |
| * Zynerba Pharmaceuticals Inc. | 159 | 1 |
| * Chiasma Inc. | 94 | 1 |
| * Alliance HealthCare Services Inc. | 119 | 1 |
| * Catabasis Pharmaceuticals Inc. | 200 | 1 |
| National Research Corp. Class B | 23 | 1 |
| * Abeona Therapeutics Inc. | 346 | 1 |
| * Threshold Pharmaceuticals Inc. | 2,520 | 1 |
| * Synta Pharmaceuticals Corp. | 1,992 | — |
| * Oncocyte Corp. | 114 | — |
| * Flex Pharma Inc. | 53 | — |
| * Carbylan Therapeutics Inc. | 416 | — |
| * Neos Therapeutics Inc. | 8 | — |
| * Tobira Therapeutics Inc. | 10 | — |
| * Invitae Corp. | 8 | — |
| 131,269 | ||
| Materials & Processing (3.6%) | ||
| EI du Pont de Nemours & Co. | 40,941 | 2,492 |
| Dow Chemical Co. | 50,405 | 2,450 |
| Monsanto Co. | 19,782 | 1,780 |
| Praxair Inc. | 13,108 | 1,334 |
| LyondellBasell Industries NV Class A | 16,508 | 1,324 |
| Air Products & Chemicals Inc. | 9,668 | 1,281 |
| Ecolab Inc. | 12,030 | 1,234 |
| PPG Industries Inc. | 12,345 | 1,192 |
| Sherwin-Williams Co. | 3,636 | 984 |
| International Paper Co. | 19,071 | 681 |
| Ingersoll-Rand plc | 12,168 | 676 |
| Newmont Mining Corp. | 24,372 | 630 |
| Vulcan Materials Co. | 6,105 | 601 |
| Fastenal Co. | 13,102 | 593 |
| Nucor Corp. | 14,562 | 573 |
| Alcoa Inc. | 59,853 | 534 |
| Airgas Inc. | 3,152 | 446 |
| Eastman Chemical Co. | 6,887 | 442 |
| Masco Corp. | 15,522 | 438 |
| Mosaic Co. | 16,179 | 431 |
| Martin Marietta Materials Inc. | 3,015 | 430 |
| Celanese Corp. Class A | 6,837 | 413 |
| Acuity Brands Inc. | 1,964 | 411 |
| Freeport-McMoRan Inc. | 53,638 | 409 |
| Ball Corp. | 6,160 | 408 |
| Sealed Air Corp. | 8,788 | 402 |
| WestRock Co. | 11,894 | 402 |
| CF Industries Holdings Inc. | 10,420 | 380 |
| International Flavors & Fragrances Inc. | 3,615 | 373 |
| * Crown Holdings Inc. | 6,544 | 307 |
| Albemarle Corp. | 5,036 | 283 |
| Ashland Inc. | 2,965 | 283 |
| Valspar Corp. | 3,593 | 281 |
| RPM International Inc. | 5,916 | 242 |
| Lennox International Inc. | 1,811 | 234 |
| * WR Grace & Co. | 3,385 | 233 |
| Owens Corning | 5,341 | 229 |
| FMC Corp. | 6,020 | 227 |
| Bemis Co. Inc. | 4,559 | 224 |
| Reliance Steel & Aluminum Co. | 3,455 | 210 |
| Packaging Corp. of America | 4,336 | 210 |
| AptarGroup Inc. | 2,822 | 208 |
| Sonoco Products Co. | 4,728 | 207 |
| Steel Dynamics Inc. | 11,150 | 203 |
31
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Graphic Packaging Holding Co. | 15,128 | 186 |
| Hexcel Corp. | 4,444 | 184 |
| * Berry Plastics Group Inc. | 5,444 | 169 |
| Watsco Inc. | 1,222 | 156 |
| NewMarket Corp. | 395 | 144 |
| Scotts Miracle-Gro Co. Class A | 2,060 | 142 |
| Royal Gold Inc. | 3,054 | 142 |
| Cabot Corp. | 3,119 | 139 |
| Eagle Materials Inc. | 2,294 | 139 |
| Valmont Industries Inc. | 1,165 | 132 |
| Southern Copper Corp. | 5,402 | 129 |
| Sensient Technologies Corp. | 2,239 | 129 |
| * Axalta Coating Systems Ltd. | 4,871 | 126 |
| PolyOne Corp. | 4,290 | 115 |
| Timken Co. | 3,823 | 114 |
| * Louisiana-Pacific Corp. | 7,070 | 112 |
| Belden Inc. | 2,046 | 112 |
| * Owens-Illinois Inc. | 7,478 | 112 |
| Olin Corp. | 7,362 | 112 |
| Domtar Corp. | 3,101 | 109 |
| Huntsman Corp. | 9,614 | 104 |
| Compass Minerals International Inc. | 1,531 | 104 |
| Silgan Holdings Inc. | 2,015 | 103 |
| * USG Corp. | 4,615 | 98 |
| Westlake Chemical Corp. | 2,030 | 88 |
| Balchem Corp. | 1,326 | 84 |
| HB Fuller Co. | 2,117 | 81 |
| Universal Forest Products Inc. | 1,055 | 81 |
| Worthington Industries Inc. | 2,495 | 78 |
| * Beacon Roofing Supply Inc. | 2,133 | 77 |
| * Rexnord Corp. | 4,223 | 77 |
| Minerals Technologies Inc. | 1,439 | 73 |
| Mueller Water Products Inc. Class A | 8,487 | 73 |
| * Masonite International Corp. | 1,268 | 73 |
| Commercial Metals Co. | 4,891 | 72 |
| * Chemtura Corp. | 2,838 | 72 |
| Simpson Manufacturing Co. Inc. | 2,020 | 69 |
| * RBC Bearings Inc. | 1,006 | 64 |
| Apogee Enterprises Inc. | 1,595 | 64 |
| Carpenter Technology Corp. | 2,127 | 63 |
| * Armstrong World Industries Inc. | 1,552 | 63 |
| Tahoe Resources Inc. | 6,802 | 63 |
| Mueller Industries Inc. | 2,393 | 63 |
| * Headwaters Inc. | 3,556 | 63 |
| * GCP Applied Technologies Inc. | 3,385 | 60 |
| Allegheny Technologies Inc. | 4,473 | 60 |
| Axiall Corp. | 2,933 | 58 |
| * Trex Co. Inc. | 1,320 | 57 |
| Innospec Inc. | 1,297 | 56 |
| United States Steel Corp. | 6,001 | 55 |
| Kaiser Aluminum Corp. | 711 | 54 |
| * Cabot Microelectronics Corp. | 1,403 | 54 |
| * MRC Global Inc. | 4,409 | 53 |
| * US Concrete Inc. | 911 | 49 |
| Interface Inc. Class A | 2,816 | 45 |
| Comfort Systems USA Inc. | 1,580 | 44 |
| * Platform Specialty Products Corp. | 5,951 | 42 |
| AAON Inc. | 1,673 | 41 |
| Quaker Chemical Corp. | 529 | 41 |
| * Stillwater Mining Co. | 4,718 | 40 |
| Chemours Co. | 7,511 | 39 |
| US Silica Holdings Inc. | 2,006 | 38 |
| Hecla Mining Co. | 14,682 | 38 |
| * Summit Materials Inc. Class A | 2,080 | 38 |
32
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| Schweitzer-Mauduit International Inc. | 1,244 | 38 |
| Stepan Co. | 752 | 37 |
| Neenah Paper Inc. | 616 | 37 |
| KapStone Paper and Packaging Corp. | 3,563 | 36 |
| Greif Inc. Class A | 1,264 | 33 |
| PH Glatfelter Co. | 1,674 | 31 |
| * Clearwater Paper Corp. | 743 | 30 |
| * Gibraltar Industries Inc. | 1,168 | 29 |
| Calgon Carbon Corp. | 2,043 | 29 |
| A Schulman Inc. | 1,143 | 28 |
| * Ferro Corp. | 2,836 | 28 |
| * Univar Inc. | 1,775 | 28 |
| * BMC Stock Holdings Inc. | 1,802 | 27 |
| Aceto Corp. | 1,265 | 27 |
| Deltic Timber Corp. | 478 | 27 |
| Innophos Holdings Inc. | 913 | 26 |
| * Boise Cascade Co. | 1,568 | 26 |
| Advanced Drainage Systems Inc. | 1,319 | 26 |
| Materion Corp. | 889 | 23 |
| * Continental Building Products Inc. | 1,329 | 22 |
| Quanex Building Products Corp. | 1,287 | 22 |
| * Coeur Mining Inc. | 5,533 | 21 |
| * Patrick Industries Inc. | 477 | 21 |
| Griffon Corp. | 1,418 | 21 |
| Ferroglobe plc | 2,618 | 21 |
| * Installed Building Products Inc. | 908 | 20 |
| Global Brass & Copper Holdings Inc. | 918 | 20 |
| * Kraton Performance Polymers Inc. | 1,165 | 20 |
| Insteel Industries Inc. | 761 | 20 |
| * PGT Inc. | 1,963 | 19 |
| NN Inc. | 1,519 | 19 |
| * AK Steel Holding Corp. | 6,293 | 18 |
| Schnitzer Steel Industries Inc. | 1,223 | 18 |
| * Trinseo SA | 571 | 17 |
| * Builders FirstSource Inc. | 2,117 | 17 |
| American Vanguard Corp. | 1,326 | 17 |
| * Century Aluminum Co. | 2,231 | 16 |
| * Nortek Inc. | 377 | 16 |
| Haynes International Inc. | 477 | 15 |
| Chase Corp. | 309 | 15 |
| * Koppers Holdings Inc. | 803 | 14 |
| * NCI Building Systems Inc. | 1,240 | 14 |
| FutureFuel Corp. | 1,031 | 13 |
| LSI Industries Inc. | 1,221 | 13 |
| Tronox Ltd. Class A | 2,526 | 13 |
| * Multi Packaging Solutions International Ltd. | 845 | 13 |
| Hawkins Inc. | 404 | 13 |
| TimkenSteel Corp. | 1,660 | 13 |
| Myers Industries Inc. | 1,056 | 13 |
| Rayonier Advanced Materials Inc. | 1,681 | 13 |
| Tredegar Corp. | 900 | 12 |
| * Unifi Inc. | 544 | 12 |
| * Veritiv Corp. | 375 | 12 |
| * Cliffs Natural Resources Inc. | 5,404 | 12 |
| * Ply Gem Holdings Inc. | 1,106 | 11 |
| * Landec Corp. | 1,083 | 11 |
| * OMNOVA Solutions Inc. | 1,999 | 10 |
| Culp Inc. | 405 | 10 |
| AEP Industries Inc. | 124 | 10 |
| KMG Chemicals Inc. | 410 | 9 |
| * Senomyx Inc. | 2,290 | 8 |
| Kronos Worldwide Inc. | 1,116 | 7 |
| LB Foster Co. Class A | 388 | 5 |
| * Energy Fuels Inc. | 1,949 | 5 |
33
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * LSB Industries Inc. | 797 | 5 |
| Oil-Dri Corp. of America | 114 | 4 |
| * Handy & Harman Ltd. | 155 | 3 |
| * Lawson Products Inc. | 184 | 3 |
| United States Lime & Minerals Inc. | 55 | 3 |
| Omega Flex Inc. | 90 | 3 |
| * Core Molding Technologies Inc. | 251 | 3 |
| * Uranium Energy Corp. | 3,049 | 3 |
| Rentech Inc. | 1,256 | 3 |
| * Northwest Pipe Co. | 244 | 2 |
| Olympic Steel Inc. | 234 | 2 |
| * Intrepid Potash Inc. | 2,343 | 2 |
| * Ryerson Holding Corp. | 320 | 1 |
| Valhi Inc. | 637 | 1 |
| * NL Industries Inc. | 168 | — |
| 34,105 | ||
| Other (0.0%)2 | ||
| * Dyax Corp CVR Exp. 12/31/2019 | 6,727 | 8 |
| * Leap Wireless International Inc CVR | 1,716 | 4 |
| Restaurant Brands International LP | 32 | 1 |
| * Chelsea Therapeutics International Ltd. CVR Exp. 12/31/2016 | 2,322 | — |
| * Cubist Pharmaceuticals, Inc. CVR | 1,151 | — |
| * Omthera Pharmaceuticals Inc. CVR | 152 | — |
| * Durata Therapeutics Inc CVR Exp. 12/31/2018 | 12 | — |
| * Clinical Data Contingent Value Rights | 32 | — |
| * Gerber Scientific Inc. CVR | 223 | — |
| * Magnum Hunter Resources Corp. Warrants Exp. 04/15/2016 | 517 | — |
| 13 | ||
| Producer Durables (11.0%) | ||
| General Electric Co. | 424,880 | 12,381 |
| 3M Co. | 28,617 | 4,489 |
| Boeing Co. | 31,221 | 3,690 |
| United Technologies Corp. | 37,819 | 3,654 |
| Honeywell International Inc. | 35,354 | 3,583 |
| Union Pacific Corp. | 39,548 | 3,119 |
| United Parcel Service Inc. Class B | 31,684 | 3,059 |
| Accenture plc Class A | 28,408 | 2,848 |
| Lockheed Martin Corp. | 12,252 | 2,644 |
| Danaher Corp. | 26,963 | 2,407 |
| Caterpillar Inc. | 27,398 | 1,855 |
| Automatic Data Processing Inc. | 21,229 | 1,798 |
| Delta Air Lines Inc. | 36,923 | 1,781 |
| FedEx Corp. | 12,882 | 1,763 |
| Raytheon Co. | 13,735 | 1,701 |
| General Dynamics Corp. | 12,478 | 1,700 |
| Northrop Grumman Corp. | 8,221 | 1,580 |
| Emerson Electric Co. | 30,330 | 1,481 |
| Illinois Tool Works Inc. | 13,586 | 1,280 |
| Southwest Airlines Co. | 30,256 | 1,269 |
| Eaton Corp. plc | 21,277 | 1,207 |
| American Airlines Group Inc. | 28,553 | 1,171 |
| Waste Management Inc. | 20,627 | 1,152 |
| Deere & Co. | 14,200 | 1,139 |
| CSX Corp. | 44,634 | 1,077 |
| Norfolk Southern Corp. | 13,658 | 999 |
| * United Continental Holdings Inc. | 16,254 | 931 |
| PACCAR Inc. | 16,019 | 825 |
| Cummins Inc. | 8,187 | 799 |
| Roper Technologies Inc. | 4,556 | 765 |
| Paychex Inc. | 14,866 | 764 |
| Stanley Black & Decker Inc. | 7,041 | 662 |
| Tyco International plc | 18,786 | 661 |
| Parker-Hannifin Corp. | 6,279 | 635 |
| Rockwell Automation Inc. | 6,089 | 634 |
34
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| WW Grainger Inc. | 2,854 | 619 |
| * Verisk Analytics Inc. Class A | 7,752 | 565 |
| * TransDigm Group Inc. | 2,451 | 523 |
| Rockwell Collins Inc. | 5,914 | 518 |
| AMETEK Inc. | 11,100 | 515 |
| Republic Services Inc. Class A | 11,194 | 512 |
| CH Robinson Worldwide Inc. | 6,752 | 471 |
| * Waters Corp. | 3,814 | 459 |
| Alaska Air Group Inc. | 5,958 | 440 |
| Dover Corp. | 7,128 | 433 |
| Xerox Corp. | 45,064 | 433 |
| L-3 Communications Holdings Inc. | 3,682 | 432 |
| * Stericycle Inc. | 3,783 | 431 |
| Textron Inc. | 12,416 | 424 |
| Kansas City Southern | 5,134 | 419 |
| * Mettler-Toledo International Inc. | 1,276 | 402 |
| Expeditors International of Washington Inc. | 8,532 | 391 |
| Pentair plc | 7,978 | 381 |
| Snap-on Inc. | 2,594 | 375 |
| Cintas Corp. | 4,149 | 348 |
| Waste Connections Inc. | 5,495 | 339 |
| * IHS Inc. Class A | 3,175 | 330 |
| JB Hunt Transport Services Inc. | 4,300 | 328 |
| * JetBlue Airways Corp. | 14,461 | 318 |
| ADT Corp. | 7,695 | 311 |
| Wabtec Corp. | 4,322 | 305 |
| * Spirit AeroSystems Holdings Inc. Class A | 6,632 | 305 |
| Xylem Inc. | 8,064 | 302 |
| Fluor Corp. | 6,485 | 299 |
| Huntington Ingalls Industries Inc. | 2,186 | 286 |
| * Trimble Navigation Ltd. | 11,847 | 276 |
| Allegion plc | 4,255 | 268 |
| ManpowerGroup Inc. | 3,450 | 267 |
| Avery Dennison Corp. | 4,080 | 266 |
| IDEX Corp. | 3,484 | 262 |
| Hubbell Inc. Class B | 2,609 | 259 |
| Carlisle Cos. Inc. | 2,874 | 259 |
| * CoStar Group Inc. | 1,454 | 257 |
| Flowserve Corp. | 5,999 | 252 |
| AO Smith Corp. | 3,364 | 237 |
| Orbital ATK Inc. | 2,803 | 235 |
| * Middleby Corp. | 2,532 | 234 |
| Robert Half International Inc. | 5,940 | 234 |
| * Jacobs Engineering Group Inc. | 5,731 | 221 |
| * United Rentals Inc. | 4,281 | 221 |
| * HD Supply Holdings Inc. | 7,607 | 211 |
| Graco Inc. | 2,669 | 209 |
| * Old Dominion Freight Line Inc. | 3,234 | 209 |
| B/E Aerospace Inc. | 4,780 | 208 |
| * Copart Inc. | 5,351 | 202 |
| Toro Co. | 2,532 | 202 |
| * Keysight Technologies Inc. | 7,595 | 198 |
| FLIR Systems Inc. | 6,355 | 197 |
| * Genpact Ltd. | 7,328 | 194 |
| Allison Transmission Holdings Inc. | 8,154 | 193 |
| * AECOM | 7,001 | 192 |
| Lincoln Electric Holdings Inc. | 3,519 | 192 |
| Macquarie Infrastructure Corp. | 3,087 | 188 |
| Donaldson Co. Inc. | 6,391 | 180 |
| Nordson Corp. | 2,510 | 180 |
| AGCO Corp. | 3,505 | 173 |
| Pitney Bowes Inc. | 9,117 | 165 |
| Curtiss-Wright Corp. | 2,256 | 159 |
| MSC Industrial Direct Co. Inc. Class A | 2,262 | 157 |
35
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Spirit Airlines Inc. | 3,293 | 157 |
| BWX Technologies Inc. | 4,926 | 157 |
| National Instruments Corp. | 5,319 | 153 |
| Chicago Bridge & Iron Co. NV | 4,565 | 153 |
| MAXIMUS Inc. | 3,073 | 151 |
| RR Donnelley & Sons Co. | 9,824 | 149 |
| ITT Corp. | 4,225 | 149 |
| Woodward Inc. | 3,151 | 148 |
| * Zebra Technologies Corp. | 2,379 | 147 |
| * Kirby Corp. | 2,543 | 144 |
| Air Lease Corp. Class A | 4,778 | 144 |
| Ryder System Inc. | 2,468 | 140 |
| * Teledyne Technologies Inc. | 1,641 | 140 |
| * Genesee & Wyoming Inc. Class A | 2,456 | 139 |
| * Quanta Services Inc. | 6,862 | 139 |
| EMCOR Group Inc. | 3,006 | 138 |
| Deluxe Corp. | 2,285 | 131 |
| Oshkosh Corp. | 3,768 | 130 |
| Booz Allen Hamilton Holding Corp. Class A | 4,646 | 128 |
| Convergys Corp. | 4,881 | 126 |
| Landstar System Inc. | 2,112 | 125 |
| Healthcare Services Group Inc. | 3,507 | 124 |
| * Generac Holdings Inc. | 3,522 | 122 |
| Rollins Inc. | 4,372 | 120 |
| * Colfax Corp. | 4,658 | 118 |
| Crane Co. | 2,353 | 115 |
| * Clean Harbors Inc. | 2,692 | 115 |
| CLARCOR Inc. | 2,326 | 112 |
| Regal Beloit Corp. | 2,048 | 112 |
| Trinity Industries Inc. | 7,033 | 111 |
| Littelfuse Inc. | 953 | 108 |
| EnerSys | 2,058 | 106 |
| * Hawaiian Holdings Inc. | 2,447 | 105 |
| Allegiant Travel Co. Class A | 619 | 101 |
| Terex Corp. | 4,501 | 101 |
| * WESCO International Inc. | 2,273 | 100 |
| Lexmark International Inc. Class A | 3,164 | 98 |
| KBR Inc. | 7,008 | 97 |
| * Electronics For Imaging Inc. | 2,396 | 95 |
| * Dycom Industries Inc. | 1,661 | 95 |
| * XPO Logistics Inc. | 3,642 | 90 |
| Manitowoc Co. Inc. | 5,668 | 90 |
| Tetra Tech Inc. | 3,153 | 87 |
| * On Assignment Inc. | 2,617 | 86 |
| CEB Inc. | 1,542 | 84 |
| Granite Construction Inc. | 2,017 | 84 |
| Copa Holdings SA Class A | 1,368 | 84 |
| * Itron Inc. | 2,085 | 83 |
| * Moog Inc. Class A | 1,915 | 83 |
| John Bean Technologies Corp. | 1,561 | 82 |
| * Esterline Technologies Corp. | 1,455 | 81 |
| * ExlService Holdings Inc. | 1,723 | 81 |
| Barnes Group Inc. | 2,283 | 78 |
| Triumph Group Inc. | 2,530 | 77 |
| GATX Corp. | 1,790 | 77 |
| Hillenbrand Inc. | 2,650 | 75 |
| ABM Industries Inc. | 2,363 | 74 |
| Brink's Co. | 2,532 | 74 |
| * Hub Group Inc. Class A | 2,004 | 74 |
| * WageWorks Inc. | 1,526 | 74 |
| HEICO Corp. Class A | 1,681 | 73 |
| Matson Inc. | 1,826 | 73 |
| Franklin Electric Co. Inc. | 2,443 | 73 |
| AZZ Inc. | 1,384 | 70 |
36
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| MSA Safety Inc. | 1,599 | 70 |
| Watts Water Technologies Inc. Class A | 1,331 | 69 |
| Applied Industrial Technologies Inc. | 1,721 | 66 |
| Herman Miller Inc. | 2,534 | 66 |
| Kennametal Inc. | 3,282 | 66 |
| UniFirst Corp. | 621 | 65 |
| * Proto Labs Inc. | 1,004 | 65 |
| Exponent Inc. | 1,395 | 65 |
| Covanta Holding Corp. | 4,606 | 64 |
| Knight Transportation Inc. | 2,643 | 64 |
| * Advisory Board Co. | 2,167 | 64 |
| * MasTec Inc. | 3,744 | 64 |
| * Swift Transportation Co. | 3,694 | 63 |
| HNI Corp. | 1,843 | 62 |
| * Darling Ingredients Inc. | 6,886 | 62 |
| * KLX Inc. | 2,183 | 61 |
| Korn/Ferry International | 2,140 | 61 |
| * FTI Consulting Inc. | 1,767 | 58 |
| Actuant Corp. Class A | 2,439 | 57 |
| * OSI Systems Inc. | 945 | 57 |
| Mobile Mini Inc. | 1,933 | 56 |
| * Huron Consulting Group Inc. | 997 | 55 |
| Forward Air Corp. | 1,328 | 54 |
| ^ Nordic American Tankers Ltd. | 3,836 | 53 |
| G&K Services Inc. Class A | 782 | 52 |
| Joy Global Inc. | 4,001 | 52 |
| Aircastle Ltd. | 2,550 | 51 |
| Brady Corp. Class A | 1,885 | 49 |
| Werner Enterprises Inc. | 1,811 | 48 |
| * Sykes Enterprises Inc. | 1,560 | 48 |
| * Advanced Energy Industries Inc. | 1,576 | 47 |
| Scorpio Tankers Inc. | 7,509 | 47 |
| EnPro Industries Inc. | 899 | 47 |
| Kaman Corp. | 1,037 | 46 |
| Steelcase Inc. Class A | 3,560 | 44 |
| * TASER International Inc. | 2,248 | 44 |
| HEICO Corp. | 745 | 43 |
| Essendant Inc. | 1,441 | 42 |
| * Babcock & Wilcox Enterprises Inc. | 2,171 | 42 |
| * Aerojet Rocketdyne Holdings Inc. | 2,677 | 42 |
| * TopBuild Corp. | 1,535 | 41 |
| SkyWest Inc. | 2,267 | 41 |
| Albany International Corp. | 1,102 | 40 |
| * Astronics Corp. | 1,268 | 40 |
| Briggs & Stratton Corp. | 1,882 | 40 |
| * TrueBlue Inc. | 1,697 | 39 |
| ^ Insperity Inc. | 794 | 38 |
| Badger Meter Inc. | 572 | 38 |
| Lindsay Corp. | 514 | 37 |
| Heartland Express Inc. | 1,986 | 37 |
| Knoll Inc. | 1,905 | 36 |
| * Atlas Air Worldwide Holdings Inc. | 1,001 | 36 |
| Astec Industries Inc. | 834 | 36 |
| ESCO Technologies Inc. | 1,011 | 36 |
| Standex International Corp. | 506 | 36 |
| Tennant Co. | 744 | 35 |
| * Virgin America Inc. | 1,056 | 33 |
| * ACCO Brands Corp. | 4,457 | 33 |
| * Navigant Consulting Inc. | 2,134 | 32 |
| Primoris Services Corp. | 1,513 | 32 |
| Ship Finance International Ltd. | 2,468 | 32 |
| * SPX FLOW Inc. | 1,695 | 32 |
| * Wabash National Corp. | 2,699 | 32 |
| MTS Systems Corp. | 575 | 32 |
37
| Vanguard® Russell 3000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| US Ecology Inc. | 850 | 31 | |
| * | Wesco Aircraft Holdings Inc. | 2,389 | 31 |
| * | Echo Global Logistics Inc. | 1,178 | 30 |
| Cubic Corp. | 850 | 30 | |
| Encore Wire Corp. | 818 | 30 | |
| * | TriMas Corp. | 1,778 | 29 |
| AAR Corp. | 1,376 | 29 | |
| * | ICF International Inc. | 864 | 29 |
| Federal Signal Corp. | 2,453 | 29 | |
| * | Saia Inc. | 1,047 | 27 |
| Greenbrier Cos. Inc. | 1,050 | 27 | |
| Altra Industrial Motion Corp. | 1,098 | 27 | |
| Sun Hydraulics Corp. | 894 | 27 | |
| CIRCOR International Inc. | 664 | 27 | |
| Multi-Color Corp. | 526 | 26 | |
| McGrath RentCorp | 1,019 | 25 | |
| * | Aegion Corp. Class A | 1,366 | 25 |
| * | Chart Industries Inc. | 1,208 | 24 |
| * | Rush Enterprises Inc. Class A | 1,373 | 24 |
| * | CBIZ Inc. | 2,222 | 24 |
| * | Air Transport Services Group Inc. | 1,985 | 23 |
| Raven Industries Inc. | 1,486 | 23 | |
| Bristow Group Inc. | 1,468 | 22 | |
| * | Aerovironment Inc. | 897 | 22 |
| Hyster-Yale Materials Handling Inc. | 370 | 22 | |
| * | FARO Technologies Inc. | 677 | 22 |
| * | Team Inc. | 829 | 21 |
| * | TriNet Group Inc. | 1,615 | 21 |
| * | RPX Corp. | 2,118 | 21 |
| Ennis Inc. | 1,053 | 21 | |
| TeleTech Holdings Inc. | 745 | 21 | |
| * | Thermon Group Holdings Inc. | 1,209 | 20 |
| DHT Holdings Inc. | 3,476 | 20 | |
| SPX Corp. | 1,695 | 20 | |
| ArcBest Corp. | 1,015 | 20 | |
| Alamo Group Inc. | 378 | 20 | |
| * | Tutor Perini Corp. | 1,466 | 20 |
| Resources Connection Inc. | 1,386 | 19 | |
| * | Frontline Ltd. | 2,119 | 19 |
| American Railcar Industries Inc. | 449 | 19 | |
| * | Lydall Inc. | 637 | 18 |
| * | Navistar International Corp. | 2,156 | 18 |
| * | PHH Corp. | 1,999 | 18 |
| Kelly Services Inc. Class A | 1,048 | 18 | |
| * | Milacron Holdings Corp. | 1,317 | 18 |
| * | Paylocity Holding Corp. | 595 | 18 |
| * | MYR Group Inc. | 778 | 17 |
| Gorman-Rupp Co. | 687 | 17 | |
| TAL International Group Inc. | 1,353 | 17 | |
| Argan Inc. | 528 | 17 | |
| Heidrick & Struggles International Inc. | 709 | 17 | |
| Douglas Dynamics Inc. | 851 | 17 | |
| General Cable Corp. | 1,907 | 16 | |
| * | Modine Manufacturing Co. | 1,725 | 16 |
| * | SP Plus Corp. | 648 | 16 |
| Kadant Inc. | 422 | 16 | |
| Quad/Graphics Inc. | 1,269 | 16 | |
| GasLog Ltd. | 1,688 | 16 | |
| * | Blount International Inc. | 1,653 | 16 |
| *,^ | Plug Power Inc. | 7,655 | 16 |
| Hackett Group Inc. | 1,127 | 16 | |
| Teekay Corp. | 1,957 | 16 | |
| H&E Equipment Services Inc. | 1,178 | 16 | |
| Kforce Inc. | 969 | 15 | |
38
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Mistras Group Inc. | 712 | 15 |
| Forrester Research Inc. | 471 | 15 |
| Teekay Tankers Ltd. Class A | 3,563 | 15 |
| * Roadrunner Transportation Systems Inc. | 1,244 | 15 |
| VSE Corp. | 228 | 14 |
| Marten Transport Ltd. | 865 | 14 |
| * GP Strategies Corp. | 572 | 14 |
| * DHI Group Inc. | 1,724 | 13 |
| Mesa Laboratories Inc. | 143 | 13 |
| * Dorian LPG Ltd. | 1,184 | 13 |
| * YRC Worldwide Inc. | 1,571 | 13 |
| Kimball International Inc. Class B | 1,201 | 13 |
| * Casella Waste Systems Inc. Class A | 2,047 | 12 |
| * Engility Holdings Inc. | 826 | 12 |
| Harsco Corp. | 3,132 | 12 |
| Miller Industries Inc. | 608 | 12 |
| Barrett Business Services Inc. | 332 | 12 |
| Textainer Group Holdings Ltd. | 964 | 12 |
| Powell Industries Inc. | 425 | 11 |
| * Monster Worldwide Inc. | 3,580 | 11 |
| * Vectrus Inc. | 550 | 11 |
| Tidewater Inc. | 1,831 | 11 |
| Titan International Inc. | 2,034 | 10 |
| Graham Corp. | 561 | 10 |
| Columbus McKinnon Corp. | 741 | 10 |
| * PHI Inc. | 530 | 10 |
| * Furmanite Corp. | 1,732 | 10 |
| Park-Ohio Holdings Corp. | 327 | 10 |
| Celadon Group Inc. | 1,062 | 10 |
| * Control4 Corp. | 1,136 | 9 |
| FreightCar America Inc. | 607 | 9 |
| * Covenant Transportation Group Inc. Class A | 397 | 9 |
| * Great Lakes Dredge & Dock Corp. | 2,577 | 9 |
| * Ascent Capital Group Inc. Class A | 618 | 9 |
| Hurco Cos. Inc. | 330 | 9 |
| * ServiceSource International Inc. | 2,038 | 8 |
| * Titan Machinery Inc. | 866 | 8 |
| * InnerWorkings Inc. | 1,149 | 8 |
| Ardmore Shipping Corp. | 970 | 8 |
| * DXP Enterprises Inc. | 563 | 8 |
| * Ducommun Inc. | 523 | 8 |
| CECO Environmental Corp. | 1,209 | 8 |
| * USA Truck Inc. | 453 | 7 |
| * Kratos Defense & Security Solutions Inc. | 2,130 | 7 |
| NACCO Industries Inc. Class A | 133 | 7 |
| Navios Maritime Acquisition Corp. | 3,739 | 6 |
| Universal Truckload Services Inc. | 399 | 6 |
| * Hill International Inc. | 1,757 | 6 |
| * CAI International Inc. | 766 | 6 |
| * Orion Marine Group Inc. | 1,498 | 5 |
| * PFSweb Inc. | 408 | 5 |
| * CRA International Inc. | 267 | 5 |
| * Scorpio Bulkers Inc. | 1,621 | 5 |
| * Heritage-Crystal Clean Inc. | 652 | 5 |
| Electro Rent Corp. | 489 | 5 |
| * Gener8 Maritime Inc. | 738 | 5 |
| * Xerium Technologies Inc. | 616 | 5 |
| * Vishay Precision Group Inc. | 328 | 4 |
| * Vicor Corp. | 457 | 4 |
| * TRC Cos. Inc. | 565 | 4 |
| * Commercial Vehicle Group Inc. | 1,493 | 4 |
| * Astronics Corp. Class B | 120 | 4 |
| Allied Motion Technologies Inc. | 201 | 4 |
| * NV5 Global Inc. | 160 | 3 |
39
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Liquidity Services Inc. | 714 | 3 |
| * ExOne Co. | 334 | 3 |
| * Gulfmark Offshore Inc. | 846 | 3 |
| Marlin Business Services Corp. | 211 | 3 |
| * Radiant Logistics Inc. | 898 | 3 |
| * HC2 Holdings Inc. | 682 | 3 |
| * PAM Transportation Services Inc. | 92 | 3 |
| Preformed Line Products Co. | 74 | 2 |
| * Volt Information Sciences Inc. | 319 | 2 |
| Navios Maritime Holdings Inc. | 2,678 | 2 |
| Twin Disc Inc. | 216 | 2 |
| * 6D Global Technologies Inc. | 645 | 2 |
| CDI Corp. | 353 | 2 |
| * Power Solutions International Inc. | 153 | 2 |
| * Neff Corp. Class A | 307 | 1 |
| * Republic Airways Holdings Inc. | 2,299 | 1 |
| * Blue Bird Corp. | 159 | 1 |
| * Accuride Corp. | 1,046 | 1 |
| ^ Golden Ocean Group Ltd. | 2,208 | 1 |
| * Patriot National Inc. | 263 | 1 |
| Safe Bulkers Inc. | 1,004 | 1 |
| * Eagle Bulk Shipping Inc. | 746 | 1 |
| * Ultrapetrol Bahamas Ltd. | 452 | — |
| 103,105 | ||
| Technology (16.6%) | ||
| Apple Inc. | 260,270 | 25,166 |
| Microsoft Corp. | 365,471 | 18,595 |
| * Facebook Inc. Class A | 97,766 | 10,453 |
| * Alphabet Inc. Class A | 13,027 | 9,343 |
| * Alphabet Inc. Class C | 13,292 | 9,275 |
| Intel Corp. | 214,579 | 6,349 |
| Cisco Systems Inc. | 230,092 | 6,024 |
| International Business Machines Corp. | 41,106 | 5,386 |
| Oracle Corp. | 143,411 | 5,275 |
| QUALCOMM Inc. | 67,752 | 3,441 |
| Texas Instruments Inc. | 47,002 | 2,492 |
| * Broadcom Ltd. | 17,250 | 2,311 |
| EMC Corp. | 87,942 | 2,298 |
| * salesforce.com inc | 29,727 | 2,014 |
| * Adobe Systems Inc. | 22,655 | 1,929 |
| * Cognizant Technology Solutions Corp. Class A | 27,577 | 1,571 |
| * Yahoo! Inc. | 42,828 | 1,362 |
| Intuit Inc. | 12,532 | 1,211 |
| Hewlett Packard Enterprise Co. | 83,049 | 1,102 |
| Applied Materials Inc. | 52,342 | 988 |
| Corning Inc. | 50,317 | 921 |
| * Electronic Arts Inc. | 14,243 | 915 |
| HP Inc. | 78,072 | 835 |
| NVIDIA Corp. | 24,403 | 765 |
| Analog Devices Inc. | 14,154 | 750 |
| Amphenol Corp. Class A | 14,059 | 746 |
| Activision Blizzard Inc. | 22,650 | 717 |
| SanDisk Corp. | 9,517 | 688 |
| Symantec Corp. | 30,829 | 595 |
| Motorola Solutions Inc. | 8,054 | 592 |
| Skyworks Solutions Inc. | 8,690 | 577 |
| * LinkedIn Corp. Class A | 4,924 | 577 |
| * SBA Communications Corp. Class A | 5,862 | 556 |
| Xilinx Inc. | 11,573 | 546 |
| * Red Hat Inc. | 8,311 | 543 |
| * Autodesk Inc. | 10,157 | 526 |
| * Micron Technology Inc. | 49,002 | 521 |
| Lam Research Corp. | 7,072 | 518 |
| * Citrix Systems Inc. | 7,144 | 505 |
40
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| KLA-Tencor Corp. | 7,242 | 491 |
| * Palo Alto Networks Inc. | 3,297 | 477 |
| * Twitter Inc. | 25,859 | 469 |
| Linear Technology Corp. | 10,649 | 465 |
| * Akamai Technologies Inc. | 8,306 | 448 |
| Western Digital Corp. | 10,263 | 447 |
| Juniper Networks Inc. | 17,707 | 437 |
| Harris Corp. | 5,514 | 430 |
| Maxim Integrated Products Inc. | 12,628 | 428 |
| Microchip Technology Inc. | 9,586 | 426 |
| * VeriSign Inc. | 4,759 | 402 |
| Amdocs Ltd. | 6,915 | 393 |
| CA Inc. | 13,326 | 390 |
| * ServiceNow Inc. | 6,850 | 377 |
| NetApp Inc. | 13,834 | 344 |
| * ANSYS Inc. | 4,133 | 343 |
| CDK Global Inc. | 7,398 | 332 |
| * Synopsys Inc. | 7,227 | 323 |
| * Gartner Inc. | 3,849 | 317 |
| * F5 Networks Inc. | 3,218 | 309 |
| * Workday Inc. Class A | 4,883 | 295 |
| * Qorvo Inc. | 6,512 | 294 |
| * Cadence Design Systems Inc. | 12,970 | 280 |
| * Splunk Inc. | 5,835 | 254 |
| Ingram Micro Inc. | 7,078 | 253 |
| Avnet Inc. | 6,077 | 250 |
| * Arrow Electronics Inc. | 4,316 | 247 |
| CDW Corp. | 5,979 | 237 |
| * Ultimate Software Group Inc. | 1,295 | 222 |
| * Nuance Communications Inc. | 11,355 | 222 |
| SS&C Technologies Holdings Inc. | 3,644 | 212 |
| Marvell Technology Group Ltd. | 20,849 | 199 |
| * ARRIS International plc | 8,140 | 194 |
| Brocade Communications Systems Inc. | 19,245 | 191 |
| * Manhattan Associates Inc. | 3,380 | 187 |
| Teradyne Inc. | 9,743 | 186 |
| Jabil Circuit Inc. | 8,849 | 185 |
| * Tyler Technologies Inc. | 1,521 | 183 |
| * VMware Inc. Class A | 3,606 | 182 |
| * Fortinet Inc. | 6,307 | 179 |
| Computer Sciences Corp. | 6,213 | 179 |
| Solera Holdings Inc. | 3,128 | 174 |
| * Microsemi Corp. | 4,879 | 169 |
| * ON Semiconductor Corp. | 19,966 | 168 |
| * PTC Inc. | 5,405 | 167 |
| DST Systems Inc. | 1,542 | 161 |
| CSRA Inc. | 6,213 | 161 |
| FEI Co. | 1,975 | 160 |
| * Cree Inc. | 5,017 | 159 |
| * Guidewire Software Inc. | 3,234 | 159 |
| Atmel Corp. | 19,382 | 157 |
| * IMS Health Holdings Inc. | 6,039 | 156 |
| * EPAM Systems Inc. | 2,265 | 155 |
| * Cavium Inc. | 2,565 | 153 |
| Cognex Corp. | 4,086 | 151 |
| IAC/InterActiveCorp | 3,304 | 147 |
| Sabre Corp. | 5,379 | 146 |
| * Teradata Corp. | 5,700 | 142 |
| * ViaSat Inc. | 1,937 | 141 |
| * Take-Two Interactive Software Inc. | 3,929 | 141 |
| * NCR Corp. | 5,966 | 139 |
| * Synaptics Inc. | 1,703 | 138 |
| * Integrated Device Technology Inc. | 7,086 | 138 |
| SYNNEX Corp. | 1,423 | 134 |
41
| Vanguard® Russell 3000 Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Shares | ($000) | ||
| Leidos Holdings Inc. | 3,049 | 132 | |
| * | Aspen Technology Inc. | 3,972 | 131 |
| * | IPG Photonics Corp. | 1,580 | 130 |
| * | Tech Data Corp. | 1,826 | 129 |
| * | VeriFone Systems Inc. | 5,350 | 128 |
| * | Ciena Corp. | 6,106 | 125 |
| * | CommScope Holding Co. Inc. | 4,969 | 125 |
| Cypress Semiconductor Corp. | 15,633 | 125 | |
| Blackbaud Inc. | 2,144 | 121 | |
| * | Rackspace Hosting Inc. | 5,590 | 120 |
| * | CACI International Inc. Class A | 1,217 | 118 |
| Monolithic Power Systems Inc. | 1,982 | 117 | |
| * | Arista Networks Inc. | 1,660 | 114 |
| * | NetSuite Inc. | 1,854 | 112 |
| * | Verint Systems Inc. | 2,967 | 105 |
| * | FireEye Inc. | 6,214 | 105 |
| Science Applications International Corp. | 2,343 | 105 | |
| * | Tableau Software Inc. Class A | 2,278 | 104 |
| * | Ellie Mae Inc. | 1,230 | 103 |
| * | Infinera Corp. | 6,582 | 103 |
| * | ACI Worldwide Inc. | 5,392 | 101 |
| * | Fairchild Semiconductor International Inc. Class A | 4,915 | 99 |
| * | Qlik Technologies Inc. | 4,218 | 98 |
| * | Groupon Inc. Class A | 20,419 | 98 |
| * | Cirrus Logic Inc. | 2,647 | 93 |
| * | Proofpoint Inc. | 1,911 | 90 |
| * | Silicon Laboratories Inc. | 2,155 | 89 |
| Mentor Graphics Corp. | 4,634 | 89 | |
| * | NetScout Systems Inc. | 4,156 | 86 |
| * | Coherent Inc. | 1,012 | 86 |
| Dolby Laboratories Inc. Class A | 2,106 | 83 | |
| * | comScore Inc. | 2,012 | 83 |
| * | EchoStar Corp. Class A | 1,834 | 82 |
| * | Universal Display Corp. | 1,697 | 81 |
| * | Rovi Corp. | 3,451 | 79 |
| * | Acxiom Corp. | 3,679 | 76 |
| *,^ | Ambarella Inc. | 1,627 | 75 |
| InterDigital Inc. | 1,505 | 75 | |
| MKS Instruments Inc. | 2,237 | 74 | |
| * | GrubHub Inc. | 3,117 | 73 |
| * | Entegris Inc. | 5,880 | 73 |
| * | Sanmina Corp. | 3,522 | 73 |
| Intersil Corp. Class A | 5,653 | 72 | |
| * | CommVault Systems Inc. | 1,906 | 71 |
| * | Advanced Micro Devices Inc. | 33,323 | 71 |
| * | Cray Inc. | 1,679 | 71 |
| Power Integrations Inc. | 1,542 | 71 | |
| * | Syntel Inc. | 1,511 | 69 |
| Vishay Intertechnology Inc. | 5,786 | 69 | |
| * | Zynga Inc. Class A | 32,102 | 68 |
| * | Plexus Corp. | 1,847 | 67 |
| Diebold Inc. | 2,699 | 67 | |
| Tessera Technologies Inc. | 2,208 | 65 | |
| * | Cornerstone OnDemand Inc. | 2,258 | 65 |
| * | Rambus Inc. | 4,967 | 65 |
| * | Finisar Corp. | 4,386 | 64 |
| * | MicroStrategy Inc. Class A | 395 | 64 |
| * | Viavi Solutions Inc. | 9,649 | 63 |
| NIC Inc. | 3,543 | 62 | |
| * | Demandware Inc. | 1,746 | 61 |
| Methode Electronics Inc. | 2,111 | 60 | |
| * | Polycom Inc. | 5,783 | 60 |
| Plantronics Inc. | 1,592 | 60 | |
| * | RealPage Inc. | 2,952 | 59 |
42
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * NeuStar Inc. Class A | 2,357 | 59 |
| * Fleetmatics Group plc | 1,617 | 58 |
| * Paycom Software Inc. | 1,758 | 56 |
| * Yelp Inc. Class A | 2,697 | 55 |
| * NETGEAR Inc. | 1,363 | 54 |
| * LogMeIn Inc. | 1,043 | 53 |
| * Zendesk Inc. | 2,852 | 52 |
| * Progress Software Corp. | 2,044 | 52 |
| * Anixter International Inc. | 1,201 | 51 |
| * 3D Systems Corp. | 4,705 | 50 |
| * Semtech Corp. | 2,597 | 50 |
| CSG Systems International Inc. | 1,308 | 50 |
| * Imperva Inc. | 1,114 | 49 |
| * Benchmark Electronics Inc. | 2,196 | 48 |
| * Super Micro Computer Inc. | 1,460 | 47 |
| * Lumentum Holdings Inc. | 1,929 | 46 |
| * Bottomline Technologies de Inc. | 1,640 | 46 |
| * Synchronoss Technologies Inc. | 1,643 | 46 |
| * DigitalGlobe Inc. | 3,047 | 46 |
| * II-VI Inc. | 2,072 | 45 |
| * Virtusa Corp. | 1,275 | 45 |
| * QLogic Corp. | 3,423 | 44 |
| * BroadSoft Inc. | 1,156 | 43 |
| * Knowles Corp. | 3,732 | 42 |
| * Fabrinet | 1,480 | 42 |
| * ScanSource Inc. | 1,115 | 42 |
| ADTRAN Inc. | 2,225 | 42 |
| * SPS Commerce Inc. | 920 | 41 |
| * Stratasys Ltd. | 2,168 | 41 |
| Ebix Inc. | 1,073 | 40 |
| * Insight Enterprises Inc. | 1,522 | 40 |
| Monotype Imaging Holdings Inc. | 1,668 | 40 |
| * Ubiquiti Networks Inc. | 1,192 | 39 |
| * Rogers Corp. | 725 | 39 |
| * MaxLinear Inc. | 2,369 | 38 |
| * Newport Corp. | 1,665 | 38 |
| * RingCentral Inc. Class A | 2,045 | 38 |
| * Inphi Corp. | 1,493 | 38 |
| * Infoblox Inc. | 2,439 | 38 |
| * M/A-COM Technology Solutions Holdings Inc. | 969 | 37 |
| * Luxoft Holding Inc. Class A | 717 | 36 |
| * iRobot Corp. | 1,161 | 36 |
| Pegasystems Inc. | 1,431 | 35 |
| * Envestnet Inc. | 1,675 | 34 |
| * Callidus Software Inc. | 2,353 | 32 |
| * GoDaddy Inc. Class A | 1,025 | 32 |
| * HubSpot Inc. | 751 | 31 |
| * AVG Technologies NV | 1,603 | 31 |
| * Lattice Semiconductor Corp. | 4,823 | 31 |
| * Web.com Group Inc. | 1,679 | 30 |
| * Photronics Inc. | 2,990 | 30 |
| ManTech International Corp. Class A | 1,020 | 30 |
| * Veeco Instruments Inc. | 1,595 | 30 |
| * Gigamon Inc. | 1,078 | 30 |
| * Perficient Inc. | 1,587 | 29 |
| * Ruckus Wireless Inc. | 2,934 | 28 |
| * Ixia | 2,475 | 28 |
| * Diodes Inc. | 1,459 | 28 |
| * CalAmp Corp. | 1,523 | 28 |
| Brooks Automation Inc. | 2,746 | 27 |
| * Black Knight Financial Services Inc. Class A | 897 | 26 |
| * Ultratech Inc. | 1,295 | 26 |
| * Rofin-Sinar Technologies Inc. | 1,158 | 26 |
| * Endurance International Group Holdings Inc. | 2,269 | 26 |
43
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Oclaro Inc. | 5,119 | 25 |
| AVX Corp. | 2,101 | 25 |
| * Qualys Inc. | 960 | 24 |
| * InvenSense Inc. | 3,021 | 24 |
| * Marketo Inc. | 1,348 | 23 |
| EarthLink Holdings Corp. | 3,958 | 22 |
| * Globant SA | 693 | 21 |
| * Unisys Corp. | 1,950 | 21 |
| * Bankrate Inc. | 2,689 | 21 |
| * Applied Micro Circuits Corp. | 3,535 | 20 |
| * Rubicon Project Inc. | 1,233 | 20 |
| * Interactive Intelligence Group Inc. | 670 | 20 |
| * Amkor Technology Inc. | 3,952 | 20 |
| * Mercury Systems Inc. | 1,156 | 19 |
| * Pure Storage Inc. Class A | 1,277 | 18 |
| * Cvent Inc. | 922 | 18 |
| * TTM Technologies Inc. | 2,733 | 18 |
| * CEVA Inc. | 911 | 18 |
| CTS Corp. | 1,220 | 18 |
| * Inovalon Holdings Inc. Class A | 1,013 | 17 |
| * ShoreTel Inc. | 2,353 | 17 |
| * Glu Mobile Inc. | 4,679 | 17 |
| * Match Group Inc. | 1,586 | 17 |
| * Rudolph Technologies Inc. | 1,329 | 17 |
| * Xura Inc. | 874 | 17 |
| * pdvWireless Inc. | 602 | 17 |
| * Silver Spring Networks Inc. | 1,338 | 17 |
| * Loral Space & Communications Inc. | 520 | 17 |
| * Vocera Communications Inc. | 1,172 | 16 |
| * Global Eagle Entertainment Inc. | 1,803 | 16 |
| * VASCO Data Security International Inc. | 1,177 | 16 |
| Epiq Systems Inc. | 1,177 | 16 |
| * Textura Corp. | 915 | 16 |
| * GSI Group Inc. | 1,223 | 16 |
| * FormFactor Inc. | 2,061 | 16 |
| * Q2 Holdings Inc. | 760 | 15 |
| * Cascade Microtech Inc. | 745 | 15 |
| * Kimball Electronics Inc. | 1,315 | 15 |
| * Wix.com Ltd. | 769 | 15 |
| * DTS Inc. | 624 | 15 |
| * Actua Corp. | 1,781 | 14 |
| * Nimble Storage Inc. | 1,981 | 14 |
| * ePlus Inc. | 188 | 14 |
| * GTT Communications Inc. | 943 | 14 |
| * Tangoe Inc. | 1,717 | 14 |
| * Extreme Networks Inc. | 4,834 | 14 |
| * Alpha & Omega Semiconductor Ltd. | 1,112 | 13 |
| * Applied Optoelectronics Inc. | 729 | 13 |
| Sapiens International Corp. NV | 1,109 | 13 |
| * Nanometrics Inc. | 942 | 13 |
| * LivePerson Inc. | 2,511 | 13 |
| * Calix Inc. | 1,836 | 13 |
| * Intralinks Holdings Inc. | 1,633 | 13 |
| Cohu Inc. | 1,099 | 13 |
| * Sonus Networks Inc. | 1,599 | 12 |
| * SciQuest Inc. | 1,021 | 12 |
| PC Connection Inc. | 492 | 12 |
| * RetailMeNot Inc. | 1,498 | 12 |
| Comtech Telecommunications Corp. | 588 | 12 |
| * TrueCar Inc. | 2,188 | 12 |
| * Silicon Graphics International Corp. | 1,945 | 12 |
| * Avid Technology Inc. | 1,543 | 12 |
| Park Electrochemical Corp. | 825 | 12 |
| * Axcelis Technologies Inc. | 4,674 | 12 |
44
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| American Software Inc. Class A | 1,243 | 12 |
| * Sigma Designs Inc. | 1,698 | 12 |
| * ChannelAdvisor Corp. | 1,095 | 12 |
| IXYS Corp. | 1,021 | 12 |
| * Harmonic Inc. | 3,402 | 11 |
| Checkpoint Systems Inc. | 1,513 | 11 |
| * Blucora Inc. | 1,836 | 11 |
| * Five9 Inc. | 1,399 | 11 |
| * Lionbridge Technologies Inc. | 2,549 | 11 |
| * Zix Corp. | 2,802 | 11 |
| * Immersion Corp. | 1,202 | 11 |
| * Digi International Inc. | 1,263 | 11 |
| * Xcerra Corp. | 1,868 | 11 |
| * PDF Solutions Inc. | 920 | 10 |
| Reis Inc. | 468 | 10 |
| * NeoPhotonics Corp. | 930 | 10 |
| * DSP Group Inc. | 1,165 | 10 |
| Daktronics Inc. | 1,418 | 10 |
| * Benefitfocus Inc. | 310 | 10 |
| NVE Corp. | 191 | 10 |
| * Seachange International Inc. | 1,682 | 10 |
| * Multi-Fineline Electronix Inc. | 429 | 10 |
| Black Box Corp. | 713 | 9 |
| * KEYW Holding Corp. | 1,515 | 9 |
| * Digimarc Corp. | 310 | 9 |
| * A10 Networks Inc. | 1,511 | 9 |
| * PROS Holdings Inc. | 838 | 9 |
| * Mattson Technology Inc. | 2,492 | 9 |
| * Brightcove Inc. | 1,493 | 9 |
| * Ultra Clean Holdings Inc. | 1,619 | 8 |
| * Exar Corp. | 1,562 | 8 |
| * OPOWER Inc. | 1,004 | 8 |
| American Science & Engineering Inc. | 349 | 8 |
| * Alliance Fiber Optic Products Inc. | 583 | 8 |
| QAD Inc. Class A | 401 | 8 |
| Bel Fuse Inc. Class B | 525 | 8 |
| * Jive Software Inc. | 2,385 | 8 |
| * KVH Industries Inc. | 846 | 8 |
| * Model N Inc. | 738 | 8 |
| * Bazaarvoice Inc. | 2,386 | 7 |
| * Telenav Inc. | 1,253 | 7 |
| Acacia Research Corp. | 2,361 | 7 |
| * Varonis Systems Inc. | 405 | 7 |
| * Ciber Inc. | 3,688 | 7 |
| * Carbonite Inc. | 948 | 7 |
| * Sparton Corp. | 497 | 7 |
| * Kopin Corp. | 3,525 | 7 |
| * Evolent Health Inc. Class A | 590 | 6 |
| * United Online Inc. | 479 | 6 |
| * VirnetX Holding Corp. | 1,224 | 6 |
| * ARC Document Solutions Inc. | 1,600 | 6 |
| * TechTarget Inc. | 787 | 6 |
| * Aerohive Networks Inc. | 1,012 | 5 |
| * Marin Software Inc. | 1,711 | 5 |
| * MobileIron Inc. | 1,517 | 5 |
| * Internap Corp. | 2,003 | 5 |
| * Rocket Fuel Inc. | 1,364 | 5 |
| * New Relic Inc. | 175 | 5 |
| * Box Inc. | 404 | 5 |
| * EMCORE Corp. | 842 | 4 |
| * Clearfield Inc. | 296 | 4 |
| * Limelight Networks Inc. | 2,755 | 4 |
| * Quantum Corp. | 8,284 | 4 |
| * Everyday Health Inc. | 848 | 4 |
45
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| * Violin Memory Inc. | 4,903 | 4 |
| * Agilysys Inc. | 357 | 4 |
| * MINDBODY Inc. Class A | 308 | 4 |
| * Datalink Corp. | 499 | 4 |
| * Barracuda Networks Inc. | 276 | 4 |
| * Workiva Inc. | 223 | 3 |
| * Hortonworks Inc. | 223 | 3 |
| * RealNetworks Inc. | 590 | 2 |
| * Park City Group Inc. | 242 | 2 |
| * Novatel Wireless Inc. | 1,255 | 2 |
| * Xactly Corp. | 336 | 2 |
| * ModusLink Global Solutions Inc. | 966 | 2 |
| * Digital Turbine Inc. | 1,594 | 2 |
| * Amber Road Inc. | 372 | 2 |
| * Alarm.com Holdings Inc. | 80 | 2 |
| * Travelzoo Inc. | 203 | 2 |
| * Guidance Software Inc. | 237 | 1 |
| * Imation Corp. | 1,152 | 1 |
| * Connecture Inc. | 204 | 1 |
| * Apigee Corp. | 79 | — |
| * MaxPoint Interactive Inc. | 222 | — |
| * Appfolio Inc. | 20 | — |
| * Rapid7 Inc. | 7 | — |
| * Code Rebel Corp. | 38 | — |
| 154,976 | ||
| Utilities (5.9%) | ||
| AT&T Inc. | 275,015 | 10,162 |
| Verizon Communications Inc. | 184,278 | 9,348 |
| Duke Energy Corp. | 31,298 | 2,325 |
| NextEra Energy Inc. | 19,999 | 2,256 |
| Southern Co. | 41,239 | 1,987 |
| Dominion Resources Inc. | 26,937 | 1,883 |
| American Electric Power Co. Inc. | 22,241 | 1,373 |
| Exelon Corp. | 41,650 | 1,312 |
| PG&E Corp. | 21,842 | 1,239 |
| Sempra Energy | 11,140 | 1,075 |
| PPL Corp. | 30,480 | 1,067 |
| Edison International | 14,705 | 1,002 |
| Public Service Enterprise Group Inc. | 22,784 | 972 |
| Consolidated Edison Inc. | 13,262 | 929 |
| Xcel Energy Inc. | 22,890 | 905 |
| WEC Energy Group Inc. | 14,418 | 812 |
| CenturyLink Inc. | 25,811 | 790 |
| Eversource Energy | 14,492 | 787 |
| DTE Energy Co. | 8,118 | 683 |
| FirstEnergy Corp. | 19,201 | 643 |
| * Level 3 Communications Inc. | 13,086 | 635 |
| Entergy Corp. | 8,254 | 596 |
| American Water Works Co. Inc. | 8,310 | 539 |
| Ameren Corp. | 10,788 | 507 |
| CMS Energy Corp. | 12,339 | 488 |
| * T-Mobile US Inc. | 12,233 | 454 |
| SCANA Corp. | 6,579 | 428 |
| CenterPoint Energy Inc. | 19,905 | 371 |
| AGL Resources Inc. | 5,558 | 359 |
| Pinnacle West Capital Corp. | 5,178 | 356 |
| Alliant Energy Corp. | 4,986 | 339 |
| AES Corp. | 31,940 | 313 |
| Atmos Energy Corp. | 4,502 | 313 |
| NiSource Inc. | 14,199 | 305 |
| Pepco Holdings Inc. | 11,229 | 294 |
| TECO Energy Inc. | 10,509 | 289 |
| ITC Holdings Corp. | 7,025 | 285 |
| Frontier Communications Corp. | 52,669 | 285 |
46
| Vanguard® Russell 3000 Index Fund | ||
| Schedule of Investments | ||
| February 29, 2016 | ||
| Market | ||
| Value | ||
| Shares | ($000) | |
| UGI Corp. | 7,669 | 283 |
| Westar Energy Inc. Class A | 6,325 | 275 |
| Aqua America Inc. | 8,120 | 248 |
| Piedmont Natural Gas Co. Inc. | 3,748 | 223 |
| OGE Energy Corp. | 8,935 | 222 |
| * Calpine Corp. | 16,575 | 208 |
| Great Plains Energy Inc. | 7,033 | 206 |
| Questar Corp. | 8,176 | 203 |
| National Fuel Gas Co. | 3,904 | 178 |
| Vectren Corp. | 3,853 | 175 |
| IDACORP Inc. | 2,390 | 170 |
| MDU Resources Group Inc. | 9,094 | 166 |
| j2 Global Inc. | 2,265 | 166 |
| NRG Energy Inc. | 14,781 | 159 |
| * Zayo Group Holdings Inc. | 6,597 | 156 |
| WGL Holdings Inc. | 2,271 | 155 |
| Hawaiian Electric Industries Inc. | 5,113 | 150 |
| Portland General Electric Co. | 3,823 | 145 |
| New Jersey Resources Corp. | 3,965 | 137 |
| Southwest Gas Corp. | 2,146 | 131 |
| Cleco Corp. | 2,851 | 131 |
| ONE Gas Inc. | 2,254 | 131 |
| Black Hills Corp. | 2,331 | 131 |
| NorthWestern Corp. | 2,180 | 129 |
| * Sprint Corp. | 34,952 | 120 |
| Laclede Group Inc. | 1,832 | 120 |
| Telephone & Data Systems Inc. | 4,361 | 117 |
| ALLETE Inc. | 2,047 | 109 |
| PNM Resources Inc. | 3,359 | 107 |
| Avista Corp. | 2,631 | 99 |
| * Avangrid Inc. | 2,549 | 99 |
| MGE Energy Inc. | 1,645 | 80 |
| Empire District Electric Co. | 2,319 | 76 |
| Ormat Technologies Inc. | 1,987 | 76 |
| South Jersey Industries Inc. | 2,905 | 74 |
| Cogent Communications Holdings Inc. | 1,971 | 72 |
| El Paso Electric Co. | 1,743 | 71 |
| American States Water Co. | 1,542 | 65 |
| * Dynegy Inc. | 6,143 | 62 |
| * Vonage Holdings Corp. | 10,627 | 57 |
| Northwest Natural Gas Co. | 1,118 | 56 |
| West Corp. | 2,210 | 49 |
| Pattern Energy Group Inc. Class A | 2,881 | 49 |
| California Water Service Group | 1,901 | 47 |
| Shenandoah Telecommunications Co. | 1,931 | 47 |
| Consolidated Communications Holdings Inc. | 1,975 | 46 |
| * 8x8 Inc. | 3,768 | 44 |
| Otter Tail Corp. | 1,522 | 42 |
| Chesapeake Utilities Corp. | 603 | 38 |
| * Gogo Inc. | 3,255 | 35 |
| Abengoa Yield plc | 2,106 | 35 |
| NRG Yield Inc. | 2,601 | 34 |
| Windstream Holdings Inc. | 4,162 | 31 |
| Atlantic Tele-Network Inc. | 433 | 31 |
| * Cincinnati Bell Inc. | 8,637 | 30 |
| * Globalstar Inc. | 19,096 | 30 |
| * Iridium Communications Inc. | 3,667 | 25 |
| * inContact Inc. | 2,741 | 25 |
| Inteliquent Inc. | 1,489 | 25 |
| * General Communication Inc. Class A | 1,319 | 25 |
| * ORBCOMM Inc. | 2,868 | 25 |
| * Talen Energy Corp. | 3,589 | 23 |
| Unitil Corp. | 540 | 21 |
| * United States Cellular Corp. | 504 | 21 |
47
| Vanguard® Russell 3000 Index Fund | |||||
| Schedule of Investments | |||||
| February 29, 2016 | |||||
| Market | |||||
| Value | |||||
| Shares | ($000) | ||||
| SJW Corp. | 570 | 21 | |||
| Connecticut Water Service Inc. | 456 | 19 | |||
| Middlesex Water Co. | 670 | 19 | |||
| York Water Co. | 625 | 17 | |||
| NRG Yield Inc. Class A | 1,332 | 17 | |||
| Spok Holdings Inc. | 912 | 16 | |||
| * | Boingo Wireless Inc. | 1,819 | 13 | ||
| * | FairPoint Communications Inc. | 846 | 13 | ||
| * | Hawaiian Telcom Holdco Inc. | 507 | 12 | ||
| * | Straight Path Communications Inc. Class B | 310 | 10 | ||
| IDT Corp. Class B | 746 | 10 | |||
| Atlantic Power Corp. | 5,495 | 9 | |||
| * | Lumos Networks Corp. | 745 | 9 | ||
| Artesian Resources Corp. Class A | 193 | 5 | |||
| Consolidated Water Co. Ltd. | 481 | 5 | |||
| * | Pendrell Corp. | 9,119 | 5 | ||
| Genie Energy Ltd. Class B | 425 | 4 | |||
| * | NTELOS Holdings Corp. | 384 | 4 | ||
| Spark Energy Inc. Class A | 96 | 2 | |||
| * | Intelsat SA | 871 | 2 | ||
| 55,434 | |||||
| Total Common Stocks (Cost $983,278) | 933,462 | ||||
| Coupon | |||||
| Temporary Cash Investments (0.3%)1 | |||||
| Money Market Fund (0.2%) | |||||
| 3,4 | Vanguard Market Liquidity Fund | 0.475% | 1,988,543 | 1,989 | |
| Face | |||||
| Maturity | Amount | ||||
| Date | ($000) | ||||
| U.S. Government and Agency Obligations (0.1%) | |||||
| 5,6 | Freddie Mac Discount Notes | 0.220% | 4/15/16 | 400 | 400 |
| Total Temporary Cash Investments (Cost $2,388) | 2,389 | ||||
| Total Investments (99.9%) (Cost $985,666) | 935,851 | ||||
| Other Assets and Liabilities—Net (0.1%)4 | 1,099 | ||||
| Net Assets (100%) | 936,950 | ||||
* Non-income-producing security.
^ Includes partial security positions on loan to broker-dealers. The total value of securities on loan is $1,371,000.
1 The fund invests a portion of its cash reserves in equity markets through the use of index futures contracts. After giving effect to futures investments, the fund's effective common stock and temporary cash investment positions represent 100.0% and -0.1%, respectively, of net assets.
2 “Other” represents securities that are not classified by the fund’s benchmark index.
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 Includes $1,433,000 of collateral received for securities on loan.
5 The issuer operates under a congressional charter; its securities are generally neither guaranteed by the U.S. Treasury nor backed by the full faith and credit of the U.S. government.
6 Securities with a value of $200,000 have been segregated as initial margin for open futures contracts.
REIT—Real Estate Investment Trust.
48
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© 2016 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA18542 042016
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| U.S. Government and Agency Obligations (0.1%) | ||||
| U.S. Government Securities (0.1%) | ||||
| United States Treasury Note/Bond | 0.750% | 2/28/18 | 225 | 225 |
| United States Treasury Note/Bond | 0.750% | 2/15/19 | 6,120 | 6,092 |
| United States Treasury Note/Bond | 1.375% | 1/31/21 | 7,230 | 7,280 |
| United States Treasury Note/Bond | 1.125% | 2/28/21 | 3,060 | 3,047 |
| Total U.S. Government and Agency Obligations (Cost $16,686) | 16,644 | |||
| Corporate Bonds (98.5%) | ||||
| Finance (39.9%) | ||||
| Banking (32.4%) | ||||
| Abbey National Treasury Services plc | 1.375% | 3/13/17 | 7,722 | 7,717 |
| Abbey National Treasury Services plc | 1.650% | 9/29/17 | 1,150 | 1,147 |
| Abbey National Treasury Services plc | 3.050% | 8/23/18 | 7,245 | 7,415 |
| Abbey National Treasury Services plc | 2.000% | 8/24/18 | 9,332 | 9,236 |
| Abbey National Treasury Services plc | 2.350% | 9/10/19 | 11,025 | 10,964 |
| Abbey National Treasury Services plc | 2.375% | 3/16/20 | 6,500 | 6,438 |
| American Express Bank FSB | 6.000% | 9/13/17 | 8,380 | 8,913 |
| American Express Centurion Bank | 5.950% | 6/12/17 | 300 | 315 |
| American Express Centurion Bank | 6.000% | 9/13/17 | 4,754 | 5,055 |
| American Express Co. | 6.150% | 8/28/17 | 12,501 | 13,300 |
| American Express Co. | 7.000% | 3/19/18 | 19,230 | 21,130 |
| American Express Co. | 1.550% | 5/22/18 | 9,830 | 9,717 |
| American Express Co. | 8.125% | 5/20/19 | 1,600 | 1,898 |
| American Express Credit Corp. | 2.375% | 3/24/17 | 15,783 | 15,957 |
| American Express Credit Corp. | 1.125% | 6/5/17 | 17,873 | 17,795 |
| American Express Credit Corp. | 2.125% | 7/27/18 | 8,100 | 8,159 |
| American Express Credit Corp. | 1.800% | 7/31/18 | 3,830 | 3,812 |
| American Express Credit Corp. | 1.875% | 11/5/18 | 5,500 | 5,479 |
| American Express Credit Corp. | 2.125% | 3/18/19 | 8,065 | 8,060 |
| American Express Credit Corp. | 2.250% | 8/15/19 | 10,950 | 10,959 |
| American Express Credit Corp. | 2.375% | 5/26/20 | 16,450 | 16,400 |
| American Express Credit Corp. | 2.600% | 9/14/20 | 9,000 | 9,046 |
| Australia & New Zealand Banking Group Ltd. | 1.250% | 6/13/17 | 6,425 | 6,434 |
| Australia & New Zealand Banking Group Ltd. | 1.875% | 10/6/17 | 6,625 | 6,662 |
| Australia & New Zealand Banking Group Ltd. | 1.500% | 1/16/18 | 400 | 399 |
| Australia & New Zealand Banking Group Ltd. | 1.450% | 5/15/18 | 6,000 | 5,947 |
| Australia & New Zealand Banking Group Ltd. | 2.000% | 11/16/18 | 8,500 | 8,536 |
| Australia & New Zealand Banking Group Ltd. | 2.250% | 6/13/19 | 8,875 | 8,912 |
| Australia & New Zealand Banking Group Ltd. | 2.700% | 11/16/20 | 7,500 | 7,628 |
| Banco Bilbao Vizcaya Argentaria SA | 3.000% | 10/20/20 | 8,775 | 8,638 |
| Bank of America Corp. | 5.420% | 3/15/17 | 7,551 | 7,814 |
| Bank of America Corp. | 3.875% | 3/22/17 | 12,986 | 13,286 |
| Bank of America Corp. | 5.700% | 5/2/17 | 6,210 | 6,457 |
| Bank of America Corp. | 1.700% | 8/25/17 | 8,303 | 8,263 |
| Bank of America Corp. | 6.400% | 8/28/17 | 19,460 | 20,645 |
| Bank of America Corp. | 6.000% | 9/1/17 | 15,599 | 16,468 |
| Bank of America Corp. | 5.750% | 12/1/17 | 19,220 | 20,387 |
| Bank of America Corp. | 2.000% | 1/11/18 | 23,110 | 23,013 |
| Bank of America Corp. | 6.875% | 4/25/18 | 45,910 | 50,126 |
| Bank of America Corp. | 5.650% | 5/1/18 | 28,390 | 30,308 |
| Bank of America Corp. | 1.750% | 6/5/18 | 16,000 | 15,894 |
| Bank of America Corp. | 6.500% | 7/15/18 | 3,500 | 3,815 |
| Bank of America Corp. | 6.875% | 11/15/18 | 7,111 | 7,930 |
| Bank of America Corp. | 2.600% | 1/15/19 | 38,257 | 38,440 |
| Bank of America Corp. | 5.490% | 3/15/19 | 3,200 | 3,488 |
| Bank of America Corp. | 2.650% | 4/1/19 | 19,885 | 20,016 |
| Bank of America Corp. | 7.625% | 6/1/19 | 20,850 | 24,049 |
| Bank of America Corp. | 2.250% | 4/21/20 | 18,450 | 18,084 |
| Bank of America Corp. | 5.625% | 7/1/20 | 26,355 | 29,119 |
| Bank of America Corp. | 2.625% | 10/19/20 | 17,000 | 16,864 |
| Bank of America Corp. | 5.875% | 1/5/21 | 13,555 | 15,297 |
| Bank of America NA | 5.300% | 3/15/17 | 14,754 | 15,254 |
1
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Bank of America NA | 6.100% | 6/15/17 | 4,345 | 4,561 |
| Bank of America NA | 1.650% | 3/26/18 | 10,875 | 10,813 |
| Bank of America NA | 2.050% | 12/7/18 | 7,000 | 6,998 |
| Bank of Montreal | 1.300% | 7/14/17 | 6,985 | 6,983 |
| Bank of Montreal | 1.400% | 9/11/17 | 5,034 | 5,051 |
| Bank of Montreal | 1.450% | 4/9/18 | 9,444 | 9,409 |
| Bank of Montreal | 1.400% | 4/10/18 | 10,475 | 10,430 |
| Bank of Montreal | 1.800% | 7/31/18 | 6,000 | 6,010 |
| Bank of Montreal | 2.375% | 1/25/19 | 10,850 | 10,990 |
| Bank of New York Mellon Corp. | 1.969% | 6/20/17 | 1,566 | 1,581 |
| Bank of New York Mellon Corp. | 1.350% | 3/6/18 | 8,050 | 8,047 |
| Bank of New York Mellon Corp. | 2.100% | 8/1/18 | 2,600 | 2,627 |
| Bank of New York Mellon Corp. | 2.100% | 1/15/19 | 6,600 | 6,660 |
| Bank of New York Mellon Corp. | 2.200% | 3/4/19 | 6,950 | 7,034 |
| Bank of New York Mellon Corp. | 2.200% | 5/15/19 | 6,000 | 6,025 |
| Bank of New York Mellon Corp. | 5.450% | 5/15/19 | 2,300 | 2,540 |
| Bank of New York Mellon Corp. | 2.300% | 9/11/19 | 8,750 | 8,828 |
| Bank of New York Mellon Corp. | 4.600% | 1/15/20 | 1,225 | 1,331 |
| Bank of New York Mellon Corp. | 2.150% | 2/24/20 | 11,250 | 11,288 |
| Bank of New York Mellon Corp. | 2.600% | 8/17/20 | 9,500 | 9,636 |
| Bank of New York Mellon Corp. | 2.450% | 11/27/20 | 10,000 | 10,053 |
| Bank of Nova Scotia | 1.250% | 4/11/17 | 7,420 | 7,418 |
| Bank of Nova Scotia | 1.300% | 7/21/17 | 6,100 | 6,104 |
| Bank of Nova Scotia | 1.375% | 12/18/17 | 3,384 | 3,377 |
| Bank of Nova Scotia | 1.450% | 4/25/18 | 9,324 | 9,273 |
| Bank of Nova Scotia | 1.700% | 6/11/18 | 5,950 | 5,949 |
| Bank of Nova Scotia | 2.050% | 10/30/18 | 13,076 | 13,144 |
| Bank of Nova Scotia | 2.050% | 6/5/19 | 14,400 | 14,388 |
| Bank of Nova Scotia | 2.350% | 10/21/20 | 10,600 | 10,620 |
| Bank of Nova Scotia | 4.375% | 1/13/21 | 4,800 | 5,252 |
| Barclays Bank plc | 2.500% | 2/20/19 | 6,400 | 6,410 |
| Barclays Bank plc | 6.750% | 5/22/19 | 7,604 | 8,715 |
| Barclays Bank plc | 5.125% | 1/8/20 | 7,365 | 8,048 |
| Barclays Bank plc | 5.140% | 10/14/20 | 9,600 | 10,322 |
| Barclays plc | 2.000% | 3/16/18 | 8,000 | 7,868 |
| Barclays plc | 2.750% | 11/8/19 | 9,775 | 9,598 |
| Barclays plc | 2.875% | 6/8/20 | 8,500 | 8,139 |
| Barclays plc | 3.250% | 1/12/21 | 14,000 | 13,567 |
| BB&T Corp. | 2.150% | 3/22/17 | 4,675 | 4,710 |
| BB&T Corp. | 4.900% | 6/30/17 | 2,575 | 2,671 |
| BB&T Corp. | 1.600% | 8/15/17 | 11,705 | 11,703 |
| BB&T Corp. | 1.450% | 1/12/18 | 3,870 | 3,853 |
| BB&T Corp. | 2.050% | 6/19/18 | 6,909 | 6,951 |
| BB&T Corp. | 2.250% | 2/1/19 | 2,450 | 2,479 |
| BB&T Corp. | 6.850% | 4/30/19 | 3,150 | 3,603 |
| BB&T Corp. | 5.250% | 11/1/19 | 4,722 | 5,160 |
| BB&T Corp. | 2.450% | 1/15/20 | 11,450 | 11,543 |
| Bear Stearns Cos. LLC | 6.400% | 10/2/17 | 18,720 | 19,998 |
| Bear Stearns Cos. LLC | 7.250% | 2/1/18 | 25,550 | 28,001 |
| Bear Stearns Cos. LLC | 4.650% | 7/2/18 | 3,000 | 3,172 |
| BNP Paribas SA | 2.375% | 9/14/17 | 20,553 | 20,734 |
| BNP Paribas SA | 2.700% | 8/20/18 | 5,796 | 5,886 |
| BNP Paribas SA | 2.400% | 12/12/18 | 17,803 | 17,913 |
| BNP Paribas SA | 2.450% | 3/17/19 | 3,040 | 3,062 |
| BNP Paribas SA | 2.375% | 5/21/20 | 13,550 | 13,367 |
| BNP Paribas SA | 5.000% | 1/15/21 | 20,005 | 22,239 |
| BPCE SA | 1.613% | 7/25/17 | 7,100 | 7,097 |
| BPCE SA | 2.500% | 12/10/18 | 9,400 | 9,491 |
| BPCE SA | 2.500% | 7/15/19 | 8,625 | 8,679 |
| BPCE SA | 2.250% | 1/27/20 | 9,325 | 9,244 |
| BPCE SA | 2.650% | 2/3/21 | 5,470 | 5,469 |
| Branch Banking & Trust Co. | 1.000% | 4/3/17 | 4,229 | 4,209 |
| Branch Banking & Trust Co. | 1.350% | 10/1/17 | 5,120 | 5,102 |
| Branch Banking & Trust Co. | 2.300% | 10/15/18 | 9,825 | 9,937 |
2
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Canadian Imperial Bank of Commerce | 1.550% | 1/23/18 | 9,525 | 9,509 |
| Capital One Bank USA NA | 1.300% | 6/5/17 | 2,550 | 2,537 |
| Capital One Bank USA NA | 2.150% | 11/21/18 | 3,700 | 3,658 |
| Capital One Bank USA NA | 2.250% | 2/13/19 | 14,300 | 14,193 |
| Capital One Bank USA NA | 2.300% | 6/5/19 | 5,750 | 5,724 |
| Capital One Bank USA NA | 8.800% | 7/15/19 | 1,777 | 2,086 |
| Capital One Financial Corp. | 6.750% | 9/15/17 | 5,320 | 5,676 |
| Capital One Financial Corp. | 2.450% | 4/24/19 | 7,600 | 7,599 |
| Capital One NA | 1.500% | 9/5/17 | 1,800 | 1,785 |
| Capital One NA | 1.650% | 2/5/18 | 12,850 | 12,672 |
| Capital One NA | 1.500% | 3/22/18 | 3,806 | 3,738 |
| Capital One NA | 2.350% | 8/17/18 | 5,000 | 4,977 |
| Capital One NA | 2.400% | 9/5/19 | 8,100 | 7,994 |
| Citigroup Inc. | 1.350% | 3/10/17 | 8,283 | 8,268 |
| Citigroup Inc. | 1.550% | 8/14/17 | 7,541 | 7,502 |
| Citigroup Inc. | 6.000% | 8/15/17 | 5,665 | 5,995 |
| Citigroup Inc. | 6.125% | 11/21/17 | 11,377 | 12,141 |
| Citigroup Inc. | 1.850% | 11/24/17 | 13,350 | 13,307 |
| Citigroup Inc. | 1.800% | 2/5/18 | 20,350 | 20,216 |
| Citigroup Inc. | 1.700% | 4/27/18 | 25,400 | 25,123 |
| Citigroup Inc. | 1.750% | 5/1/18 | 15,015 | 14,870 |
| Citigroup Inc. | 6.125% | 5/15/18 | 7,339 | 7,923 |
| Citigroup Inc. | 2.150% | 7/30/18 | 6,135 | 6,112 |
| Citigroup Inc. | 2.500% | 9/26/18 | 13,081 | 13,168 |
| Citigroup Inc. | 2.050% | 12/7/18 | 15,000 | 14,888 |
| Citigroup Inc. | 2.550% | 4/8/19 | 21,590 | 21,650 |
| Citigroup Inc. | 8.500% | 5/22/19 | 2,000 | 2,368 |
| Citigroup Inc. | 2.500% | 7/29/19 | 18,375 | 18,419 |
| Citigroup Inc. | 2.400% | 2/18/20 | 13,220 | 13,077 |
| Citigroup Inc. | 5.375% | 8/9/20 | 4,574 | 5,120 |
| Citigroup Inc. | 2.650% | 10/26/20 | 20,200 | 20,129 |
| Citizens Bank NA | 1.600% | 12/4/17 | 3,575 | 3,533 |
| Citizens Bank NA | 2.300% | 12/3/18 | 5,000 | 5,000 |
| Citizens Bank NA | 2.450% | 12/4/19 | 3,800 | 3,772 |
| City National Corp. | 5.250% | 9/15/20 | 2,050 | 2,288 |
| Comerica Bank | 5.200% | 8/22/17 | 2,655 | 2,765 |
| Comerica Inc. | 2.125% | 5/23/19 | 6,700 | 6,585 |
| Commonwealth Bank of Australia | 1.125% | 3/13/17 | 5,350 | 5,341 |
| Commonwealth Bank of Australia | 1.400% | 9/8/17 | 7,425 | 7,421 |
| Commonwealth Bank of Australia | 1.900% | 9/18/17 | 13,085 | 13,171 |
| Commonwealth Bank of Australia | 1.625% | 3/12/18 | 13,300 | 13,259 |
| Commonwealth Bank of Australia | 2.500% | 9/20/18 | 13,603 | 13,809 |
| Commonwealth Bank of Australia | 1.750% | 11/2/18 | 7,425 | 7,379 |
| Commonwealth Bank of Australia | 2.250% | 3/13/19 | 15,200 | 15,309 |
| Commonwealth Bank of Australia | 2.300% | 9/6/19 | 7,100 | 7,146 |
| Commonwealth Bank of Australia | 2.400% | 11/2/20 | 7,325 | 7,301 |
| Compass Bank | 1.850% | 9/29/17 | 2,300 | 2,269 |
| Compass Bank | 6.400% | 10/1/17 | 1,730 | 1,822 |
| Compass Bank | 2.750% | 9/29/19 | 2,885 | 2,831 |
| Cooperatieve Rabobank UA | 1.700% | 3/19/18 | 17,650 | 17,654 |
| Cooperatieve Rabobank UA | 2.250% | 1/14/19 | 12,525 | 12,613 |
| Cooperatieve Rabobank UA | 2.250% | 1/14/20 | 10,000 | 10,020 |
| Cooperatieve Rabobank UA | 4.500% | 1/11/21 | 11,036 | 12,063 |
| Cooperatieve Rabobank UA | 2.500% | 1/19/21 | 12,000 | 12,019 |
| Corpbanca SA | 3.125% | 1/15/18 | 6,600 | 6,610 |
| 1 Corpbanca SA | 3.875% | 9/22/19 | 2,000 | 2,009 |
| Credit Suisse | 1.375% | 5/26/17 | 25,080 | 24,893 |
| Credit Suisse | 1.750% | 1/29/18 | 15,850 | 15,749 |
| Credit Suisse | 6.000% | 2/15/18 | 11,175 | 11,785 |
| Credit Suisse | 1.700% | 4/27/18 | 15,325 | 15,158 |
| Credit Suisse | 2.300% | 5/28/19 | 21,900 | 21,720 |
| Credit Suisse | 5.300% | 8/13/19 | 9,328 | 10,151 |
| Credit Suisse | 5.400% | 1/14/20 | 10,850 | 11,452 |
| Credit Suisse | 4.375% | 8/5/20 | 1,000 | 1,061 |
3
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Credit Suisse Group Funding Guernsey Ltd. | 2.750% | 3/26/20 | 15,800 | 15,278 |
| 1 Credit Suisse Group Funding Guernsey Ltd. | 3.125% | 12/10/20 | 15,750 | 15,448 |
| Deutsche Bank AG | 1.350% | 5/30/17 | 14,592 | 14,381 |
| Deutsche Bank AG | 6.000% | 9/1/17 | 22,665 | 23,621 |
| Deutsche Bank AG | 1.875% | 2/13/18 | 11,049 | 10,767 |
| Deutsche Bank AG | 2.500% | 2/13/19 | 20,675 | 20,222 |
| Deutsche Bank AG | 2.950% | 8/20/20 | 1,000 | 973 |
| Deutsche Bank AG | 3.125% | 1/13/21 | 10,575 | 10,286 |
| Discover Bank | 2.000% | 2/21/18 | 6,583 | 6,496 |
| Discover Bank | 2.600% | 11/13/18 | 7,000 | 6,969 |
| Discover Bank | 7.000% | 4/15/20 | 3,900 | 4,427 |
| Discover Bank | 3.100% | 6/4/20 | 9,000 | 8,971 |
| Discover Financial Services | 6.450% | 6/12/17 | 2,675 | 2,808 |
| Fifth Third Bancorp | 4.500% | 6/1/18 | 1,875 | 1,974 |
| Fifth Third Bancorp | 2.300% | 3/1/19 | 6,300 | 6,308 |
| Fifth Third Bancorp | 2.875% | 7/27/20 | 12,000 | 12,081 |
| Fifth Third Bank | 1.350% | 6/1/17 | 6,485 | 6,460 |
| Fifth Third Bank | 1.450% | 2/28/18 | 2,800 | 2,774 |
| Fifth Third Bank | 2.150% | 8/20/18 | 6,225 | 6,250 |
| Fifth Third Bank | 2.375% | 4/25/19 | 7,350 | 7,379 |
| First Horizon National Corp. | 3.500% | 12/15/20 | 6,750 | 6,696 |
| First Niagara Financial Group Inc. | 6.750% | 3/19/20 | 3,100 | 3,498 |
| First Republic Bank | 2.375% | 6/17/19 | 4,220 | 4,221 |
| Goldman Sachs Group Inc. | 6.250% | 9/1/17 | 17,538 | 18,603 |
| Goldman Sachs Group Inc. | 5.950% | 1/18/18 | 26,917 | 28,678 |
| Goldman Sachs Group Inc. | 2.375% | 1/22/18 | 21,182 | 21,312 |
| Goldman Sachs Group Inc. | 6.150% | 4/1/18 | 33,225 | 35,818 |
| Goldman Sachs Group Inc. | 2.900% | 7/19/18 | 22,090 | 22,399 |
| Goldman Sachs Group Inc. | 2.625% | 1/31/19 | 18,722 | 18,867 |
| Goldman Sachs Group Inc. | 7.500% | 2/15/19 | 21,272 | 24,222 |
| Goldman Sachs Group Inc. | 2.550% | 10/23/19 | 18,564 | 18,579 |
| Goldman Sachs Group Inc. | 5.375% | 3/15/20 | 20,979 | 22,983 |
| Goldman Sachs Group Inc. | 2.600% | 4/23/20 | 19,200 | 19,117 |
| Goldman Sachs Group Inc. | 6.000% | 6/15/20 | 13,495 | 15,174 |
| Goldman Sachs Group Inc. | 2.750% | 9/15/20 | 15,975 | 15,941 |
| Goldman Sachs Group Inc. | 2.875% | 2/25/21 | 8,000 | 8,020 |
| HSBC Bank USA NA | 6.000% | 8/9/17 | 4,050 | 4,272 |
| HSBC Bank USA NA | 4.875% | 8/24/20 | 11,680 | 12,414 |
| HSBC USA Inc. | 1.500% | 11/13/17 | 4,775 | 4,745 |
| HSBC USA Inc. | 1.625% | 1/16/18 | 11,800 | 11,749 |
| HSBC USA Inc. | 1.700% | 3/5/18 | 10,250 | 10,162 |
| HSBC USA Inc. | 2.000% | 8/7/18 | 5,100 | 5,069 |
| HSBC USA Inc. | 2.625% | 9/24/18 | 5,484 | 5,512 |
| HSBC USA Inc. | 2.250% | 6/23/19 | 6,900 | 6,857 |
| HSBC USA Inc. | 2.375% | 11/13/19 | 11,925 | 11,824 |
| HSBC USA Inc. | 2.350% | 3/5/20 | 16,950 | 16,568 |
| HSBC USA Inc. | 2.750% | 8/7/20 | 6,000 | 5,945 |
| HSBC USA Inc. | 5.000% | 9/27/20 | 5,500 | 5,874 |
| Huntington Bancshares Inc. | 2.600% | 8/2/18 | 2,625 | 2,643 |
| Huntington Bancshares Inc. | 7.000% | 12/15/20 | 2,575 | 3,038 |
| Huntington National Bank | 1.375% | 4/24/17 | 1,500 | 1,493 |
| Huntington National Bank | 2.000% | 6/30/18 | 5,000 | 4,967 |
| Huntington National Bank | 2.200% | 11/6/18 | 6,000 | 5,972 |
| Huntington National Bank | 2.200% | 4/1/19 | 6,050 | 5,999 |
| Huntington National Bank | 2.400% | 4/1/20 | 9,825 | 9,757 |
| Huntington National Bank | 2.875% | 8/20/20 | 3,000 | 3,018 |
| Intesa Sanpaolo SPA | 3.875% | 1/16/18 | 8,800 | 8,948 |
| Intesa Sanpaolo SPA | 3.875% | 1/15/19 | 15,057 | 15,331 |
| JPMorgan Chase & Co. | 6.125% | 6/27/17 | 3,783 | 3,991 |
| JPMorgan Chase & Co. | 2.000% | 8/15/17 | 18,119 | 18,207 |
| JPMorgan Chase & Co. | 6.000% | 1/15/18 | 41,174 | 44,175 |
| JPMorgan Chase & Co. | 1.800% | 1/25/18 | 9,875 | 9,855 |
| JPMorgan Chase & Co. | 1.700% | 3/1/18 | 19,325 | 19,261 |
| JPMorgan Chase & Co. | 1.625% | 5/15/18 | 16,375 | 16,281 |
4
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| JPMorgan Chase & Co. | 2.350% | 1/28/19 | 8,850 | 8,938 |
| JPMorgan Chase & Co. | 6.300% | 4/23/19 | 17,000 | 19,077 |
| JPMorgan Chase & Co. | 2.200% | 10/22/19 | 12,353 | 12,325 |
| JPMorgan Chase & Co. | 2.250% | 1/23/20 | 33,000 | 32,926 |
| JPMorgan Chase & Co. | 4.950% | 3/25/20 | 6,404 | 6,978 |
| JPMorgan Chase & Co. | 2.750% | 6/23/20 | 25,890 | 26,173 |
| JPMorgan Chase & Co. | 4.400% | 7/22/20 | 19,325 | 20,732 |
| JPMorgan Chase & Co. | 4.250% | 10/15/20 | 23,450 | 25,048 |
| JPMorgan Chase & Co. | 2.550% | 10/29/20 | 19,950 | 19,941 |
| JPMorgan Chase & Co. | 2.550% | 3/1/21 | 3,000 | 2,989 |
| JPMorgan Chase Bank NA | 6.000% | 7/5/17 | 3,200 | 3,395 |
| JPMorgan Chase Bank NA | 6.000% | 10/1/17 | 22,735 | 24,088 |
| KeyBank NA | 1.650% | 2/1/18 | 11,150 | 11,114 |
| KeyBank NA | 1.700% | 6/1/18 | 7,300 | 7,274 |
| KeyBank NA | 2.500% | 12/15/19 | 2,950 | 2,977 |
| KeyBank NA | 2.250% | 3/16/20 | 7,350 | 7,299 |
| KeyCorp | 2.300% | 12/13/18 | 8,225 | 8,225 |
| KeyCorp | 2.900% | 9/15/20 | 6,000 | 5,992 |
| Lloyds Bank plc | 4.200% | 3/28/17 | 2,450 | 2,519 |
| Lloyds Bank plc | 1.750% | 3/16/18 | 9,975 | 9,930 |
| Lloyds Bank plc | 1.750% | 5/14/18 | 6,075 | 6,039 |
| Lloyds Bank plc | 2.300% | 11/27/18 | 7,600 | 7,626 |
| Lloyds Bank plc | 2.350% | 9/5/19 | 12,675 | 12,715 |
| Lloyds Bank plc | 2.400% | 3/17/20 | 6,275 | 6,259 |
| Lloyds Bank plc | 2.700% | 8/17/20 | 12,000 | 12,032 |
| Lloyds Bank plc | 6.375% | 1/21/21 | 13,190 | 15,442 |
| Manufacturers & Traders Trust Co. | 1.400% | 7/25/17 | 6,500 | 6,478 |
| Manufacturers & Traders Trust Co. | 6.625% | 12/4/17 | 4,165 | 4,496 |
| Manufacturers & Traders Trust Co. | 1.450% | 3/7/18 | 2,150 | 2,128 |
| Manufacturers & Traders Trust Co. | 2.300% | 1/30/19 | 10,750 | 10,793 |
| Manufacturers & Traders Trust Co. | 2.250% | 7/25/19 | 7,400 | 7,425 |
| Manufacturers & Traders Trust Co. | 2.100% | 2/6/20 | 5,175 | 5,096 |
| Mitsubishi UFJ Financial Group Inc. | 2.950% | 3/1/21 | 3,000 | 3,026 |
| Morgan Stanley | 4.750% | 3/22/17 | 12,867 | 13,288 |
| Morgan Stanley | 5.550% | 4/27/17 | 11,945 | 12,461 |
| Morgan Stanley | 6.250% | 8/28/17 | 8,775 | 9,320 |
| Morgan Stanley | 5.950% | 12/28/17 | 15,775 | 16,841 |
| Morgan Stanley | 1.875% | 1/5/18 | 13,861 | 13,827 |
| Morgan Stanley | 6.625% | 4/1/18 | 26,100 | 28,393 |
| Morgan Stanley | 2.125% | 4/25/18 | 17,025 | 17,012 |
| Morgan Stanley | 2.200% | 12/7/18 | 2,000 | 1,998 |
| Morgan Stanley | 2.500% | 1/24/19 | 9,250 | 9,300 |
| Morgan Stanley | 2.450% | 2/1/19 | 30,000 | 30,129 |
| Morgan Stanley | 7.300% | 5/13/19 | 20,197 | 23,091 |
| Morgan Stanley | 2.375% | 7/23/19 | 24,150 | 24,102 |
| Morgan Stanley | 5.625% | 9/23/19 | 29,237 | 32,091 |
| Morgan Stanley | 5.500% | 1/26/20 | 13,925 | 15,298 |
| Morgan Stanley | 2.650% | 1/27/20 | 22,250 | 22,241 |
| Morgan Stanley | 2.800% | 6/16/20 | 17,000 | 17,088 |
| Morgan Stanley | 5.500% | 7/24/20 | 14,336 | 15,874 |
| Morgan Stanley | 5.750% | 1/25/21 | 10,806 | 12,133 |
| MUFG Americas Holdings Corp. | 1.625% | 2/9/18 | 3,375 | 3,347 |
| MUFG Americas Holdings Corp. | 2.250% | 2/10/20 | 8,675 | 8,562 |
| MUFG Union Bank NA | 2.125% | 6/16/17 | 5,925 | 5,953 |
| MUFG Union Bank NA | 2.625% | 9/26/18 | 13,850 | 13,968 |
| MUFG Union Bank NA | 2.250% | 5/6/19 | 2,700 | 2,699 |
| Murray Street Investment Trust I | 4.647% | 3/9/17 | 13,198 | 13,563 |
| National Australia Bank Ltd. | 2.750% | 3/9/17 | 8,350 | 8,464 |
| National Australia Bank Ltd. | 2.300% | 7/25/18 | 5,675 | 5,735 |
| National Australia Bank Ltd. | 2.000% | 1/14/19 | 2,600 | 2,610 |
| National Australia Bank Ltd. | 2.625% | 7/23/20 | 13,725 | 13,930 |
| National Australia Bank Ltd. | 2.625% | 1/14/21 | 8,030 | 8,121 |
| National Bank of Canada | 1.450% | 11/7/17 | 7,750 | 7,726 |
| National Bank of Canada | 2.100% | 12/14/18 | 4,000 | 4,011 |
5
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| National City Bank | 5.800% | 6/7/17 | 1,735 | 1,817 |
| National City Corp. | 6.875% | 5/15/19 | 9,600 | 10,663 |
| Northern Trust Co. | 6.500% | 8/15/18 | 500 | 556 |
| Northern Trust Corp. | 3.450% | 11/4/20 | 5,675 | 6,006 |
| PNC Bank NA | 4.875% | 9/21/17 | 2,225 | 2,315 |
| PNC Bank NA | 1.500% | 10/18/17 | 6,575 | 6,565 |
| PNC Bank NA | 6.000% | 12/7/17 | 3,440 | 3,666 |
| PNC Bank NA | 1.500% | 2/23/18 | 14,710 | 14,684 |
| PNC Bank NA | 6.875% | 4/1/18 | 1,365 | 1,499 |
| PNC Bank NA | 1.600% | 6/1/18 | 8,600 | 8,549 |
| PNC Bank NA | 1.850% | 7/20/18 | 3,300 | 3,298 |
| PNC Bank NA | 1.800% | 11/5/18 | 4,300 | 4,291 |
| PNC Bank NA | 2.200% | 1/28/19 | 7,192 | 7,225 |
| PNC Bank NA | 2.250% | 7/2/19 | 5,825 | 5,871 |
| PNC Bank NA | 2.400% | 10/18/19 | 17,125 | 17,324 |
| PNC Bank NA | 2.300% | 6/1/20 | 1,620 | 1,621 |
| PNC Bank NA | 2.600% | 7/21/20 | 2,230 | 2,260 |
| PNC Bank NA | 2.450% | 11/5/20 | 7,500 | 7,546 |
| PNC Funding Corp. | 6.700% | 6/10/19 | 4,125 | 4,700 |
| PNC Funding Corp. | 5.125% | 2/8/20 | 12,975 | 14,324 |
| PNC Funding Corp. | 4.375% | 8/11/20 | 4,165 | 4,507 |
| Regions Bank | 7.500% | 5/15/18 | 3,677 | 4,054 |
| Regions Bank | 2.250% | 9/14/18 | 5,000 | 4,973 |
| Regions Financial Corp. | 2.000% | 5/15/18 | 5,275 | 5,228 |
| Royal Bank of Canada | 1.000% | 4/27/17 | 4,555 | 4,566 |
| Royal Bank of Canada | 1.250% | 6/16/17 | 6,750 | 6,744 |
| Royal Bank of Canada | 1.400% | 10/13/17 | 11,650 | 11,641 |
| Royal Bank of Canada | 1.500% | 1/16/18 | 12,375 | 12,366 |
| Royal Bank of Canada | 2.200% | 7/27/18 | 13,213 | 13,343 |
| Royal Bank of Canada | 1.800% | 7/30/18 | 7,450 | 7,461 |
| Royal Bank of Canada | 2.000% | 12/10/18 | 7,775 | 7,798 |
| Royal Bank of Canada | 2.150% | 3/15/19 | 4,758 | 4,802 |
| Royal Bank of Canada | 2.150% | 3/6/20 | 5,000 | 5,018 |
| Royal Bank of Canada | 2.350% | 10/30/20 | 11,000 | 11,021 |
| Royal Bank of Canada | 2.500% | 1/19/21 | 12,500 | 12,669 |
| Royal Bank of Scotland Group plc | 1.875% | 3/31/17 | 6,488 | 6,468 |
| Royal Bank of Scotland Group plc | 6.400% | 10/21/19 | 13,936 | 15,127 |
| Royal Bank of Scotland plc | 5.625% | 8/24/20 | 1,000 | 1,108 |
| Santander Bank NA | 2.000% | 1/12/18 | 5,175 | 5,103 |
| Santander Bank NA | 8.750% | 5/30/18 | 2,539 | 2,862 |
| Santander Holdings USA Inc. | 3.450% | 8/27/18 | 7,800 | 7,885 |
| Santander Holdings USA Inc. | 2.650% | 4/17/20 | 5,125 | 4,946 |
| Santander UK Group Holdings plc | 2.875% | 10/16/20 | 7,600 | 7,461 |
| Santander UK Group Holdings plc | 3.125% | 1/8/21 | 8,300 | 8,233 |
| Societe Generale SA | 2.750% | 10/12/17 | 11,750 | 11,907 |
| Societe Generale SA | 2.625% | 10/1/18 | 2,950 | 3,012 |
| State Street Bank & Trust Co. | 5.250% | 10/15/18 | 225 | 245 |
| State Street Corp. | 5.375% | 4/30/17 | 300 | 313 |
| State Street Corp. | 4.956% | 3/15/18 | 4,800 | 5,033 |
| State Street Corp. | 1.350% | 5/15/18 | 5,950 | 5,913 |
| State Street Corp. | 2.550% | 8/18/20 | 11,800 | 12,045 |
| Sumitomo Mitsui Banking Corp. | 1.300% | 1/10/17 | 5,450 | 5,446 |
| Sumitomo Mitsui Banking Corp. | 1.350% | 7/11/17 | 4,500 | 4,480 |
| Sumitomo Mitsui Banking Corp. | 1.800% | 7/18/17 | 7,275 | 7,288 |
| Sumitomo Mitsui Banking Corp. | 1.750% | 1/16/18 | 100 | 100 |
| Sumitomo Mitsui Banking Corp. | 1.500% | 1/18/18 | 4,400 | 4,361 |
| Sumitomo Mitsui Banking Corp. | 2.500% | 7/19/18 | 2,225 | 2,246 |
| Sumitomo Mitsui Banking Corp. | 1.950% | 7/23/18 | 9,525 | 9,521 |
| Sumitomo Mitsui Banking Corp. | 2.450% | 1/10/19 | 8,400 | 8,468 |
| Sumitomo Mitsui Banking Corp. | 2.250% | 7/11/19 | 11,891 | 11,877 |
| Sumitomo Mitsui Banking Corp. | 2.450% | 1/16/20 | 18,700 | 18,700 |
| Sumitomo Mitsui Banking Corp. | 2.650% | 7/23/20 | 7,040 | 7,111 |
| Sumitomo Mitsui Banking Corp. | 2.450% | 10/20/20 | 3,000 | 2,995 |
| SunTrust Bank | 7.250% | 3/15/18 | 4,175 | 4,606 |
6
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| SunTrust Banks Inc. | 6.000% | 9/11/17 | 2,100 | 2,231 |
| SunTrust Banks Inc. | 2.350% | 11/1/18 | 7,883 | 7,895 |
| SunTrust Banks Inc. | 2.500% | 5/1/19 | 4,400 | 4,422 |
| SunTrust Banks Inc. | 2.900% | 3/3/21 | 3,850 | 3,842 |
| Svenska Handelsbanken AB | 2.875% | 4/4/17 | 15,575 | 15,835 |
| Svenska Handelsbanken AB | 1.625% | 3/21/18 | 8,250 | 8,226 |
| Svenska Handelsbanken AB | 2.500% | 1/25/19 | 7,875 | 7,995 |
| Svenska Handelsbanken AB | 2.250% | 6/17/19 | 5,775 | 5,825 |
| Svenska Handelsbanken AB | 2.400% | 10/1/20 | 5,275 | 5,294 |
| Synchrony Financial | 1.875% | 8/15/17 | 4,562 | 4,507 |
| Synchrony Financial | 3.000% | 8/15/19 | 12,775 | 12,777 |
| Synchrony Financial | 2.700% | 2/3/20 | 5,150 | 5,046 |
| Toronto-Dominion Bank | 1.125% | 5/2/17 | 11,950 | 11,940 |
| Toronto-Dominion Bank | 1.625% | 3/13/18 | 2,815 | 2,820 |
| Toronto-Dominion Bank | 1.400% | 4/30/18 | 17,845 | 17,758 |
| Toronto-Dominion Bank | 1.750% | 7/23/18 | 4,700 | 4,709 |
| Toronto-Dominion Bank | 2.625% | 9/10/18 | 12,625 | 12,893 |
| Toronto-Dominion Bank | 2.125% | 7/2/19 | 17,450 | 17,618 |
| Toronto-Dominion Bank | 2.250% | 11/5/19 | 12,750 | 12,896 |
| Toronto-Dominion Bank | 2.500% | 12/14/20 | 10,500 | 10,630 |
| UBS AG | 1.375% | 6/1/17 | 9,300 | 9,275 |
| UBS AG | 1.375% | 8/14/17 | 13,845 | 13,790 |
| UBS AG | 5.875% | 12/20/17 | 1,675 | 1,795 |
| UBS AG | 1.800% | 3/26/18 | 24,800 | 24,799 |
| UBS AG | 5.750% | 4/25/18 | 2,294 | 2,488 |
| UBS AG | 2.375% | 8/14/19 | 24,120 | 24,183 |
| UBS AG | 2.350% | 3/26/20 | 9,350 | 9,339 |
| UBS AG | 4.875% | 8/4/20 | 7,027 | 7,808 |
| US Bancorp | 1.650% | 5/15/17 | 9,418 | 9,470 |
| US Bancorp | 1.950% | 11/15/18 | 7,750 | 7,831 |
| US Bancorp | 2.200% | 4/25/19 | 7,800 | 7,922 |
| US Bancorp | 2.350% | 1/29/21 | 7,500 | 7,552 |
| US Bank NA | 1.375% | 9/11/17 | 8,475 | 8,468 |
| US Bank NA | 1.350% | 1/26/18 | 6,000 | 5,990 |
| US Bank NA | 1.450% | 1/29/18 | 9,000 | 9,010 |
| US Bank NA | 2.125% | 10/28/19 | 15,473 | 15,636 |
| Wachovia Corp. | 5.750% | 6/15/17 | 15,900 | 16,753 |
| Wachovia Corp. | 5.750% | 2/1/18 | 22,200 | 23,848 |
| Wells Fargo & Co. | 2.100% | 5/8/17 | 16,200 | 16,359 |
| Wells Fargo & Co. | 1.150% | 6/2/17 | 7,136 | 7,122 |
| Wells Fargo & Co. | 1.400% | 9/8/17 | 10,400 | 10,383 |
| Wells Fargo & Co. | 5.625% | 12/11/17 | 19,326 | 20,658 |
| Wells Fargo & Co. | 1.500% | 1/16/18 | 13,875 | 13,852 |
| Wells Fargo & Co. | 2.150% | 1/15/19 | 13,640 | 13,736 |
| Wells Fargo & Co. | 2.125% | 4/22/19 | 10,550 | 10,610 |
| Wells Fargo & Co. | 2.150% | 1/30/20 | 10,875 | 10,838 |
| Wells Fargo & Co. | 2.600% | 7/22/20 | 31,278 | 31,640 |
| Wells Fargo & Co. | 2.550% | 12/7/20 | 15,850 | 15,927 |
| Wells Fargo & Co. | 3.000% | 1/22/21 | 7,675 | 7,886 |
| Wells Fargo Bank NA | 6.000% | 11/15/17 | 9,790 | 10,537 |
| Wells Fargo Bank NA | 1.650% | 1/22/18 | 7,750 | 7,774 |
| Westpac Banking Corp. | 1.200% | 5/19/17 | 10,900 | 10,882 |
| Westpac Banking Corp. | 2.000% | 8/14/17 | 9,164 | 9,253 |
| Westpac Banking Corp. | 1.500% | 12/1/17 | 7,125 | 7,129 |
| Westpac Banking Corp. | 1.600% | 1/12/18 | 8,260 | 8,269 |
| Westpac Banking Corp. | 1.550% | 5/25/18 | 1,500 | 1,494 |
| Westpac Banking Corp. | 2.250% | 7/30/18 | 10,400 | 10,507 |
| Westpac Banking Corp. | 1.950% | 11/23/18 | 8,400 | 8,380 |
| Westpac Banking Corp. | 2.250% | 1/17/19 | 12,775 | 12,879 |
| Westpac Banking Corp. | 4.875% | 11/19/19 | 15,263 | 16,644 |
| Westpac Banking Corp. | 2.300% | 5/26/20 | 12,500 | 12,603 |
| Westpac Banking Corp. | 2.600% | 11/23/20 | 13,150 | 13,293 |
7
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Brokerage (0.9%) | ||||
| Ameriprise Financial Inc. | 7.300% | 6/28/19 | 1,925 | 2,237 |
| Ameriprise Financial Inc. | 5.300% | 3/15/20 | 6,325 | 7,044 |
| BGC Partners Inc. | 5.375% | 12/9/19 | 2,050 | 2,111 |
| BlackRock Inc. | 6.250% | 9/15/17 | 5,300 | 5,710 |
| BlackRock Inc. | 5.000% | 12/10/19 | 10,100 | 11,239 |
| Charles Schwab Corp. | 1.500% | 3/10/18 | 6,200 | 6,207 |
| Charles Schwab Corp. | 2.200% | 7/25/18 | 2,175 | 2,199 |
| Charles Schwab Corp. | 4.450% | 7/22/20 | 5,048 | 5,540 |
| Eaton Vance Corp. | 6.500% | 10/2/17 | 409 | 434 |
| Franklin Resources Inc. | 1.375% | 9/15/17 | 2,125 | 2,126 |
| Franklin Resources Inc. | 4.625% | 5/20/20 | 2,450 | 2,685 |
| Intercontinental Exchange Inc. | 2.500% | 10/15/18 | 4,525 | 4,582 |
| Intercontinental Exchange Inc. | 2.750% | 12/1/20 | 7,375 | 7,520 |
| Jefferies Group LLC | 5.125% | 4/13/18 | 5,492 | 5,666 |
| Jefferies Group LLC | 8.500% | 7/15/19 | 5,805 | 6,552 |
| Lazard Group LLC | 6.850% | 6/15/17 | 651 | 689 |
| Lazard Group LLC | 4.250% | 11/14/20 | 3,750 | 3,849 |
| Legg Mason Inc. | 2.700% | 7/15/19 | 3,495 | 3,542 |
| Nasdaq Inc. | 5.250% | 1/16/18 | 500 | 526 |
| Nasdaq Inc. | 5.550% | 1/15/20 | 6,727 | 7,372 |
| Nomura Holdings Inc. | 2.750% | 3/19/19 | 8,385 | 8,430 |
| Nomura Holdings Inc. | 6.700% | 3/4/20 | 10,850 | 12,408 |
| NYSE Euronext | 2.000% | 10/5/17 | 8,650 | 8,716 |
| Raymond James Financial Inc. | 8.600% | 8/15/19 | 2,050 | 2,449 |
| Stifel Financial Corp. | 3.500% | 12/1/20 | 2,250 | 2,229 |
| TD Ameritrade Holding Corp. | 5.600% | 12/1/19 | 3,425 | 3,863 |
| Finance Companies (1.1%) | ||||
| Air Lease Corp. | 5.625% | 4/1/17 | 8,494 | 8,696 |
| Air Lease Corp. | 2.125% | 1/15/18 | 4,050 | 3,939 |
| Air Lease Corp. | 2.625% | 9/4/18 | 4,600 | 4,462 |
| Air Lease Corp. | 3.375% | 1/15/19 | 4,498 | 4,408 |
| Air Lease Corp. | 4.750% | 3/1/20 | 3,025 | 3,078 |
| Ares Capital Corp. | 4.875% | 11/30/18 | 5,325 | 5,384 |
| Ares Capital Corp. | 3.875% | 1/15/20 | 4,575 | 4,615 |
| FS Investment Corp. | 4.000% | 7/15/19 | 4,000 | 3,981 |
| FS Investment Corp. | 4.250% | 1/15/20 | 1,325 | 1,318 |
| GATX Corp. | 1.250% | 3/4/17 | 2,900 | 2,867 |
| GATX Corp. | 2.375% | 7/30/18 | 1,975 | 1,968 |
| GATX Corp. | 2.500% | 7/30/19 | 1,575 | 1,576 |
| GATX Corp. | 2.600% | 3/30/20 | 2,825 | 2,723 |
| 1 GE Capital International Funding Co. | 0.964% | 4/15/16 | 3,321 | 3,322 |
| 1 GE Capital International Funding Co. | 2.342% | 11/15/20 | 61,374 | 61,950 |
| HSBC Finance Corp. | 6.676% | 1/15/21 | 22,774 | 25,358 |
| 1 International Lease Finance Corp. | 7.125% | 9/1/18 | 9,075 | 9,869 |
| Prospect Capital Corp. | 5.000% | 7/15/19 | 2,225 | 2,031 |
| Insurance (3.6%) | ||||
| ACE INA Holdings Inc. | 5.800% | 3/15/18 | 7,500 | 8,153 |
| ACE INA Holdings Inc. | 5.900% | 6/15/19 | 3,625 | 4,096 |
| ACE INA Holdings Inc. | 2.300% | 11/3/20 | 9,856 | 9,895 |
| AEGON Funding Co. LLC | 5.750% | 12/15/20 | 3,025 | 3,483 |
| Aetna Inc. | 1.750% | 5/15/17 | 600 | 601 |
| Aetna Inc. | 1.500% | 11/15/17 | 3,860 | 3,851 |
| Aetna Inc. | 2.200% | 3/15/19 | 5,330 | 5,363 |
| Aetna Inc. | 3.950% | 9/1/20 | 3,260 | 3,444 |
| Aflac Inc. | 2.400% | 3/16/20 | 5,800 | 5,849 |
| Alleghany Corp. | 5.625% | 9/15/20 | 1,400 | 1,551 |
| Allied World Assurance Co. Ltd. | 5.500% | 11/15/20 | 1,875 | 2,069 |
| Allstate Corp. | 7.450% | 5/16/19 | 100 | 117 |
| 2 Allstate Corp. | 6.125% | 5/15/67 | 4,369 | 4,309 |
| Alterra Finance LLC | 6.250% | 9/30/20 | 2,365 | 2,692 |
| American Financial Group Inc. | 9.875% | 6/15/19 | 2,665 | 3,244 |
| American International Group Inc. | 5.850% | 1/16/18 | 8,874 | 9,465 |
8
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| American International Group Inc. | 2.300% | 7/16/19 | 8,665 | 8,599 |
| American International Group Inc. | 3.375% | 8/15/20 | 6,250 | 6,313 |
| American International Group Inc. | 6.400% | 12/15/20 | 5,325 | 6,080 |
| Anthem Inc. | 5.875% | 6/15/17 | 4,912 | 5,174 |
| Anthem Inc. | 1.875% | 1/15/18 | 5,325 | 5,317 |
| Anthem Inc. | 2.300% | 7/15/18 | 4,698 | 4,724 |
| Anthem Inc. | 7.000% | 2/15/19 | 625 | 703 |
| Anthem Inc. | 2.250% | 8/15/19 | 7,565 | 7,509 |
| Anthem Inc. | 4.350% | 8/15/20 | 5,305 | 5,704 |
| Aon Corp. | 5.000% | 9/30/20 | 4,550 | 5,032 |
| Aspen Insurance Holdings Ltd. | 6.000% | 12/15/20 | 1,725 | 1,911 |
| Assurant Inc. | 2.500% | 3/15/18 | 2,450 | 2,450 |
| Axis Specialty Finance LLC | 5.875% | 6/1/20 | 6,842 | 7,455 |
| AXIS Specialty Finance plc | 2.650% | 4/1/19 | 4,220 | 4,235 |
| Berkshire Hathaway Finance Corp. | 1.600% | 5/15/17 | 8,824 | 8,890 |
| Berkshire Hathaway Finance Corp. | 1.300% | 5/15/18 | 8,138 | 8,161 |
| Berkshire Hathaway Finance Corp. | 5.400% | 5/15/18 | 12,200 | 13,320 |
| Berkshire Hathaway Finance Corp. | 2.000% | 8/15/18 | 6,775 | 6,890 |
| Berkshire Hathaway Finance Corp. | 4.250% | 1/15/21 | 6,375 | 6,993 |
| Berkshire Hathaway Inc. | 1.550% | 2/9/18 | 5,075 | 5,104 |
| Berkshire Hathaway Inc. | 2.100% | 8/14/19 | 2,500 | 2,552 |
| Chubb Corp. | 5.750% | 5/15/18 | 4,305 | 4,688 |
| 2 Chubb Corp. | 6.375% | 3/29/67 | 7,455 | 6,001 |
| Cigna Corp. | 5.125% | 6/15/20 | 2,680 | 2,962 |
| Cigna Corp. | 4.375% | 12/15/20 | 1,000 | 1,080 |
| CNA Financial Corp. | 7.350% | 11/15/19 | 1,875 | 2,157 |
| CNA Financial Corp. | 5.875% | 8/15/20 | 4,402 | 4,852 |
| Coventry Health Care Inc. | 5.950% | 3/15/17 | 2,780 | 2,904 |
| Hartford Financial Services Group Inc. | 5.375% | 3/15/17 | 3,425 | 3,556 |
| Hartford Financial Services Group Inc. | 6.300% | 3/15/18 | 4,418 | 4,772 |
| Hartford Financial Services Group Inc. | 6.000% | 1/15/19 | 3,020 | 3,319 |
| Hartford Financial Services Group Inc. | 5.500% | 3/30/20 | 3,850 | 4,266 |
| Humana Inc. | 7.200% | 6/15/18 | 3,300 | 3,654 |
| Humana Inc. | 6.300% | 8/1/18 | 2,435 | 2,657 |
| Humana Inc. | 2.625% | 10/1/19 | 3,125 | 3,167 |
| Kemper Corp. | 6.000% | 5/15/17 | 3,440 | 3,569 |
| Lincoln National Corp. | 8.750% | 7/1/19 | 3,500 | 4,187 |
| Lincoln National Corp. | 6.250% | 2/15/20 | 3,425 | 3,828 |
| 2 Lincoln National Corp. | 6.050% | 4/20/67 | 4,000 | 2,600 |
| Manulife Financial Corp. | 4.900% | 9/17/20 | 4,000 | 4,439 |
| Markel Corp. | 7.125% | 9/30/19 | 3,367 | 3,881 |
| Marsh & McLennan Cos. Inc. | 2.300% | 4/1/17 | 1,450 | 1,461 |
| Marsh & McLennan Cos. Inc. | 2.550% | 10/15/18 | 1,650 | 1,688 |
| Marsh & McLennan Cos. Inc. | 2.350% | 9/10/19 | 2,610 | 2,636 |
| Marsh & McLennan Cos. Inc. | 2.350% | 3/6/20 | 4,800 | 4,807 |
| MetLife Inc. | 1.756% | 12/15/17 | 5,753 | 5,750 |
| MetLife Inc. | 1.903% | 12/15/17 | 6,150 | 6,151 |
| MetLife Inc. | 6.817% | 8/15/18 | 6,382 | 7,108 |
| MetLife Inc. | 7.717% | 2/15/19 | 6,570 | 7,605 |
| MetLife Inc. | 4.750% | 2/8/21 | 9,300 | 10,183 |
| PartnerRe Finance B LLC | 5.500% | 6/1/20 | 5,145 | 5,669 |
| Principal Financial Group Inc. | 1.850% | 11/15/17 | 1,935 | 1,938 |
| Principal Financial Group Inc. | 8.875% | 5/15/19 | 2,575 | 3,052 |
| 2 Principal Financial Group Inc. | 4.700% | 5/15/55 | 3,800 | 3,600 |
| 2 Progressive Corp. | 6.700% | 6/15/67 | 4,567 | 4,350 |
| Protective Life Corp. | 7.375% | 10/15/19 | 1,650 | 1,904 |
| Prudential Financial Inc. | 6.000% | 12/1/17 | 5,496 | 5,862 |
| Prudential Financial Inc. | 2.300% | 8/15/18 | 3,625 | 3,626 |
| Prudential Financial Inc. | 7.375% | 6/15/19 | 4,625 | 5,330 |
| Prudential Financial Inc. | 2.350% | 8/15/19 | 3,550 | 3,605 |
| Prudential Financial Inc. | 5.375% | 6/21/20 | 9,589 | 10,611 |
| Prudential Financial Inc. | 4.500% | 11/15/20 | 3,900 | 4,185 |
| 2 Prudential Financial Inc. | 8.875% | 6/15/68 | 4,405 | 4,801 |
| Reinsurance Group of America Inc. | 5.625% | 3/15/17 | 4,015 | 4,159 |
9
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Reinsurance Group of America Inc. | 6.450% | 11/15/19 | 3,425 | 3,845 |
| 2 StanCorp Financial Group Inc. | 6.900% | 6/1/67 | 1,495 | 1,213 |
| Torchmark Corp. | 9.250% | 6/15/19 | 2,500 | 3,019 |
| Travelers Cos. Inc. | 5.750% | 12/15/17 | 2,200 | 2,366 |
| Travelers Cos. Inc. | 5.800% | 5/15/18 | 3,650 | 3,972 |
| Travelers Cos. Inc. | 5.900% | 6/2/19 | 4,415 | 5,006 |
| Travelers Cos. Inc. | 3.900% | 11/1/20 | 2,975 | 3,201 |
| UnitedHealth Group Inc. | 6.000% | 6/15/17 | 1,830 | 1,940 |
| UnitedHealth Group Inc. | 1.450% | 7/17/17 | 7,000 | 7,007 |
| UnitedHealth Group Inc. | 1.400% | 10/15/17 | 6,344 | 6,345 |
| UnitedHealth Group Inc. | 1.400% | 12/15/17 | 5,650 | 5,647 |
| UnitedHealth Group Inc. | 6.000% | 2/15/18 | 9,081 | 9,850 |
| UnitedHealth Group Inc. | 1.900% | 7/16/18 | 10,400 | 10,486 |
| UnitedHealth Group Inc. | 1.700% | 2/15/19 | 1,000 | 1,001 |
| UnitedHealth Group Inc. | 1.625% | 3/15/19 | 4,275 | 4,274 |
| UnitedHealth Group Inc. | 2.300% | 12/15/19 | 6,825 | 6,895 |
| UnitedHealth Group Inc. | 2.700% | 7/15/20 | 13,275 | 13,656 |
| UnitedHealth Group Inc. | 3.875% | 10/15/20 | 1,625 | 1,737 |
| UnitedHealth Group Inc. | 4.700% | 2/15/21 | 2,850 | 3,171 |
| UnitedHealth Group Inc. | 2.125% | 3/15/21 | 2,900 | 2,895 |
| Unum Group | 5.625% | 9/15/20 | 1,825 | 1,996 |
| Voya Financial Inc. | 2.900% | 2/15/18 | 8,625 | 8,699 |
| Willis North America Inc. | 6.200% | 3/28/17 | 245 | 255 |
| WR Berkley Corp. | 7.375% | 9/15/19 | 1,282 | 1,498 |
| WR Berkley Corp. | 5.375% | 9/15/20 | 3,175 | 3,509 |
| XLIT Ltd. | 2.300% | 12/15/18 | 3,250 | 3,247 |
| Other Finance (0.0%) | ||||
| ORIX Corp. | 3.750% | 3/9/17 | 3,050 | 3,088 |
| XTRA Finance Corp. | 5.150% | 4/1/17 | 2,500 | 2,603 |
| Real Estate Investment Trusts (1.9%) | ||||
| Alexandria Real Estate Equities Inc. | 2.750% | 1/15/20 | 3,000 | 2,980 |
| American Campus Communities Operating Partnership | ||||
| LP | 3.350% | 10/1/20 | 2,950 | 2,997 |
| AvalonBay Communities Inc. | 5.700% | 3/15/17 | 1,335 | 1,390 |
| AvalonBay Communities Inc. | 3.625% | 10/1/20 | 5,525 | 5,774 |
| AvalonBay Communities Inc. | 3.950% | 1/15/21 | 1,000 | 1,066 |
| Boston Properties LP | 3.700% | 11/15/18 | 4,765 | 4,933 |
| Boston Properties LP | 5.875% | 10/15/19 | 8,259 | 9,167 |
| Boston Properties LP | 5.625% | 11/15/20 | 4,275 | 4,778 |
| Brandywine Operating Partnership LP | 5.700% | 5/1/17 | 4,575 | 4,767 |
| Brandywine Operating Partnership LP | 4.950% | 4/15/18 | 2,375 | 2,479 |
| DDR Corp. | 7.500% | 4/1/17 | 5,850 | 6,176 |
| DDR Corp. | 7.875% | 9/1/20 | 2,575 | 3,101 |
| DDR Corp. | 3.500% | 1/15/21 | 2,375 | 2,400 |
| 1 Digital Delta Holdings LLC | 3.400% | 10/1/20 | 3,350 | 3,406 |
| Digital Realty Trust LP | 5.875% | 2/1/20 | 3,300 | 3,678 |
| Digital Realty Trust LP | 5.250% | 3/15/21 | 2,160 | 2,366 |
| Duke Realty LP | 6.500% | 1/15/18 | 750 | 808 |
| Duke Realty LP | 3.875% | 2/15/21 | 1,000 | 1,031 |
| EPR Properties | 7.750% | 7/15/20 | 1,000 | 1,181 |
| Equity CommonWealth | 6.250% | 6/15/17 | 1,000 | 1,030 |
| Equity CommonWealth | 6.650% | 1/15/18 | 1,000 | 1,053 |
| Equity Commonwealth | 5.875% | 9/15/20 | 1,900 | 2,071 |
| ERP Operating LP | 5.750% | 6/15/17 | 2,839 | 2,977 |
| ERP Operating LP | 2.375% | 7/1/19 | 3,500 | 3,518 |
| ERP Operating LP | 4.750% | 7/15/20 | 3,475 | 3,778 |
| Essex Portfolio LP | 5.500% | 3/15/17 | 1,625 | 1,685 |
| Federal Realty Investment Trust | 2.550% | 1/15/21 | 2,200 | 2,246 |
| Government Properties Income Trust | 3.750% | 8/15/19 | 2,500 | 2,564 |
| HCP Inc. | 6.700% | 1/30/18 | 6,320 | 6,807 |
| HCP Inc. | 3.750% | 2/1/19 | 2,000 | 2,045 |
| HCP Inc. | 2.625% | 2/1/20 | 9,125 | 8,938 |
| HCP Inc. | 5.375% | 2/1/21 | 8,542 | 9,165 |
10
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Healthcare Realty Trust Inc. | 5.750% | 1/15/21 | 1,330 | 1,493 |
| Highwoods Realty LP | 5.850% | 3/15/17 | 2,810 | 2,914 |
| Hospitality Properties Trust | 5.625% | 3/15/17 | 975 | 1,004 |
| Hospitality Properties Trust | 6.700% | 1/15/18 | 3,925 | 4,121 |
| Hospitality Properties Trust | 4.250% | 2/15/21 | 3,175 | 3,185 |
| Kilroy Realty LP | 4.800% | 7/15/18 | 2,950 | 3,103 |
| Kimco Realty Corp. | 5.700% | 5/1/17 | 2,150 | 2,246 |
| Kimco Realty Corp. | 4.300% | 2/1/18 | 3,075 | 3,185 |
| Kimco Realty Corp. | 6.875% | 10/1/19 | 1,425 | 1,644 |
| Liberty Property LP | 6.625% | 10/1/17 | 725 | 771 |
| Liberty Property LP | 4.750% | 10/1/20 | 4,700 | 5,069 |
| Mack-Cali Realty LP | 2.500% | 12/15/17 | 1,000 | 985 |
| Mack-Cali Realty LP | 7.750% | 8/15/19 | 2,950 | 3,255 |
| ProLogis LP | 2.750% | 2/15/19 | 3,050 | 3,103 |
| ProLogis LP | 3.350% | 2/1/21 | 3,825 | 3,943 |
| Realty Income Corp. | 2.000% | 1/31/18 | 2,875 | 2,874 |
| Realty Income Corp. | 6.750% | 8/15/19 | 3,985 | 4,560 |
| Realty Income Corp. | 5.750% | 1/15/21 | 1,000 | 1,126 |
| Regency Centers LP | 5.875% | 6/15/17 | 2,062 | 2,166 |
| Select Income REIT | 2.850% | 2/1/18 | 5,375 | 5,356 |
| Select Income REIT | 3.600% | 2/1/20 | 150 | 150 |
| Senior Housing Properties Trust | 3.250% | 5/1/19 | 4,550 | 4,589 |
| Simon Property Group LP | 2.150% | 9/15/17 | 5,290 | 5,344 |
| Simon Property Group LP | 2.200% | 2/1/19 | 6,800 | 6,878 |
| Simon Property Group LP | 10.350% | 4/1/19 | 4,536 | 5,558 |
| Simon Property Group LP | 5.650% | 2/1/20 | 6,559 | 7,354 |
| Simon Property Group LP | 2.500% | 9/1/20 | 3,800 | 3,826 |
| SL Green Realty Corp. | 7.750% | 3/15/20 | 2,500 | 2,949 |
| Tanger Properties LP | 6.125% | 6/1/20 | 2,500 | 2,845 |
| UDR Inc. | 4.250% | 6/1/18 | 2,300 | 2,405 |
| UDR Inc. | 3.700% | 10/1/20 | 3,925 | 4,104 |
| Ventas Realty LP / Ventas Capital Corp. | 2.000% | 2/15/18 | 8,191 | 8,146 |
| Ventas Realty LP / Ventas Capital Corp. | 4.000% | 4/30/19 | 3,375 | 3,525 |
| Ventas Realty LP / Ventas Capital Corp. | 2.700% | 4/1/20 | 3,375 | 3,350 |
| Vornado Realty LP | 2.500% | 6/30/19 | 3,325 | 3,291 |
| Washington Prime Group LP | 3.850% | 4/1/20 | 1,800 | 1,856 |
| Washington REIT | 4.950% | 10/1/20 | 1,875 | 2,032 |
| Welltower Inc. | 4.700% | 9/15/17 | 6,859 | 7,126 |
| Welltower Inc. | 2.250% | 3/15/18 | 3,436 | 3,431 |
| Welltower Inc. | 4.125% | 4/1/19 | 2,600 | 2,704 |
| Welltower Inc. | 6.125% | 4/15/20 | 3,275 | 3,688 |
| Welltower Inc. | 4.950% | 1/15/21 | 5,785 | 6,233 |
| 5,458,679 | ||||
| Industrial (53.5%) | ||||
| Basic Industry (2.8%) | ||||
| Agrium Inc. | 6.750% | 1/15/19 | 4,799 | 5,336 |
| Air Products & Chemicals Inc. | 1.200% | 10/15/17 | 2,025 | 2,021 |
| Air Products & Chemicals Inc. | 4.375% | 8/21/19 | 1,115 | 1,212 |
| Airgas Inc. | 1.650% | 2/15/18 | 1,850 | 1,842 |
| Airgas Inc. | 2.375% | 2/15/20 | 700 | 700 |
| Airgas Inc. | 3.050% | 8/1/20 | 6,850 | 6,996 |
| Albemarle Corp. | 3.000% | 12/1/19 | 1,675 | 1,648 |
| Albemarle Corp. | 4.500% | 12/15/20 | 2,050 | 2,106 |
| Barrick Gold Corp. | 6.950% | 4/1/19 | 1,888 | 2,026 |
| Barrick North America Finance LLC | 6.800% | 9/15/18 | 7,296 | 7,589 |
| Barrick PD Australia Finance Pty Ltd. | 4.950% | 1/15/20 | 575 | 562 |
| BHP Billiton Finance USA Ltd. | 5.400% | 3/29/17 | 514 | 534 |
| BHP Billiton Finance USA Ltd. | 2.050% | 9/30/18 | 10,806 | 10,689 |
| BHP Billiton Finance USA Ltd. | 6.500% | 4/1/19 | 11,450 | 12,512 |
| Cabot Corp. | 2.550% | 1/15/18 | 1,125 | 1,144 |
| Celulosa Arauco y Constitucion SA | 7.250% | 7/29/19 | 2,615 | 2,953 |
| Celulosa Arauco y Constitucion SA | 5.000% | 1/21/21 | 1,525 | 1,571 |
| CF Industries Inc. | 6.875% | 5/1/18 | 9,675 | 10,437 |
11
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| CF Industries Inc. | 7.125% | 5/1/20 | 7,140 | 8,059 |
| Domtar Corp. | 10.750% | 6/1/17 | 399 | 440 |
| Dow Chemical Co. | 8.550% | 5/15/19 | 13,800 | 16,228 |
| Dow Chemical Co. | 4.250% | 11/15/20 | 14,580 | 15,435 |
| Eastman Chemical Co. | 2.400% | 6/1/17 | 11,725 | 11,800 |
| Eastman Chemical Co. | 2.700% | 1/15/20 | 8,675 | 8,588 |
| Ecolab Inc. | 1.450% | 12/8/17 | 3,713 | 3,694 |
| Ecolab Inc. | 1.550% | 1/12/18 | 3,490 | 3,475 |
| Ecolab Inc. | 2.000% | 1/14/19 | 2,300 | 2,323 |
| Ecolab Inc. | 2.250% | 1/12/20 | 2,650 | 2,658 |
| EI du Pont de Nemours & Co. | 6.000% | 7/15/18 | 13,003 | 14,215 |
| EI du Pont de Nemours & Co. | 4.625% | 1/15/20 | 8,180 | 8,897 |
| EI du Pont de Nemours & Co. | 3.625% | 1/15/21 | 4,750 | 4,997 |
| Glencore Canada Corp. | 5.500% | 6/15/17 | 900 | 900 |
| Goldcorp Inc. | 2.125% | 3/15/18 | 5,145 | 5,033 |
| International Paper Co. | 7.950% | 6/15/18 | 9,400 | 10,595 |
| International Paper Co. | 9.375% | 5/15/19 | 118 | 141 |
| Lubrizol Corp. | 8.875% | 2/1/19 | 3,288 | 3,926 |
| LyondellBasell Industries NV | 5.000% | 4/15/19 | 16,200 | 17,090 |
| MeadWestvaco Corp. | 7.375% | 9/1/19 | 750 | 863 |
| Methanex Corp. | 3.250% | 12/15/19 | 2,675 | 2,525 |
| Monsanto Co. | 1.150% | 6/30/17 | 4,846 | 4,826 |
| Monsanto Co. | 5.125% | 4/15/18 | 3,127 | 3,346 |
| Monsanto Co. | 1.850% | 11/15/18 | 2,035 | 2,036 |
| Monsanto Co. | 2.125% | 7/15/19 | 8,950 | 8,915 |
| Newmont Mining Corp. | 5.125% | 10/1/19 | 5,806 | 6,241 |
| Nucor Corp. | 5.750% | 12/1/17 | 6,900 | 7,223 |
| Nucor Corp. | 5.850% | 6/1/18 | 5,568 | 5,935 |
| Potash Corp. of Saskatchewan Inc. | 3.250% | 12/1/17 | 4,883 | 4,970 |
| Potash Corp. of Saskatchewan Inc. | 6.500% | 5/15/19 | 1,850 | 2,082 |
| Potash Corp. of Saskatchewan Inc. | 4.875% | 3/30/20 | 3,475 | 3,802 |
| PPG Industries Inc. | 2.300% | 11/15/19 | 9,000 | 9,052 |
| PPG Industries Inc. | 3.600% | 11/15/20 | 2,825 | 2,948 |
| Praxair Inc. | 1.050% | 11/7/17 | 1,925 | 1,916 |
| Praxair Inc. | 1.250% | 11/7/18 | 4,800 | 4,765 |
| Praxair Inc. | 4.500% | 8/15/19 | 5,175 | 5,619 |
| Praxair Inc. | 2.250% | 9/24/20 | 500 | 506 |
| Rio Tinto Finance USA Ltd. | 6.500% | 7/15/18 | 17,218 | 18,409 |
| Rio Tinto Finance USA Ltd. | 9.000% | 5/1/19 | 13,760 | 15,958 |
| Rio Tinto Finance USA Ltd. | 3.500% | 11/2/20 | 3,550 | 3,532 |
| Rio Tinto Finance USA plc | 2.000% | 3/22/17 | 4,525 | 4,497 |
| Rio Tinto Finance USA plc | 1.625% | 8/21/17 | 8,500 | 8,338 |
| Rio Tinto Finance USA plc | 2.250% | 12/14/18 | 6,130 | 5,979 |
| Rohm & Haas Co. | 6.000% | 9/15/17 | 1,756 | 1,871 |
| RPM International Inc. | 6.500% | 2/15/18 | 1,500 | 1,603 |
| RPM International Inc. | 6.125% | 10/15/19 | 3,000 | 3,342 |
| Sherwin-Williams Co. | 1.350% | 12/15/17 | 6,200 | 6,190 |
| Southern Copper Corp. | 5.375% | 4/16/20 | 3,000 | 3,083 |
| Vale Overseas Ltd. | 5.625% | 9/15/19 | 6,975 | 6,260 |
| Vale Overseas Ltd. | 4.625% | 9/15/20 | 6,625 | 5,399 |
| Valspar Corp. | 7.250% | 6/15/19 | 800 | 915 |
| WestRock RKT Co. | 4.450% | 3/1/19 | 5,000 | 5,221 |
| WestRock RKT Co. | 3.500% | 3/1/20 | 2,500 | 2,537 |
| Weyerhaeuser Co. | 7.375% | 10/1/19 | 4,000 | 4,520 |
| Capital Goods (5.6%) | ||||
| 3M Co. | 1.000% | 6/26/17 | 5,445 | 5,452 |
| 3M Co. | 1.375% | 8/7/18 | 3,875 | 3,898 |
| 3M Co. | 1.625% | 6/15/19 | 3,975 | 4,025 |
| 3M Co. | 2.000% | 8/7/20 | 3,875 | 3,955 |
| ABB Finance USA Inc. | 1.625% | 5/8/17 | 620 | 622 |
| Acuity Brands Lighting Inc. | 6.000% | 12/15/19 | 4,175 | 4,605 |
| Bemis Co. Inc. | 6.800% | 8/1/19 | 2,900 | 3,285 |
| Boeing Capital Corp. | 2.900% | 8/15/18 | 850 | 883 |
12
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Boeing Capital Corp. | 4.700% | 10/27/19 | 3,734 | 4,138 |
| Boeing Co. | 0.950% | 5/15/18 | 7,210 | 7,151 |
| Boeing Co. | 6.000% | 3/15/19 | 2,200 | 2,479 |
| Boeing Co. | 4.875% | 2/15/20 | 9,975 | 11,065 |
| Boeing Co. | 1.650% | 10/30/20 | 1,250 | 1,232 |
| Caterpillar Financial Services Corp. | 1.000% | 3/3/17 | 7,437 | 7,436 |
| Caterpillar Financial Services Corp. | 1.625% | 6/1/17 | 3,564 | 3,577 |
| Caterpillar Financial Services Corp. | 1.250% | 8/18/17 | 5,570 | 5,564 |
| Caterpillar Financial Services Corp. | 1.250% | 11/6/17 | 7,697 | 7,684 |
| Caterpillar Financial Services Corp. | 1.500% | 2/23/18 | 1,000 | 1,000 |
| Caterpillar Financial Services Corp. | 1.300% | 3/1/18 | 2,750 | 2,739 |
| Caterpillar Financial Services Corp. | 5.450% | 4/15/18 | 2,790 | 3,016 |
| Caterpillar Financial Services Corp. | 2.450% | 9/6/18 | 4,450 | 4,533 |
| Caterpillar Financial Services Corp. | 7.050% | 10/1/18 | 4,000 | 4,522 |
| Caterpillar Financial Services Corp. | 1.800% | 11/13/18 | 5,600 | 5,653 |
| Caterpillar Financial Services Corp. | 7.150% | 2/15/19 | 12,487 | 14,345 |
| Caterpillar Financial Services Corp. | 2.100% | 6/9/19 | 5,545 | 5,602 |
| Caterpillar Financial Services Corp. | 2.250% | 12/1/19 | 750 | 756 |
| Caterpillar Financial Services Corp. | 2.000% | 3/5/20 | 1,675 | 1,670 |
| Caterpillar Financial Services Corp. | 2.500% | 11/13/20 | 4,000 | 4,053 |
| Caterpillar Inc. | 1.500% | 6/26/17 | 8,519 | 8,522 |
| Caterpillar Inc. | 7.900% | 12/15/18 | 7,495 | 8,724 |
| Cooper US Inc. | 6.100% | 7/1/17 | 2,660 | 2,816 |
| Crane Co. | 2.750% | 12/15/18 | 4,050 | 4,098 |
| CRH America Inc. | 8.125% | 7/15/18 | 2,350 | 2,644 |
| CRH America Inc. | 5.750% | 1/15/21 | 3,159 | 3,546 |
| Danaher Corp. | 5.625% | 1/15/18 | 6,965 | 7,519 |
| Danaher Corp. | 1.650% | 9/15/18 | 2,700 | 2,716 |
| Danaher Corp. | 5.400% | 3/1/19 | 6,225 | 6,886 |
| Danaher Corp. | 2.400% | 9/15/20 | 3,735 | 3,815 |
| Deere & Co. | 4.375% | 10/16/19 | 3,064 | 3,343 |
| Dover Corp. | 5.450% | 3/15/18 | 1,735 | 1,870 |
| Eaton Corp. | 5.300% | 3/15/17 | 2,300 | 2,394 |
| Eaton Corp. | 1.500% | 11/2/17 | 8,600 | 8,562 |
| Eaton Corp. | 5.600% | 5/15/18 | 5,075 | 5,471 |
| Eaton Corp. | 6.950% | 3/20/19 | 75 | 85 |
| Eaton Electric Holdings LLC | 3.875% | 12/15/20 | 1,875 | 1,963 |
| Emerson Electric Co. | 5.375% | 10/15/17 | 5,010 | 5,320 |
| Emerson Electric Co. | 5.250% | 10/15/18 | 2,950 | 3,234 |
| Emerson Electric Co. | 4.875% | 10/15/19 | 2,310 | 2,543 |
| Emerson Electric Co. | 4.250% | 11/15/20 | 1,650 | 1,791 |
| Fortune Brands Home & Security Inc. | 3.000% | 6/15/20 | 2,490 | 2,495 |
| General Dynamics Corp. | 1.000% | 11/15/17 | 9,503 | 9,500 |
| General Electric Capital Corp. | 5.625% | 9/15/17 | 15,571 | 16,617 |
| General Electric Capital Corp. | 5.625% | 5/1/18 | 14,667 | 16,001 |
| General Electric Capital Corp. | 6.000% | 8/7/19 | 13,609 | 15,596 |
| General Electric Capital Corp. | 2.100% | 12/11/19 | 4,100 | 4,177 |
| General Electric Capital Corp. | 5.500% | 1/8/20 | 8,724 | 9,925 |
| General Electric Capital Corp. | 2.200% | 1/9/20 | 13,088 | 13,350 |
| General Electric Capital Corp. | 5.550% | 5/4/20 | 9,139 | 10,470 |
| General Electric Capital Corp. | 4.375% | 9/16/20 | 11,196 | 12,323 |
| General Electric Capital Corp. | 4.625% | 1/7/21 | 8,720 | 9,746 |
| General Electric Capital Corp. | 5.300% | 2/11/21 | 6,110 | 6,967 |
| General Electric Co. | 5.250% | 12/6/17 | 36,918 | 39,572 |
| Harris Corp. | 1.999% | 4/27/18 | 6,950 | 6,911 |
| Harris Corp. | 2.700% | 4/27/20 | 3,300 | 3,292 |
| Harris Corp. | 4.400% | 12/15/20 | 3,275 | 3,478 |
| Honeywell International Inc. | 5.300% | 3/15/17 | 3,375 | 3,525 |
| Honeywell International Inc. | 5.300% | 3/1/18 | 13,350 | 14,434 |
| Honeywell International Inc. | 5.000% | 2/15/19 | 6,725 | 7,431 |
| Illinois Tool Works Inc. | 1.950% | 3/1/19 | 6,175 | 6,270 |
| Illinois Tool Works Inc. | 6.250% | 4/1/19 | 6,475 | 7,377 |
| Ingersoll-Rand Global Holding Co. Ltd. | 6.875% | 8/15/18 | 7,073 | 7,813 |
| Ingersoll-Rand Global Holding Co. Ltd. | 2.875% | 1/15/19 | 3,025 | 3,053 |
13
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Ingersoll-Rand Luxembourg Finance SA | 2.625% | 5/1/20 | 2,250 | 2,234 |
| John Deere Capital Corp. | 1.400% | 3/15/17 | 3,417 | 3,428 |
| John Deere Capital Corp. | 5.500% | 4/13/17 | 1,675 | 1,757 |
| John Deere Capital Corp. | 1.125% | 6/12/17 | 1,000 | 999 |
| John Deere Capital Corp. | 2.800% | 9/18/17 | 4,544 | 4,645 |
| John Deere Capital Corp. | 1.200% | 10/10/17 | 3,874 | 3,865 |
| John Deere Capital Corp. | 1.550% | 12/15/17 | 2,200 | 2,209 |
| John Deere Capital Corp. | 1.350% | 1/16/18 | 7,150 | 7,134 |
| John Deere Capital Corp. | 1.300% | 3/12/18 | 8,530 | 8,484 |
| John Deere Capital Corp. | 5.350% | 4/3/18 | 2,325 | 2,509 |
| John Deere Capital Corp. | 1.600% | 7/13/18 | 2,100 | 2,102 |
| John Deere Capital Corp. | 1.750% | 8/10/18 | 3,700 | 3,710 |
| John Deere Capital Corp. | 5.750% | 9/10/18 | 4,480 | 4,932 |
| John Deere Capital Corp. | 1.950% | 12/13/18 | 6,758 | 6,827 |
| John Deere Capital Corp. | 1.950% | 1/8/19 | 4,000 | 4,044 |
| John Deere Capital Corp. | 1.950% | 3/4/19 | 6,300 | 6,354 |
| John Deere Capital Corp. | 2.250% | 4/17/19 | 8,293 | 8,414 |
| John Deere Capital Corp. | 2.300% | 9/16/19 | 2,500 | 2,540 |
| John Deere Capital Corp. | 1.700% | 1/15/20 | 2,325 | 2,295 |
| John Deere Capital Corp. | 2.050% | 3/10/20 | 6,250 | 6,262 |
| John Deere Capital Corp. | 2.375% | 7/14/20 | 4,400 | 4,445 |
| John Deere Capital Corp. | 2.450% | 9/11/20 | 3,500 | 3,557 |
| John Deere Capital Corp. | 2.550% | 1/8/21 | 3,500 | 3,566 |
| Kennametal Inc. | 2.650% | 11/1/19 | 3,374 | 3,157 |
| L-3 Communications Corp. | 1.500% | 5/28/17 | 5,505 | 5,444 |
| L-3 Communications Corp. | 5.200% | 10/15/19 | 2,950 | 3,152 |
| L-3 Communications Corp. | 4.750% | 7/15/20 | 7,634 | 7,878 |
| L-3 Communications Corp. | 4.950% | 2/15/21 | 6,900 | 7,165 |
| Lockheed Martin Corp. | 1.850% | 11/23/18 | 6,900 | 6,942 |
| Lockheed Martin Corp. | 4.250% | 11/15/19 | 8,100 | 8,745 |
| Lockheed Martin Corp. | 2.500% | 11/23/20 | 9,300 | 9,468 |
| Martin Marietta Materials Inc. | 6.600% | 4/15/18 | 3,050 | 3,266 |
| Northrop Grumman Corp. | 1.750% | 6/1/18 | 7,175 | 7,167 |
| Northrop Grumman Corp. | 5.050% | 8/1/19 | 1,675 | 1,831 |
| Owens Corning | 6.500% | 12/1/16 | 197 | 203 |
| Owens Corning | 9.000% | 6/15/19 | 62 | 72 |
| Parker Hannifin Corp. | 5.500% | 5/15/18 | 4,128 | 4,463 |
| Pentair Finance SA | 1.875% | 9/15/17 | 2,770 | 2,752 |
| Pentair Finance SA | 2.900% | 9/15/18 | 1,025 | 1,025 |
| Pentair Finance SA | 2.650% | 12/1/19 | 500 | 488 |
| Pentair Finance SA | 3.625% | 9/15/20 | 8,000 | 8,026 |
| Precision Castparts Corp. | 1.250% | 1/15/18 | 8,565 | 8,524 |
| Precision Castparts Corp. | 2.250% | 6/15/20 | 4,050 | 4,084 |
| Raytheon Co. | 6.400% | 12/15/18 | 3,266 | 3,679 |
| Raytheon Co. | 4.400% | 2/15/20 | 4,350 | 4,820 |
| Raytheon Co. | 3.125% | 10/15/20 | 9,025 | 9,517 |
| Republic Services Inc. | 3.800% | 5/15/18 | 5,721 | 5,955 |
| Republic Services Inc. | 5.500% | 9/15/19 | 5,820 | 6,435 |
| Republic Services Inc. | 5.000% | 3/1/20 | 7,317 | 8,033 |
| Rockwell Automation Inc. | 5.650% | 12/1/17 | 500 | 534 |
| Rockwell Automation Inc. | 2.050% | 3/1/20 | 5,225 | 5,248 |
| Rockwell Collins Inc. | 5.250% | 7/15/19 | 1,250 | 1,388 |
| Roper Technologies Inc. | 1.850% | 11/15/17 | 4,575 | 4,569 |
| Roper Technologies Inc. | 2.050% | 10/1/18 | 8,228 | 8,165 |
| Roper Technologies Inc. | 6.250% | 9/1/19 | 1,868 | 2,088 |
| Roper Technologies Inc. | 3.000% | 12/15/20 | 5,575 | 5,636 |
| 2 Stanley Black & Decker Inc. | 5.750% | 12/15/53 | 2,800 | 2,884 |
| Textron Inc. | 5.600% | 12/1/17 | 2,775 | 2,920 |
| Textron Inc. | 7.250% | 10/1/19 | 1,550 | 1,779 |
| United Technologies Corp. | 1.800% | 6/1/17 | 15,874 | 16,005 |
| United Technologies Corp. | 5.375% | 12/15/17 | 8,187 | 8,775 |
| United Technologies Corp. | 6.125% | 2/1/19 | 10,850 | 12,167 |
| United Technologies Corp. | 4.500% | 4/15/20 | 9,337 | 10,199 |
| Valmont Industries Inc. | 6.625% | 4/20/20 | 668 | 752 |
14
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Waste Management Inc. | 6.100% | 3/15/18 | 5,147 | 5,636 |
| Waste Management Inc. | 4.750% | 6/30/20 | 4,400 | 4,869 |
| Communication (6.6%) | ||||
| 21st Century Fox America Inc. | 7.250% | 5/18/18 | 700 | 774 |
| 21st Century Fox America Inc. | 8.250% | 8/10/18 | 3,280 | 3,759 |
| 21st Century Fox America Inc. | 6.900% | 3/1/19 | 4,675 | 5,306 |
| 21st Century Fox America Inc. | 5.650% | 8/15/20 | 4,100 | 4,621 |
| 21st Century Fox America Inc. | 4.500% | 2/15/21 | 7,975 | 8,684 |
| America Movil SAB de CV | 5.625% | 11/15/17 | 3,525 | 3,732 |
| America Movil SAB de CV | 5.000% | 10/16/19 | 7,725 | 8,393 |
| America Movil SAB de CV | 5.000% | 3/30/20 | 15,828 | 17,361 |
| American Tower Corp. | 4.500% | 1/15/18 | 6,690 | 6,956 |
| American Tower Corp. | 3.400% | 2/15/19 | 6,675 | 6,783 |
| American Tower Corp. | 2.800% | 6/1/20 | 9,500 | 9,445 |
| American Tower Corp. | 5.050% | 9/1/20 | 5,106 | 5,484 |
| American Tower Corp. | 3.300% | 2/15/21 | 7,000 | 7,007 |
| AT&T Inc. | 1.600% | 2/15/17 | 9,100 | 9,132 |
| AT&T Inc. | 1.700% | 6/1/17 | 7,361 | 7,377 |
| AT&T Inc. | 1.400% | 12/1/17 | 12,875 | 12,826 |
| AT&T Inc. | 5.500% | 2/1/18 | 22,229 | 23,754 |
| AT&T Inc. | 5.600% | 5/15/18 | 5,702 | 6,151 |
| AT&T Inc. | 2.375% | 11/27/18 | 14,456 | 14,596 |
| AT&T Inc. | 5.800% | 2/15/19 | 16,804 | 18,545 |
| AT&T Inc. | 2.300% | 3/11/19 | 10,549 | 10,612 |
| AT&T Inc. | 2.450% | 6/30/20 | 19,956 | 19,862 |
| AT&T Inc. | 2.800% | 2/17/21 | 5,500 | 5,549 |
| British Telecommunications plc | 5.950% | 1/15/18 | 9,290 | 10,009 |
| British Telecommunications plc | 2.350% | 2/14/19 | 7,365 | 7,429 |
| CBS Corp. | 1.950% | 7/1/17 | 4,325 | 4,345 |
| CBS Corp. | 4.625% | 5/15/18 | 1,025 | 1,081 |
| CBS Corp. | 2.300% | 8/15/19 | 4,500 | 4,517 |
| CBS Corp. | 5.750% | 4/15/20 | 3,910 | 4,359 |
| CBS Corp. | 4.300% | 2/15/21 | 3,125 | 3,288 |
| CC Holdings GS V LLC / Crown Castle GS III Corp. | 2.381% | 12/15/17 | 8,175 | 8,212 |
| 1 CCO Safari II LLC | 3.579% | 7/23/20 | 17,225 | 17,255 |
| Comcast Cable Communications LLC | 8.875% | 5/1/17 | 4,720 | 5,128 |
| Comcast Corp. | 6.300% | 11/15/17 | 3,725 | 4,030 |
| Comcast Corp. | 5.875% | 2/15/18 | 8,290 | 8,993 |
| Comcast Corp. | 5.700% | 5/15/18 | 10,625 | 11,594 |
| Comcast Corp. | 5.700% | 7/1/19 | 3,227 | 3,621 |
| Comcast Corp. | 5.150% | 3/1/20 | 10,352 | 11,629 |
| Crown Castle International Corp. | 3.400% | 2/15/21 | 2,950 | 2,972 |
| Deutsche Telekom International Finance BV | 6.750% | 8/20/18 | 9,581 | 10,746 |
| Deutsche Telekom International Finance BV | 6.000% | 7/8/19 | 4,925 | 5,515 |
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 2.400% | 3/15/17 | 15,666 | 15,818 |
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 1.750% | 1/15/18 | 5,050 | 5,039 |
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.875% | 10/1/19 | 5,643 | 6,312 |
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.200% | 3/15/20 | 8,215 | 9,000 |
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 4.600% | 2/15/21 | — | — |
| Discovery Communications LLC | 5.625% | 8/15/19 | 3,035 | 3,290 |
| Discovery Communications LLC | 5.050% | 6/1/20 | 8,475 | 8,915 |
| Electronic Arts Inc. | 3.700% | 3/1/21 | 2,000 | 2,024 |
| Grupo Televisa SAB | 6.000% | 5/15/18 | 2,350 | 2,512 |
| Historic TW Inc. | 6.875% | 6/15/18 | 6,514 | 7,219 |
| Interpublic Group of Cos. Inc. | 2.250% | 11/15/17 | 2,250 | 2,209 |
| McGraw Hill Financial Inc. | 5.900% | 11/15/17 | 2,477 | 2,636 |
| McGraw Hill Financial Inc. | 2.500% | 8/15/18 | 3,500 | 3,514 |
| McGraw Hill Financial Inc. | 3.300% | 8/14/20 | 4,900 | 5,021 |
| Moody's Corp. | 2.750% | 7/15/19 | 4,325 | 4,415 |
| Moody's Corp. | 5.500% | 9/1/20 | 2,900 | 3,247 |
| NBCUniversal Media LLC | 5.150% | 4/30/20 | 17,913 | 20,180 |
| Nippon Telegraph & Telephone Corp. | 1.400% | 7/18/17 | 5,425 | 5,422 |
| Omnicom Group Inc. | 6.250% | 7/15/19 | 2,900 | 3,264 |
15
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Omnicom Group Inc. | 4.450% | 8/15/20 | 10,350 | 10,937 |
| Orange SA | 2.750% | 2/6/19 | 9,770 | 9,973 |
| Orange SA | 5.375% | 7/8/19 | 7,980 | 8,802 |
| Qwest Corp. | 6.500% | 6/1/17 | 2,862 | 2,998 |
| RELX Capital Inc. | 8.625% | 1/15/19 | 875 | 1,021 |
| Rogers Communications Inc. | 6.800% | 8/15/18 | 12,075 | 13,442 |
| Scripps Networks Interactive Inc. | 2.750% | 11/15/19 | 3,000 | 2,980 |
| Scripps Networks Interactive Inc. | 2.800% | 6/15/20 | 6,450 | 6,354 |
| Telefonica Emisiones SAU | 6.221% | 7/3/17 | 8,250 | 8,712 |
| Telefonica Emisiones SAU | 3.192% | 4/27/18 | 11,315 | 11,492 |
| Telefonica Emisiones SAU | 5.877% | 7/15/19 | 1,980 | 2,167 |
| Telefonica Emisiones SAU | 5.134% | 4/27/20 | 12,525 | 13,451 |
| Telefonica Emisiones SAU | 5.462% | 2/16/21 | 2,175 | 2,387 |
| Telefonos de Mexico SAB de CV | 5.500% | 11/15/19 | 1,750 | 1,929 |
| Thomson Reuters Corp. | 1.650% | 9/29/17 | 3,687 | 3,671 |
| Thomson Reuters Corp. | 6.500% | 7/15/18 | 7,500 | 8,278 |
| Thomson Reuters Corp. | 4.700% | 10/15/19 | 4,575 | 4,912 |
| Time Warner Cable Inc. | 5.850% | 5/1/17 | 8,750 | 9,100 |
| Time Warner Cable Inc. | 6.750% | 7/1/18 | 18,406 | 20,050 |
| Time Warner Cable Inc. | 8.750% | 2/14/19 | 15,125 | 17,470 |
| Time Warner Cable Inc. | 8.250% | 4/1/19 | 10,550 | 12,074 |
| Time Warner Cable Inc. | 5.000% | 2/1/20 | 8,761 | 9,364 |
| Time Warner Cable Inc. | 4.125% | 2/15/21 | 4,625 | 4,767 |
| Time Warner Cos. Inc. | 7.250% | 10/15/17 | 983 | 1,065 |
| Time Warner Inc. | 2.100% | 6/1/19 | 3,650 | 3,626 |
| Time Warner Inc. | 4.875% | 3/15/20 | 10,149 | 10,953 |
| Time Warner Inc. | 4.700% | 1/15/21 | 7,625 | 8,216 |
| Verizon Communications Inc. | 1.350% | 6/9/17 | 10,460 | 10,447 |
| Verizon Communications Inc. | 1.100% | 11/1/17 | 8,040 | 7,984 |
| Verizon Communications Inc. | 5.500% | 2/15/18 | 5,250 | 5,597 |
| Verizon Communications Inc. | 6.100% | 4/15/18 | 2,732 | 2,968 |
| Verizon Communications Inc. | 3.650% | 9/14/18 | 22,470 | 23,557 |
| Verizon Communications Inc. | 6.350% | 4/1/19 | 18,550 | 20,937 |
| Verizon Communications Inc. | 2.550% | 6/17/19 | 5,425 | 5,552 |
| Verizon Communications Inc. | 2.625% | 2/21/20 | 26,723 | 27,075 |
| Verizon Communications Inc. | 4.500% | 9/15/20 | 28,350 | 30,835 |
| Viacom Inc. | 3.500% | 4/1/17 | 2,775 | 2,803 |
| Viacom Inc. | 6.125% | 10/5/17 | 4,800 | 5,049 |
| Viacom Inc. | 2.500% | 9/1/18 | 4,655 | 4,631 |
| Viacom Inc. | 2.200% | 4/1/19 | 4,100 | 4,021 |
| Viacom Inc. | 5.625% | 9/15/19 | 2,500 | 2,682 |
| Viacom Inc. | 2.750% | 12/15/19 | 3,100 | 3,089 |
| Vodafone Group plc | 1.625% | 3/20/17 | 4,625 | 4,645 |
| Vodafone Group plc | 1.250% | 9/26/17 | 11,815 | 11,773 |
| Vodafone Group plc | 1.500% | 2/19/18 | 6,250 | 6,191 |
| Vodafone Group plc | 4.625% | 7/15/18 | 10,175 | 10,743 |
| Vodafone Group plc | 5.450% | 6/10/19 | 8,445 | 9,254 |
| Walt Disney Co. | 0.875% | 5/30/17 | 2,550 | 2,547 |
| Walt Disney Co. | 6.000% | 7/17/17 | 4,209 | 4,493 |
| Walt Disney Co. | 1.100% | 12/1/17 | 10,252 | 10,264 |
| Walt Disney Co. | 5.875% | 12/15/17 | 3,700 | 4,015 |
| Walt Disney Co. | 1.500% | 9/17/18 | 9,200 | 9,292 |
| Walt Disney Co. | 1.650% | 1/8/19 | 3,000 | 3,040 |
| Walt Disney Co. | 5.500% | 3/15/19 | 150 | 168 |
| Walt Disney Co. | 1.850% | 5/30/19 | 3,400 | 3,461 |
| Walt Disney Co. | 2.150% | 9/17/20 | 5,700 | 5,808 |
| Walt Disney Co. | 2.300% | 2/12/21 | 2,825 | 2,891 |
| Consumer Cyclical (7.4%) | ||||
| Advance Auto Parts Inc. | 5.750% | 5/1/20 | 2,175 | 2,379 |
| Alibaba Group Holding Ltd. | 1.625% | 11/28/17 | 7,000 | 6,960 |
| Alibaba Group Holding Ltd. | 2.500% | 11/28/19 | 15,850 | 15,755 |
| Amazon.com Inc. | 1.200% | 11/29/17 | 4,850 | 4,838 |
| Amazon.com Inc. | 2.600% | 12/5/19 | 13,800 | 14,156 |
16
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| American Honda Finance Corp. | 1.200% | 7/14/17 | 4,350 | 4,341 |
| American Honda Finance Corp. | 1.550% | 12/11/17 | 9,300 | 9,318 |
| American Honda Finance Corp. | 1.500% | 3/13/18 | 4,475 | 4,467 |
| American Honda Finance Corp. | 1.600% | 7/13/18 | 8,275 | 8,263 |
| American Honda Finance Corp. | 2.125% | 10/10/18 | 9,450 | 9,547 |
| American Honda Finance Corp. | 2.250% | 8/15/19 | 11,075 | 11,239 |
| American Honda Finance Corp. | 2.450% | 9/24/20 | 9,700 | 9,893 |
| Automatic Data Processing Inc. | 2.250% | 9/15/20 | 6,250 | 6,373 |
| AutoNation Inc. | 6.750% | 4/15/18 | 2,500 | 2,709 |
| AutoNation Inc. | 5.500% | 2/1/20 | 2,680 | 2,903 |
| AutoNation Inc. | 3.350% | 1/15/21 | 2,150 | 2,148 |
| AutoZone Inc. | 7.125% | 8/1/18 | 1,325 | 1,484 |
| AutoZone Inc. | 4.000% | 11/15/20 | 2,484 | 2,627 |
| Best Buy Co. Inc. | 5.000% | 8/1/18 | 223 | 232 |
| Block Financial LLC | 4.125% | 10/1/20 | 4,800 | 4,971 |
| BorgWarner Inc. | 4.625% | 9/15/20 | 575 | 622 |
| Brinker International Inc. | 2.600% | 5/15/18 | 2,366 | 2,380 |
| Carnival Corp. | 1.875% | 12/15/17 | 3,700 | 3,693 |
| Carnival Corp. | 3.950% | 10/15/20 | 5,225 | 5,505 |
| Costco Wholesale Corp. | 5.500% | 3/15/17 | 7,186 | 7,536 |
| Costco Wholesale Corp. | 1.125% | 12/15/17 | 8,044 | 8,050 |
| Costco Wholesale Corp. | 1.700% | 12/15/19 | 7,645 | 7,705 |
| Costco Wholesale Corp. | 1.750% | 2/15/20 | 4,085 | 4,098 |
| CVS Health Corp. | 5.750% | 6/1/17 | 7,926 | 8,363 |
| CVS Health Corp. | 1.900% | 7/20/18 | 17,425 | 17,490 |
| CVS Health Corp. | 2.250% | 12/5/18 | 12,407 | 12,543 |
| CVS Health Corp. | 2.250% | 8/12/19 | 7,500 | 7,578 |
| CVS Health Corp. | 4.750% | 5/18/20 | 3,217 | 3,517 |
| CVS Health Corp. | 2.800% | 7/20/20 | 26,533 | 27,177 |
| Delphi Automotive plc | 3.150% | 11/19/20 | 3,800 | 3,852 |
| Dollar General Corp. | 4.125% | 7/15/17 | 4,000 | 4,125 |
| Dollar General Corp. | 1.875% | 4/15/18 | 2,150 | 2,146 |
| eBay Inc. | 1.350% | 7/15/17 | 4,936 | 4,921 |
| eBay Inc. | 2.200% | 8/1/19 | 8,090 | 8,036 |
| eBay Inc. | 3.250% | 10/15/20 | 5,435 | 5,534 |
| Expedia Inc. | 7.456% | 8/15/18 | 5,275 | 5,831 |
| Expedia Inc. | 5.950% | 8/15/20 | 5,350 | 5,818 |
| Ford Motor Co. | 6.500% | 8/1/18 | 150 | 164 |
| Ford Motor Credit Co. LLC | 1.461% | 3/27/17 | 4,100 | 4,072 |
| Ford Motor Credit Co. LLC | 3.000% | 6/12/17 | 15,635 | 15,785 |
| Ford Motor Credit Co. LLC | 6.625% | 8/15/17 | 9,812 | 10,386 |
| Ford Motor Credit Co. LLC | 1.684% | 9/8/17 | 6,000 | 5,912 |
| Ford Motor Credit Co. LLC | 1.724% | 12/6/17 | 8,500 | 8,381 |
| Ford Motor Credit Co. LLC | 2.145% | 1/9/18 | 9,075 | 9,028 |
| Ford Motor Credit Co. LLC | 2.375% | 1/16/18 | 14,521 | 14,448 |
| Ford Motor Credit Co. LLC | 5.000% | 5/15/18 | 19,105 | 19,986 |
| Ford Motor Credit Co. LLC | 2.240% | 6/15/18 | 1,300 | 1,281 |
| Ford Motor Credit Co. LLC | 2.875% | 10/1/18 | 8,880 | 8,889 |
| Ford Motor Credit Co. LLC | 2.551% | 10/5/18 | 500 | 496 |
| Ford Motor Credit Co. LLC | 2.375% | 3/12/19 | 17,400 | 17,115 |
| Ford Motor Credit Co. LLC | 2.597% | 11/4/19 | 9,900 | 9,740 |
| Ford Motor Credit Co. LLC | 8.125% | 1/15/20 | 9,450 | 10,987 |
| Ford Motor Credit Co. LLC | 2.459% | 3/27/20 | 1,250 | 1,210 |
| Ford Motor Credit Co. LLC | 3.157% | 8/4/20 | 11,050 | 11,008 |
| Ford Motor Credit Co. LLC | 3.200% | 1/15/21 | 13,400 | 13,273 |
| Ford Motor Credit Co. LLC | 5.750% | 2/1/21 | 10,210 | 11,127 |
| General Motors Co. | 3.500% | 10/2/18 | 11,035 | 11,035 |
| General Motors Financial Co. Inc. | 2.625% | 7/10/17 | 2,639 | 2,626 |
| General Motors Financial Co. Inc. | 4.750% | 8/15/17 | 5,100 | 5,240 |
| General Motors Financial Co. Inc. | 3.000% | 9/25/17 | 10,369 | 10,382 |
| General Motors Financial Co. Inc. | 3.250% | 5/15/18 | 6,495 | 6,495 |
| General Motors Financial Co. Inc. | 6.750% | 6/1/18 | 11,100 | 11,905 |
| General Motors Financial Co. Inc. | 3.100% | 1/15/19 | 5,100 | 5,055 |
| General Motors Financial Co. Inc. | 3.500% | 7/10/19 | 10,897 | 10,897 |
17
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| General Motors Financial Co. Inc. | 3.150% | 1/15/20 | 5,865 | 5,733 |
| General Motors Financial Co. Inc. | 3.200% | 7/13/20 | 16,250 | 15,844 |
| General Motors Financial Co. Inc. | 3.700% | 11/24/20 | 9,160 | 9,023 |
| General Motors Financial Co. Inc. | 4.200% | 3/1/21 | 2,600 | 2,600 |
| Home Depot Inc. | 2.250% | 9/10/18 | 7,340 | 7,529 |
| Home Depot Inc. | 2.000% | 6/15/19 | 12,755 | 12,997 |
| Home Depot Inc. | 3.950% | 9/15/20 | 1,600 | 1,743 |
| Home Depot Inc. | 2.000% | 4/1/21 | 3,000 | 3,018 |
| Johnson Controls Inc. | 1.400% | 11/2/17 | 1,400 | 1,394 |
| Johnson Controls Inc. | 5.000% | 3/30/20 | 2,950 | 3,195 |
| Lowe's Cos. Inc. | 1.625% | 4/15/17 | 5,375 | 5,415 |
| Lowe's Cos. Inc. | 4.625% | 4/15/20 | 4,325 | 4,747 |
| Macy's Retail Holdings Inc. | 7.450% | 7/15/17 | 2,180 | 2,340 |
| Macy's Retail Holdings Inc. | 3.450% | 1/15/21 | 3,500 | 3,511 |
| Marriott International Inc. | 6.375% | 6/15/17 | 2,180 | 2,310 |
| Marriott International Inc. | 3.000% | 3/1/19 | 3,935 | 4,010 |
| Marriott International Inc. | 3.375% | 10/15/20 | 4,975 | 5,121 |
| MasterCard Inc. | 2.000% | 4/1/19 | 5,625 | 5,710 |
| McDonald's Corp. | 5.300% | 3/15/17 | 1,125 | 1,173 |
| McDonald's Corp. | 5.800% | 10/15/17 | 3,520 | 3,757 |
| McDonald's Corp. | 5.350% | 3/1/18 | 11,040 | 11,841 |
| McDonald's Corp. | 2.100% | 12/7/18 | 4,800 | 4,859 |
| McDonald's Corp. | 5.000% | 2/1/19 | 4,935 | 5,368 |
| McDonald's Corp. | 1.875% | 5/29/19 | 5,534 | 5,553 |
| McDonald's Corp. | 2.200% | 5/26/20 | 250 | 252 |
| McDonald's Corp. | 3.500% | 7/15/20 | 2,675 | 2,820 |
| McDonald's Corp. | 2.750% | 12/9/20 | 9,725 | 10,008 |
| Nordstrom Inc. | 6.250% | 1/15/18 | 5,667 | 6,100 |
| Nordstrom Inc. | 4.750% | 5/1/20 | 2,975 | 3,218 |
| O'Reilly Automotive Inc. | 4.875% | 1/14/21 | 3,337 | 3,633 |
| PACCAR Financial Corp. | 1.600% | 3/15/17 | 3,107 | 3,123 |
| PACCAR Financial Corp. | 1.100% | 6/6/17 | 1,300 | 1,301 |
| PACCAR Financial Corp. | 1.400% | 11/17/17 | 2,400 | 2,403 |
| PACCAR Financial Corp. | 1.450% | 3/9/18 | 3,100 | 3,094 |
| PACCAR Financial Corp. | 1.400% | 5/18/18 | 3,000 | 2,995 |
| PACCAR Financial Corp. | 1.750% | 8/14/18 | 2,250 | 2,256 |
| PACCAR Financial Corp. | 2.200% | 9/15/19 | 1,850 | 1,878 |
| PACCAR Financial Corp. | 2.500% | 8/14/20 | 2,500 | 2,555 |
| PACCAR Financial Corp. | 2.250% | 2/25/21 | 2,500 | 2,500 |
| QVC Inc. | 3.125% | 4/1/19 | 2,250 | 2,237 |
| Ralph Lauren Corp. | 2.125% | 9/26/18 | 1,475 | 1,494 |
| Ralph Lauren Corp. | 2.625% | 8/18/20 | 2,000 | 2,052 |
| Staples Inc. | 2.750% | 1/12/18 | 2,925 | 2,922 |
| Starbucks Corp. | 2.000% | 12/5/18 | 3,525 | 3,582 |
| Starbucks Corp. | 2.100% | 2/4/21 | 2,800 | 2,829 |
| Starwood Hotels & Resorts Worldwide Inc. | 6.750% | 5/15/18 | 1,300 | 1,426 |
| Target Corp. | 5.375% | 5/1/17 | 4,928 | 5,179 |
| Target Corp. | 6.000% | 1/15/18 | 11,250 | 12,233 |
| Target Corp. | 2.300% | 6/26/19 | 9,175 | 9,419 |
| Target Corp. | 3.875% | 7/15/20 | 8,925 | 9,752 |
| TJX Cos. Inc. | 6.950% | 4/15/19 | 4,775 | 5,504 |
| Toyota Motor Credit Corp. | 1.125% | 5/16/17 | 7,825 | 7,822 |
| Toyota Motor Credit Corp. | 1.750% | 5/22/17 | 8,925 | 8,983 |
| Toyota Motor Credit Corp. | 1.250% | 10/5/17 | 9,900 | 9,894 |
| Toyota Motor Credit Corp. | 1.375% | 1/10/18 | 5,544 | 5,554 |
| Toyota Motor Credit Corp. | 1.450% | 1/12/18 | 9,000 | 9,018 |
| Toyota Motor Credit Corp. | 1.550% | 7/13/18 | 9,750 | 9,738 |
| Toyota Motor Credit Corp. | 2.000% | 10/24/18 | 7,980 | 8,060 |
| Toyota Motor Credit Corp. | 2.100% | 1/17/19 | 13,654 | 13,854 |
| Toyota Motor Credit Corp. | 1.700% | 2/19/19 | 6,000 | 6,011 |
| Toyota Motor Credit Corp. | 2.125% | 7/18/19 | 6,600 | 6,669 |
| Toyota Motor Credit Corp. | 2.150% | 3/12/20 | 14,434 | 14,595 |
| Toyota Motor Credit Corp. | 4.500% | 6/17/20 | 1,750 | 1,925 |
| Toyota Motor Credit Corp. | 4.250% | 1/11/21 | 4,875 | 5,319 |
18
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Visa Inc. | 1.200% | 12/14/17 | 13,500 | 13,545 |
| Visa Inc. | 2.200% | 12/14/20 | 24,100 | 24,539 |
| Wal-Mart Stores Inc. | 5.375% | 4/5/17 | 7,896 | 8,283 |
| Wal-Mart Stores Inc. | 5.800% | 2/15/18 | 12,053 | 13,150 |
| Wal-Mart Stores Inc. | 1.125% | 4/11/18 | 12,340 | 12,375 |
| Wal-Mart Stores Inc. | 1.950% | 12/15/18 | 14,045 | 14,336 |
| Wal-Mart Stores Inc. | 4.125% | 2/1/19 | 1,600 | 1,722 |
| Wal-Mart Stores Inc. | 3.625% | 7/8/20 | 10,153 | 10,931 |
| Wal-Mart Stores Inc. | 3.250% | 10/25/20 | 12,252 | 13,048 |
| Walgreen Co. | 5.250% | 1/15/19 | 1,352 | 1,459 |
| Walgreens Boots Alliance Inc. | 1.750% | 11/17/17 | 6,800 | 6,777 |
| Walgreens Boots Alliance Inc. | 2.700% | 11/18/19 | 11,211 | 11,303 |
| Western Union Co. | 2.875% | 12/10/17 | 1,965 | 1,995 |
| Western Union Co. | 3.650% | 8/22/18 | 4,115 | 4,213 |
| Western Union Co. | 5.253% | 4/1/20 | 2,575 | 2,775 |
| Wyndham Worldwide Corp. | 2.950% | 3/1/17 | 2,700 | 2,703 |
| Wyndham Worldwide Corp. | 2.500% | 3/1/18 | 2,851 | 2,837 |
| Consumer Noncyclical (14.4%) | ||||
| Abbott Laboratories | 5.125% | 4/1/19 | 3,690 | 4,008 |
| Abbott Laboratories | 2.000% | 3/15/20 | 10,100 | 10,001 |
| Abbott Laboratories | 4.125% | 5/27/20 | 4,065 | 4,377 |
| AbbVie Inc. | 1.750% | 11/6/17 | 29,992 | 29,972 |
| AbbVie Inc. | 1.800% | 5/14/18 | 25,300 | 25,230 |
| AbbVie Inc. | 2.000% | 11/6/18 | 9,625 | 9,610 |
| AbbVie Inc. | 2.500% | 5/14/20 | 28,729 | 28,768 |
| Actavis Funding SCS | 1.850% | 3/1/17 | 8,028 | 8,049 |
| Actavis Funding SCS | 1.300% | 6/15/17 | 3,650 | 3,634 |
| Actavis Funding SCS | 2.350% | 3/12/18 | 21,200 | 21,305 |
| Actavis Funding SCS | 2.450% | 6/15/19 | 7,837 | 7,880 |
| Actavis Funding SCS | 3.000% | 3/12/20 | 28,000 | 28,452 |
| Actavis Inc. | 1.875% | 10/1/17 | 12,893 | 12,906 |
| Actavis Inc. | 6.125% | 8/15/19 | 750 | 838 |
| Agilent Technologies Inc. | 5.000% | 7/15/20 | 3,225 | 3,532 |
| Allergan Inc. | 1.350% | 3/15/18 | 2,825 | 2,797 |
| Allergan Inc. | 3.375% | 9/15/20 | 5,393 | 5,530 |
| Altria Group Inc. | 9.700% | 11/10/18 | 2,265 | 2,712 |
| Altria Group Inc. | 9.250% | 8/6/19 | 6,768 | 8,277 |
| Altria Group Inc. | 2.625% | 1/14/20 | 14,500 | 14,772 |
| AmerisourceBergen Corp. | 1.150% | 5/15/17 | 5,075 | 5,044 |
| AmerisourceBergen Corp. | 4.875% | 11/15/19 | 2,650 | 2,874 |
| Amgen Inc. | 2.125% | 5/15/17 | 9,707 | 9,789 |
| Amgen Inc. | 1.250% | 5/22/17 | 6,853 | 6,839 |
| Amgen Inc. | 5.850% | 6/1/17 | 6,490 | 6,840 |
| Amgen Inc. | 6.150% | 6/1/18 | 3,845 | 4,195 |
| Amgen Inc. | 5.700% | 2/1/19 | 3,186 | 3,527 |
| Amgen Inc. | 2.200% | 5/22/19 | 17,292 | 17,504 |
| Amgen Inc. | 4.500% | 3/15/20 | 1,450 | 1,571 |
| Amgen Inc. | 2.125% | 5/1/20 | 7,615 | 7,561 |
| Amgen Inc. | 3.450% | 10/1/20 | 5,467 | 5,694 |
| Anheuser-Busch Cos. LLC | 5.600% | 3/1/17 | 1,486 | 1,548 |
| Anheuser-Busch Cos. LLC | 5.500% | 1/15/18 | 6,667 | 7,144 |
| Anheuser-Busch Cos. LLC | 5.000% | 3/1/19 | 3,756 | 4,085 |
| Anheuser-Busch InBev Finance Inc. | 1.250% | 1/17/18 | 11,775 | 11,745 |
| Anheuser-Busch InBev Finance Inc. | 1.900% | 2/1/19 | 31,000 | 31,259 |
| Anheuser-Busch InBev Finance Inc. | 2.150% | 2/1/19 | 12,500 | 12,686 |
| Anheuser-Busch InBev Finance Inc. | 2.650% | 2/1/21 | 58,995 | 59,850 |
| Anheuser-Busch InBev Worldwide Inc. | 1.375% | 7/15/17 | 22,175 | 22,200 |
| Anheuser-Busch InBev Worldwide Inc. | 7.750% | 1/15/19 | 18,235 | 21,194 |
| Anheuser-Busch InBev Worldwide Inc. | 6.875% | 11/15/19 | 8,572 | 10,020 |
| Anheuser-Busch InBev Worldwide Inc. | 5.375% | 1/15/20 | 9,900 | 11,025 |
| Anheuser-Busch InBev Worldwide Inc. | 5.000% | 4/15/20 | 3,300 | 3,638 |
| Anheuser-Busch InBev Worldwide Inc. | 4.375% | 2/15/21 | 1,675 | 1,834 |
| Archer-Daniels-Midland Co. | 5.450% | 3/15/18 | 3,812 | 4,108 |
19
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| AstraZeneca plc | 5.900% | 9/15/17 | 13,100 | 13,964 |
| AstraZeneca plc | 1.750% | 11/16/18 | 8,000 | 8,024 |
| AstraZeneca plc | 1.950% | 9/18/19 | 7,692 | 7,685 |
| AstraZeneca plc | 2.375% | 11/16/20 | 12,000 | 12,069 |
| 1 Baxalta Inc. | 2.000% | 6/22/18 | 2,700 | 2,641 |
| 1 Baxalta Inc. | 2.875% | 6/23/20 | 7,300 | 7,166 |
| Baxter International Inc. | 5.900% | 9/1/16 | 1 | 1 |
| Baxter International Inc. | 5.375% | 6/1/18 | 2,725 | 2,974 |
| Baxter International Inc. | 1.850% | 6/15/18 | 8,300 | 8,326 |
| Baxter International Inc. | 4.500% | 8/15/19 | 2,410 | 2,589 |
| Baxter International Inc. | 4.250% | 3/15/20 | 3,775 | 4,026 |
| Beam Suntory Inc. | 1.875% | 5/15/17 | 1,125 | 1,127 |
| Beam Suntory Inc. | 1.750% | 6/15/18 | 2,725 | 2,712 |
| Becton Dickinson & Co. | 1.450% | 5/15/17 | 4,100 | 4,098 |
| Becton Dickinson & Co. | 1.800% | 12/15/17 | 11,835 | 11,852 |
| Becton Dickinson & Co. | 5.000% | 5/15/19 | 2,850 | 3,064 |
| Becton Dickinson & Co. | 6.375% | 8/1/19 | 5,000 | 5,646 |
| Becton Dickinson & Co. | 2.675% | 12/15/19 | 9,700 | 9,900 |
| Becton Dickinson & Co. | 3.250% | 11/12/20 | 3,800 | 3,918 |
| Bio-Rad Laboratories Inc. | 4.875% | 12/15/20 | 2,775 | 3,018 |
| Biogen Inc. | 6.875% | 3/1/18 | 7,070 | 7,735 |
| Biogen Inc. | 2.900% | 9/15/20 | 11,200 | 11,321 |
| Boston Scientific Corp. | 2.650% | 10/1/18 | 7,285 | 7,376 |
| Boston Scientific Corp. | 6.000% | 1/15/20 | 8,175 | 9,141 |
| Boston Scientific Corp. | 2.850% | 5/15/20 | 4,775 | 4,795 |
| Bottling Group LLC | 5.125% | 1/15/19 | 10,535 | 11,613 |
| Bristol-Myers Squibb Co. | 0.875% | 8/1/17 | 5,800 | 5,788 |
| Bristol-Myers Squibb Co. | 1.750% | 3/1/19 | 3,650 | 3,691 |
| Brown-Forman Corp. | 1.000% | 1/15/18 | 2,150 | 2,128 |
| Bunge Ltd. Finance Corp. | 3.200% | 6/15/17 | 5,165 | 5,206 |
| Bunge Ltd. Finance Corp. | 8.500% | 6/15/19 | 5,100 | 5,952 |
| Bunge Ltd. Finance Corp. | 3.500% | 11/24/20 | 4,100 | 4,130 |
| Campbell Soup Co. | 3.050% | 7/15/17 | 2,645 | 2,701 |
| Campbell Soup Co. | 4.500% | 2/15/19 | 1,110 | 1,189 |
| Cardinal Health Inc. | 1.900% | 6/15/17 | 3,900 | 3,909 |
| Cardinal Health Inc. | 1.700% | 3/15/18 | 6,160 | 6,142 |
| Cardinal Health Inc. | 1.950% | 6/15/18 | 2,275 | 2,268 |
| Cardinal Health Inc. | 4.625% | 12/15/20 | 4,050 | 4,452 |
| Catholic Health Initiatives Colorado GO | 1.600% | 11/1/17 | 1,200 | 1,198 |
| Celgene Corp. | 1.900% | 8/15/17 | 4,212 | 4,229 |
| Celgene Corp. | 2.125% | 8/15/18 | 5,500 | 5,526 |
| Celgene Corp. | 2.300% | 8/15/18 | 3,275 | 3,291 |
| Celgene Corp. | 2.250% | 5/15/19 | 4,850 | 4,858 |
| Celgene Corp. | 2.875% | 8/15/20 | 7,582 | 7,667 |
| Celgene Corp. | 3.950% | 10/15/20 | 9,150 | 9,682 |
| Church & Dwight Co. Inc. | 2.450% | 12/15/19 | 2,825 | 2,873 |
| Clorox Co. | 5.950% | 10/15/17 | 3,406 | 3,645 |
| Coca-Cola Co. | 1.650% | 3/14/18 | 3,741 | 3,787 |
| Coca-Cola Co. | 1.150% | 4/1/18 | 14,913 | 14,953 |
| Coca-Cola Co. | 1.650% | 11/1/18 | 14,745 | 14,961 |
| Coca-Cola Co. | 1.875% | 10/27/20 | 5,750 | 5,809 |
| Coca-Cola Co. | 2.450% | 11/1/20 | 11,800 | 12,165 |
| Coca-Cola Co. | 3.150% | 11/15/20 | 6,577 | 7,007 |
| Coca-Cola Enterprises Inc. | 3.500% | 9/15/20 | 4,375 | 4,549 |
| Coca-Cola Femsa SAB de CV | 2.375% | 11/26/18 | 10,700 | 10,950 |
| Coca-Cola Femsa SAB de CV | 4.625% | 2/15/20 | 2,175 | 2,336 |
| Colgate-Palmolive Co. | 2.625% | 5/1/17 | 625 | 637 |
| Colgate-Palmolive Co. | 0.900% | 5/1/18 | 3,450 | 3,437 |
| Colgate-Palmolive Co. | 1.500% | 11/1/18 | 1,925 | 1,942 |
| Colgate-Palmolive Co. | 1.750% | 3/15/19 | 8,994 | 9,145 |
| ConAgra Foods Inc. | 5.819% | 6/15/17 | 1,526 | 1,606 |
| ConAgra Foods Inc. | 1.900% | 1/25/18 | 15,900 | 15,885 |
| ConAgra Foods Inc. | 7.000% | 4/15/19 | 21 | 24 |
| Covidien International Finance SA | 6.000% | 10/15/17 | 12,375 | 13,245 |
20
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Covidien International Finance SA | 4.200% | 6/15/20 | 325 | 353 |
| CR Bard Inc. | 1.375% | 1/15/18 | 3,675 | 3,654 |
| CR Bard Inc. | 4.400% | 1/15/21 | 3,293 | 3,577 |
| Diageo Capital plc | 1.500% | 5/11/17 | 5,613 | 5,621 |
| Diageo Capital plc | 5.750% | 10/23/17 | 9,140 | 9,772 |
| Diageo Capital plc | 1.125% | 4/29/18 | 4,953 | 4,904 |
| Diageo Capital plc | 4.828% | 7/15/20 | 4,210 | 4,662 |
| Dignity Health California GO | 2.637% | 11/1/19 | 1,700 | 1,735 |
| Dr Pepper Snapple Group Inc. | 6.820% | 5/1/18 | 6,670 | 7,394 |
| Dr Pepper Snapple Group Inc. | 2.600% | 1/15/19 | 1,750 | 1,784 |
| Dr Pepper Snapple Group Inc. | 2.000% | 1/15/20 | 1,900 | 1,890 |
| Edwards Lifesciences Corp. | 2.875% | 10/15/18 | 3,950 | 4,019 |
| Eli Lilly & Co. | 5.200% | 3/15/17 | 4,170 | 4,347 |
| Eli Lilly & Co. | 1.250% | 3/1/18 | 4,800 | 4,809 |
| Eli Lilly & Co. | 1.950% | 3/15/19 | 5,075 | 5,167 |
| Express Scripts Holding Co. | 1.250% | 6/2/17 | 2,000 | 1,990 |
| Express Scripts Holding Co. | 2.250% | 6/15/19 | 5,375 | 5,339 |
| Express Scripts Holding Co. | 7.250% | 6/15/19 | 7,240 | 8,294 |
| Express Scripts Holding Co. | 3.300% | 2/25/21 | 1,800 | 1,812 |
| General Mills Inc. | 1.400% | 10/20/17 | 2,300 | 2,301 |
| General Mills Inc. | 5.650% | 2/15/19 | 8,215 | 9,096 |
| General Mills Inc. | 2.200% | 10/21/19 | 6,475 | 6,539 |
| Gilead Sciences Inc. | 1.850% | 9/4/18 | 7,500 | 7,561 |
| Gilead Sciences Inc. | 2.050% | 4/1/19 | 7,332 | 7,407 |
| Gilead Sciences Inc. | 2.350% | 2/1/20 | 4,400 | 4,445 |
| Gilead Sciences Inc. | 2.550% | 9/1/20 | 16,800 | 17,075 |
| GlaxoSmithKline Capital Inc. | 5.650% | 5/15/18 | 19,455 | 21,195 |
| GlaxoSmithKline Capital plc | 1.500% | 5/8/17 | 16,526 | 16,621 |
| Hasbro Inc. | 6.300% | 9/15/17 | 1,975 | 2,105 |
| Hershey Co. | 1.600% | 8/21/18 | 2,000 | 2,015 |
| Hershey Co. | 4.125% | 12/1/20 | 2,875 | 3,178 |
| Hillshire Brands Co. | 4.100% | 9/15/20 | 1,492 | 1,554 |
| Ingredion Inc. | 4.625% | 11/1/20 | 2,225 | 2,330 |
| JM Smucker Co. | 1.750% | 3/15/18 | 2,500 | 2,492 |
| JM Smucker Co. | 2.500% | 3/15/20 | 6,025 | 6,077 |
| Johnson & Johnson | 5.550% | 8/15/17 | 4,536 | 4,838 |
| Johnson & Johnson | 1.125% | 11/21/17 | 2,500 | 2,510 |
| Johnson & Johnson | 5.150% | 7/15/18 | 7,652 | 8,372 |
| 3 Johnson & Johnson | 1.650% | 12/5/18 | 6,150 | 6,238 |
| Johnson & Johnson | 1.125% | 3/1/19 | 3,900 | 3,898 |
| Johnson & Johnson | 1.875% | 12/5/19 | 8,680 | 8,864 |
| Johnson & Johnson | 2.950% | 9/1/20 | 3,500 | 3,739 |
| Johnson & Johnson | 1.650% | 3/1/21 | 1,100 | 1,102 |
| Kellogg Co. | 1.750% | 5/17/17 | 2,775 | 2,778 |
| Kellogg Co. | 3.250% | 5/21/18 | 450 | 463 |
| Kellogg Co. | 4.150% | 11/15/19 | 4,225 | 4,525 |
| Kellogg Co. | 4.000% | 12/15/20 | 6,380 | 6,775 |
| Kimberly-Clark Corp. | 6.125% | 8/1/17 | 10,171 | 10,876 |
| Kimberly-Clark Corp. | 6.250% | 7/15/18 | 1,478 | 1,638 |
| Kimberly-Clark Corp. | 7.500% | 11/1/18 | 3,375 | 3,893 |
| Kimberly-Clark Corp. | 1.400% | 2/15/19 | 5,100 | 5,114 |
| Kimberly-Clark Corp. | 1.900% | 5/22/19 | 1,500 | 1,516 |
| Kimberly-Clark Corp. | 1.850% | 3/1/20 | 2,025 | 2,032 |
| Kimberly-Clark Corp. | 3.625% | 8/1/20 | 1,300 | 1,395 |
| Kimberly-Clark Corp. | 2.150% | 8/15/20 | 1,825 | 1,860 |
| Koninklijke Philips NV | 5.750% | 3/11/18 | 8,850 | 9,431 |
| Kraft Foods Group Inc. | 2.250% | 6/5/17 | 8,135 | 8,206 |
| Kraft Foods Group Inc. | 6.125% | 8/23/18 | 7,025 | 7,688 |
| Kraft Foods Group Inc. | 5.375% | 2/10/20 | 6,954 | 7,695 |
| 1 Kraft Heinz Foods Co. | 1.600% | 6/30/17 | 8,000 | 7,992 |
| 1 Kraft Heinz Foods Co. | 2.000% | 7/2/18 | 9,725 | 9,707 |
| 1 Kraft Heinz Foods Co. | 2.800% | 7/2/20 | 11,055 | 11,188 |
| Kroger Co. | 6.400% | 8/15/17 | 7,306 | 7,815 |
| Kroger Co. | 6.800% | 12/15/18 | 860 | 975 |
21
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Kroger Co. | 2.000% | 1/15/19 | 1,300 | 1,309 |
| Kroger Co. | 2.300% | 1/15/19 | 9,125 | 9,273 |
| Kroger Co. | 6.150% | 1/15/20 | 3,625 | 4,171 |
| Kroger Co. | 3.300% | 1/15/21 | 3,700 | 3,865 |
| Kroger Co. | 2.600% | 2/1/21 | 2,250 | 2,295 |
| Laboratory Corp. of America Holdings | 2.200% | 8/23/17 | 8,300 | 8,319 |
| Laboratory Corp. of America Holdings | 2.500% | 11/1/18 | 650 | 651 |
| Laboratory Corp. of America Holdings | 2.625% | 2/1/20 | 4,767 | 4,763 |
| Laboratory Corp. of America Holdings | 4.625% | 11/15/20 | 3,250 | 3,519 |
| Life Technologies Corp. | 6.000% | 3/1/20 | 4,375 | 4,919 |
| Life Technologies Corp. | 5.000% | 1/15/21 | 4,408 | 4,799 |
| Mattel Inc. | 2.350% | 5/6/19 | 2,475 | 2,457 |
| Mattel Inc. | 4.350% | 10/1/20 | 75 | 79 |
| McCormick & Co. Inc. | 5.750% | 12/15/17 | 765 | 823 |
| McKesson Corp. | 5.700% | 3/1/17 | 2,076 | 2,163 |
| McKesson Corp. | 1.292% | 3/10/17 | 5,000 | 4,997 |
| McKesson Corp. | 1.400% | 3/15/18 | 4,050 | 4,020 |
| McKesson Corp. | 7.500% | 2/15/19 | 3,300 | 3,782 |
| McKesson Corp. | 2.284% | 3/15/19 | 8,750 | 8,806 |
| Mead Johnson Nutrition Co. | 4.900% | 11/1/19 | 4,475 | 4,864 |
| Mead Johnson Nutrition Co. | 3.000% | 11/15/20 | 11,030 | 11,162 |
| Medco Health Solutions Inc. | 7.125% | 3/15/18 | 10,545 | 11,524 |
| Medco Health Solutions Inc. | 4.125% | 9/15/20 | 3,650 | 3,789 |
| Medtronic Inc. | 1.500% | 3/15/18 | 2,900 | 2,912 |
| Medtronic Inc. | 1.375% | 4/1/18 | 13,700 | 13,710 |
| Medtronic Inc. | 5.600% | 3/15/19 | 3,727 | 4,146 |
| Medtronic Inc. | 2.500% | 3/15/20 | 24,963 | 25,595 |
| Medtronic Inc. | 4.450% | 3/15/20 | 9,257 | 10,099 |
| Merck & Co. Inc. | 1.100% | 1/31/18 | 7,426 | 7,427 |
| Merck & Co. Inc. | 1.300% | 5/18/18 | 8,790 | 8,821 |
| Merck & Co. Inc. | 1.850% | 2/10/20 | 7,950 | 8,039 |
| Merck & Co. Inc. | 3.875% | 1/15/21 | 8,911 | 9,645 |
| Merck Sharp & Dohme Corp. | 5.000% | 6/30/19 | 9,725 | 10,796 |
| Molson Coors Brewing Co. | 2.000% | 5/1/17 | 1,100 | 1,102 |
| Mondelez International Inc. | 6.500% | 8/11/17 | 3,557 | 3,803 |
| Mondelez International Inc. | 6.125% | 2/1/18 | 9,075 | 9,857 |
| Mondelez International Inc. | 6.125% | 8/23/18 | 500 | 552 |
| Mondelez International Inc. | 2.250% | 2/1/19 | 7,560 | 7,588 |
| Mondelez International Inc. | 5.375% | 2/10/20 | 3,451 | 3,854 |
| Mylan Inc. | 2.600% | 6/24/18 | 2,742 | 2,718 |
| Mylan Inc. | 2.550% | 3/28/19 | 9,029 | 8,943 |
| Newell Rubbermaid Inc. | 2.050% | 12/1/17 | 6,250 | 6,161 |
| Newell Rubbermaid Inc. | 2.150% | 10/15/18 | 2,200 | 2,173 |
| Newell Rubbermaid Inc. | 2.875% | 12/1/19 | 5,200 | 5,088 |
| Novant Health Inc. | 5.850% | 11/1/19 | 1,300 | 1,480 |
| Novartis Capital Corp. | 4.400% | 4/24/20 | 5,675 | 6,280 |
| Novartis Securities Investment Ltd. | 5.125% | 2/10/19 | 24,190 | 26,732 |
| PepsiAmericas Inc. | 5.000% | 5/15/17 | 950 | 996 |
| PepsiCo Inc. | 1.125% | 7/17/17 | 4,750 | 4,764 |
| PepsiCo Inc. | 1.250% | 8/13/17 | 10,969 | 11,000 |
| PepsiCo Inc. | 1.000% | 10/13/17 | 3,300 | 3,301 |
| PepsiCo Inc. | 1.250% | 4/30/18 | 5,200 | 5,213 |
| PepsiCo Inc. | 5.000% | 6/1/18 | 14,590 | 15,773 |
| PepsiCo Inc. | 7.900% | 11/1/18 | 10,864 | 12,634 |
| PepsiCo Inc. | 2.250% | 1/7/19 | 3,440 | 3,517 |
| PepsiCo Inc. | 4.500% | 1/15/20 | 7,225 | 7,952 |
| PepsiCo Inc. | 1.850% | 4/30/20 | 9,125 | 9,159 |
| PepsiCo Inc. | 2.150% | 10/14/20 | 14,765 | 14,950 |
| PepsiCo Inc. | 3.125% | 11/1/20 | 3,595 | 3,791 |
| Perrigo Co. plc | 2.300% | 11/8/18 | 5,125 | 5,007 |
| Pfizer Inc. | 1.100% | 5/15/17 | 4,872 | 4,884 |
| Pfizer Inc. | 1.500% | 6/15/18 | 13,872 | 14,013 |
| Pfizer Inc. | 6.200% | 3/15/19 | 26,217 | 29,594 |
| Pfizer Inc. | 2.100% | 5/15/19 | 16,216 | 16,541 |
22
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Pharmacia Corp. | 6.500% | 12/1/18 | 1,340 | 1,509 |
| Philip Morris International Inc. | 1.625% | 3/20/17 | 5,812 | 5,852 |
| Philip Morris International Inc. | 1.250% | 8/11/17 | 2,400 | 2,405 |
| Philip Morris International Inc. | 1.125% | 8/21/17 | 9,314 | 9,320 |
| Philip Morris International Inc. | 1.250% | 11/9/17 | 1,100 | 1,101 |
| Philip Morris International Inc. | 5.650% | 5/16/18 | 14,145 | 15,428 |
| Philip Morris International Inc. | 1.875% | 1/15/19 | 12,247 | 12,391 |
| Philip Morris International Inc. | 4.500% | 3/26/20 | 3,700 | 4,081 |
| 2 Procter & Gamble - Esop | 9.360% | 1/1/21 | 1,046 | 1,258 |
| Procter & Gamble Co. | 1.600% | 11/15/18 | 4,050 | 4,098 |
| Procter & Gamble Co. | 4.700% | 2/15/19 | 12,385 | 13,647 |
| Procter & Gamble Co. | 1.900% | 11/1/19 | 5,700 | 5,829 |
| Procter & Gamble Co. | 1.850% | 2/2/21 | 6,225 | 6,291 |
| Quest Diagnostics Inc. | 2.700% | 4/1/19 | 2,200 | 2,224 |
| Quest Diagnostics Inc. | 4.750% | 1/30/20 | 3,375 | 3,621 |
| Quest Diagnostics Inc. | 2.500% | 3/30/20 | 2,600 | 2,568 |
| Reynolds American Inc. | 6.750% | 6/15/17 | 4,870 | 5,223 |
| Reynolds American Inc. | 2.300% | 8/21/17 | 2,539 | 2,562 |
| Reynolds American Inc. | 7.750% | 6/1/18 | 1,350 | 1,522 |
| Reynolds American Inc. | 2.300% | 6/12/18 | 9,675 | 9,785 |
| Reynolds American Inc. | 8.125% | 6/23/19 | 4,842 | 5,712 |
| Reynolds American Inc. | 6.875% | 5/1/20 | 4,900 | 5,728 |
| Reynolds American Inc. | 3.250% | 6/12/20 | 12,930 | 13,435 |
| Sanofi | 1.250% | 4/10/18 | 11,014 | 11,028 |
| St. Jude Medical Inc. | 2.000% | 9/15/18 | 3,745 | 3,764 |
| St. Jude Medical Inc. | 2.800% | 9/15/20 | 3,745 | 3,802 |
| Stryker Corp. | 1.300% | 4/1/18 | 4,350 | 4,320 |
| Stryker Corp. | 4.375% | 1/15/20 | 3,700 | 4,014 |
| Sysco Corp. | 5.250% | 2/12/18 | 4,473 | 4,741 |
| Sysco Corp. | 5.375% | 3/17/19 | 150 | 165 |
| Sysco Corp. | 2.600% | 10/1/20 | 4,150 | 4,147 |
| Teva Pharmaceutical Finance IV LLC | 2.250% | 3/18/20 | 6,100 | 6,000 |
| Thermo Fisher Scientific Inc. | 1.850% | 1/15/18 | 5,262 | 5,253 |
| Thermo Fisher Scientific Inc. | 2.150% | 12/14/18 | 4,000 | 3,998 |
| Thermo Fisher Scientific Inc. | 2.400% | 2/1/19 | 9,570 | 9,603 |
| Thermo Fisher Scientific Inc. | 4.700% | 5/1/20 | 275 | 297 |
| Tyson Foods Inc. | 2.650% | 8/15/19 | 13,900 | 14,086 |
| Unilever Capital Corp. | 0.850% | 8/2/17 | 3,575 | 3,566 |
| Unilever Capital Corp. | 4.800% | 2/15/19 | 5,625 | 6,165 |
| Unilever Capital Corp. | 2.200% | 3/6/19 | 5,220 | 5,336 |
| Unilever Capital Corp. | 2.100% | 7/30/20 | 5,525 | 5,623 |
| Unilever Capital Corp. | 4.250% | 2/10/21 | 6,113 | 6,802 |
| Whirlpool Corp. | 1.350% | 3/1/17 | 2,150 | 2,146 |
| Whirlpool Corp. | 1.650% | 11/1/17 | 200 | 200 |
| Whirlpool Corp. | 2.400% | 3/1/19 | 8,095 | 8,129 |
| Wyeth LLC | 5.450% | 4/1/17 | 3,945 | 4,132 |
| Zimmer Biomet Holdings Inc. | 1.450% | 4/1/17 | 5,120 | 5,106 |
| Zimmer Biomet Holdings Inc. | 2.000% | 4/1/18 | 7,125 | 7,092 |
| Zimmer Biomet Holdings Inc. | 4.625% | 11/30/19 | 3,925 | 4,258 |
| Zimmer Biomet Holdings Inc. | 2.700% | 4/1/20 | 6,360 | 6,361 |
| Zoetis Inc. | 1.875% | 2/1/18 | 3,300 | 3,276 |
| Zoetis Inc. | 3.450% | 11/13/20 | 5,675 | 5,782 |
| Energy (8.4%) | ||||
| Anadarko Petroleum Corp. | 6.375% | 9/15/17 | 13,425 | 13,597 |
| Anadarko Petroleum Corp. | 8.700% | 3/15/19 | 4,770 | 4,802 |
| Anadarko Petroleum Corp. | 6.950% | 6/15/19 | 750 | 754 |
| Apache Corp. | 6.900% | 9/15/18 | 1,775 | 1,868 |
| Apache Corp. | 3.625% | 2/1/21 | 3,875 | 3,571 |
| Baker Hughes Inc. | 7.500% | 11/15/18 | 5,625 | 6,192 |
| Boardwalk Pipelines LP | 5.750% | 9/15/19 | 3,105 | 3,024 |
| BP Capital Markets plc | 1.846% | 5/5/17 | 12,907 | 12,911 |
| BP Capital Markets plc | 1.375% | 11/6/17 | 8,140 | 8,044 |
| BP Capital Markets plc | 1.674% | 2/13/18 | 7,850 | 7,751 |
23
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| BP Capital Markets plc | 1.375% | 5/10/18 | 12,893 | 12,629 |
| BP Capital Markets plc | 2.241% | 9/26/18 | 9,200 | 9,133 |
| BP Capital Markets plc | 4.750% | 3/10/19 | 7,715 | 8,124 |
| BP Capital Markets plc | 2.237% | 5/10/19 | 10,875 | 10,763 |
| BP Capital Markets plc | 2.521% | 1/15/20 | 6,325 | 6,219 |
| BP Capital Markets plc | 2.315% | 2/13/20 | 6,950 | 6,787 |
| BP Capital Markets plc | 4.500% | 10/1/20 | 8,890 | 9,366 |
| Buckeye Partners LP | 6.050% | 1/15/18 | 2,525 | 2,578 |
| Buckeye Partners LP | 2.650% | 11/15/18 | 3,078 | 2,878 |
| Buckeye Partners LP | 4.875% | 2/1/21 | 6,933 | 6,344 |
| Cameron International Corp. | 6.375% | 7/15/18 | 6,800 | 7,266 |
| Canadian Natural Resources Ltd. | 5.700% | 5/15/17 | 8,314 | 8,324 |
| Canadian Natural Resources Ltd. | 1.750% | 1/15/18 | 5,425 | 4,977 |
| Canadian Natural Resources Ltd. | 5.900% | 2/1/18 | 1,775 | 1,731 |
| Cenovus Energy Inc. | 5.700% | 10/15/19 | 1,475 | 1,302 |
| Chevron Corp. | 1.344% | 11/9/17 | 10,500 | 10,473 |
| Chevron Corp. | 1.345% | 11/15/17 | 9,250 | 9,229 |
| Chevron Corp. | 1.104% | 12/5/17 | 9,385 | 9,314 |
| Chevron Corp. | 1.365% | 3/2/18 | 14,285 | 14,194 |
| Chevron Corp. | 1.718% | 6/24/18 | 21,625 | 21,600 |
| Chevron Corp. | 1.790% | 11/16/18 | 8,000 | 7,964 |
| Chevron Corp. | 4.950% | 3/3/19 | 15,221 | 16,460 |
| Chevron Corp. | 2.193% | 11/15/19 | 4,275 | 4,275 |
| Chevron Corp. | 1.961% | 3/3/20 | 14,825 | 14,620 |
| Chevron Corp. | 2.427% | 6/24/20 | 7,025 | 7,028 |
| Chevron Corp. | 2.419% | 11/17/20 | 8,500 | 8,516 |
| 1 Columbia Pipeline Group Inc. | 2.450% | 6/1/18 | 8,200 | 7,865 |
| 1 Columbia Pipeline Group Inc. | 3.300% | 6/1/20 | 4,800 | 4,495 |
| ConocoPhillips | 5.200% | 5/15/18 | 2,590 | 2,687 |
| ConocoPhillips | 6.650% | 7/15/18 | 2,489 | 2,631 |
| ConocoPhillips | 5.750% | 2/1/19 | 11,394 | 11,855 |
| ConocoPhillips | 6.000% | 1/15/20 | 8,136 | 8,539 |
| ConocoPhillips Co. | 1.050% | 12/15/17 | 9,552 | 9,204 |
| ConocoPhillips Co. | 1.500% | 5/15/18 | 4,500 | 4,297 |
| ConocoPhillips Co. | 2.200% | 5/15/20 | 7,800 | 7,200 |
| Devon Energy Corp. | 2.250% | 12/15/18 | 5,125 | 4,459 |
| Devon Energy Corp. | 6.300% | 1/15/19 | 5,465 | 5,178 |
| Diamond Offshore Drilling Inc. | 5.875% | 5/1/19 | 3,625 | 3,172 |
| Dominion Gas Holdings LLC | 2.500% | 12/15/19 | 8,500 | 8,532 |
| Dominion Gas Holdings LLC | 2.800% | 11/15/20 | 3,000 | 3,042 |
| El Paso Natural Gas Co. LLC | 5.950% | 4/15/17 | 4,050 | 4,136 |
| Enable Midstream Partners LP | 2.400% | 5/15/19 | 3,300 | 2,541 |
| Enbridge Energy Partners LP | 6.500% | 4/15/18 | 2,551 | 2,577 |
| Enbridge Energy Partners LP | 9.875% | 3/1/19 | 1,825 | 1,965 |
| Enbridge Energy Partners LP | 5.200% | 3/15/20 | 6,250 | 5,944 |
| Enbridge Energy Partners LP | 4.375% | 10/15/20 | 3,300 | 3,052 |
| Enbridge Inc. | 5.600% | 4/1/17 | 1,153 | 1,158 |
| Energy Transfer Partners LP | 2.500% | 6/15/18 | 4,200 | 3,858 |
| Energy Transfer Partners LP | 6.700% | 7/1/18 | 10,915 | 10,898 |
| Energy Transfer Partners LP | 9.700% | 3/15/19 | 2,500 | 2,618 |
| Energy Transfer Partners LP | 9.000% | 4/15/19 | 1,925 | 1,979 |
| Energy Transfer Partners LP | 4.150% | 10/1/20 | 3,950 | 3,447 |
| EnLink Midstream Partners LP | 2.700% | 4/1/19 | 2,550 | 1,989 |
| Enterprise Products Operating LLC | 6.300% | 9/15/17 | 6,119 | 6,425 |
| Enterprise Products Operating LLC | 6.650% | 4/15/18 | 1,469 | 1,561 |
| Enterprise Products Operating LLC | 1.650% | 5/7/18 | 3,000 | 2,900 |
| Enterprise Products Operating LLC | 6.500% | 1/31/19 | 6,700 | 7,188 |
| Enterprise Products Operating LLC | 2.550% | 10/15/19 | 7,175 | 6,958 |
| Enterprise Products Operating LLC | 5.250% | 1/31/20 | 6,475 | 6,753 |
| Enterprise Products Operating LLC | 5.200% | 9/1/20 | 9,125 | 9,619 |
| 2 Enterprise Products Operating LLC | 7.000% | 6/1/67 | 2,250 | 1,564 |
| 2 Enterprise Products Operating LLC | 7.034% | 1/15/68 | 6,601 | 6,485 |
| EOG Resources Inc. | 5.875% | 9/15/17 | 3,005 | 3,145 |
| EOG Resources Inc. | 6.875% | 10/1/18 | 2,075 | 2,253 |
24
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| EOG Resources Inc. | 5.625% | 6/1/19 | 9,030 | 9,524 |
| EOG Resources Inc. | 2.450% | 4/1/20 | 1,500 | 1,434 |
| EOG Resources Inc. | 4.400% | 6/1/20 | 8,325 | 8,546 |
| EOG Resources Inc. | 4.100% | 2/1/21 | 4,675 | 4,734 |
| EQT Corp. | 6.500% | 4/1/18 | 3,543 | 3,574 |
| EQT Corp. | 8.125% | 6/1/19 | 5,275 | 5,354 |
| Exxon Mobil Corp. | 0.921% | 3/15/17 | 4,675 | 4,680 |
| Exxon Mobil Corp. | 1.439% | 3/1/18 | 20,000 | 20,000 |
| Exxon Mobil Corp. | 1.305% | 3/6/18 | 9,750 | 9,732 |
| Exxon Mobil Corp. | 1.819% | 3/15/19 | 14,000 | 14,076 |
| Exxon Mobil Corp. | 1.912% | 3/6/20 | 13,550 | 13,611 |
| Exxon Mobil Corp. | 2.222% | 3/1/21 | 18,500 | 18,500 |
| FMC Technologies Inc. | 2.000% | 10/1/17 | 2,240 | 2,161 |
| Halliburton Co. | 2.000% | 8/1/18 | 1,750 | 1,732 |
| Halliburton Co. | 5.900% | 9/15/18 | 4,775 | 5,160 |
| Halliburton Co. | 6.150% | 9/15/19 | 6,450 | 7,026 |
| Halliburton Co. | 2.700% | 11/15/20 | 9,000 | 8,845 |
| Hess Corp. | 1.300% | 6/15/17 | 2,300 | 2,197 |
| Hess Corp. | 8.125% | 2/15/19 | 7,388 | 7,664 |
| Husky Energy Inc. | 6.150% | 6/15/19 | 1,010 | 991 |
| Husky Energy Inc. | 7.250% | 12/15/19 | 6,870 | 6,890 |
| Kinder Morgan Energy Partners LP | 5.950% | 2/15/18 | 10,100 | 10,406 |
| Kinder Morgan Energy Partners LP | 2.650% | 2/1/19 | 525 | 491 |
| Kinder Morgan Energy Partners LP | 9.000% | 2/1/19 | 3,775 | 4,061 |
| Kinder Morgan Energy Partners LP | 6.850% | 2/15/20 | 5,175 | 5,335 |
| Kinder Morgan Energy Partners LP | 6.500% | 4/1/20 | 5,675 | 5,793 |
| Kinder Morgan Energy Partners LP | 5.300% | 9/15/20 | 1,500 | 1,472 |
| Kinder Morgan Inc. | 7.000% | 6/15/17 | 9,722 | 10,048 |
| Kinder Morgan Inc. | 2.000% | 12/1/17 | 3,250 | 3,158 |
| Kinder Morgan Inc. | 7.250% | 6/1/18 | 1,500 | 1,533 |
| Kinder Morgan Inc. | 3.050% | 12/1/19 | 10,775 | 9,945 |
| Kinder Morgan Inc. | 6.500% | 9/15/20 | 3,278 | 3,339 |
| Magellan Midstream Partners LP | 6.550% | 7/15/19 | 3,696 | 4,035 |
| Magellan Midstream Partners LP | 4.250% | 2/1/21 | 2,200 | 2,203 |
| Marathon Oil Corp. | 6.000% | 10/1/17 | 2,925 | 2,838 |
| Marathon Oil Corp. | 5.900% | 3/15/18 | 7,577 | 6,876 |
| Marathon Oil Corp. | 2.700% | 6/1/20 | 6,075 | 4,313 |
| Marathon Petroleum Corp. | 2.700% | 12/14/18 | 3,850 | 3,728 |
| Marathon Petroleum Corp. | 3.400% | 12/15/20 | 3,800 | 3,545 |
| Nabors Industries Inc. | 6.150% | 2/15/18 | 7,200 | 6,750 |
| Nabors Industries Inc. | 9.250% | 1/15/19 | 1,550 | 1,459 |
| Nabors Industries Inc. | 5.000% | 9/15/20 | 4,450 | 3,337 |
| National Fuel Gas Co. | 8.750% | 5/1/19 | 2,300 | 2,616 |
| National Oilwell Varco Inc. | 1.350% | 12/1/17 | 3,060 | 2,955 |
| Noble Energy Inc. | 8.250% | 3/1/19 | 9,450 | 9,681 |
| Noble Holding International Ltd. | 2.500% | 3/15/17 | 2,925 | 2,782 |
| Noble Holding International Ltd. | 4.900% | 8/1/20 | 3,750 | 2,236 |
| Occidental Petroleum Corp. | 1.500% | 2/15/18 | 4,860 | 4,781 |
| Occidental Petroleum Corp. | 4.100% | 2/1/21 | 6,050 | 6,376 |
| ONEOK Partners LP | 2.000% | 10/1/17 | 3,775 | 3,542 |
| ONEOK Partners LP | 3.200% | 9/15/18 | 2,450 | 2,237 |
| ONEOK Partners LP | 8.625% | 3/1/19 | 6,575 | 6,810 |
| Panhandle Eastern Pipe Line Co. LP | 6.200% | 11/1/17 | 1,561 | 1,608 |
| Panhandle Eastern Pipe Line Co. LP | 7.000% | 6/15/18 | 5,347 | 5,586 |
| Petro-Canada | 6.050% | 5/15/18 | 3,586 | 3,687 |
| Phillips 66 | 2.950% | 5/1/17 | 16,865 | 17,069 |
| Phillips 66 Partners LP | 2.646% | 2/15/20 | 2,225 | 2,061 |
| Pioneer Natural Resources Co. | 6.650% | 3/15/17 | 2,445 | 2,482 |
| Pioneer Natural Resources Co. | 6.875% | 5/1/18 | 3,075 | 3,188 |
| Pioneer Natural Resources Co. | 7.500% | 1/15/20 | 3,200 | 3,403 |
| Pioneer Natural Resources Co. | 3.450% | 1/15/21 | 3,800 | 3,577 |
| Plains All American Pipeline LP / PAA Finance Corp. | 6.500% | 5/1/18 | 6,350 | 6,323 |
| Plains All American Pipeline LP / PAA Finance Corp. | 8.750% | 5/1/19 | 5,140 | 5,280 |
| Plains All American Pipeline LP / PAA Finance Corp. | 5.750% | 1/15/20 | 5,640 | 5,410 |
25
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Pride International Inc. | 8.500% | 6/15/19 | 3,225 | 2,257 |
| Pride International Inc. | 6.875% | 8/15/20 | 8,300 | 4,855 |
| Regency Energy Partners LP / Regency Energy Finance | ||||
| Corp. | 5.750% | 9/1/20 | 5,425 | 5,032 |
| Repsol Oil & Gas Canada Inc. | 7.750% | 6/1/19 | 5,200 | 4,641 |
| Repsol Oil & Gas Canada Inc. | 3.750% | 2/1/21 | 4,845 | 3,440 |
| Rowan Cos. Inc. | 5.000% | 9/1/17 | 1,700 | 1,513 |
| Rowan Cos. Inc. | 7.875% | 8/1/19 | 3,625 | 2,927 |
| Shell International Finance BV | 5.200% | 3/22/17 | 7,200 | 7,486 |
| Shell International Finance BV | 1.125% | 8/21/17 | 7,295 | 7,243 |
| Shell International Finance BV | 1.250% | 11/10/17 | 7,000 | 6,957 |
| Shell International Finance BV | 1.900% | 8/10/18 | 9,450 | 9,421 |
| Shell International Finance BV | 1.625% | 11/10/18 | 7,500 | 7,380 |
| Shell International Finance BV | 2.000% | 11/15/18 | 15,525 | 15,408 |
| Shell International Finance BV | 4.300% | 9/22/19 | 15,875 | 16,782 |
| Shell International Finance BV | 4.375% | 3/25/20 | 6,905 | 7,324 |
| Shell International Finance BV | 2.125% | 5/11/20 | 16,544 | 16,146 |
| Shell International Finance BV | 2.250% | 11/10/20 | 9,000 | 8,809 |
| 1 Southern Natural Gas Co. LLC | 5.900% | 4/1/17 | 2,858 | 2,915 |
| Southwestern Energy Co. | 4.050% | 1/23/20 | 2,127 | 1,372 |
| Spectra Energy Capital LLC | 6.200% | 4/15/18 | 4,907 | 5,121 |
| Spectra Energy Capital LLC | 8.000% | 10/1/19 | 4,875 | 5,288 |
| Spectra Energy Partners LP | 2.950% | 9/25/18 | 9,698 | 9,568 |
| Suncor Energy Inc. | 6.100% | 6/1/18 | 11,027 | 11,295 |
| Sunoco Logistics Partners Operations LP | 5.500% | 2/15/20 | 1,700 | 1,615 |
| Tennessee Gas Pipeline Co. LLC | 7.500% | 4/1/17 | 3,275 | 3,381 |
| Total Capital Canada Ltd. | 1.450% | 1/15/18 | 11,879 | 11,764 |
| Total Capital International SA | 1.550% | 6/28/17 | 11,601 | 11,601 |
| Total Capital International SA | 2.125% | 1/10/19 | 7,784 | 7,737 |
| Total Capital International SA | 2.100% | 6/19/19 | 6,150 | 6,072 |
| Total Capital SA | 2.125% | 8/10/18 | 12,065 | 12,086 |
| Total Capital SA | 4.450% | 6/24/20 | 9,250 | 9,898 |
| Total Capital SA | 4.125% | 1/28/21 | 3,355 | 3,555 |
| TransCanada PipeLines Ltd. | 1.625% | 11/9/17 | 10,600 | 10,443 |
| TransCanada PipeLines Ltd. | 1.875% | 1/12/18 | 4,750 | 4,681 |
| TransCanada PipeLines Ltd. | 6.500% | 8/15/18 | 9,317 | 10,066 |
| TransCanada PipeLines Ltd. | 3.125% | 1/15/19 | 4,500 | 4,533 |
| TransCanada PipeLines Ltd. | 7.125% | 1/15/19 | 2,392 | 2,637 |
| TransCanada PipeLines Ltd. | 3.800% | 10/1/20 | 4,225 | 4,265 |
| 2 TransCanada PipeLines Ltd. | 6.350% | 5/15/67 | 7,125 | 4,560 |
| Transcontinental Gas Pipe Line Co. LLC | 6.050% | 6/15/18 | 1,375 | 1,389 |
| Valero Energy Corp. | 6.125% | 6/15/17 | 2,325 | 2,405 |
| Valero Energy Corp. | 9.375% | 3/15/19 | 4,948 | 5,746 |
| Valero Energy Corp. | 6.125% | 2/1/20 | 5,530 | 5,927 |
| Western Gas Partners LP | 2.600% | 8/15/18 | 3,650 | 3,189 |
| Williams Partners LP | 5.250% | 3/15/20 | 14,809 | 13,180 |
| Williams Partners LP | 4.125% | 11/15/20 | 2,907 | 2,427 |
| XTO Energy Inc. | 6.250% | 8/1/17 | 3,485 | 3,726 |
| XTO Energy Inc. | 5.500% | 6/15/18 | 8,350 | 9,075 |
| XTO Energy Inc. | 6.500% | 12/15/18 | 3,235 | 3,670 |
| Other Industrial (0.0%) | ||||
| Cintas Corp. No 2 | 6.125% | 12/1/17 | 2,125 | 2,288 |
| Yale University Connecticut GO | 2.086% | 4/15/19 | 1,400 | 1,429 |
| Technology (7.0%) | ||||
| Adobe Systems Inc. | 4.750% | 2/1/20 | 9,475 | 10,377 |
| Altera Corp. | 1.750% | 5/15/17 | 6,575 | 6,624 |
| Altera Corp. | 2.500% | 11/15/18 | 4,500 | 4,604 |
| Amphenol Corp. | 1.550% | 9/15/17 | 2,075 | 2,069 |
| Amphenol Corp. | 2.550% | 1/30/19 | 8,575 | 8,638 |
| Apple Inc. | 1.050% | 5/5/17 | 11,350 | 11,379 |
| Apple Inc. | 0.900% | 5/12/17 | 6,420 | 6,425 |
| Apple Inc. | 1.000% | 5/3/18 | 32,123 | 32,041 |
| Apple Inc. | 2.100% | 5/6/19 | 17,245 | 17,605 |
26
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Apple Inc. | 1.550% | 2/7/20 | 8,175 | 8,136 |
| Apple Inc. | 2.000% | 5/6/20 | 13,500 | 13,665 |
| Apple Inc. | 2.250% | 2/23/21 | 22,500 | 22,834 |
| Applied Materials Inc. | 2.625% | 10/1/20 | 4,000 | 4,092 |
| Arrow Electronics Inc. | 3.000% | 3/1/18 | 3,100 | 3,117 |
| Arrow Electronics Inc. | 6.000% | 4/1/20 | 1,400 | 1,524 |
| Autodesk Inc. | 1.950% | 12/15/17 | 3,025 | 2,999 |
| Autodesk Inc. | 3.125% | 6/15/20 | 4,500 | 4,520 |
| Avnet Inc. | 5.875% | 6/15/20 | 1,575 | 1,738 |
| Baidu Inc. | 2.250% | 11/28/17 | 5,900 | 5,914 |
| Baidu Inc. | 3.250% | 8/6/18 | 7,500 | 7,645 |
| Baidu Inc. | 2.750% | 6/9/19 | 7,266 | 7,262 |
| Baidu Inc. | 3.000% | 6/30/20 | 5,500 | 5,513 |
| Broadridge Financial Solutions Inc. | 3.950% | 9/1/20 | 300 | 316 |
| CA Inc. | 2.875% | 8/15/18 | 1,850 | 1,866 |
| CA Inc. | 5.375% | 12/1/19 | 4,925 | 5,377 |
| CA Inc. | 3.600% | 8/1/20 | 3,000 | 3,079 |
| CDK Global Inc. | 3.300% | 10/15/19 | 1,500 | 1,510 |
| Cisco Systems Inc. | 1.100% | 3/3/17 | 12,504 | 12,539 |
| Cisco Systems Inc. | 3.150% | 3/14/17 | 7,291 | 7,456 |
| Cisco Systems Inc. | 1.400% | 2/28/18 | 7,300 | 7,326 |
| Cisco Systems Inc. | 1.650% | 6/15/18 | 5,025 | 5,059 |
| Cisco Systems Inc. | 4.950% | 2/15/19 | 20,631 | 22,705 |
| Cisco Systems Inc. | 2.125% | 3/1/19 | 17,700 | 18,067 |
| Cisco Systems Inc. | 4.450% | 1/15/20 | 22,410 | 24,560 |
| Cisco Systems Inc. | 2.450% | 6/15/20 | 11,851 | 12,135 |
| Cisco Systems Inc. | 2.200% | 2/28/21 | 14,500 | 14,640 |
| Computer Sciences Corp. | 6.500% | 3/15/18 | 5,450 | 6,029 |
| Corning Inc. | 1.450% | 11/15/17 | 850 | 844 |
| Corning Inc. | 1.500% | 5/8/18 | 2,750 | 2,723 |
| Corning Inc. | 6.625% | 5/15/19 | 3,155 | 3,556 |
| Corning Inc. | 4.250% | 8/15/20 | 2,000 | 2,126 |
| Dun & Bradstreet Corp. | 3.250% | 12/1/17 | 2,100 | 2,124 |
| EMC Corp. | 1.875% | 6/1/18 | 15,700 | 15,131 |
| EMC Corp. | 2.650% | 6/1/20 | 18,680 | 16,949 |
| Equifax Inc. | 6.300% | 7/1/17 | 1,800 | 1,909 |
| Fidelity National Information Services Inc. | 1.450% | 6/5/17 | 8,326 | 8,248 |
| Fidelity National Information Services Inc. | 2.000% | 4/15/18 | 475 | 472 |
| Fidelity National Information Services Inc. | 2.850% | 10/15/18 | 3,650 | 3,679 |
| Fidelity National Information Services Inc. | 3.625% | 10/15/20 | 14,485 | 14,787 |
| Fiserv Inc. | 2.700% | 6/1/20 | 5,700 | 5,747 |
| Fiserv Inc. | 4.625% | 10/1/20 | 5,454 | 5,953 |
| 1 Hewlett Packard Enterprise Co. | 2.450% | 10/5/17 | 16,625 | 16,602 |
| 1 Hewlett Packard Enterprise Co. | 2.850% | 10/5/18 | 19,525 | 19,535 |
| 1 Hewlett Packard Enterprise Co. | 3.600% | 10/15/20 | 22,725 | 22,614 |
| HP Inc. | 3.750% | 12/1/20 | 457 | 468 |
| HP Inc. | 4.650% | 12/9/21 | 5,000 | 5,102 |
| Intel Corp. | 1.350% | 12/15/17 | 26,033 | 26,157 |
| Intel Corp. | 2.450% | 7/29/20 | 11,175 | 11,412 |
| International Business Machines Corp. | 5.700% | 9/14/17 | 22,541 | 24,096 |
| International Business Machines Corp. | 1.125% | 2/6/18 | 14,000 | 13,951 |
| International Business Machines Corp. | 1.250% | 2/8/18 | 11,025 | 11,015 |
| International Business Machines Corp. | 7.625% | 10/15/18 | 11,435 | 13,159 |
| International Business Machines Corp. | 1.950% | 2/12/19 | 4,350 | 4,392 |
| International Business Machines Corp. | 1.875% | 5/15/19 | 3,775 | 3,808 |
| International Business Machines Corp. | 1.800% | 5/17/19 | 7,000 | 7,005 |
| International Business Machines Corp. | 8.375% | 11/1/19 | 3,389 | 4,165 |
| International Business Machines Corp. | 1.625% | 5/15/20 | 11,700 | 11,653 |
| International Business Machines Corp. | 2.250% | 2/19/21 | 7,200 | 7,245 |
| Intuit Inc. | 5.750% | 3/15/17 | 3,350 | 3,492 |
| Jabil Circuit Inc. | 8.250% | 3/15/18 | 1,550 | 1,682 |
| Jabil Circuit Inc. | 5.625% | 12/15/20 | 3,000 | 3,098 |
| Juniper Networks Inc. | 3.125% | 2/26/19 | 2,800 | 2,808 |
| Juniper Networks Inc. | 3.300% | 6/15/20 | 2,200 | 2,222 |
27
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Keysight Technologies Inc. | 3.300% | 10/30/19 | 3,800 | 3,768 |
| KLA-Tencor Corp. | 3.375% | 11/1/19 | 1,200 | 1,220 |
| Lam Research Corp. | 2.750% | 3/15/20 | 4,730 | 4,597 |
| Lexmark International Inc. | 6.650% | 6/1/18 | 1,600 | 1,693 |
| Lexmark International Inc. | 5.125% | 3/15/20 | 3,600 | 3,654 |
| Maxim Integrated Products Inc. | 2.500% | 11/15/18 | 3,785 | 3,794 |
| Microsoft Corp. | 0.875% | 11/15/17 | 3,100 | 3,098 |
| Microsoft Corp. | 1.000% | 5/1/18 | 2,848 | 2,834 |
| Microsoft Corp. | 1.300% | 11/3/18 | 18,600 | 18,673 |
| Microsoft Corp. | 1.625% | 12/6/18 | 1,750 | 1,777 |
| Microsoft Corp. | 4.200% | 6/1/19 | 8,495 | 9,274 |
| Microsoft Corp. | 1.850% | 2/12/20 | 6,167 | 6,257 |
| Microsoft Corp. | 3.000% | 10/1/20 | 11,920 | 12,645 |
| Microsoft Corp. | 2.000% | 11/3/20 | 25,100 | 25,509 |
| National Semiconductor Corp. | 6.600% | 6/15/17 | 3,850 | 4,112 |
| NetApp Inc. | 2.000% | 12/15/17 | 4,499 | 4,501 |
| Oracle Corp. | 1.200% | 10/15/17 | 17,302 | 17,349 |
| Oracle Corp. | 5.750% | 4/15/18 | 20,474 | 22,316 |
| Oracle Corp. | 2.375% | 1/15/19 | 15,750 | 16,177 |
| Oracle Corp. | 5.000% | 7/8/19 | 17,083 | 18,965 |
| Oracle Corp. | 2.250% | 10/8/19 | 18,496 | 18,944 |
| Oracle Corp. | 3.875% | 7/15/20 | 3,625 | 3,924 |
| Pitney Bowes Inc. | 5.750% | 9/15/17 | 3,080 | 3,235 |
| Pitney Bowes Inc. | 5.600% | 3/15/18 | 725 | 764 |
| Pitney Bowes Inc. | 4.750% | 5/15/18 | 2,905 | 3,052 |
| Pitney Bowes Inc. | 6.250% | 3/15/19 | 500 | 549 |
| QUALCOMM Inc. | 1.400% | 5/18/18 | 3,500 | 3,492 |
| QUALCOMM Inc. | 2.250% | 5/20/20 | 18,000 | 18,191 |
| Seagate HDD Cayman | 3.750% | 11/15/18 | 5,825 | 5,752 |
| 1 Semiconductor Manufacturing International Corp. | 4.125% | 10/7/19 | 3,500 | 3,527 |
| Symantec Corp. | 2.750% | 6/15/17 | 4,003 | 4,002 |
| Symantec Corp. | 4.200% | 9/15/20 | 5,925 | 5,928 |
| Tech Data Corp. | 3.750% | 9/21/17 | 1,700 | 1,731 |
| Texas Instruments Inc. | 1.000% | 5/1/18 | 8,175 | 8,165 |
| Texas Instruments Inc. | 1.650% | 8/3/19 | 4,334 | 4,332 |
| Texas Instruments Inc. | 1.750% | 5/1/20 | 1,896 | 1,896 |
| Total System Services Inc. | 2.375% | 6/1/18 | 4,275 | 4,218 |
| Tyco Electronics Group SA | 6.550% | 10/1/17 | 10,395 | 11,187 |
| Tyco Electronics Group SA | 2.375% | 12/17/18 | 1,760 | 1,770 |
| Tyco Electronics Group SA | 2.350% | 8/1/19 | 3,715 | 3,729 |
| Xerox Corp. | 2.950% | 3/15/17 | 5,150 | 5,161 |
| Xerox Corp. | 6.350% | 5/15/18 | 5,020 | 5,273 |
| Xerox Corp. | 2.750% | 3/15/19 | 5,000 | 4,758 |
| Xerox Corp. | 5.625% | 12/15/19 | 4,300 | 4,387 |
| Xerox Corp. | 2.800% | 5/15/20 | 1,650 | 1,487 |
| Xerox Corp. | 2.750% | 9/1/20 | 5,425 | 4,905 |
| Xilinx Inc. | 2.125% | 3/15/19 | 3,290 | 3,266 |
| Transportation (1.3%) | ||||
| Burlington Northern Santa Fe LLC | 5.650% | 5/1/17 | 3,756 | 3,937 |
| Burlington Northern Santa Fe LLC | 5.750% | 3/15/18 | 5,100 | 5,510 |
| Burlington Northern Santa Fe LLC | 4.700% | 10/1/19 | 5,082 | 5,516 |
| Burlington Northern Santa Fe LLC | 3.600% | 9/1/20 | 1,675 | 1,765 |
| Canadian National Railway Co. | 5.850% | 11/15/17 | 1,300 | 1,391 |
| Canadian National Railway Co. | 5.550% | 5/15/18 | 1,900 | 2,060 |
| Canadian National Railway Co. | 5.550% | 3/1/19 | 3,300 | 3,659 |
| Canadian Pacific Railway Co. | 6.500% | 5/15/18 | 1,639 | 1,789 |
| Canadian Pacific Railway Co. | 7.250% | 5/15/19 | 3,980 | 4,562 |
| 2 Continental Airlines 2009-1 Pass Through Trust | 9.000% | 1/8/18 | 1,139 | 1,165 |
| 2 Continental Airlines 2009-2 Class A Pass Through Trust | 7.250% | 5/10/21 | 2,727 | 3,071 |
| 2 Continental Airlines 2010-1 Class A Pass Through Trust | 4.750% | 7/12/22 | 1,617 | 1,690 |
| CSX Corp. | 5.600% | 5/1/17 | 2,845 | 2,976 |
| CSX Corp. | 7.900% | 5/1/17 | 1,750 | 1,876 |
| CSX Corp. | 6.250% | 3/15/18 | 6,925 | 7,558 |
28
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| CSX Corp. | 7.375% | 2/1/19 | 3,425 | 3,940 |
| CSX Corp. | 3.700% | 10/30/20 | 1,199 | 1,266 |
| 2 Delta Air Lines 2009-1 Class A Pass Through Trust | 7.750% | 6/17/21 | 2,324 | 2,603 |
| 2 Delta Air Lines 2010-1 Class A Pass Through Trust | 6.200% | 1/2/20 | 1,081 | 1,158 |
| 2 Delta Air Lines 2010-2 Class A Pass Through Trust | 4.950% | 11/23/20 | 1,980 | 2,079 |
| 2 Delta Air Lines 2012-1 Class A Pass Through Trust | 4.750% | 11/7/21 | 1,877 | 1,981 |
| FedEx Corp. | 8.000% | 1/15/19 | 4,550 | 5,321 |
| FedEx Corp. | 2.300% | 2/1/20 | 1,700 | 1,715 |
| JB Hunt Transport Services Inc. | 2.400% | 3/15/19 | 1,950 | 1,947 |
| 1 Kansas City Southern | 2.350% | 5/15/20 | 2,150 | 2,075 |
| Norfolk Southern Corp. | 7.700% | 5/15/17 | 4,299 | 4,617 |
| Norfolk Southern Corp. | 5.750% | 4/1/18 | 4,238 | 4,572 |
| Norfolk Southern Corp. | 5.900% | 6/15/19 | 4,515 | 5,027 |
| 2 Northwest Airlines 2007-1 Class A Pass Through Trust | 7.027% | 5/1/21 | 1,651 | 1,827 |
| Ryder System Inc. | 2.500% | 3/1/17 | 2,650 | 2,668 |
| Ryder System Inc. | 3.500% | 6/1/17 | 1,975 | 2,016 |
| Ryder System Inc. | 2.500% | 3/1/18 | 2,470 | 2,478 |
| Ryder System Inc. | 2.450% | 11/15/18 | 2,675 | 2,699 |
| Ryder System Inc. | 2.350% | 2/26/19 | 2,025 | 2,034 |
| Ryder System Inc. | 2.550% | 6/1/19 | 2,400 | 2,397 |
| Ryder System Inc. | 2.450% | 9/3/19 | 3,050 | 3,042 |
| Ryder System Inc. | 2.650% | 3/2/20 | 5,000 | 4,893 |
| Ryder System Inc. | 2.500% | 5/11/20 | 3,100 | 3,015 |
| Ryder System Inc. | 2.875% | 9/1/20 | 3,050 | 3,030 |
| Southern Railway Co. | 9.750% | 6/15/20 | 1,286 | 1,665 |
| Southwest Airlines Co. | 5.125% | 3/1/17 | 1,700 | 1,759 |
| Southwest Airlines Co. | 2.750% | 11/6/19 | 3,000 | 3,072 |
| Southwest Airlines Co. | 2.650% | 11/5/20 | 2,825 | 2,854 |
| Union Pacific Corp. | 5.750% | 11/15/17 | 2,625 | 2,816 |
| Union Pacific Corp. | 5.700% | 8/15/18 | 2,775 | 3,050 |
| Union Pacific Corp. | 2.250% | 2/15/19 | 2,700 | 2,747 |
| Union Pacific Corp. | 1.800% | 2/1/20 | 2,450 | 2,429 |
| Union Pacific Corp. | 2.250% | 6/19/20 | 4,100 | 4,156 |
| Union Pacific Corp. | 4.000% | 2/1/21 | 3,875 | 4,193 |
| United Parcel Service Inc. | 1.125% | 10/1/17 | 8,125 | 8,146 |
| United Parcel Service Inc. | 5.500% | 1/15/18 | 6,870 | 7,430 |
| United Parcel Service Inc. | 5.125% | 4/1/19 | 7,645 | 8,467 |
| United Parcel Service Inc. | 3.125% | 1/15/21 | 8,900 | 9,432 |
| United Parcel Service of America Inc. | 8.375% | 4/1/20 | 800 | 1,000 |
| 7,320,972 | ||||
| Utilities (5.1%) | ||||
| Electric (4.6%) | ||||
| Alabama Power Co. | 5.500% | 10/15/17 | 1,925 | 2,042 |
| Alabama Power Co. | 3.375% | 10/1/20 | 745 | 781 |
| Ameren Corp. | 2.700% | 11/15/20 | 3,875 | 3,925 |
| Ameren Illinois Co. | 6.125% | 11/15/17 | 1,275 | 1,371 |
| American Electric Power Co. Inc. | 1.650% | 12/15/17 | 6,847 | 6,801 |
| Appalachian Power Co. | 5.000% | 6/1/17 | 210 | 218 |
| Arizona Public Service Co. | 8.750% | 3/1/19 | 6,227 | 7,418 |
| Arizona Public Service Co. | 2.200% | 1/15/20 | 1,500 | 1,508 |
| Atlantic City Electric Co. | 7.750% | 11/15/18 | 750 | 865 |
| Avista Corp. | 5.950% | 6/1/18 | 1,460 | 1,594 |
| Berkshire Hathaway Energy Co. | 1.100% | 5/15/17 | 3,750 | 3,739 |
| Berkshire Hathaway Energy Co. | 5.750% | 4/1/18 | 6,745 | 7,264 |
| Berkshire Hathaway Energy Co. | 2.000% | 11/15/18 | 3,068 | 3,073 |
| Berkshire Hathaway Energy Co. | 2.400% | 2/1/20 | 2,900 | 2,942 |
| Black Hills Corp. | 2.500% | 1/11/19 | 1,925 | 1,938 |
| CenterPoint Energy Inc. | 6.500% | 5/1/18 | 4,749 | 5,170 |
| Cleco Power LLC | 6.650% | 6/15/18 | 817 | 894 |
| Cleveland Electric Illuminating Co. | 7.880% | 11/1/17 | 2,128 | 2,325 |
| Cleveland Electric Illuminating Co. | 8.875% | 11/15/18 | 500 | 587 |
| CMS Energy Corp. | 6.550% | 7/17/17 | 1,050 | 1,117 |
| CMS Energy Corp. | 5.050% | 2/15/18 | 1,000 | 1,059 |
29
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| CMS Energy Corp. | 8.750% | 6/15/19 | 7,125 | 8,591 |
| CMS Energy Corp. | 6.250% | 2/1/20 | 1,375 | 1,573 |
| Commonwealth Edison Co. | 6.150% | 9/15/17 | 3,125 | 3,344 |
| Commonwealth Edison Co. | 5.800% | 3/15/18 | 5,550 | 6,014 |
| Commonwealth Edison Co. | 2.150% | 1/15/19 | 7,375 | 7,479 |
| Commonwealth Edison Co. | 4.000% | 8/1/20 | 2,625 | 2,816 |
| Connecticut Light & Power Co. | 5.650% | 5/1/18 | 5,800 | 6,302 |
| Connecticut Light & Power Co. | 5.500% | 2/1/19 | 2,125 | 2,362 |
| Consolidated Edison Co. of New York Inc. | 5.850% | 4/1/18 | 5,525 | 5,989 |
| Consolidated Edison Co. of New York Inc. | 7.125% | 12/1/18 | 4,825 | 5,508 |
| Consolidated Edison Co. of New York Inc. | 6.650% | 4/1/19 | 3,675 | 4,185 |
| Consolidated Edison Co. of New York Inc. | 4.450% | 6/15/20 | 1,550 | 1,699 |
| Constellation Energy Group Inc. | 5.150% | 12/1/20 | 4,650 | 5,126 |
| Consumers Energy Co. | 5.650% | 9/15/18 | 2,000 | 2,186 |
| Consumers Energy Co. | 6.125% | 3/15/19 | 5,400 | 6,084 |
| Consumers Energy Co. | 6.700% | 9/15/19 | 175 | 203 |
| Consumers Energy Co. | 5.650% | 4/15/20 | 2,875 | 3,294 |
| Dominion Resources Inc. | 1.250% | 3/15/17 | 2,925 | 2,917 |
| Dominion Resources Inc. | 1.400% | 9/15/17 | 5,600 | 5,565 |
| Dominion Resources Inc. | 1.900% | 6/15/18 | 500 | 497 |
| Dominion Resources Inc. | 6.400% | 6/15/18 | 2,740 | 2,997 |
| Dominion Resources Inc. | 5.200% | 8/15/19 | 2,650 | 2,900 |
| Dominion Resources Inc. | 2.500% | 12/1/19 | 10,687 | 10,769 |
| DTE Electric Co. | 5.600% | 6/15/18 | 850 | 926 |
| DTE Electric Co. | 3.450% | 10/1/20 | 3,675 | 3,902 |
| DTE Energy Co. | 2.400% | 12/1/19 | 5,900 | 5,947 |
| Duke Energy Carolinas LLC | 1.750% | 12/15/16 | 2,725 | 2,737 |
| Duke Energy Carolinas LLC | 5.100% | 4/15/18 | 5,432 | 5,845 |
| Duke Energy Carolinas LLC | 7.000% | 11/15/18 | 2,527 | 2,874 |
| Duke Energy Carolinas LLC | 4.300% | 6/15/20 | 1,775 | 1,954 |
| Duke Energy Corp. | 1.625% | 8/15/17 | 5,300 | 5,296 |
| Duke Energy Corp. | 2.100% | 6/15/18 | 7,690 | 7,721 |
| Duke Energy Corp. | 6.250% | 6/15/18 | 2,000 | 2,192 |
| Duke Energy Corp. | 5.050% | 9/15/19 | 7,420 | 8,107 |
| Duke Energy Florida LLC | 5.800% | 9/15/17 | 265 | 282 |
| Duke Energy Florida LLC | 5.650% | 6/15/18 | 5,897 | 6,427 |
| Duke Energy Indiana LLC | 3.750% | 7/15/20 | 2,200 | 2,353 |
| Duke Energy Ohio Inc. | 5.450% | 4/1/19 | 4,613 | 5,127 |
| Duke Energy Progress LLC | 5.300% | 1/15/19 | 5,883 | 6,484 |
| Edison International | 3.750% | 9/15/17 | 5,565 | 5,733 |
| Entergy Corp. | 5.125% | 9/15/20 | 875 | 954 |
| Entergy Gulf States Louisiana LLC | 6.000% | 5/1/18 | 2,825 | 3,074 |
| Entergy Gulf States Louisiana LLC | 3.950% | 10/1/20 | 3,810 | 4,094 |
| Entergy Louisiana LLC | 6.500% | 9/1/18 | 3,075 | 3,424 |
| Entergy Texas Inc. | 7.125% | 2/1/19 | 5,655 | 6,418 |
| Eversource Energy | 1.450% | 5/1/18 | 3,200 | 3,168 |
| Eversource Energy | 4.500% | 11/15/19 | 1,487 | 1,606 |
| Exelon Corp. | 1.550% | 6/9/17 | 3,020 | 3,006 |
| Exelon Corp. | 2.850% | 6/15/20 | 2,500 | 2,522 |
| Exelon Generation Co. LLC | 6.200% | 10/1/17 | 5,263 | 5,606 |
| Exelon Generation Co. LLC | 5.200% | 10/1/19 | 5,550 | 5,991 |
| Exelon Generation Co. LLC | 2.950% | 1/15/20 | 11,600 | 11,608 |
| Exelon Generation Co. LLC | 4.000% | 10/1/20 | 5,575 | 5,758 |
| Florida Power & Light Co. | 5.550% | 11/1/17 | 2,477 | 2,646 |
| Georgia Power Co. | 5.700% | 6/1/17 | 1,300 | 1,364 |
| Georgia Power Co. | 5.400% | 6/1/18 | 2,500 | 2,714 |
| Georgia Power Co. | 1.950% | 12/1/18 | 8,010 | 8,057 |
| Georgia Power Co. | 4.250% | 12/1/19 | 3,655 | 3,936 |
| Indiana Michigan Power Co. | 7.000% | 3/15/19 | 3,817 | 4,339 |
| Jersey Central Power & Light Co. | 5.650% | 6/1/17 | 1,500 | 1,561 |
| Kansas City Power & Light Co. | 6.375% | 3/1/18 | 3,346 | 3,649 |
| Kansas City Power & Light Co. | 7.150% | 4/1/19 | 4,300 | 4,957 |
| Kentucky Utilities Co. | 3.250% | 11/1/20 | 3,925 | 4,151 |
| LG&E & KU Energy LLC | 3.750% | 11/15/20 | 1,200 | 1,263 |
30
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Metropolitan Edison Co. | 7.700% | 1/15/19 | 2,017 | 2,298 |
| MidAmerican Energy Co. | 5.950% | 7/15/17 | 3,539 | 3,755 |
| National Rural Utilities Cooperative Finance Corp. | 5.450% | 4/10/17 | 4,629 | 4,847 |
| National Rural Utilities Cooperative Finance Corp. | 0.950% | 4/24/17 | 2,760 | 2,756 |
| National Rural Utilities Cooperative Finance Corp. | 5.450% | 2/1/18 | 3,637 | 3,898 |
| National Rural Utilities Cooperative Finance Corp. | 10.375% | 11/1/18 | 12,599 | 15,271 |
| National Rural Utilities Cooperative Finance Corp. | 2.150% | 2/1/19 | 5,000 | 5,069 |
| National Rural Utilities Cooperative Finance Corp. | 1.650% | 2/8/19 | 300 | 300 |
| National Rural Utilities Cooperative Finance Corp. | 2.300% | 11/15/19 | 1,300 | 1,324 |
| National Rural Utilities Cooperative Finance Corp. | 2.000% | 1/27/20 | 5,900 | 5,915 |
| National Rural Utilities Cooperative Finance Corp. | 2.350% | 6/15/20 | 2,785 | 2,816 |
| Nevada Power Co. | 6.500% | 5/15/18 | 475 | 523 |
| Nevada Power Co. | 6.500% | 8/1/18 | 3,095 | 3,431 |
| Nevada Power Co. | 7.125% | 3/15/19 | 6,735 | 7,672 |
| NextEra Energy Capital Holdings Inc. | 1.586% | 6/1/17 | 1,750 | 1,747 |
| NextEra Energy Capital Holdings Inc. | 6.000% | 3/1/19 | 9,300 | 10,162 |
| NextEra Energy Capital Holdings Inc. | 2.400% | 9/15/19 | 2,400 | 2,400 |
| NextEra Energy Capital Holdings Inc. | 2.700% | 9/15/19 | 3,239 | 3,253 |
| 2 NextEra Energy Capital Holdings Inc. | 6.650% | 6/15/67 | 4,075 | 3,066 |
| 2 NextEra Energy Capital Holdings Inc. | 7.300% | 9/1/67 | 1,005 | 957 |
| Northern States Power Co. | 5.250% | 3/1/18 | 5,725 | 6,146 |
| Northern States Power Co. | 2.200% | 8/15/20 | 3,000 | 3,045 |
| NorthWestern Corp. | 6.340% | 4/1/19 | 2,000 | 2,267 |
| NSTAR Electric Co. | 5.625% | 11/15/17 | 1,855 | 1,979 |
| Oglethorpe Power Corp. | 6.100% | 3/15/19 | 725 | 807 |
| Ohio Power Co. | 6.050% | 5/1/18 | 775 | 841 |
| Oklahoma Gas & Electric Co. | 8.250% | 1/15/19 | 1,225 | 1,430 |
| Oncor Electric Delivery Co. LLC | 5.000% | 9/30/17 | 1,000 | 1,047 |
| Oncor Electric Delivery Co. LLC | 6.800% | 9/1/18 | 4,195 | 4,660 |
| Oncor Electric Delivery Co. LLC | 2.150% | 6/1/19 | 2,250 | 2,233 |
| Pacific Gas & Electric Co. | 5.625% | 11/30/17 | 6,056 | 6,461 |
| Pacific Gas & Electric Co. | 8.250% | 10/15/18 | 8,390 | 9,774 |
| Pacific Gas & Electric Co. | 3.500% | 10/1/20 | 5,061 | 5,337 |
| PacifiCorp | 5.650% | 7/15/18 | 5,325 | 5,805 |
| PacifiCorp | 5.500% | 1/15/19 | 3,100 | 3,420 |
| Peco Energy Co. | 5.350% | 3/1/18 | 2,700 | 2,903 |
| Pennsylvania Electric Co. | 6.050% | 9/1/17 | 3,775 | 4,010 |
| Pennsylvania Electric Co. | 5.200% | 4/1/20 | 3,350 | 3,530 |
| PG&E Corp. | 2.400% | 3/1/19 | 1,975 | 1,992 |
| Portland General Electric Co. | 6.100% | 4/15/19 | 2,010 | 2,261 |
| PPL Capital Funding Inc. | 1.900% | 6/1/18 | 5,750 | 5,737 |
| 2 PPL Capital Funding Inc. | 6.700% | 3/30/67 | 2,500 | 1,875 |
| Progress Energy Inc. | 4.875% | 12/1/19 | 1,950 | 2,119 |
| Progress Energy Inc. | 4.400% | 1/15/21 | 675 | 726 |
| PSEG Power LLC | 2.450% | 11/15/18 | 3,000 | 3,006 |
| PSEG Power LLC | 5.125% | 4/15/20 | 3,200 | 3,486 |
| Public Service Co. of Colorado | 5.800% | 8/1/18 | 100 | 109 |
| Public Service Co. of Colorado | 5.125% | 6/1/19 | 4,025 | 4,464 |
| Public Service Co. of Colorado | 3.200% | 11/15/20 | 3,175 | 3,339 |
| Public Service Co. of New Mexico | 7.950% | 5/15/18 | 1,265 | 1,416 |
| Public Service Co. of Oklahoma | 5.150% | 12/1/19 | 872 | 947 |
| Public Service Co. of Oklahoma | 4.400% | 2/1/21 | 1,600 | 1,726 |
| Public Service Electric & Gas Co. | 5.300% | 5/1/18 | 3,115 | 3,373 |
| Public Service Electric & Gas Co. | 2.300% | 9/15/18 | 2,600 | 2,646 |
| Public Service Electric & Gas Co. | 1.800% | 6/1/19 | 5,200 | 5,199 |
| Public Service Electric & Gas Co. | 3.500% | 8/15/20 | 1,000 | 1,067 |
| Public Service Electric & Gas Co. | 1.900% | 3/15/21 | 3,625 | 3,619 |
| Puget Energy Inc. | 6.500% | 12/15/20 | 2,225 | 2,596 |
| SCANA Corp. | 6.250% | 4/1/20 | 4,000 | 4,497 |
| South Carolina Electric & Gas Co. | 5.250% | 11/1/18 | 2,525 | 2,752 |
| South Carolina Electric & Gas Co. | 6.500% | 11/1/18 | 3,325 | 3,743 |
| Southern California Edison Co. | 1.125% | 5/1/17 | 1,115 | 1,115 |
| Southern California Edison Co. | 5.500% | 8/15/18 | 3,700 | 4,053 |
| Southern Co. | 1.300% | 8/15/17 | 3,050 | 3,024 |
31
| Vanguard® Short-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Southern Co. | 2.450% | 9/1/18 | 4,500 | 4,554 |
| Southern Co. | 2.150% | 9/1/19 | 5,125 | 5,071 |
| Southern Co. | 2.750% | 6/15/20 | 7,920 | 7,921 |
| Southern Power Co. | 1.850% | 12/1/17 | 3,000 | 3,001 |
| Southwestern Electric Power Co. | 5.875% | 3/1/18 | 3,450 | 3,728 |
| Southwestern Electric Power Co. | 6.450% | 1/15/19 | 3,770 | 4,198 |
| Southwestern Public Service Co. | 8.750% | 12/1/18 | 155 | 183 |
| Tampa Electric Co. | 6.100% | 5/15/18 | 2,150 | 2,341 |
| TECO Finance Inc. | 6.572% | 11/1/17 | 4,428 | 4,759 |
| TECO Finance Inc. | 5.150% | 3/15/20 | 2,200 | 2,403 |
| TransAlta Corp. | 6.900% | 5/15/18 | 2,725 | 2,658 |
| UIL Holdings Corp. | 4.625% | 10/1/20 | 950 | 1,018 |
| Union Electric Co. | 6.400% | 6/15/17 | 4,477 | 4,755 |
| Union Electric Co. | 6.700% | 2/1/19 | 4,575 | 5,182 |
| Virginia Electric & Power Co. | 5.950% | 9/15/17 | 1,799 | 1,925 |
| Virginia Electric & Power Co. | 1.200% | 1/15/18 | 1,100 | 1,090 |
| Virginia Electric & Power Co. | 5.400% | 4/30/18 | 6,225 | 6,727 |
| WEC Energy Group Inc. | 1.650% | 6/15/18 | 2,200 | 2,197 |
| WEC Energy Group Inc. | 2.450% | 6/15/20 | 2,400 | 2,430 |
| 2 WEC Energy Group Inc. | 6.250% | 5/15/67 | 3,270 | 2,420 |
| Wisconsin Electric Power Co. | 1.700% | 6/15/18 | 2,250 | 2,258 |
| Wisconsin Electric Power Co. | 4.250% | 12/15/19 | 1,275 | 1,387 |
| Wisconsin Power & Light Co. | 5.000% | 7/15/19 | 2,110 | 2,318 |
| Wisconsin Public Service Corp. | 1.650% | 12/4/18 | 1,850 | 1,855 |
| Xcel Energy Inc. | 5.613% | 4/1/17 | 1,000 | 1,052 |
| Xcel Energy Inc. | 1.200% | 6/1/17 | 1,000 | 996 |
| Xcel Energy Inc. | 4.700% | 5/15/20 | 5,615 | 6,100 |
| Natural Gas (0.5%) | ||||
| AGL Capital Corp. | 5.250% | 8/15/19 | 2,825 | 3,073 |
| Atmos Energy Corp. | 6.350% | 6/15/17 | 2,300 | 2,437 |
| Atmos Energy Corp. | 8.500% | 3/15/19 | 2,787 | 3,270 |
| British Transco Finance Inc. | 6.625% | 6/1/18 | 2,985 | 3,280 |
| CenterPoint Energy Resources Corp. | 6.125% | 11/1/17 | 900 | 954 |
| CenterPoint Energy Resources Corp. | 6.000% | 5/15/18 | 900 | 965 |
| CenterPoint Energy Resources Corp. | 4.500% | 1/15/21 | 4,777 | 5,039 |
| NiSource Finance Corp. | 6.400% | 3/15/18 | 5,465 | 5,934 |
| NiSource Finance Corp. | 6.800% | 1/15/19 | 3,175 | 3,537 |
| NiSource Finance Corp. | 5.450% | 9/15/20 | 4,725 | 5,221 |
| ONE Gas Inc. | 2.070% | 2/1/19 | 2,600 | 2,606 |
| Sempra Energy | 2.300% | 4/1/17 | 7,288 | 7,335 |
| Sempra Energy | 6.150% | 6/15/18 | 9,860 | 10,617 |
| Sempra Energy | 9.800% | 2/15/19 | 500 | 601 |
| Sempra Energy | 2.400% | 3/15/20 | 5,750 | 5,638 |
| Sempra Energy | 2.850% | 11/15/20 | 3,250 | 3,281 |
| Other Utility (0.0%) | ||||
| American Water Capital Corp. | 6.085% | 10/15/17 | 3,000 | 3,214 |
| United Utilities plc | 5.375% | 2/1/19 | 3,000 | 3,196 |
| 697,571 | ||||
| Total Corporate Bonds (Cost $13,535,581) | 13,477,222 | |||
| Taxable Municipal Bonds (0.1%) | ||||
| Dartmouth College New Hampshire GO | 4.750% | 6/1/19 | 1,440 | 1,596 |
| Emory University Georgia GO | 5.625% | 9/1/19 | 1,630 | 1,865 |
| Stanford University California GO | 4.750% | 5/1/19 | 1,800 | 1,989 |
| Vanderbilt University Tennessee GO | 5.250% | 4/1/19 | 20 | 22 |
| Total Taxable Municipal Bonds (Cost $5,373) | 5,472 | |||
32
| Vanguard® Short-Term Corporate Bond Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Coupon | Shares | ($000) | |
| Temporary Cash Investment (0.2%) | |||
| Money Market Fund (0.2%) | |||
| 4 Vanguard Market Liquidity Fund (Cost | |||
| $31,500) | 0.475% | 31,500,097 | 31,500 |
| Total Investments (98.9%) (Cost $13,589,140) | 13,530,838 | ||
| Other Assets and Liabilities—Net (1.1%) | 148,852 | ||
| Net Assets (100%) | 13,679,690 | ||
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 February 29, 2016, the aggregate value of these securities was $231,581,000, representing 1.7% of net assets.
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 Securities with a value of $2,536,000 have been segregated as initial margin for open futures contracts.
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.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
33
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| U.S. Government and Agency Obligations (0.4%) | ||||
| U.S. Government Securities (0.4%) | ||||
| United States Treasury Note/Bond | 1.125% | 2/28/21 | 3,890 | 3,873 |
| United States Treasury Note/Bond | 1.500% | 2/28/23 | 25,950 | 25,917 |
| United States Treasury Note/Bond | 1.625% | 2/15/26 | 720 | 713 |
| Total U.S. Government and Agency Obligations (Cost $30,498) | 30,503 | |||
| Corporate Bonds (98.2%) | ||||
| Finance (30.4%) | ||||
| Banking (19.0%) | ||||
| Abbey National Treasury Services plc | 4.000% | 3/13/24 | 6,828 | 7,293 |
| American Express Co. | 2.650% | 12/2/22 | 4,309 | 4,189 |
| American Express Co. | 3.625% | 12/5/24 | 5,631 | 5,509 |
| Australia & New Zealand Banking Group Ltd. | 3.700% | 11/16/25 | 5,500 | 5,813 |
| Bancolombia SA | 5.950% | 6/3/21 | 6,950 | 7,223 |
| Bank of America Corp. | 5.000% | 5/13/21 | 12,304 | 13,436 |
| Bank of America Corp. | 5.700% | 1/24/22 | 12,148 | 13,711 |
| Bank of America Corp. | 3.300% | 1/11/23 | 23,471 | 23,459 |
| Bank of America Corp. | 4.100% | 7/24/23 | 12,250 | 12,759 |
| Bank of America Corp. | 4.125% | 1/22/24 | 15,292 | 15,915 |
| Bank of America Corp. | 4.000% | 4/1/24 | 17,375 | 17,959 |
| Bank of America Corp. | 4.200% | 8/26/24 | 15,862 | 15,853 |
| Bank of America Corp. | 4.000% | 1/22/25 | 13,800 | 13,419 |
| Bank of America Corp. | 3.950% | 4/21/25 | 14,700 | 14,230 |
| Bank of America Corp. | 3.875% | 8/1/25 | 16,246 | 16,641 |
| Bank of America Corp. | 4.450% | 3/3/26 | 5,125 | 5,125 |
| Bank of Montreal | 2.550% | 11/6/22 | 6,869 | 6,866 |
| Bank of New York Mellon Corp. | 2.450% | 11/27/20 | 1,260 | 1,267 |
| Bank of New York Mellon Corp. | 3.550% | 9/23/21 | 7,042 | 7,405 |
| Bank of New York Mellon Corp. | 3.650% | 2/4/24 | 5,100 | 5,336 |
| Bank of New York Mellon Corp. | 3.400% | 5/15/24 | 4,631 | 4,772 |
| Bank of New York Mellon Corp. | 3.250% | 9/11/24 | 5,500 | 5,595 |
| Bank of New York Mellon Corp. | 3.000% | 2/24/25 | 4,700 | 4,712 |
| Bank of New York Mellon Corp. | 3.950% | 11/18/25 | 1,775 | 1,901 |
| Bank of Nova Scotia | 2.800% | 7/21/21 | 7,929 | 8,086 |
| Bank of Nova Scotia | 4.500% | 12/16/25 | 6,250 | 6,101 |
| Barclays Bank plc | 3.750% | 5/15/24 | 3,200 | 3,329 |
| Barclays plc | 4.375% | 9/11/24 | 8,000 | 7,349 |
| Barclays plc | 3.650% | 3/16/25 | 11,300 | 10,365 |
| Barclays plc | 4.375% | 1/12/26 | 14,300 | 13,807 |
| BB&T Corp. | 3.950% | 3/22/22 | 2,309 | 2,437 |
| BNP Paribas SA | 5.000% | 1/15/21 | 1 | 1 |
| BNP Paribas SA | 3.250% | 3/3/23 | 7,000 | 7,128 |
| BNP Paribas SA | 4.250% | 10/15/24 | 5,750 | 5,609 |
| BPCE SA | 4.000% | 4/15/24 | 9,546 | 10,062 |
| Branch Banking & Trust Co. | 2.850% | 4/1/21 | 5,366 | 5,483 |
| Branch Banking & Trust Co. | 3.625% | 9/16/25 | 4,945 | 5,101 |
| Capital One Bank USA NA | 3.375% | 2/15/23 | 7,930 | 7,746 |
| Capital One Financial Corp. | 4.750% | 7/15/21 | 6,256 | 6,737 |
| Capital One Financial Corp. | 3.500% | 6/15/23 | 4,665 | 4,645 |
| Capital One Financial Corp. | 3.750% | 4/24/24 | 5,715 | 5,712 |
| Capital One Financial Corp. | 3.200% | 2/5/25 | 6,050 | 5,787 |
| Capital One Financial Corp. | 4.200% | 10/29/25 | 7,775 | 7,636 |
| Capital One NA | 2.950% | 7/23/21 | 8,900 | 8,830 |
| Citigroup Inc. | 4.500% | 1/14/22 | 10,991 | 11,797 |
| Citigroup Inc. | 4.050% | 7/30/22 | 6,010 | 6,084 |
| Citigroup Inc. | 3.500% | 5/15/23 | 9,725 | 9,531 |
| Citigroup Inc. | 3.875% | 10/25/23 | 11,610 | 12,091 |
| Citigroup Inc. | 3.750% | 6/16/24 | 13,612 | 13,935 |
| Citigroup Inc. | 4.000% | 8/5/24 | 3,700 | 3,727 |
| Citigroup Inc. | 3.875% | 3/26/25 | 5,350 | 5,135 |
| Citigroup Inc. | 3.300% | 4/27/25 | 7,046 | 6,981 |
| Citigroup Inc. | 4.400% | 6/10/25 | 15,600 | 15,519 |
34
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Citigroup Inc. | 5.500% | 9/13/25 | 8,025 | 8,597 |
| Citigroup Inc. | 3.700% | 1/12/26 | 6,500 | 6,630 |
| Citizens Financial Group Inc. | 4.300% | 12/3/25 | 3,925 | 4,032 |
| Comerica Bank | 4.000% | 7/27/25 | 1,975 | 1,984 |
| Compass Bank | 3.875% | 4/10/25 | 3,950 | 3,631 |
| Cooperatieve Rabobank UA | 3.875% | 2/8/22 | 16,834 | 17,764 |
| Cooperatieve Rabobank UA | 3.950% | 11/9/22 | 7,071 | 7,089 |
| Cooperatieve Rabobank UA | 4.625% | 12/1/23 | 11,925 | 12,147 |
| Cooperatieve Rabobank UA | 3.375% | 5/21/25 | 9,200 | 9,263 |
| Cooperatieve Rabobank UA | 4.375% | 8/4/25 | 5,920 | 5,936 |
| Credit Suisse | 3.000% | 10/29/21 | 16,100 | 16,141 |
| Credit Suisse | 3.625% | 9/9/24 | 14,900 | 14,962 |
| Credit Suisse Group Funding Guernsey Ltd. | 3.800% | 9/15/22 | 9,000 | 8,837 |
| Credit Suisse Group Funding Guernsey Ltd. | 3.750% | 3/26/25 | 12,550 | 11,821 |
| Deutsche Bank AG | 3.700% | 5/30/24 | 9,858 | 9,505 |
| Deutsche Bank AG | 4.100% | 1/13/26 | 4,000 | 3,896 |
| Discover Bank | 3.200% | 8/9/21 | 4,800 | 4,781 |
| Discover Bank | 4.200% | 8/8/23 | 4,750 | 4,808 |
| Discover Financial Services | 5.200% | 4/27/22 | 725 | 763 |
| Discover Financial Services | 3.850% | 11/21/22 | 3,502 | 3,477 |
| Discover Financial Services | 3.950% | 11/6/24 | 4,391 | 4,290 |
| Discover Financial Services | 3.750% | 3/4/25 | 2,200 | 2,079 |
| Fifth Third Bancorp | 3.500% | 3/15/22 | 2,325 | 2,399 |
| Fifth Third Bancorp | 4.300% | 1/16/24 | 3,851 | 3,963 |
| Fifth Third Bank | 2.875% | 10/1/21 | 5,215 | 5,262 |
| FirstMerit Corp. | 4.350% | 2/4/23 | 1,125 | 1,139 |
| Goldman Sachs Group Inc. | 5.250% | 7/27/21 | 21,634 | 23,963 |
| Goldman Sachs Group Inc. | 5.750% | 1/24/22 | 26,810 | 30,453 |
| Goldman Sachs Group Inc. | 3.625% | 1/22/23 | 16,285 | 16,570 |
| Goldman Sachs Group Inc. | 4.000% | 3/3/24 | 19,654 | 20,281 |
| Goldman Sachs Group Inc. | 3.850% | 7/8/24 | 14,674 | 15,055 |
| Goldman Sachs Group Inc. | 3.500% | 1/23/25 | 19,005 | 18,792 |
| Goldman Sachs Group Inc. | 3.750% | 5/22/25 | 6,580 | 6,662 |
| Goldman Sachs Group Inc. | 4.250% | 10/21/25 | 11,000 | 10,856 |
| Goldman Sachs Group Inc. | 3.750% | 2/25/26 | 7,000 | 7,036 |
| HSBC Bank plc | 7.650% | 5/1/25 | 650 | 828 |
| HSBC Holdings plc | 5.100% | 4/5/21 | 11,154 | 12,271 |
| HSBC Holdings plc | 4.875% | 1/14/22 | 5,719 | 6,255 |
| HSBC Holdings plc | 4.000% | 3/30/22 | 11,479 | 11,940 |
| HSBC Holdings plc | 4.250% | 3/14/24 | 13,746 | 13,573 |
| HSBC Holdings plc | 4.250% | 8/18/25 | 11,350 | 11,229 |
| HSBC USA Inc. | 3.500% | 6/23/24 | 3,600 | 3,626 |
| Intesa Sanpaolo SPA | 5.250% | 1/12/24 | 5,650 | 5,905 |
| JPMorgan Chase & Co. | 2.550% | 3/1/21 | 8,000 | 7,972 |
| JPMorgan Chase & Co. | 4.625% | 5/10/21 | 12,710 | 13,886 |
| JPMorgan Chase & Co. | 4.350% | 8/15/21 | 14,621 | 15,851 |
| JPMorgan Chase & Co. | 4.500% | 1/24/22 | 18,249 | 19,778 |
| JPMorgan Chase & Co. | 3.250% | 9/23/22 | 18,180 | 18,448 |
| JPMorgan Chase & Co. | 3.200% | 1/25/23 | 16,812 | 17,032 |
| JPMorgan Chase & Co. | 3.375% | 5/1/23 | 10,444 | 10,363 |
| JPMorgan Chase & Co. | 3.875% | 2/1/24 | 10,310 | 10,860 |
| JPMorgan Chase & Co. | 3.625% | 5/13/24 | 12,475 | 12,774 |
| JPMorgan Chase & Co. | 3.875% | 9/10/24 | 18,998 | 18,980 |
| JPMorgan Chase & Co. | 3.125% | 1/23/25 | 19,000 | 18,878 |
| JPMorgan Chase & Co. | 3.900% | 7/15/25 | 14,670 | 15,424 |
| KeyBank NA | 3.300% | 6/1/25 | 6,625 | 6,721 |
| KeyCorp | 5.100% | 3/24/21 | 6,173 | 6,774 |
| Lloyds Bank plc | 3.500% | 5/14/25 | 8,275 | 8,393 |
| Lloyds Banking Group plc | 4.500% | 11/4/24 | 4,900 | 4,869 |
| 1 Lloyds Banking Group plc | 4.582% | 12/10/25 | 7,200 | 7,074 |
| Manufacturers & Traders Trust Co. | 2.900% | 2/6/25 | 3,800 | 3,710 |
| Mitsubishi UFJ Financial Group Inc. | 2.950% | 3/1/21 | 9,000 | 9,077 |
| Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 2,200 | 2,220 |
| Morgan Stanley | 5.750% | 1/25/21 | 1 | 1 |
35
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Morgan Stanley | 5.500% | 7/28/21 | 13,891 | 15,544 |
| Morgan Stanley | 4.875% | 11/1/22 | 10,752 | 11,316 |
| Morgan Stanley | 3.750% | 2/25/23 | 13,539 | 13,858 |
| Morgan Stanley | 4.100% | 5/22/23 | 12,750 | 12,854 |
| Morgan Stanley | 3.875% | 4/29/24 | 20,924 | 21,494 |
| Morgan Stanley | 3.700% | 10/23/24 | 18,568 | 18,762 |
| Morgan Stanley | 4.000% | 7/23/25 | 21,430 | 22,076 |
| Morgan Stanley | 5.000% | 11/24/25 | 14,400 | 15,055 |
| Morgan Stanley | 3.875% | 1/27/26 | 11,500 | 11,772 |
| MUFG Americas Holdings Corp. | 3.500% | 6/18/22 | 4,650 | 4,831 |
| MUFG Americas Holdings Corp. | 3.000% | 2/10/25 | 3,400 | 3,286 |
| National Australia Bank Ltd. | 3.000% | 1/20/23 | 5,975 | 6,076 |
| National Australia Bank Ltd. | 3.375% | 1/14/26 | 2,500 | 2,582 |
| Northern Trust Corp. | 3.375% | 8/23/21 | 2,500 | 2,633 |
| Northern Trust Corp. | 2.375% | 8/2/22 | 3,700 | 3,688 |
| Northern Trust Corp. | 3.950% | 10/30/25 | 4,800 | 5,147 |
| People's United Bank NA | 4.000% | 7/15/24 | 1,500 | 1,475 |
| People's United Financial Inc. | 3.650% | 12/6/22 | 2,550 | 2,527 |
| PNC Bank NA | 2.700% | 11/1/22 | 8,498 | 8,310 |
| PNC Bank NA | 2.950% | 1/30/23 | 3,852 | 3,843 |
| PNC Bank NA | 3.800% | 7/25/23 | 2,995 | 3,145 |
| PNC Bank NA | 3.300% | 10/30/24 | 2,825 | 2,905 |
| PNC Bank NA | 2.950% | 2/23/25 | 3,750 | 3,718 |
| PNC Bank NA | 3.250% | 6/1/25 | 1,585 | 1,605 |
| PNC Bank NA | 4.200% | 11/1/25 | 2,125 | 2,314 |
| PNC Financial Services Group Inc. | 2.854% | 11/9/22 | 3,665 | 3,657 |
| PNC Financial Services Group Inc. | 3.900% | 4/29/24 | 3,850 | 3,978 |
| PNC Funding Corp. | 3.300% | 3/8/22 | 9,002 | 9,320 |
| Royal Bank of Canada | 4.650% | 1/27/26 | 9,800 | 9,886 |
| Santander Holdings USA Inc. | 4.500% | 7/17/25 | 6,100 | 5,968 |
| Santander Issuances SAU | 5.179% | 11/19/25 | 8,350 | 7,712 |
| State Street Corp. | 4.375% | 3/7/21 | 4,010 | 4,366 |
| State Street Corp. | 3.100% | 5/15/23 | 5,750 | 5,758 |
| State Street Corp. | 3.700% | 11/20/23 | 3,810 | 4,041 |
| State Street Corp. | 3.300% | 12/16/24 | 8,331 | 8,563 |
| State Street Corp. | 3.550% | 8/18/25 | 9,075 | 9,600 |
| Sumitomo Mitsui Banking Corp. | 3.200% | 7/18/22 | 4,040 | 4,092 |
| Sumitomo Mitsui Banking Corp. | 3.000% | 1/18/23 | 1,298 | 1,300 |
| Sumitomo Mitsui Banking Corp. | 3.950% | 7/19/23 | 4,600 | 4,875 |
| Sumitomo Mitsui Banking Corp. | 3.950% | 1/10/24 | 3,125 | 3,311 |
| Sumitomo Mitsui Banking Corp. | 3.400% | 7/11/24 | 3,946 | 4,054 |
| Sumitomo Mitsui Banking Corp. | 3.650% | 7/23/25 | 2,500 | 2,591 |
| SunTrust Bank | 2.750% | 5/1/23 | 3,175 | 3,092 |
| SVB Financial Group | 3.500% | 1/29/25 | 3,125 | 3,097 |
| Synchrony Financial | 3.750% | 8/15/21 | 4,500 | 4,506 |
| Synchrony Financial | 4.250% | 8/15/24 | 7,899 | 7,905 |
| Synchrony Financial | 4.500% | 7/23/25 | 8,452 | 8,556 |
| US Bancorp | 4.125% | 5/24/21 | 5,469 | 5,963 |
| US Bancorp | 3.000% | 3/15/22 | 6,411 | 6,612 |
| US Bancorp | 2.950% | 7/15/22 | 7,360 | 7,453 |
| US Bancorp | 3.700% | 1/30/24 | 4,743 | 5,093 |
| US Bancorp | 3.600% | 9/11/24 | 5,448 | 5,627 |
| US Bank NA | 2.800% | 1/27/25 | 5,800 | 5,837 |
| Wachovia Corp. | 6.605% | 10/1/25 | 475 | 567 |
| Wells Fargo & Co. | 3.000% | 1/22/21 | — | — |
| Wells Fargo & Co. | 2.500% | 3/4/21 | 10,000 | 10,019 |
| Wells Fargo & Co. | 4.600% | 4/1/21 | 12,643 | 13,927 |
| Wells Fargo & Co. | 3.500% | 3/8/22 | 13,810 | 14,451 |
| Wells Fargo & Co. | 3.450% | 2/13/23 | 12,366 | 12,550 |
| Wells Fargo & Co. | 4.125% | 8/15/23 | 9,636 | 10,152 |
| Wells Fargo & Co. | 4.480% | 1/16/24 | 4,892 | 5,172 |
| Wells Fargo & Co. | 3.300% | 9/9/24 | 12,712 | 12,960 |
| Wells Fargo & Co. | 3.000% | 2/19/25 | 15,528 | 15,421 |
| Wells Fargo & Co. | 3.550% | 9/29/25 | 15,050 | 15,584 |
36
| Vanguard® Intermediate-Term Corporate Bond Index Fund | |||||
| Schedule of Investments | |||||
| February 29, 2016 | |||||
| Face | Market | ||||
| Maturity | Amount | Value | |||
| Coupon | Date | ($000) | ($000) | ||
| Brokerage (1.4%) | |||||
| Affiliated Managers Group Inc. | 4.250% | 2/15/24 | 4,375 | 4,497 | |
| Affiliated Managers Group Inc. | 3.500% | 8/1/25 | 1,301 | 1,277 | |
| Ameriprise Financial Inc. | 4.000% | 10/15/23 | 4,658 | 4,931 | |
| Ameriprise Financial Inc. | 3.700% | 10/15/24 | 2,775 | 2,894 | |
| Apollo Investment Corp. | 5.250% | 3/3/25 | 1,750 | 1,758 | |
| BlackRock Inc. | 4.250% | 5/24/21 | 5,700 | 6,244 | |
| BlackRock Inc. | 3.375% | 6/1/22 | 3,955 | 4,135 | |
| BlackRock Inc. | 3.500% | 3/18/24 | 5,110 | 5,340 | |
| Brookfield Asset Management Inc. | 4.000% | 1/15/25 | 2,475 | 2,523 | |
| Charles Schwab Corp. | 3.225% | 9/1/22 | 1,350 | 1,399 | |
| Charles Schwab Corp. | 3.000% | 3/10/25 | 1,000 | 1,006 | |
| Charles Schwab Corp. | 3.450% | 2/13/26 | 1,510 | 1,567 | |
| CME Group Inc. | 3.000% | 9/15/22 | 3,992 | 4,127 | |
| CME Group Inc. | 3.000% | 3/15/25 | 3,773 | 3,788 | |
| E*TRADE Financial Corp. | 5.375% | 11/15/22 | 2,925 | 3,013 | |
| E*TRADE Financial Corp. | 4.625% | 9/15/23 | 4,525 | 4,412 | |
| Eaton Vance Corp. | 3.625% | 6/15/23 | 2,100 | 2,179 | |
| Franklin Resources Inc. | 2.800% | 9/15/22 | 1,400 | 1,412 | |
| Franklin Resources Inc. | 2.850% | 3/30/25 | 2,425 | 2,342 | |
| Intercontinental Exchange Inc. | 4.000% | 10/15/23 | 4,389 | 4,597 | |
| Intercontinental Exchange Inc. | 3.750% | 12/1/25 | 8,075 | 8,349 | |
| Invesco Finance plc | 3.125% | 11/30/22 | 3,063 | 3,109 | |
| Invesco Finance plc | 4.000% | 1/30/24 | 3,875 | 4,090 | |
| Invesco Finance plc | 3.750% | 1/15/26 | 3,780 | 3,903 | |
| Janus Capital Group Inc. | 4.875% | 8/1/25 | 1,400 | 1,479 | |
| Jefferies Group LLC | 6.875% | 4/15/21 | 4,710 | 5,277 | |
| Jefferies Group LLC | 5.125% | 1/20/23 | 2,900 | 2,860 | |
| Lazard Group LLC | 3.750% | 2/13/25 | 2,100 | 1,907 | |
| Legg Mason Inc. | 3.950% | 7/15/24 | 1,265 | 1,248 | |
| Leucadia National Corp. | 5.500% | 10/18/23 | 4,150 | 3,699 | |
| Nasdaq Inc. | 4.250% | 6/1/24 | 2,408 | 2,462 | |
| Stifel Financial Corp. | 4.250% | 7/18/24 | 2,525 | 2,502 | |
| TD Ameritrade Holding Corp. | 2.950% | 4/1/22 | 5,939 | 6,038 | |
| TD Ameritrade Holding Corp. | 3.625% | 4/1/25 | 3,500 | 3,665 | |
| Finance Companies (0.4%) | |||||
| Air Lease Corp. | 3.875% | 4/1/21 | 3,925 | 3,797 | |
| Air Lease Corp. | 3.750% | 2/1/22 | 2,600 | 2,451 | |
| Air Lease Corp. | 4.250% | 9/15/24 | 2,425 | 2,243 | |
| FS Investment Corp. | 4.750% | 5/15/22 | 1,450 | 1,408 | |
| GATX Corp. | 4.850% | 6/1/21 | 150 | 162 | |
| GATX Corp. | 4.750% | 6/15/22 | 1,775 | 1,927 | |
| GATX Corp. | 3.900% | 3/30/23 | 1,225 | 1,236 | |
| GATX Corp. | 3.250% | 3/30/25 | 3,300 | 3,063 | |
| 1,2 | GE Capital International Funding Co. | 3.373% | 11/15/25 | 10,895 | 11,386 |
| HSBC Finance Corp. | 6.676% | 1/15/21 | 7 | 7 | |
| Prospect Capital Corp. | 5.875% | 3/15/23 | 1,325 | 1,074 | |
| Insurance (4.6%) | |||||
| ACE INA Holdings Inc. | 2.875% | 11/3/22 | 12,075 | 12,277 | |
| ACE INA Holdings Inc. | 2.700% | 3/13/23 | 2,022 | 2,006 | |
| ACE INA Holdings Inc. | 3.350% | 5/15/24 | 4,216 | 4,326 | |
| ACE INA Holdings Inc. | 3.150% | 3/15/25 | 5,258 | 5,288 | |
| AEGON Funding Co. LLC | 5.750% | 12/15/20 | — | — | |
| Aetna Inc. | 4.125% | 6/1/21 | 2,699 | 2,880 | |
| Aetna Inc. | 2.750% | 11/15/22 | 6,071 | 5,954 | |
| Aetna Inc. | 3.500% | 11/15/24 | 4,050 | 4,069 | |
| Aflac Inc. | 4.000% | 2/15/22 | 300 | 318 | |
| Aflac Inc. | 3.625% | 6/15/23 | 6,150 | 6,396 | |
| Aflac Inc. | 3.625% | 11/15/24 | 4,200 | 4,355 | |
| Aflac Inc. | 3.250% | 3/17/25 | 2,125 | 2,120 | |
| Alleghany Corp. | 4.950% | 6/27/22 | 2,175 | 2,388 | |
| Allied World Assurance Co. Holdings Ltd. | 4.350% | 10/29/25 | 4,875 | 4,831 | |
| Allstate Corp. | 3.150% | 6/15/23 | 2,925 | 2,979 | |
37
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| 3 Allstate Corp. | 5.750% | 8/15/53 | 4,375 | 4,353 |
| American International Group Inc. | 3.300% | 3/1/21 | 7,475 | 7,465 |
| American International Group Inc. | 4.875% | 6/1/22 | 9,000 | 9,548 |
| American International Group Inc. | 4.125% | 2/15/24 | 6,250 | 6,316 |
| American International Group Inc. | 3.750% | 7/10/25 | 6,484 | 6,329 |
| Anthem Inc. | 3.700% | 8/15/21 | 4,360 | 4,481 |
| Anthem Inc. | 3.125% | 5/15/22 | 4,659 | 4,593 |
| Anthem Inc. | 3.300% | 1/15/23 | 5,269 | 5,190 |
| Anthem Inc. | 3.500% | 8/15/24 | 3,943 | 3,909 |
| Aon plc | 2.800% | 3/15/21 | 2,575 | 2,592 |
| Aon plc | 4.000% | 11/27/23 | 1,875 | 1,932 |
| Aon plc | 3.500% | 6/14/24 | 3,389 | 3,418 |
| Aon plc | 3.875% | 12/15/25 | 4,000 | 4,045 |
| Aspen Insurance Holdings Ltd. | 4.650% | 11/15/23 | 1,650 | 1,694 |
| Assurant Inc. | 4.000% | 3/15/23 | 2,300 | 2,353 |
| Assured Guaranty US Holdings Inc. | 5.000% | 7/1/24 | 2,683 | 2,808 |
| Berkshire Hathaway Finance Corp. | 3.000% | 5/15/22 | 4,549 | 4,698 |
| Berkshire Hathaway Inc. | 3.750% | 8/15/21 | 4,575 | 4,945 |
| Berkshire Hathaway Inc. | 3.400% | 1/31/22 | 87 | 92 |
| Berkshire Hathaway Inc. | 3.000% | 2/11/23 | 4,339 | 4,421 |
| Brown & Brown Inc. | 4.200% | 9/15/24 | 2,725 | 2,745 |
| Cigna Corp. | 4.500% | 3/15/21 | 2,924 | 3,150 |
| Cigna Corp. | 4.000% | 2/15/22 | 3,665 | 3,861 |
| Cigna Corp. | 3.250% | 4/15/25 | 4,500 | 4,403 |
| CNA Financial Corp. | 5.750% | 8/15/21 | 5,900 | 6,563 |
| CNA Financial Corp. | 3.950% | 5/15/24 | 2,545 | 2,495 |
| CNA Financial Corp. | 4.500% | 3/1/26 | 500 | 501 |
| Coventry Health Care Inc. | 5.450% | 6/15/21 | 3,704 | 4,170 |
| Fidelity National Financial Inc. | 5.500% | 9/1/22 | 2,075 | 2,254 |
| First American Financial Corp. | 4.300% | 2/1/23 | 2,475 | 2,487 |
| First American Financial Corp. | 4.600% | 11/15/24 | 2,850 | 2,895 |
| Hanover Insurance Group Inc. | 6.375% | 6/15/21 | 1,225 | 1,405 |
| Hartford Financial Services Group Inc. | 5.125% | 4/15/22 | 4,381 | 4,838 |
| Horace Mann Educators Corp. | 4.500% | 12/1/25 | 1,325 | 1,375 |
| Humana Inc. | 3.150% | 12/1/22 | 2,569 | 2,553 |
| Humana Inc. | 3.850% | 10/1/24 | 4,000 | 4,027 |
| Infinity Property & Casualty Corp. | 5.000% | 9/19/22 | 1,475 | 1,516 |
| Kemper Corp. | 4.350% | 2/15/25 | 2,250 | 2,312 |
| Lincoln National Corp. | 4.850% | 6/24/21 | 1,400 | 1,503 |
| Lincoln National Corp. | 4.200% | 3/15/22 | 1,672 | 1,737 |
| Lincoln National Corp. | 4.000% | 9/1/23 | 1,725 | 1,755 |
| Lincoln National Corp. | 3.350% | 3/9/25 | 2,010 | 1,906 |
| Loews Corp. | 2.625% | 5/15/23 | 2,723 | 2,659 |
| Markel Corp. | 5.350% | 6/1/21 | 555 | 611 |
| Markel Corp. | 4.900% | 7/1/22 | 3,175 | 3,468 |
| Markel Corp. | 3.625% | 3/30/23 | 1,025 | 1,037 |
| Marsh & McLennan Cos. Inc. | 4.800% | 7/15/21 | 2,775 | 3,045 |
| Marsh & McLennan Cos. Inc. | 4.050% | 10/15/23 | 825 | 866 |
| Marsh & McLennan Cos. Inc. | 3.500% | 6/3/24 | 4,475 | 4,482 |
| Marsh & McLennan Cos. Inc. | 3.500% | 3/10/25 | 3,565 | 3,565 |
| MetLife Inc. | 3.048% | 12/15/22 | 3,559 | 3,530 |
| MetLife Inc. | 4.368% | 9/15/23 | 6,812 | 7,277 |
| MetLife Inc. | 3.600% | 4/10/24 | 6,225 | 6,252 |
| MetLife Inc. | 3.000% | 3/1/25 | 2,983 | 2,849 |
| MetLife Inc. | 3.600% | 11/13/25 | 4,150 | 4,181 |
| Montpelier Re Holdings Ltd. | 4.700% | 10/15/22 | 675 | 709 |
| Navigators Group Inc. | 5.750% | 10/15/23 | 1,500 | 1,651 |
| Old Republic International Corp. | 4.875% | 10/1/24 | 2,300 | 2,386 |
| OneBeacon US Holdings Inc. | 4.600% | 11/9/22 | 1,625 | 1,671 |
| Primerica Inc. | 4.750% | 7/15/22 | 1,975 | 2,145 |
| Principal Financial Group Inc. | 3.300% | 9/15/22 | 1,325 | 1,330 |
| Principal Financial Group Inc. | 3.125% | 5/15/23 | 3,133 | 3,098 |
| Principal Financial Group Inc. | 3.400% | 5/15/25 | 1,974 | 1,924 |
| ProAssurance Corp. | 5.300% | 11/15/23 | 1,250 | 1,370 |
38
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Progressive Corp. | 3.750% | 8/23/21 | 2,763 | 2,934 |
| Prudential Financial Inc. | 4.500% | 11/16/21 | 2,105 | 2,283 |
| Prudential Financial Inc. | 3.500% | 5/15/24 | 4,200 | 4,118 |
| 3 Prudential Financial Inc. | 5.875% | 9/15/42 | 5,800 | 5,887 |
| 3 Prudential Financial Inc. | 5.625% | 6/15/43 | 7,575 | 7,424 |
| 3 Prudential Financial Inc. | 5.200% | 3/15/44 | 2,675 | 2,508 |
| 3 Prudential Financial Inc. | 5.375% | 5/15/45 | 7,300 | 6,871 |
| Reinsurance Group of America Inc. | 5.000% | 6/1/21 | 3,545 | 3,805 |
| Reinsurance Group of America Inc. | 4.700% | 9/15/23 | 2,150 | 2,286 |
| StanCorp Financial Group Inc. | 5.000% | 8/15/22 | 2,000 | 2,134 |
| Symetra Financial Corp. | 4.250% | 7/15/24 | 100 | 102 |
| Torchmark Corp. | 3.800% | 9/15/22 | 900 | 918 |
| Trinity Acquisition plc | 4.625% | 8/15/23 | 975 | 1,032 |
| UnitedHealth Group Inc. | 2.125% | 3/15/21 | 3,000 | 2,995 |
| UnitedHealth Group Inc. | 3.375% | 11/15/21 | 2,500 | 2,641 |
| UnitedHealth Group Inc. | 2.875% | 12/15/21 | 4,100 | 4,211 |
| UnitedHealth Group Inc. | 2.875% | 3/15/22 | 4,802 | 4,886 |
| UnitedHealth Group Inc. | 3.350% | 7/15/22 | 5,475 | 5,688 |
| UnitedHealth Group Inc. | 2.750% | 2/15/23 | 3,075 | 3,108 |
| UnitedHealth Group Inc. | 2.875% | 3/15/23 | 4,527 | 4,584 |
| UnitedHealth Group Inc. | 3.750% | 7/15/25 | 10,839 | 11,527 |
| UnitedHealth Group Inc. | 3.100% | 3/15/26 | 4,000 | 4,018 |
| Unum Group | 4.000% | 3/15/24 | 2,450 | 2,445 |
| Voya Financial Inc. | 5.500% | 7/15/22 | 4,786 | 5,310 |
| Willis Towers Watson plc | 5.750% | 3/15/21 | 3,015 | 3,373 |
| WR Berkley Corp. | 4.625% | 3/15/22 | 1,500 | 1,610 |
| XLIT Ltd. | 5.750% | 10/1/21 | 3,165 | 3,583 |
| XLIT Ltd. | 6.375% | 11/15/24 | 680 | 794 |
| XLIT Ltd. | 4.450% | 3/31/25 | 3,350 | 3,279 |
| Other Finance (0.0%) | ||||
| Jones Lang LaSalle Inc. | 4.400% | 11/15/22 | 925 | 951 |
| Real Estate Investment Trusts (5.0%) | ||||
| Alexandria Real Estate Equities Inc. | 4.600% | 4/1/22 | 2,826 | 2,995 |
| Alexandria Real Estate Equities Inc. | 3.900% | 6/15/23 | 3,050 | 3,075 |
| Alexandria Real Estate Equities Inc. | 4.300% | 1/15/26 | 1,650 | 1,698 |
| American Campus Communities Operating Partnership | ||||
| LP | 3.750% | 4/15/23 | 2,550 | 2,544 |
| American Campus Communities Operating Partnership | ||||
| LP | 4.125% | 7/1/24 | 2,900 | 2,975 |
| AvalonBay Communities Inc. | 2.950% | 9/15/22 | 3,214 | 3,209 |
| AvalonBay Communities Inc. | 2.850% | 3/15/23 | 1,200 | 1,181 |
| AvalonBay Communities Inc. | 4.200% | 12/15/23 | 2,300 | 2,469 |
| AvalonBay Communities Inc. | 3.500% | 11/15/24 | 1,400 | 1,433 |
| AvalonBay Communities Inc. | 3.450% | 6/1/25 | 1,325 | 1,353 |
| AvalonBay Communities Inc. | 3.500% | 11/15/25 | 2,200 | 2,249 |
| Boston Properties LP | 4.125% | 5/15/21 | 4,518 | 4,784 |
| Boston Properties LP | 3.850% | 2/1/23 | 6,095 | 6,294 |
| Boston Properties LP | 3.125% | 9/1/23 | 3,500 | 3,467 |
| Boston Properties LP | 3.800% | 2/1/24 | 4,611 | 4,755 |
| Boston Properties LP | 3.650% | 2/1/26 | 5,555 | 5,625 |
| Brandywine Operating Partnership LP | 3.950% | 2/15/23 | 2,822 | 2,824 |
| Brandywine Operating Partnership LP | 4.100% | 10/1/24 | 1,725 | 1,695 |
| Brixmor Operating Partnership LP | 3.875% | 8/15/22 | 3,803 | 3,533 |
| Brixmor Operating Partnership LP | 3.850% | 2/1/25 | 5,025 | 4,383 |
| Camden Property Trust | 4.625% | 6/15/21 | 1,100 | 1,200 |
| Camden Property Trust | 2.950% | 12/15/22 | 2,425 | 2,386 |
| Camden Property Trust | 4.875% | 6/15/23 | 2,000 | 2,204 |
| Camden Property Trust | 4.250% | 1/15/24 | 2,000 | 2,131 |
| CBL & Associates LP | 5.250% | 12/1/23 | 3,125 | 3,030 |
| CBL & Associates LP | 4.600% | 10/15/24 | 1,000 | 923 |
| Columbia Property Trust Operating Partnership LP | 4.150% | 4/1/25 | 1,650 | 1,687 |
| Corporate Office Properties LP | 3.700% | 6/15/21 | 2,430 | 2,406 |
39
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Corporate Office Properties LP | 3.600% | 5/15/23 | 2,375 | 2,209 |
| Corporate Office Properties LP | 5.250% | 2/15/24 | 2,250 | 2,335 |
| CubeSmart LP | 4.800% | 7/15/22 | 575 | 624 |
| CubeSmart LP | 4.375% | 12/15/23 | 2,150 | 2,265 |
| CubeSmart LP | 4.000% | 11/15/25 | 1,325 | 1,354 |
| DCT Industrial Operating Partnership LP | 4.500% | 10/15/23 | 1,200 | 1,234 |
| DDR Corp. | 4.625% | 7/15/22 | 2,199 | 2,289 |
| DDR Corp. | 3.375% | 5/15/23 | 1,600 | 1,546 |
| DDR Corp. | 3.625% | 2/1/25 | 3,330 | 3,187 |
| DDR Corp. | 4.250% | 2/1/26 | 1,950 | 1,936 |
| Digital Realty Trust LP | 5.250% | 3/15/21 | 1,650 | 1,807 |
| Digital Realty Trust LP | 3.950% | 7/1/22 | 4,900 | 4,928 |
| Digital Realty Trust LP | 3.625% | 10/1/22 | 1,500 | 1,477 |
| 1 Digital Realty Trust LP | 4.750% | 10/1/25 | 4,775 | 4,827 |
| Duke Realty LP | 6.750% | 3/15/20 | 675 | 775 |
| Duke Realty LP | 3.875% | 10/15/22 | 2,750 | 2,816 |
| Duke Realty LP | 3.625% | 4/15/23 | 1,450 | 1,450 |
| Duke Realty LP | 3.750% | 12/1/24 | 2,800 | 2,790 |
| Education Realty Operating Partnership LP | 4.600% | 12/1/24 | 1,300 | 1,306 |
| EPR Properties | 5.750% | 8/15/22 | 1,895 | 2,016 |
| EPR Properties | 5.250% | 7/15/23 | 925 | 948 |
| EPR Properties | 4.500% | 4/1/25 | 2,450 | 2,383 |
| Equity One Inc. | 3.750% | 11/15/22 | 1,100 | 1,094 |
| ERP Operating LP | 4.625% | 12/15/21 | 4,380 | 4,842 |
| ERP Operating LP | 3.000% | 4/15/23 | 3,575 | 3,600 |
| ERP Operating LP | 3.375% | 6/1/25 | 1,800 | 1,840 |
| Essex Portfolio LP | 3.625% | 8/15/22 | 1,300 | 1,336 |
| Essex Portfolio LP | 3.375% | 1/15/23 | 1,996 | 2,013 |
| Essex Portfolio LP | 3.250% | 5/1/23 | 1,075 | 1,061 |
| Essex Portfolio LP | 3.875% | 5/1/24 | 5,600 | 5,764 |
| Essex Portfolio LP | 3.500% | 4/1/25 | 5,815 | 5,753 |
| Federal Realty Investment Trust | 3.000% | 8/1/22 | 875 | 886 |
| Federal Realty Investment Trust | 2.750% | 6/1/23 | 4,525 | 4,502 |
| HCP Inc. | 3.150% | 8/1/22 | 1,525 | 1,429 |
| HCP Inc. | 4.000% | 12/1/22 | 4,400 | 4,324 |
| HCP Inc. | 4.250% | 11/15/23 | 4,084 | 3,992 |
| HCP Inc. | 4.200% | 3/1/24 | 2,825 | 2,727 |
| HCP Inc. | 3.875% | 8/15/24 | 4,025 | 3,780 |
| HCP Inc. | 3.400% | 2/1/25 | 4,263 | 3,803 |
| HCP Inc. | 4.000% | 6/1/25 | 3,971 | 3,753 |
| Healthcare Realty Trust Inc. | 3.750% | 4/15/23 | 1,150 | 1,137 |
| Healthcare Realty Trust Inc. | 3.875% | 5/1/25 | 925 | 897 |
| Healthcare Trust of America Holdings LP | 3.375% | 7/15/21 | 2,525 | 2,549 |
| Healthcare Trust of America Holdings LP | 3.700% | 4/15/23 | 1,875 | 1,860 |
| Highwoods Realty LP | 3.200% | 6/15/21 | 3,334 | 3,314 |
| Highwoods Realty LP | 3.625% | 1/15/23 | 700 | 692 |
| Hospitality Properties Trust | 5.000% | 8/15/22 | 2,736 | 2,770 |
| Hospitality Properties Trust | 4.500% | 6/15/23 | 1,875 | 1,812 |
| Hospitality Properties Trust | 4.650% | 3/15/24 | 2,425 | 2,325 |
| Hospitality Properties Trust | 4.500% | 3/15/25 | 1,950 | 1,841 |
| Hospitality Properties Trust | 5.250% | 2/15/26 | 1,000 | 980 |
| Host Hotels & Resorts LP | 6.000% | 10/1/21 | 2,250 | 2,501 |
| Host Hotels & Resorts LP | 5.250% | 3/15/22 | 1,847 | 1,963 |
| Host Hotels & Resorts LP | 4.750% | 3/1/23 | 2,691 | 2,780 |
| Host Hotels & Resorts LP | 3.750% | 10/15/23 | 1,940 | 1,889 |
| Host Hotels & Resorts LP | 4.000% | 6/15/25 | 2,000 | 1,931 |
| Kilroy Realty LP | 3.800% | 1/15/23 | 2,450 | 2,477 |
| Kilroy Realty LP | 4.375% | 10/1/25 | 1,275 | 1,334 |
| Kimco Realty Corp. | 3.200% | 5/1/21 | 875 | 889 |
| Kimco Realty Corp. | 3.400% | 11/1/22 | 3,400 | 3,435 |
| Kimco Realty Corp. | 3.125% | 6/1/23 | 3,088 | 3,046 |
| Lexington Realty Trust | 4.250% | 6/15/23 | 1,325 | 1,350 |
| Lexington Realty Trust | 4.400% | 6/15/24 | 1,200 | 1,210 |
| Liberty Property LP | 4.125% | 6/15/22 | 1,765 | 1,826 |
40
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Liberty Property LP | 3.375% | 6/15/23 | 3,225 | 3,149 |
| Liberty Property LP | 4.400% | 2/15/24 | 3,025 | 3,143 |
| Liberty Property LP | 3.750% | 4/1/25 | 1,975 | 1,966 |
| Mack-Cali Realty LP | 4.500% | 4/18/22 | 2,290 | 2,229 |
| Mack-Cali Realty LP | 3.150% | 5/15/23 | 750 | 664 |
| Mid-America Apartments LP | 4.300% | 10/15/23 | 2,025 | 2,124 |
| Mid-America Apartments LP | 3.750% | 6/15/24 | 1,650 | 1,654 |
| Mid-America Apartments LP | 4.000% | 11/15/25 | 3,800 | 3,874 |
| National Retail Properties Inc. | 5.500% | 7/15/21 | 1,600 | 1,807 |
| National Retail Properties Inc. | 3.800% | 10/15/22 | 2,233 | 2,293 |
| National Retail Properties Inc. | 3.900% | 6/15/24 | 2,375 | 2,409 |
| National Retail Properties Inc. | 4.000% | 11/15/25 | 2,400 | 2,396 |
| Omega Healthcare Investors Inc. | 5.875% | 3/15/24 | 2,000 | 2,055 |
| Omega Healthcare Investors Inc. | 4.950% | 4/1/24 | 1,955 | 1,984 |
| Omega Healthcare Investors Inc. | 4.500% | 1/15/25 | 3,125 | 3,164 |
| Omega Healthcare Investors Inc. | 5.250% | 1/15/26 | 3,350 | 3,417 |
| Piedmont Operating Partnership LP | 3.400% | 6/1/23 | 1,000 | 961 |
| Piedmont Operating Partnership LP | 4.450% | 3/15/24 | 3,025 | 3,089 |
| Post Apartment Homes LP | 3.375% | 12/1/22 | 500 | 500 |
| ProLogis LP | 3.350% | 2/1/21 | 275 | 283 |
| ProLogis LP | 4.250% | 8/15/23 | 4,625 | 4,917 |
| ProLogis LP | 3.750% | 11/1/25 | 4,550 | 4,654 |
| Realty Income Corp. | 3.250% | 10/15/22 | 3,220 | 3,174 |
| Realty Income Corp. | 4.650% | 8/1/23 | 4,105 | 4,332 |
| Realty Income Corp. | 3.875% | 7/15/24 | 2,200 | 2,224 |
| Regency Centers LP | 4.800% | 4/15/21 | 1,425 | 1,544 |
| Regency Centers LP | 3.750% | 6/15/24 | 2,575 | 2,625 |
| Retail Opportunity Investments Partnership LP | 5.000% | 12/15/23 | 1,250 | 1,297 |
| Retail Properties of America Inc. | 4.000% | 3/15/25 | 1,650 | 1,588 |
| Select Income REIT | 4.150% | 2/1/22 | 1,275 | 1,245 |
| Select Income REIT | 4.500% | 2/1/25 | 2,625 | 2,442 |
| Senior Housing Properties Trust | 4.750% | 5/1/24 | 2,575 | 2,472 |
| Simon Property Group LP | 4.375% | 3/1/21 | 4,390 | 4,784 |
| Simon Property Group LP | 2.500% | 7/15/21 | 4,600 | 4,633 |
| Simon Property Group LP | 4.125% | 12/1/21 | 3,575 | 3,915 |
| Simon Property Group LP | 3.375% | 3/15/22 | 3,164 | 3,319 |
| Simon Property Group LP | 2.750% | 2/1/23 | 2,450 | 2,432 |
| Simon Property Group LP | 3.750% | 2/1/24 | 3,635 | 3,813 |
| Simon Property Group LP | 3.375% | 10/1/24 | 4,692 | 4,793 |
| Simon Property Group LP | 3.500% | 9/1/25 | 3,473 | 3,573 |
| Simon Property Group LP | 3.300% | 1/15/26 | 4,500 | 4,538 |
| Tanger Properties LP | 3.875% | 12/1/23 | 1,750 | 1,792 |
| Tanger Properties LP | 3.750% | 12/1/24 | 1,000 | 1,015 |
| UDR Inc. | 4.625% | 1/10/22 | 2,700 | 2,924 |
| UDR Inc. | 3.750% | 7/1/24 | 1,500 | 1,547 |
| UDR Inc. | 4.000% | 10/1/25 | 1,200 | 1,251 |
| Ventas Realty LP | 3.750% | 5/1/24 | 2,525 | 2,539 |
| Ventas Realty LP | 3.500% | 2/1/25 | 3,700 | 3,579 |
| Ventas Realty LP | 4.125% | 1/15/26 | 3,949 | 4,002 |
| Ventas Realty LP / Ventas Capital Corp. | 4.750% | 6/1/21 | 6,331 | 6,821 |
| Ventas Realty LP / Ventas Capital Corp. | 4.250% | 3/1/22 | 2,097 | 2,192 |
| Ventas Realty LP / Ventas Capital Corp. | 3.250% | 8/15/22 | 1,150 | 1,140 |
| Vornado Realty LP | 5.000% | 1/15/22 | 1,400 | 1,502 |
| Washington REIT | 3.950% | 10/15/22 | 1,050 | 1,044 |
| Weingarten Realty Investors | 3.375% | 10/15/22 | 2,200 | 2,175 |
| Weingarten Realty Investors | 3.500% | 4/15/23 | 2,975 | 2,947 |
| Weingarten Realty Investors | 4.450% | 1/15/24 | 725 | 761 |
| Weingarten Realty Investors | 3.850% | 6/1/25 | 600 | 602 |
| Welltower Inc. | 5.250% | 1/15/22 | 4,040 | 4,375 |
| Welltower Inc. | 3.750% | 3/15/23 | 3,125 | 3,089 |
| Welltower Inc. | 4.500% | 1/15/24 | 2,154 | 2,209 |
| Welltower Inc. | 4.000% | 6/1/25 | 11,336 | 11,156 |
| Welltower Inc. | 4.250% | 4/1/26 | 600 | 598 |
| WP Carey Inc. | 4.600% | 4/1/24 | 2,758 | 2,795 |
41
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| WP Carey Inc. | 4.000% | 2/1/25 | 2,550 | 2,409 |
| 2,455,417 | ||||
| Industrial (62.5%) | ||||
| Basic Industry (4.3%) | ||||
| Agrium Inc. | 3.150% | 10/1/22 | 3,893 | 3,687 |
| Agrium Inc. | 3.500% | 6/1/23 | 3,924 | 3,724 |
| Agrium Inc. | 3.375% | 3/15/25 | 3,890 | 3,610 |
| Air Products & Chemicals Inc. | 3.000% | 11/3/21 | 4,150 | 4,251 |
| Air Products & Chemicals Inc. | 2.750% | 2/3/23 | 1,800 | 1,809 |
| Air Products & Chemicals Inc. | 3.350% | 7/31/24 | 2,075 | 2,141 |
| Airgas Inc. | 2.900% | 11/15/22 | 2,900 | 2,911 |
| Airgas Inc. | 3.650% | 7/15/24 | 1,750 | 1,791 |
| Albemarle Corp. | 4.150% | 12/1/24 | 2,925 | 2,873 |
| Barrick Gold Corp. | 4.100% | 5/1/23 | 6,075 | 5,680 |
| Barrick North America Finance LLC | 4.400% | 5/30/21 | 5,951 | 5,824 |
| BHP Billiton Finance USA Ltd. | 3.250% | 11/21/21 | 7,744 | 7,756 |
| BHP Billiton Finance USA Ltd. | 2.875% | 2/24/22 | 6,505 | 6,305 |
| BHP Billiton Finance USA Ltd. | 3.850% | 9/30/23 | 7,094 | 7,104 |
| Braskem Finance Ltd. | 6.450% | 2/3/24 | 3,500 | 3,128 |
| Cabot Corp. | 3.700% | 7/15/22 | 2,950 | 2,946 |
| Carpenter Technology Corp. | 5.200% | 7/15/21 | 1,150 | 1,165 |
| Carpenter Technology Corp. | 4.450% | 3/1/23 | 1,500 | 1,421 |
| Celulosa Arauco y Constitucion SA | 4.750% | 1/11/22 | 4,075 | 4,106 |
| Celulosa Arauco y Constitucion SA | 4.500% | 8/1/24 | 2,450 | 2,398 |
| CF Industries Inc. | 3.450% | 6/1/23 | 4,600 | 4,200 |
| Cytec Industries Inc. | 3.500% | 4/1/23 | 3,631 | 3,466 |
| Domtar Corp. | 4.400% | 4/1/22 | 446 | 459 |
| Dow Chemical Co. | 4.125% | 11/15/21 | 8,448 | 8,913 |
| Dow Chemical Co. | 3.000% | 11/15/22 | 8,476 | 8,361 |
| Dow Chemical Co. | 3.500% | 10/1/24 | 4,825 | 4,847 |
| Eastman Chemical Co. | 4.500% | 1/15/21 | 500 | 517 |
| Eastman Chemical Co. | 3.600% | 8/15/22 | 6,383 | 6,334 |
| Eastman Chemical Co. | 3.800% | 3/15/25 | 3,050 | 2,937 |
| Ecolab Inc. | 4.350% | 12/8/21 | 7,475 | 8,131 |
| Ecolab Inc. | 3.250% | 1/14/23 | 2,100 | 2,138 |
| EI du Pont de Nemours & Co. | 4.250% | 4/1/21 | 3,350 | 3,617 |
| EI du Pont de Nemours & Co. | 2.800% | 2/15/23 | 6,400 | 6,242 |
| Fibria Overseas Finance Ltd. | 5.250% | 5/12/24 | 3,060 | 2,892 |
| FMC Corp. | 3.950% | 2/1/22 | 775 | 792 |
| FMC Corp. | 4.100% | 2/1/24 | 2,500 | 2,494 |
| Georgia-Pacific LLC | 8.000% | 1/15/24 | 2,266 | 2,854 |
| Georgia-Pacific LLC | 7.375% | 12/1/25 | 1,677 | 2,105 |
| Goldcorp Inc. | 3.625% | 6/9/21 | 6,750 | 6,576 |
| Goldcorp Inc. | 3.700% | 3/15/23 | 6,450 | 6,279 |
| International Paper Co. | 7.500% | 8/15/21 | 1,740 | 2,076 |
| International Paper Co. | 4.750% | 2/15/22 | 8,602 | 9,125 |
| International Paper Co. | 3.650% | 6/15/24 | 4,899 | 4,776 |
| International Paper Co. | 3.800% | 1/15/26 | 1,925 | 1,868 |
| LYB International Finance BV | 4.000% | 7/15/23 | 5,144 | 5,194 |
| LyondellBasell Industries NV | 6.000% | 11/15/21 | 5,800 | 6,474 |
| LyondellBasell Industries NV | 5.750% | 4/15/24 | 4,525 | 5,064 |
| Methanex Corp. | 4.250% | 12/1/24 | 2,100 | 1,762 |
| Monsanto Co. | 2.750% | 7/15/21 | 4,668 | 4,664 |
| Monsanto Co. | 2.200% | 7/15/22 | 750 | 717 |
| Monsanto Co. | 3.375% | 7/15/24 | 6,285 | 6,202 |
| Monsanto Co. | 2.850% | 4/15/25 | 4,250 | 3,942 |
| Monsanto Co. | 5.500% | 8/15/25 | 575 | 629 |
| Mosaic Co. | 3.750% | 11/15/21 | 2,325 | 2,301 |
| Mosaic Co. | 4.250% | 11/15/23 | 6,850 | 6,696 |
| NewMarket Corp. | 4.100% | 12/15/22 | 1,050 | 1,067 |
| Newmont Mining Corp. | 3.500% | 3/15/22 | 7,707 | 7,326 |
| Nucor Corp. | 4.125% | 9/15/22 | 3,641 | 3,740 |
| Nucor Corp. | 4.000% | 8/1/23 | 3,839 | 3,861 |
42
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Packaging Corp. of America | 3.900% | 6/15/22 | 5,287 | 5,425 |
| Packaging Corp. of America | 4.500% | 11/1/23 | 5,005 | 5,186 |
| Packaging Corp. of America | 3.650% | 9/15/24 | 1,500 | 1,475 |
| Plum Creek Timberlands LP | 4.700% | 3/15/21 | 4,000 | 4,342 |
| Potash Corp. of Saskatchewan Inc. | 3.625% | 3/15/24 | 2,590 | 2,543 |
| Potash Corp. of Saskatchewan Inc. | 3.000% | 4/1/25 | 4,150 | 3,849 |
| PPG Industries Inc. | 3.600% | 11/15/20 | 27 | 28 |
| Praxair Inc. | 4.050% | 3/15/21 | 2,775 | 3,030 |
| Praxair Inc. | 3.000% | 9/1/21 | 3,000 | 3,127 |
| Praxair Inc. | 2.450% | 2/15/22 | 3,900 | 3,914 |
| Praxair Inc. | 2.200% | 8/15/22 | 4,322 | 4,249 |
| Praxair Inc. | 2.650% | 2/5/25 | 800 | 797 |
| Praxair Inc. | 3.200% | 1/30/26 | 6,000 | 6,255 |
| Rayonier Inc. | 3.750% | 4/1/22 | 1,750 | 1,729 |
| Reliance Steel & Aluminum Co. | 4.500% | 4/15/23 | 2,275 | 2,111 |
| Rio Tinto Finance USA Ltd. | 4.125% | 5/20/21 | 4,579 | 4,611 |
| Rio Tinto Finance USA Ltd. | 3.750% | 9/20/21 | 5,250 | 5,192 |
| Rio Tinto Finance USA Ltd. | 3.750% | 6/15/25 | 6,600 | 6,301 |
| Rio Tinto Finance USA plc | 3.500% | 3/22/22 | 6,600 | 6,418 |
| Rio Tinto Finance USA plc | 2.875% | 8/21/22 | 6,081 | 5,688 |
| RPM International Inc. | 3.450% | 11/15/22 | 3,275 | 3,212 |
| Sherwin-Williams Co. | 3.450% | 8/1/25 | 2,100 | 2,220 |
| Southern Copper Corp. | 3.500% | 11/8/22 | 1,200 | 1,110 |
| Southern Copper Corp. | 3.875% | 4/23/25 | 3,800 | 3,382 |
| Syngenta Finance NV | 3.125% | 3/28/22 | 2,200 | 2,159 |
| Vale Overseas Ltd. | 4.375% | 1/11/22 | 11,690 | 9,031 |
| Valspar Corp. | 4.200% | 1/15/22 | 2,400 | 2,524 |
| Valspar Corp. | 3.950% | 1/15/26 | 1,900 | 1,941 |
| Westlake Chemical Corp. | 3.600% | 7/15/22 | 950 | 952 |
| WestRock RKT Co. | 4.900% | 3/1/22 | 2,000 | 2,156 |
| WestRock RKT Co. | 4.000% | 3/1/23 | 3,120 | 3,156 |
| Weyerhaeuser Co. | 4.625% | 9/15/23 | 2,500 | 2,594 |
| Weyerhaeuser Co. | 8.500% | 1/15/25 | 1,375 | 1,761 |
| Yamana Gold Inc. | 4.950% | 7/15/24 | 2,235 | 1,732 |
| Capital Goods (5.0%) | ||||
| 3M Co. | 2.000% | 6/26/22 | 3,434 | 3,421 |
| 3M Co. | 3.000% | 8/7/25 | 2,473 | 2,587 |
| ABB Finance USA Inc. | 2.875% | 5/8/22 | 5,775 | 5,832 |
| Avery Dennison Corp. | 3.350% | 4/15/23 | 1,150 | 1,154 |
| Bemis Co. Inc. | 4.500% | 10/15/21 | 2,625 | 2,811 |
| Boeing Co. | 8.750% | 8/15/21 | 800 | 1,078 |
| Boeing Co. | 2.350% | 10/30/21 | 1,200 | 1,225 |
| Boeing Co. | 2.200% | 10/30/22 | 1,370 | 1,343 |
| Boeing Co. | 7.950% | 8/15/24 | 2,865 | 3,897 |
| Boeing Co. | 2.850% | 10/30/24 | 2,833 | 2,862 |
| Boeing Co. | 2.500% | 3/1/25 | 1,000 | 982 |
| Boeing Co. | 2.600% | 10/30/25 | 3,000 | 2,965 |
| Carlisle Cos. Inc. | 3.750% | 11/15/22 | 2,475 | 2,527 |
| Caterpillar Financial Services Corp. | 2.750% | 8/20/21 | 1,000 | 1,019 |
| Caterpillar Financial Services Corp. | 2.850% | 6/1/22 | 3,639 | 3,686 |
| Caterpillar Financial Services Corp. | 2.625% | 3/1/23 | 2,600 | 2,559 |
| Caterpillar Financial Services Corp. | 3.750% | 11/24/23 | 4,900 | 5,166 |
| Caterpillar Financial Services Corp. | 3.300% | 6/9/24 | 2,000 | 2,069 |
| Caterpillar Financial Services Corp. | 3.250% | 12/1/24 | 600 | 599 |
| Caterpillar Inc. | 3.900% | 5/27/21 | 5,480 | 5,864 |
| Caterpillar Inc. | 2.600% | 6/26/22 | 2,900 | 2,928 |
| Caterpillar Inc. | 3.400% | 5/15/24 | 7,790 | 7,965 |
| Crane Co. | 4.450% | 12/15/23 | 2,200 | 2,294 |
| Danaher Corp. | 3.900% | 6/23/21 | 4,492 | 4,902 |
| Danaher Corp. | 3.350% | 9/15/25 | 2,500 | 2,625 |
| Deere & Co. | 2.600% | 6/8/22 | 5,650 | 5,658 |
| Dover Corp. | 4.300% | 3/1/21 | 3,250 | 3,541 |
| Dover Corp. | 3.150% | 11/15/25 | 1,200 | 1,218 |
43
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Eaton Corp. | 2.750% | 11/2/22 | 9,363 | 9,214 |
| 1 Embraer Overseas Ltd. | 5.696% | 9/16/23 | 4,074 | 3,806 |
| Emerson Electric Co. | 2.625% | 12/1/21 | 2,750 | 2,804 |
| Emerson Electric Co. | 2.625% | 2/15/23 | 2,500 | 2,512 |
| Emerson Electric Co. | 3.150% | 6/1/25 | 2,250 | 2,288 |
| Exelis Inc. | 5.550% | 10/1/21 | 5,675 | 6,319 |
| Flowserve Corp. | 3.500% | 9/15/22 | 4,525 | 4,547 |
| Flowserve Corp. | 4.000% | 11/15/23 | 2,925 | 2,997 |
| Fortune Brands Home & Security Inc. | 4.000% | 6/15/25 | 2,200 | 2,245 |
| General Dynamics Corp. | 3.875% | 7/15/21 | 2,042 | 2,209 |
| General Dynamics Corp. | 2.250% | 11/15/22 | 6,465 | 6,371 |
| General Electric Capital Corp. | 4.650% | 10/17/21 | 8,308 | 9,402 |
| General Electric Capital Corp. | 3.150% | 9/7/22 | 8,884 | 9,338 |
| General Electric Capital Corp. | 3.100% | 1/9/23 | 7,807 | 8,166 |
| General Electric Capital Corp. | 3.450% | 5/15/24 | 5,753 | 6,139 |
| General Electric Co. | 2.700% | 10/9/22 | 17,600 | 18,164 |
| General Electric Co. | 3.375% | 3/11/24 | 4,033 | 4,310 |
| Harris Corp. | 3.832% | 4/27/25 | 3,400 | 3,451 |
| Hexcel Corp. | 4.700% | 8/15/25 | 500 | 498 |
| Honeywell International Inc. | 4.250% | 3/1/21 | 4,875 | 5,414 |
| Honeywell International Inc. | 3.350% | 12/1/23 | 2,900 | 3,098 |
| Hubbell Inc. | 3.350% | 3/1/26 | 2,325 | 2,319 |
| IDEX Corp. | 4.200% | 12/15/21 | 2,775 | 2,966 |
| Illinois Tool Works Inc. | 3.375% | 9/15/21 | 977 | 1,036 |
| Illinois Tool Works Inc. | 3.500% | 3/1/24 | 8,228 | 8,755 |
| Ingersoll-Rand Global Holding Co. Ltd. | 4.250% | 6/15/23 | 6,060 | 6,422 |
| Ingersoll-Rand Luxembourg Finance SA | 3.550% | 11/1/24 | 2,168 | 2,181 |
| John Deere Capital Corp. | 2.800% | 3/4/21 | 2,050 | 2,095 |
| John Deere Capital Corp. | 3.900% | 7/12/21 | 2,650 | 2,842 |
| John Deere Capital Corp. | 3.150% | 10/15/21 | 3,750 | 3,911 |
| John Deere Capital Corp. | 2.750% | 3/15/22 | 2,150 | 2,167 |
| John Deere Capital Corp. | 2.800% | 1/27/23 | 3,075 | 3,108 |
| John Deere Capital Corp. | 3.350% | 6/12/24 | 3,100 | 3,230 |
| John Deere Capital Corp. | 3.400% | 9/11/25 | 2,875 | 3,004 |
| Kennametal Inc. | 3.875% | 2/15/22 | 1,450 | 1,387 |
| L-3 Communications Corp. | 3.950% | 5/28/24 | 1,995 | 1,878 |
| Leggett & Platt Inc. | 3.800% | 11/15/24 | 2,700 | 2,800 |
| Legrand France SA | 8.500% | 2/15/25 | 1,835 | 2,473 |
| Lockheed Martin Corp. | 3.350% | 9/15/21 | 5,527 | 5,790 |
| Lockheed Martin Corp. | 3.100% | 1/15/23 | 2,050 | 2,105 |
| Lockheed Martin Corp. | 2.900% | 3/1/25 | 5,575 | 5,541 |
| Lockheed Martin Corp. | 3.550% | 1/15/26 | 12,050 | 12,634 |
| Martin Marietta Materials Inc. | 4.250% | 7/2/24 | 1,500 | 1,516 |
| Mohawk Industries Inc. | 3.850% | 2/1/23 | 4,740 | 4,865 |
| Northrop Grumman Corp. | 3.500% | 3/15/21 | 4,325 | 4,527 |
| Northrop Grumman Corp. | 3.250% | 8/1/23 | 5,665 | 5,831 |
| Owens Corning | 4.200% | 12/15/22 | 3,925 | 3,972 |
| Owens Corning | 4.200% | 12/1/24 | 750 | 741 |
| Parker Hannifin Corp. | 3.500% | 9/15/22 | 2,670 | 2,831 |
| Parker-Hannifin Corp. | 3.300% | 11/21/24 | 3,446 | 3,598 |
| Pentair Finance SA | 5.000% | 5/15/21 | 3,520 | 3,734 |
| Pentair Finance SA | 3.150% | 9/15/22 | 1,300 | 1,251 |
| Precision Castparts Corp. | 2.500% | 1/15/23 | 6,108 | 6,025 |
| Precision Castparts Corp. | 3.250% | 6/15/25 | 4,273 | 4,370 |
| Raytheon Co. | 2.500% | 12/15/22 | 10,000 | 10,159 |
| Raytheon Co. | 3.150% | 12/15/24 | 400 | 416 |
| Republic Services Inc. | 5.250% | 11/15/21 | 5,133 | 5,784 |
| Republic Services Inc. | 3.550% | 6/1/22 | 5,083 | 5,319 |
| Republic Services Inc. | 4.750% | 5/15/23 | 3,045 | 3,367 |
| Republic Services Inc. | 3.200% | 3/15/25 | 2,700 | 2,700 |
| Rockwell Collins Inc. | 3.100% | 11/15/21 | 559 | 581 |
| Rockwell Collins Inc. | 3.700% | 12/15/23 | 2,390 | 2,512 |
| Roper Technologies Inc. | 3.125% | 11/15/22 | 2,247 | 2,241 |
| Roper Technologies Inc. | 3.850% | 12/15/25 | 1,950 | 1,985 |
44
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Snap-on Inc. | 6.125% | 9/1/21 | 1,410 | 1,661 |
| Sonoco Products Co. | 4.375% | 11/1/21 | 775 | 832 |
| Stanley Black & Decker Inc. | 3.400% | 12/1/21 | 2,825 | 2,924 |
| Stanley Black & Decker Inc. | 2.900% | 11/1/22 | 2,639 | 2,625 |
| Textron Inc. | 3.650% | 3/1/21 | 1,000 | 1,028 |
| Textron Inc. | 5.950% | 9/21/21 | 500 | 562 |
| Textron Inc. | 4.300% | 3/1/24 | 2,740 | 2,842 |
| Textron Inc. | 3.875% | 3/1/25 | 2,200 | 2,208 |
| Timken CO | 3.875% | 9/1/24 | 1,020 | 1,004 |
| Tyco International Finance SA | 3.900% | 2/14/26 | 3,685 | 3,731 |
| United Technologies Corp. | 3.100% | 6/1/22 | 14,510 | 15,099 |
| Waste Management Inc. | 4.600% | 3/1/21 | 1,930 | 2,082 |
| Waste Management Inc. | 2.900% | 9/15/22 | 3,760 | 3,765 |
| Waste Management Inc. | 3.500% | 5/15/24 | 1,450 | 1,508 |
| Waste Management Inc. | 3.125% | 3/1/25 | 3,959 | 3,983 |
| Xylem Inc. | 4.875% | 10/1/21 | 2,550 | 2,758 |
| Communication (8.9%) | ||||
| 21st Century Fox America Inc. | 3.000% | 9/15/22 | 6,885 | 6,911 |
| 21st Century Fox America Inc. | 8.875% | 4/26/23 | 1,000 | 1,327 |
| 21st Century Fox America Inc. | 4.000% | 10/1/23 | 2,350 | 2,478 |
| 21st Century Fox America Inc. | 3.700% | 9/15/24 | 2,400 | 2,462 |
| 21st Century Fox America Inc. | 3.700% | 10/15/25 | 3,000 | 3,029 |
| 21st Century Fox America Inc. | 7.700% | 10/30/25 | 3,285 | 4,178 |
| America Movil SAB de CV | 3.125% | 7/16/22 | 10,247 | 10,176 |
| American Tower Corp. | 3.450% | 9/15/21 | 2,800 | 2,798 |
| American Tower Corp. | 5.900% | 11/1/21 | 5,574 | 6,193 |
| American Tower Corp. | 4.700% | 3/15/22 | 2,855 | 3,025 |
| American Tower Corp. | 3.500% | 1/31/23 | 7,440 | 7,305 |
| American Tower Corp. | 5.000% | 2/15/24 | 2,773 | 2,945 |
| American Tower Corp. | 4.000% | 6/1/25 | 5,425 | 5,392 |
| American Tower Corp. | 4.400% | 2/15/26 | 2,075 | 2,115 |
| AT&T Inc. | 4.450% | 5/15/21 | 7,405 | 7,923 |
| AT&T Inc. | 3.875% | 8/15/21 | 8,654 | 9,078 |
| AT&T Inc. | 3.000% | 2/15/22 | 10,499 | 10,462 |
| AT&T Inc. | 3.000% | 6/30/22 | 17,900 | 17,812 |
| AT&T Inc. | 2.625% | 12/1/22 | 5,925 | 5,753 |
| AT&T Inc. | 3.600% | 2/17/23 | 10,000 | 10,149 |
| AT&T Inc. | 3.400% | 5/15/25 | 17,755 | 17,440 |
| AT&T Inc. | 4.125% | 2/17/26 | 21,000 | 21,670 |
| CBS Corp. | 3.375% | 3/1/22 | 1,646 | 1,660 |
| CBS Corp. | 3.700% | 8/15/24 | 4,533 | 4,466 |
| CBS Corp. | 3.500% | 1/15/25 | 2,750 | 2,659 |
| CBS Corp. | 4.000% | 1/15/26 | 3,275 | 3,252 |
| CC Holdings GS V LLC / Crown Castle GS III Corp. | 3.849% | 4/15/23 | 6,582 | 6,652 |
| 1 CCO Safari II LLC | 4.464% | 7/23/22 | 16,975 | 17,246 |
| 1 CCO Safari II LLC | 4.908% | 7/23/25 | 24,450 | 24,965 |
| Comcast Cable Communications Holdings Inc. | 9.455% | 11/15/22 | 7,204 | 10,068 |
| Comcast Corp. | 3.125% | 7/15/22 | 6,250 | 6,540 |
| Comcast Corp. | 2.850% | 1/15/23 | 3,022 | 3,092 |
| Comcast Corp. | 3.600% | 3/1/24 | 6,882 | 7,279 |
| Comcast Corp. | 3.375% | 2/15/25 | 8,125 | 8,500 |
| Comcast Corp. | 3.375% | 8/15/25 | 8,079 | 8,471 |
| Comcast Corp. | 3.150% | 3/1/26 | 5,000 | 5,122 |
| Crown Castle International Corp. | 4.875% | 4/15/22 | 5,000 | 5,238 |
| Crown Castle International Corp. | 5.250% | 1/15/23 | 8,750 | 9,297 |
| Crown Castle International Corp. | 4.450% | 2/15/26 | 8,250 | 8,415 |
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 4.600% | 2/15/21 | 6,082 | 6,536 |
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.000% | 3/1/21 | 5,353 | 5,884 |
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.800% | 3/15/22 | 10,785 | 11,092 |
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 4.450% | 4/1/24 | 6,847 | 7,189 |
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 3.950% | 1/15/25 | 11,250 | 11,411 |
| Discovery Communications LLC | 4.375% | 6/15/21 | 2,700 | 2,746 |
| Discovery Communications LLC | 3.300% | 5/15/22 | 1,853 | 1,747 |
45
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Discovery Communications LLC | 3.250% | 4/1/23 | 1,900 | 1,743 |
| Discovery Communications LLC | 3.450% | 3/15/25 | 2,350 | 2,107 |
| Electronic Arts Inc. | 3.700% | 3/1/21 | 3,300 | 3,340 |
| Grupo Televisa SAB | 6.625% | 3/18/25 | 5,835 | 6,702 |
| Grupo Televisa SAB | 4.625% | 1/30/26 | 300 | 305 |
| GTE Corp. | 8.750% | 11/1/21 | 1,175 | 1,488 |
| Historic TW Inc. | 9.150% | 2/1/23 | 2,745 | 3,609 |
| Interpublic Group of Cos. Inc. | 3.750% | 2/15/23 | 1,800 | 1,762 |
| Interpublic Group of Cos. Inc. | 4.200% | 4/15/24 | 4,375 | 4,366 |
| McGraw Hill Financial Inc. | 4.000% | 6/15/25 | 2,975 | 3,019 |
| McGraw Hill Financial Inc. | 4.400% | 2/15/26 | 4,220 | 4,439 |
| Moody's Corp. | 4.500% | 9/1/22 | 1,971 | 2,142 |
| Moody's Corp. | 4.875% | 2/15/24 | 6,959 | 7,543 |
| NBCUniversal Media LLC | 4.375% | 4/1/21 | 12,668 | 14,007 |
| NBCUniversal Media LLC | 2.875% | 1/15/23 | 6,523 | 6,652 |
| Omnicom Group Inc. | 3.625% | 5/1/22 | 7,373 | 7,478 |
| Omnicom Group Inc. | 3.650% | 11/1/24 | 6,233 | 6,257 |
| Orange SA | 4.125% | 9/14/21 | 7,150 | 7,668 |
| Qwest Corp. | 6.750% | 12/1/21 | 5,520 | 5,885 |
| Qwest Corp. | 7.250% | 9/15/25 | 500 | 553 |
| RELX Capital Inc. | 3.125% | 10/15/22 | 4,219 | 4,196 |
| Rogers Communications Inc. | 3.000% | 3/15/23 | 3,250 | 3,265 |
| Rogers Communications Inc. | 4.100% | 10/1/23 | 3,600 | 3,839 |
| Rogers Communications Inc. | 3.625% | 12/15/25 | 3,950 | 4,017 |
| Scripps Networks Interactive Inc. | 3.500% | 6/15/22 | 5,200 | 5,095 |
| Scripps Networks Interactive Inc. | 3.900% | 11/15/24 | 1,900 | 1,852 |
| TCI Communications Inc. | 7.875% | 2/15/26 | 1,457 | 1,982 |
| Telefonica Emisiones SAU | 5.462% | 2/16/21 | 7,607 | 8,347 |
| Telefonica Emisiones SAU | 4.570% | 4/27/23 | 3,875 | 4,100 |
| Thomson Reuters Corp. | 3.950% | 9/30/21 | 3,377 | 3,564 |
| Thomson Reuters Corp. | 4.300% | 11/23/23 | 2,000 | 2,116 |
| Thomson Reuters Corp. | 3.850% | 9/29/24 | 3,950 | 4,037 |
| Time Warner Cable Inc. | 4.000% | 9/1/21 | 5,441 | 5,531 |
| Time Warner Cos. Inc. | 7.570% | 2/1/24 | 1,720 | 2,089 |
| Time Warner Entertainment Co. LP | 8.375% | 3/15/23 | 4,885 | 5,914 |
| Time Warner Inc. | 4.750% | 3/29/21 | 3,358 | 3,630 |
| Time Warner Inc. | 4.000% | 1/15/22 | 3,225 | 3,345 |
| Time Warner Inc. | 3.400% | 6/15/22 | 2,401 | 2,379 |
| Time Warner Inc. | 4.050% | 12/15/23 | 3,846 | 3,963 |
| Time Warner Inc. | 3.550% | 6/1/24 | 7,216 | 7,075 |
| Time Warner Inc. | 3.600% | 7/15/25 | 12,375 | 12,164 |
| Verizon Communications Inc. | 3.450% | 3/15/21 | 7,177 | 7,461 |
| Verizon Communications Inc. | 4.600% | 4/1/21 | 6,940 | 7,580 |
| Verizon Communications Inc. | 3.000% | 11/1/21 | 7,409 | 7,530 |
| Verizon Communications Inc. | 3.500% | 11/1/21 | 15,468 | 16,158 |
| Verizon Communications Inc. | 2.450% | 11/1/22 | 12,346 | 11,935 |
| Verizon Communications Inc. | 5.150% | 9/15/23 | 46,292 | 52,298 |
| Verizon Communications Inc. | 4.150% | 3/15/24 | 10,235 | 10,900 |
| Verizon Communications Inc. | 3.500% | 11/1/24 | 11,476 | 11,727 |
| Viacom Inc. | 3.875% | 12/15/21 | 6,295 | 6,269 |
| Viacom Inc. | 3.125% | 6/15/22 | 3,000 | 2,782 |
| Viacom Inc. | 4.250% | 9/1/23 | 4,010 | 3,917 |
| Viacom Inc. | 3.875% | 4/1/24 | 4,325 | 4,049 |
| Vodafone Group plc | 4.375% | 3/16/21 | 3,258 | 3,454 |
| Vodafone Group plc | 2.500% | 9/26/22 | 5,948 | 5,674 |
| Vodafone Group plc | 2.950% | 2/19/23 | 6,966 | 6,690 |
| Walt Disney Co. | 3.750% | 6/1/21 | 1,626 | 1,767 |
| Walt Disney Co. | 2.750% | 8/16/21 | 4,431 | 4,615 |
| Walt Disney Co. | 2.550% | 2/15/22 | 3,000 | 3,081 |
| Walt Disney Co. | 2.350% | 12/1/22 | 4,377 | 4,441 |
| Walt Disney Co. | 3.150% | 9/17/25 | 3,000 | 3,173 |
| Walt Disney Co. | 3.000% | 2/13/26 | 5,800 | 6,076 |
| WPP Finance 2010 | 4.750% | 11/21/21 | 3,409 | 3,706 |
| WPP Finance 2010 | 3.625% | 9/7/22 | 3,125 | 3,162 |
46
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| WPP Finance 2010 | 3.750% | 9/19/24 | 4,281 | 4,266 |
| Consumer Cyclical (7.9%) | ||||
| Advance Auto Parts Inc. | 4.500% | 1/15/22 | 1,600 | 1,674 |
| Advance Auto Parts Inc. | 4.500% | 12/1/23 | 2,550 | 2,631 |
| Alibaba Group Holding Ltd. | 3.125% | 11/28/21 | 7,800 | 7,787 |
| Alibaba Group Holding Ltd. | 3.600% | 11/28/24 | 15,725 | 15,506 |
| Amazon.com Inc. | 3.300% | 12/5/21 | 6,172 | 6,501 |
| Amazon.com Inc. | 2.500% | 11/29/22 | 6,680 | 6,674 |
| Amazon.com Inc. | 3.800% | 12/5/24 | 6,743 | 7,205 |
| Automatic Data Processing Inc. | 3.375% | 9/15/25 | 6,570 | 6,976 |
| AutoNation Inc. | 4.500% | 10/1/25 | 2,000 | 2,041 |
| AutoZone Inc. | 2.500% | 4/15/21 | 1,025 | 1,015 |
| AutoZone Inc. | 3.700% | 4/15/22 | 4,355 | 4,513 |
| AutoZone Inc. | 2.875% | 1/15/23 | 1,500 | 1,478 |
| AutoZone Inc. | 3.125% | 7/15/23 | 1,000 | 997 |
| AutoZone Inc. | 3.250% | 4/15/25 | 2,825 | 2,790 |
| Bed Bath & Beyond Inc. | 3.749% | 8/1/24 | 1,475 | 1,417 |
| Best Buy Co. Inc. | 5.500% | 3/15/21 | 625 | 642 |
| Block Financial LLC | 5.500% | 11/1/22 | 3,175 | 3,401 |
| Block Financial LLC | 5.250% | 10/1/25 | 1,950 | 2,074 |
| BorgWarner Inc. | 3.375% | 3/15/25 | 2,575 | 2,458 |
| Brinker International Inc. | 3.875% | 5/15/23 | 1,450 | 1,420 |
| Coach Inc. | 4.250% | 4/1/25 | 3,125 | 3,004 |
| Costco Wholesale Corp. | 2.250% | 2/15/22 | 2,000 | 2,021 |
| Cummins Inc. | 3.650% | 10/1/23 | 2,233 | 2,345 |
| CVS Health Corp. | 3.500% | 7/20/22 | 9,760 | 10,206 |
| CVS Health Corp. | 2.750% | 12/1/22 | 10,675 | 10,639 |
| 1 CVS Health Corp. | 4.750% | 12/1/22 | 1,000 | 1,096 |
| CVS Health Corp. | 4.000% | 12/5/23 | 8,216 | 8,894 |
| CVS Health Corp. | 3.375% | 8/12/24 | 6,465 | 6,675 |
| 1 CVS Health Corp. | 5.000% | 12/1/24 | 1,000 | 1,108 |
| CVS Health Corp. | 3.875% | 7/20/25 | 16,426 | 17,513 |
| Delphi Automotive plc | 4.250% | 1/15/26 | 6,250 | 6,376 |
| Delphi Corp. | 5.000% | 2/15/23 | 3,350 | 3,425 |
| Delphi Corp. | 4.150% | 3/15/24 | 3,827 | 3,903 |
| Dollar General Corp. | 3.250% | 4/15/23 | 3,900 | 3,847 |
| Dollar General Corp. | 4.150% | 11/1/25 | 3,300 | 3,332 |
| eBay Inc. | 2.875% | 8/1/21 | 3,904 | 3,850 |
| eBay Inc. | 2.600% | 7/15/22 | 4,475 | 4,182 |
| eBay Inc. | 3.450% | 8/1/24 | 4,615 | 4,394 |
| Expedia Inc. | 4.500% | 8/15/24 | 3,285 | 3,066 |
| 1 Expedia Inc. | 5.000% | 2/15/26 | 1,735 | 1,649 |
| Ford Motor Credit Co. LLC | 5.875% | 8/2/21 | 9,727 | 10,691 |
| Ford Motor Credit Co. LLC | 3.219% | 1/9/22 | 7,050 | 6,840 |
| Ford Motor Credit Co. LLC | 4.250% | 9/20/22 | 5,625 | 5,734 |
| Ford Motor Credit Co. LLC | 4.375% | 8/6/23 | 5,675 | 5,811 |
| Ford Motor Credit Co. LLC | 3.664% | 9/8/24 | 4,000 | 3,885 |
| Ford Motor Credit Co. LLC | 4.134% | 8/4/25 | 15,200 | 15,159 |
| Gap Inc. | 5.950% | 4/12/21 | 6,472 | 6,738 |
| General Motors Co. | 4.875% | 10/2/23 | 9,679 | 9,764 |
| General Motors Co. | 4.000% | 4/1/25 | 2,650 | 2,438 |
| General Motors Financial Co. Inc. | 4.200% | 3/1/21 | 5,000 | 5,000 |
| General Motors Financial Co. Inc. | 4.375% | 9/25/21 | 6,150 | 6,186 |
| General Motors Financial Co. Inc. | 3.450% | 4/10/22 | 8,504 | 7,994 |
| General Motors Financial Co. Inc. | 4.250% | 5/15/23 | 3,400 | 3,307 |
| General Motors Financial Co. Inc. | 4.000% | 1/15/25 | 8,988 | 8,247 |
| General Motors Financial Co. Inc. | 4.300% | 7/13/25 | 3,615 | 3,434 |
| General Motors Financial Co. Inc. | 5.250% | 3/1/26 | 4,100 | 4,115 |
| Harley-Davidson Inc. | 3.500% | 7/28/25 | 3,850 | 3,959 |
| Harman International Industries Inc. | 4.150% | 5/15/25 | 3,800 | 3,718 |
| Home Depot Inc. | 2.000% | 4/1/21 | 4,000 | 4,024 |
| Home Depot Inc. | 4.400% | 4/1/21 | 6,827 | 7,588 |
| Home Depot Inc. | 2.625% | 6/1/22 | 7,755 | 7,902 |
47
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Home Depot Inc. | 2.700% | 4/1/23 | 7,653 | 7,848 |
| Home Depot Inc. | 3.750% | 2/15/24 | 7,602 | 8,302 |
| Home Depot Inc. | 3.350% | 9/15/25 | 4,200 | 4,461 |
| Hyatt Hotels Corp. | 5.375% | 8/15/21 | 800 | 869 |
| Hyatt Hotels Corp. | 3.375% | 7/15/23 | 2,475 | 2,402 |
| Hyatt Hotels Corp. | 4.850% | 3/15/26 | 1,900 | 1,898 |
| Johnson Controls Inc. | 4.250% | 3/1/21 | 2,614 | 2,745 |
| Johnson Controls Inc. | 3.750% | 12/1/21 | 2,821 | 2,898 |
| Johnson Controls Inc. | 3.625% | 7/2/24 | 1,800 | 1,796 |
| Kohl's Corp. | 4.000% | 11/1/21 | 3,270 | 3,300 |
| Kohl's Corp. | 3.250% | 2/1/23 | 2,825 | 2,648 |
| Kohl's Corp. | 4.750% | 12/15/23 | 263 | 264 |
| Kohl's Corp. | 4.250% | 7/17/25 | 4,350 | 4,178 |
| Lowe's Cos. Inc. | 3.750% | 4/15/21 | 1,275 | 1,373 |
| Lowe's Cos. Inc. | 3.800% | 11/15/21 | 3,926 | 4,244 |
| Lowe's Cos. Inc. | 3.120% | 4/15/22 | 2,473 | 2,572 |
| Lowe's Cos. Inc. | 3.875% | 9/15/23 | 5,216 | 5,669 |
| Lowe's Cos. Inc. | 3.125% | 9/15/24 | 1,325 | 1,361 |
| Lowe's Cos. Inc. | 3.375% | 9/15/25 | 6,925 | 7,257 |
| Macy's Retail Holdings Inc. | 3.875% | 1/15/22 | 4,025 | 3,996 |
| Macy's Retail Holdings Inc. | 2.875% | 2/15/23 | 2,830 | 2,551 |
| Macy's Retail Holdings Inc. | 4.375% | 9/1/23 | 3,625 | 3,576 |
| Macy's Retail Holdings Inc. | 3.625% | 6/1/24 | 3,493 | 3,237 |
| Macy's Retail Holdings Inc. | 6.650% | 7/15/24 | 50 | 55 |
| Magna International Inc. | 3.625% | 6/15/24 | 3,313 | 3,312 |
| Magna International Inc. | 4.150% | 10/1/25 | 2,600 | 2,700 |
| Marriott International Inc. | 2.875% | 3/1/21 | 1,625 | 1,633 |
| Marriott International Inc. | 3.125% | 10/15/21 | 3,500 | 3,570 |
| Marriott International Inc. | 3.250% | 9/15/22 | 1,800 | 1,798 |
| Marriott International Inc. | 3.750% | 10/1/25 | 3,225 | 3,256 |
| MasterCard Inc. | 3.375% | 4/1/24 | 5,058 | 5,290 |
| McDonald's Corp. | 3.625% | 5/20/21 | 3,396 | 3,615 |
| McDonald's Corp. | 2.625% | 1/15/22 | 3,891 | 3,899 |
| McDonald's Corp. | 3.375% | 5/26/25 | 5,845 | 6,012 |
| McDonald's Corp. | 3.700% | 1/30/26 | 12,050 | 12,549 |
| NIKE Inc. | 2.250% | 5/1/23 | 1,573 | 1,578 |
| Nordstrom Inc. | 4.000% | 10/15/21 | 2,750 | 2,889 |
| NVR Inc. | 3.950% | 9/15/22 | 3,052 | 3,074 |
| O'Reilly Automotive Inc. | 4.625% | 9/15/21 | 1,596 | 1,730 |
| O'Reilly Automotive Inc. | 3.800% | 9/1/22 | 2,200 | 2,300 |
| O'Reilly Automotive Inc. | 3.850% | 6/15/23 | 1,375 | 1,423 |
| Priceline Group Inc. | 3.650% | 3/15/25 | 2,300 | 2,290 |
| QVC Inc. | 5.125% | 7/2/22 | 3,035 | 3,086 |
| QVC Inc. | 4.375% | 3/15/23 | 1,800 | 1,702 |
| QVC Inc. | 4.850% | 4/1/24 | 5,233 | 5,054 |
| QVC Inc. | 4.450% | 2/15/25 | 2,950 | 2,751 |
| Ross Stores Inc. | 3.375% | 9/15/24 | 1,125 | 1,139 |
| Signet UK Finance plc | 4.700% | 6/15/24 | 2,175 | 2,181 |
| Staples Inc. | 4.375% | 1/12/23 | 2,675 | 2,605 |
| Starbucks Corp. | 2.700% | 6/15/22 | 1,750 | 1,795 |
| Starbucks Corp. | 3.850% | 10/1/23 | 4,789 | 5,243 |
| Starwood Hotels & Resorts Worldwide Inc. | 3.125% | 2/15/23 | 1,625 | 1,614 |
| Starwood Hotels & Resorts Worldwide Inc. | 3.750% | 3/15/25 | 3,300 | 3,336 |
| Target Corp. | 2.900% | 1/15/22 | 5,245 | 5,441 |
| Target Corp. | 3.500% | 7/1/24 | 7,475 | 8,017 |
| TJX Cos. Inc. | 2.750% | 6/15/21 | 6,975 | 7,153 |
| TJX Cos. Inc. | 2.500% | 5/15/23 | 3,125 | 3,093 |
| Toyota Motor Credit Corp. | 2.750% | 5/17/21 | 4,250 | 4,349 |
| Toyota Motor Credit Corp. | 3.400% | 9/15/21 | 6,600 | 6,933 |
| Toyota Motor Credit Corp. | 3.300% | 1/12/22 | 6,322 | 6,621 |
| Toyota Motor Credit Corp. | 2.800% | 7/13/22 | 1,300 | 1,320 |
| Toyota Motor Credit Corp. | 2.625% | 1/10/23 | 3,474 | 3,490 |
| VF Corp. | 3.500% | 9/1/21 | 3,665 | 3,905 |
| Visa Inc. | 2.800% | 12/14/22 | 12,800 | 13,183 |
48
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Visa Inc. | 3.150% | 12/14/25 | 23,925 | 24,827 |
| Wal-Mart Stores Inc. | 4.250% | 4/15/21 | 4,175 | 4,656 |
| Wal-Mart Stores Inc. | 2.550% | 4/11/23 | 14,052 | 14,301 |
| Wal-Mart Stores Inc. | 3.300% | 4/22/24 | 11,571 | 12,294 |
| Walgreen Co. | 3.100% | 9/15/22 | 3,577 | 3,522 |
| Walgreens Boots Alliance Inc. | 3.300% | 11/18/21 | 9,443 | 9,513 |
| Walgreens Boots Alliance Inc. | 3.800% | 11/18/24 | 11,725 | 11,769 |
| Wyndham Worldwide Corp. | 4.250% | 3/1/22 | 5,600 | 5,654 |
| Wyndham Worldwide Corp. | 3.900% | 3/1/23 | 2,850 | 2,792 |
| Wyndham Worldwide Corp. | 5.100% | 10/1/25 | 2,500 | 2,546 |
| Consumer Noncyclical (16.0%) | ||||
| Abbott Laboratories | 2.550% | 3/15/22 | 3,975 | 3,954 |
| Abbott Laboratories | 2.950% | 3/15/25 | 4,500 | 4,451 |
| AbbVie Inc. | 2.900% | 11/6/22 | 19,705 | 19,568 |
| AbbVie Inc. | 3.200% | 11/6/22 | 6,450 | 6,541 |
| AbbVie Inc. | 3.600% | 5/14/25 | 24,130 | 24,568 |
| Actavis Funding SCS | 3.450% | 3/15/22 | 16,564 | 16,873 |
| Actavis Funding SCS | 3.850% | 6/15/24 | 8,983 | 9,274 |
| Actavis Funding SCS | 3.800% | 3/15/25 | 21,026 | 21,647 |
| Actavis Inc. | 3.250% | 10/1/22 | 10,675 | 10,728 |
| Agilent Technologies Inc. | 3.200% | 10/1/22 | 2,700 | 2,702 |
| Agilent Technologies Inc. | 3.875% | 7/15/23 | 3,400 | 3,480 |
| Allergan Inc. | 2.800% | 3/15/23 | 3,350 | 3,258 |
| Altria Group Inc. | 4.750% | 5/5/21 | 8,374 | 9,272 |
| Altria Group Inc. | 2.850% | 8/9/22 | 10,170 | 10,274 |
| Altria Group Inc. | 2.950% | 5/2/23 | 2,272 | 2,296 |
| Altria Group Inc. | 4.000% | 1/31/24 | 8,368 | 8,990 |
| AmerisourceBergen Corp. | 3.500% | 11/15/21 | 4,100 | 4,247 |
| AmerisourceBergen Corp. | 3.400% | 5/15/24 | 3,150 | 3,159 |
| AmerisourceBergen Corp. | 3.250% | 3/1/25 | 2,175 | 2,167 |
| Amgen Inc. | 4.100% | 6/15/21 | 4,850 | 5,196 |
| Amgen Inc. | 3.875% | 11/15/21 | 9,850 | 10,444 |
| Amgen Inc. | 2.700% | 5/1/22 | 2,100 | 2,064 |
| Amgen Inc. | 3.625% | 5/15/22 | 6,852 | 7,075 |
| Amgen Inc. | 3.625% | 5/22/24 | 9,419 | 9,652 |
| Amgen Inc. | 3.125% | 5/1/25 | 3,760 | 3,718 |
| Anheuser-Busch InBev Finance Inc. | 2.625% | 1/17/23 | 11,228 | 11,107 |
| Anheuser-Busch InBev Finance Inc. | 3.300% | 2/1/23 | 39,675 | 40,766 |
| Anheuser-Busch InBev Finance Inc. | 3.700% | 2/1/24 | 11,589 | 12,233 |
| Anheuser-Busch InBev Finance Inc. | 3.650% | 2/1/26 | 51,985 | 53,608 |
| Anheuser-Busch InBev Worldwide Inc. | 2.500% | 7/15/22 | 19,402 | 19,226 |
| Archer-Daniels-Midland Co. | 4.479% | 3/1/21 | 3,166 | 3,487 |
| AstraZeneca plc | 3.375% | 11/16/25 | 11,550 | 11,700 |
| Baptist Health South Florida Obligated Group Revenue | 4.590% | 8/15/21 | 1,000 | 1,116 |
| 1 Baxalta Inc. | 3.600% | 6/23/22 | 3,979 | 3,940 |
| 1 Baxalta Inc. | 4.000% | 6/23/25 | 10,507 | 10,371 |
| Beam Suntory Inc. | 3.250% | 5/15/22 | 1,275 | 1,298 |
| Beam Suntory Inc. | 3.250% | 6/15/23 | 1,050 | 1,027 |
| Becton Dickinson & Co. | 3.125% | 11/8/21 | 5,250 | 5,373 |
| Becton Dickinson & Co. | 3.734% | 12/15/24 | 9,719 | 10,054 |
| Becton Dickinson and Co. | 3.300% | 3/1/23 | 2,150 | 2,207 |
| Becton Dickinson and Co. | 3.875% | 5/15/24 | 2,100 | 2,180 |
| Biogen Inc. | 3.625% | 9/15/22 | 5,900 | 6,083 |
| Biogen Inc. | 4.050% | 9/15/25 | 10,950 | 11,382 |
| Boston Scientific Corp. | 3.375% | 5/15/22 | 4,250 | 4,262 |
| Boston Scientific Corp. | 4.125% | 10/1/23 | 2,710 | 2,779 |
| Boston Scientific Corp. | 3.850% | 5/15/25 | 5,750 | 5,724 |
| Bristol-Myers Squibb Co. | 2.000% | 8/1/22 | 4,403 | 4,357 |
| Bristol-Myers Squibb Co. | 7.150% | 6/15/23 | 900 | 1,165 |
| Bristol-Myers Squibb Co. | 3.250% | 11/1/23 | 2,975 | 3,151 |
| Brown-Forman Corp. | 2.250% | 1/15/23 | 2,175 | 2,138 |
| Campbell Soup Co. | 4.250% | 4/15/21 | 1,000 | 1,084 |
| Campbell Soup Co. | 2.500% | 8/2/22 | 2,075 | 2,032 |
49
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Campbell Soup Co. | 3.300% | 3/19/25 | 1,100 | 1,124 |
| Cardinal Health Inc. | 3.200% | 6/15/22 | 1,200 | 1,230 |
| Cardinal Health Inc. | 3.200% | 3/15/23 | 4,595 | 4,656 |
| Cardinal Health Inc. | 3.750% | 9/15/25 | 3,300 | 3,432 |
| Catholic Health Initiatives Colorado GO | 2.950% | 11/1/22 | 1,800 | 1,803 |
| Celgene Corp. | 3.250% | 8/15/22 | 5,195 | 5,226 |
| Celgene Corp. | 3.550% | 8/15/22 | 4,410 | 4,532 |
| Celgene Corp. | 4.000% | 8/15/23 | 5,985 | 6,256 |
| Celgene Corp. | 3.625% | 5/15/24 | 6,333 | 6,367 |
| Celgene Corp. | 3.875% | 8/15/25 | 13,874 | 14,314 |
| Church & Dwight Co. Inc. | 2.875% | 10/1/22 | 900 | 906 |
| Clorox Co. | 3.800% | 11/15/21 | 3,288 | 3,516 |
| Clorox Co. | 3.050% | 9/15/22 | 2,100 | 2,130 |
| Clorox Co. | 3.500% | 12/15/24 | 2,333 | 2,415 |
| Coca-Cola Bottling Co. Consolidated | 3.800% | 11/25/25 | 1,800 | 1,873 |
| Coca-Cola Co. | 3.300% | 9/1/21 | 8,987 | 9,584 |
| Coca-Cola Co. | 2.500% | 4/1/23 | 4,852 | 4,951 |
| Coca-Cola Co. | 3.200% | 11/1/23 | 7,450 | 7,909 |
| Coca-Cola Co. | 2.875% | 10/27/25 | 10,900 | 11,146 |
| Coca-Cola Enterprises Inc. | 3.250% | 8/19/21 | 425 | 434 |
| Coca-Cola Enterprises Inc. | 4.500% | 9/1/21 | 2,600 | 2,851 |
| Coca-Cola Femsa SAB de CV | 3.875% | 11/26/23 | 4,673 | 4,791 |
| Coca-Cola Refreshments USA Inc. | 8.500% | 2/1/22 | 975 | 1,289 |
| Colgate-Palmolive Co. | 2.450% | 11/15/21 | 2,875 | 2,947 |
| Colgate-Palmolive Co. | 2.300% | 5/3/22 | 2,650 | 2,695 |
| Colgate-Palmolive Co. | 1.950% | 2/1/23 | 3,975 | 3,904 |
| Colgate-Palmolive Co. | 2.100% | 5/1/23 | 650 | 660 |
| Colgate-Palmolive Co. | 3.250% | 3/15/24 | 3,253 | 3,494 |
| ConAgra Foods Inc. | 3.250% | 9/15/22 | 3,175 | 3,172 |
| ConAgra Foods Inc. | 3.200% | 1/25/23 | 5,263 | 5,222 |
| Covidien International Finance SA | 3.200% | 6/15/22 | 7,080 | 7,305 |
| Covidien International Finance SA | 2.950% | 6/15/23 | 5,148 | 5,172 |
| DENTSPLY SIRONA Inc. | 4.125% | 8/15/21 | 50 | 52 |
| Diageo Capital plc | 2.625% | 4/29/23 | 10,420 | 10,445 |
| Diageo Investment Corp. | 2.875% | 5/11/22 | 4,987 | 5,103 |
| Dignity Health California GO | 3.125% | 11/1/22 | 800 | 824 |
| Dignity Health California GO | 3.812% | 11/1/24 | 2,000 | 2,111 |
| Dr Pepper Snapple Group Inc. | 3.200% | 11/15/21 | 1,625 | 1,672 |
| Dr Pepper Snapple Group Inc. | 2.700% | 11/15/22 | 625 | 618 |
| Dr Pepper Snapple Group Inc. | 3.400% | 11/15/25 | 2,900 | 2,948 |
| Eli Lilly & Co. | 2.750% | 6/1/25 | 5,240 | 5,322 |
| Estee Lauder Cos. Inc. | 2.350% | 8/15/22 | 1,000 | 1,001 |
| Express Scripts Holding Co. | 4.750% | 11/15/21 | 5,212 | 5,580 |
| Express Scripts Holding Co. | 3.900% | 2/15/22 | 7,354 | 7,477 |
| Express Scripts Holding Co. | 3.500% | 6/15/24 | 6,115 | 5,852 |
| Express Scripts Holding Co. | 4.500% | 2/25/26 | 2,500 | 2,516 |
| Flowers Foods Inc. | 4.375% | 4/1/22 | 2,350 | 2,507 |
| Fomento Economico Mexicano SAB de CV | 2.875% | 5/10/23 | 1,200 | 1,127 |
| General Mills Inc. | 3.150% | 12/15/21 | 3,930 | 4,094 |
| General Mills Inc. | 3.650% | 2/15/24 | 3,911 | 4,153 |
| Gilead Sciences Inc. | 4.500% | 4/1/21 | 5,475 | 6,028 |
| Gilead Sciences Inc. | 4.400% | 12/1/21 | 5,812 | 6,384 |
| Gilead Sciences Inc. | 3.250% | 9/1/22 | 5,550 | 5,762 |
| Gilead Sciences Inc. | 3.700% | 4/1/24 | 10,661 | 11,225 |
| Gilead Sciences Inc. | 3.500% | 2/1/25 | 11,926 | 12,438 |
| GlaxoSmithKline Capital Inc. | 2.800% | 3/18/23 | 6,648 | 6,803 |
| GlaxoSmithKline Capital plc | 2.850% | 5/8/22 | 9,917 | 10,270 |
| Hasbro Inc. | 3.150% | 5/15/21 | 1,875 | 1,905 |
| Hershey Co. | 2.625% | 5/1/23 | 1,750 | 1,781 |
| Hershey Co. | 3.200% | 8/21/25 | 1,600 | 1,669 |
| Hormel Foods Corp. | 4.125% | 4/15/21 | 1,100 | 1,204 |
| International Flavors & Fragrances Inc. | 3.200% | 5/1/23 | 975 | 978 |
| JM Smucker Co. | 3.500% | 10/15/21 | 4,300 | 4,472 |
| JM Smucker Co. | 3.000% | 3/15/22 | 2,400 | 2,439 |
50
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| JM Smucker Co. | 3.500% | 3/15/25 | 5,750 | 5,931 |
| Johnson & Johnson | 1.650% | 3/1/21 | 6,000 | 6,013 |
| Johnson & Johnson | 3.550% | 5/15/21 | 3,900 | 4,248 |
| Johnson & Johnson | 2.450% | 12/5/21 | 3,400 | 3,525 |
| Johnson & Johnson | 2.050% | 3/1/23 | 2,700 | 2,704 |
| Johnson & Johnson | 6.730% | 11/15/23 | 50 | 66 |
| Johnson & Johnson | 3.375% | 12/5/23 | 3,050 | 3,350 |
| Kaiser Foundation Hospitals | 3.500% | 4/1/22 | 2,675 | 2,778 |
| Kellogg Co. | 3.125% | 5/17/22 | 825 | 843 |
| Kellogg Co. | 3.250% | 4/1/26 | 3,600 | 3,625 |
| Kimberly-Clark Corp. | 3.875% | 3/1/21 | 1,075 | 1,163 |
| Kimberly-Clark Corp. | 2.400% | 3/1/22 | 3,200 | 3,253 |
| Kimberly-Clark Corp. | 2.400% | 6/1/23 | 2,985 | 2,999 |
| Kimberly-Clark Corp. | 2.650% | 3/1/25 | 750 | 754 |
| Kimberly-Clark Corp. | 3.050% | 8/15/25 | 3,000 | 3,115 |
| Kimberly-Clark Corp. | 2.750% | 2/15/26 | 2,000 | 2,016 |
| Koninklijke Philips NV | 3.750% | 3/15/22 | 4,712 | 4,789 |
| Kraft Foods Group Inc. | 3.500% | 6/6/22 | 11,804 | 12,168 |
| 1 Kraft Heinz Foods Co. | 3.500% | 7/15/22 | 5,650 | 5,801 |
| 1 Kraft Heinz Foods Co. | 3.950% | 7/15/25 | 8,825 | 9,234 |
| Kroger Co. | 2.950% | 11/1/21 | 3,171 | 3,235 |
| Kroger Co. | 3.400% | 4/15/22 | 1,918 | 1,990 |
| Kroger Co. | 3.850% | 8/1/23 | 7,198 | 7,682 |
| Kroger Co. | 4.000% | 2/1/24 | 4,525 | 4,806 |
| Kroger Co. | 3.500% | 2/1/26 | 875 | 901 |
| Laboratory Corp. of America Holdings | 3.200% | 2/1/22 | 3,730 | 3,713 |
| Laboratory Corp. of America Holdings | 3.750% | 8/23/22 | 950 | 968 |
| Laboratory Corp. of America Holdings | 4.000% | 11/1/23 | 1,925 | 1,969 |
| Laboratory Corp. of America Holdings | 3.600% | 2/1/25 | 4,065 | 4,029 |
| Mattel Inc. | 3.150% | 3/15/23 | 1,850 | 1,821 |
| McCormick & Co. Inc. | 3.900% | 7/15/21 | 275 | 299 |
| McCormick & Co. Inc. | 3.500% | 9/1/23 | 1,200 | 1,284 |
| McCormick & Co. Inc. | 3.250% | 11/15/25 | 2,100 | 2,195 |
| McKesson Corp. | 4.750% | 3/1/21 | 2,701 | 2,963 |
| McKesson Corp. | 2.700% | 12/15/22 | 3,920 | 3,833 |
| McKesson Corp. | 2.850% | 3/15/23 | 1,950 | 1,911 |
| McKesson Corp. | 3.796% | 3/15/24 | 6,075 | 6,222 |
| Mead Johnson Nutrition Co. | 4.125% | 11/15/25 | 4,600 | 4,755 |
| Medtronic Inc. | 4.125% | 3/15/21 | 2,513 | 2,719 |
| Medtronic Inc. | 3.125% | 3/15/22 | 2,961 | 3,040 |
| Medtronic Inc. | 3.150% | 3/15/22 | 13,075 | 13,614 |
| Medtronic Inc. | 2.750% | 4/1/23 | 7,325 | 7,312 |
| Medtronic Inc. | 3.625% | 3/15/24 | 5,516 | 5,809 |
| Medtronic Inc. | 3.500% | 3/15/25 | 25,070 | 26,302 |
| Merck & Co. Inc. | 2.350% | 2/10/22 | 7,000 | 6,994 |
| Merck & Co. Inc. | 2.400% | 9/15/22 | 5,739 | 5,761 |
| Merck & Co. Inc. | 2.800% | 5/18/23 | 8,698 | 8,870 |
| Merck & Co. Inc. | 2.750% | 2/10/25 | 13,560 | 13,626 |
| Molson Coors Brewing Co. | 3.500% | 5/1/22 | 1,625 | 1,668 |
| Mondelez International Inc. | 4.000% | 2/1/24 | 9,225 | 9,620 |
| Mylan Inc. | 4.200% | 11/29/23 | 2,750 | 2,725 |
| Newell Rubbermaid Inc. | 4.000% | 6/15/22 | 375 | 372 |
| Newell Rubbermaid Inc. | 4.000% | 12/1/24 | 3,422 | 3,266 |
| Newell Rubbermaid Inc. | 3.900% | 11/1/25 | 1,325 | 1,253 |
| Novartis Capital Corp. | 2.400% | 9/21/22 | 9,912 | 10,026 |
| Novartis Capital Corp. | 3.400% | 5/6/24 | 8,668 | 9,256 |
| Novartis Capital Corp. | 3.000% | 11/20/25 | 10,630 | 10,957 |
| Owens & Minor Inc. | 4.375% | 12/15/24 | 2,100 | 2,167 |
| Partners Healthcare System Massachusetts GO | 3.443% | 7/1/21 | 1,225 | 1,296 |
| PepsiCo Inc. | 3.000% | 8/25/21 | 5,765 | 6,046 |
| PepsiCo Inc. | 2.750% | 3/5/22 | 9,068 | 9,365 |
| PepsiCo Inc. | 3.100% | 7/17/22 | 5,590 | 5,872 |
| PepsiCo Inc. | 2.750% | 3/1/23 | 5,050 | 5,197 |
| PepsiCo Inc. | 3.600% | 3/1/24 | 5,850 | 6,319 |
51
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| PepsiCo Inc. | 2.750% | 4/30/25 | 7,548 | 7,616 |
| PepsiCo Inc. | 3.500% | 7/17/25 | 4,660 | 4,944 |
| PepsiCo Inc. | 2.850% | 2/24/26 | 4,000 | 4,063 |
| PerkinElmer Inc. | 5.000% | 11/15/21 | 3,150 | 3,413 |
| Perrigo Co. plc | 4.000% | 11/15/23 | 5,000 | 4,948 |
| Perrigo Finance plc | 3.500% | 12/15/21 | 2,600 | 2,574 |
| Perrigo Finance plc | 3.900% | 12/15/24 | 4,350 | 4,237 |
| Pfizer Inc. | 3.000% | 6/15/23 | 4,358 | 4,511 |
| Pfizer Inc. | 3.400% | 5/15/24 | 5,181 | 5,423 |
| Philip Morris International Inc. | 4.125% | 5/17/21 | 1,920 | 2,100 |
| Philip Morris International Inc. | 2.900% | 11/15/21 | 6,244 | 6,492 |
| Philip Morris International Inc. | 2.500% | 8/22/22 | 3,415 | 3,449 |
| Philip Morris International Inc. | 2.625% | 3/6/23 | 2,750 | 2,788 |
| Philip Morris International Inc. | 3.600% | 11/15/23 | 4,044 | 4,351 |
| Philip Morris International Inc. | 3.250% | 11/10/24 | 3,150 | 3,281 |
| Philip Morris International Inc. | 3.375% | 8/11/25 | 2,075 | 2,200 |
| Philip Morris International Inc. | 2.750% | 2/25/26 | 5,000 | 5,027 |
| Procter & Gamble Co. | 2.300% | 2/6/22 | 5,774 | 5,858 |
| Procter & Gamble Co. | 3.100% | 8/15/23 | 7,650 | 8,095 |
| Procter & Gamble Co. | 6.450% | 1/15/26 | 1,450 | 1,920 |
| Procter & Gamble Co. | 2.700% | 2/2/26 | 1,250 | 1,269 |
| Quest Diagnostics Inc. | 4.700% | 4/1/21 | 1,650 | 1,769 |
| Quest Diagnostics Inc. | 4.250% | 4/1/24 | 4,275 | 4,453 |
| Quest Diagnostics Inc. | 3.500% | 3/30/25 | 1,300 | 1,284 |
| Reynolds American Inc. | 4.000% | 6/12/22 | 5,890 | 6,355 |
| Reynolds American Inc. | 4.850% | 9/15/23 | 3,650 | 4,082 |
| Reynolds American Inc. | 4.450% | 6/12/25 | 15,535 | 16,876 |
| Sanofi | 4.000% | 3/29/21 | 10,081 | 11,031 |
| St. Jude Medical Inc. | 3.250% | 4/15/23 | 5,400 | 5,418 |
| St. Jude Medical Inc. | 3.875% | 9/15/25 | 2,400 | 2,463 |
| Stryker Corp. | 3.375% | 5/15/24 | 2,475 | 2,480 |
| Stryker Corp. | 3.375% | 11/1/25 | 4,650 | 4,622 |
| Sysco Corp. | 2.600% | 6/12/22 | 1,300 | 1,277 |
| Sysco Corp. | 3.750% | 10/1/25 | 2,375 | 2,453 |
| Teva Pharmaceutical Finance Co. BV | 3.650% | 11/10/21 | 4,001 | 4,153 |
| Teva Pharmaceutical Finance Co. BV | 2.950% | 12/18/22 | 4,236 | 4,114 |
| Teva Pharmaceutical Finance IV BV | 3.650% | 11/10/21 | 1,749 | 1,801 |
| Thermo Fisher Scientific Inc. | 4.500% | 3/1/21 | 7,665 | 8,211 |
| Thermo Fisher Scientific Inc. | 3.600% | 8/15/21 | 7,123 | 7,291 |
| Thermo Fisher Scientific Inc. | 3.300% | 2/15/22 | 5,910 | 5,902 |
| Thermo Fisher Scientific Inc. | 3.150% | 1/15/23 | 1,871 | 1,830 |
| Thermo Fisher Scientific Inc. | 4.150% | 2/1/24 | 6,115 | 6,371 |
| Thermo Fisher Scientific Inc. | 3.650% | 12/15/25 | 1,800 | 1,809 |
| Tupperware Brands Corp. | 4.750% | 6/1/21 | 2,600 | 2,665 |
| Tyson Foods Inc. | 4.500% | 6/15/22 | 7,740 | 8,333 |
| Tyson Foods Inc. | 3.950% | 8/15/24 | 5,576 | 5,884 |
| Unilever Capital Corp. | 3.100% | 7/30/25 | 2,225 | 2,342 |
| Whirlpool Corp. | 4.850% | 6/15/21 | 2,350 | 2,572 |
| Whirlpool Corp. | 4.700% | 6/1/22 | 1,898 | 2,062 |
| Whirlpool Corp. | 3.700% | 3/1/23 | 3,475 | 3,564 |
| Whirlpool Corp. | 3.700% | 5/1/25 | 600 | 609 |
| 1 Whole Foods Market Inc. | 5.200% | 12/3/25 | 5,450 | 5,463 |
| Wyeth LLC | 6.450% | 2/1/24 | 5,094 | 6,365 |
| Zeneca Wilmington Inc. | 7.000% | 11/15/23 | 1,600 | 2,037 |
| Zimmer Biomet Holdings Inc. | 3.375% | 11/30/21 | 1,650 | 1,671 |
| Zimmer Biomet Holdings Inc. | 3.150% | 4/1/22 | 4,450 | 4,432 |
| Zimmer Biomet Holdings Inc. | 3.550% | 4/1/25 | 11,150 | 11,023 |
| Zoetis Inc. | 3.250% | 2/1/23 | 8,425 | 8,107 |
| Zoetis Inc. | 4.500% | 11/13/25 | 2,700 | 2,795 |
| Energy (9.5%) | ||||
| Anadarko Petroleum Corp. | 3.450% | 7/15/24 | 3,508 | 2,842 |
| Apache Corp. | 3.250% | 4/15/22 | 7,742 | 6,750 |
| Apache Corp. | 2.625% | 1/15/23 | 75 | 61 |
52
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Baker Hughes Inc. | 3.200% | 8/15/21 | 3,321 | 3,221 |
| Boardwalk Pipelines LP | 3.375% | 2/1/23 | 2,775 | 2,234 |
| Boardwalk Pipelines LP | 4.950% | 12/15/24 | 3,050 | 2,611 |
| BP Capital Markets plc | 4.742% | 3/11/21 | 7,530 | 8,036 |
| BP Capital Markets plc | 3.561% | 11/1/21 | 5,086 | 5,089 |
| BP Capital Markets plc | 3.062% | 3/17/22 | 4,464 | 4,368 |
| BP Capital Markets plc | 3.245% | 5/6/22 | 8,004 | 7,891 |
| BP Capital Markets plc | 2.500% | 11/6/22 | 7,625 | 7,110 |
| BP Capital Markets plc | 2.750% | 5/10/23 | 11,248 | 10,642 |
| BP Capital Markets plc | 3.994% | 9/26/23 | 4,275 | 4,332 |
| BP Capital Markets plc | 3.814% | 2/10/24 | 8,169 | 8,078 |
| BP Capital Markets plc | 3.535% | 11/4/24 | 3,955 | 3,783 |
| BP Capital Markets plc | 3.506% | 3/17/25 | 4,160 | 4,049 |
| Buckeye Partners LP | 4.875% | 2/1/21 | 225 | 206 |
| Buckeye Partners LP | 4.150% | 7/1/23 | 5,971 | 5,113 |
| Cameron International Corp. | 4.500% | 6/1/21 | 350 | 363 |
| Cameron International Corp. | 3.600% | 4/30/22 | 1,150 | 1,127 |
| Cameron International Corp. | 4.000% | 12/15/23 | 1,400 | 1,385 |
| Cameron International Corp. | 3.700% | 6/15/24 | 2,600 | 2,499 |
| Canadian Natural Resources Ltd. | 3.450% | 11/15/21 | 100 | 82 |
| Canadian Natural Resources Ltd. | 3.800% | 4/15/24 | 5,275 | 4,062 |
| Canadian Natural Resources Ltd. | 3.900% | 2/1/25 | 1,525 | 1,178 |
| Chevron Corp. | 2.411% | 3/3/22 | 5,250 | 5,119 |
| Chevron Corp. | 2.355% | 12/5/22 | 9,913 | 9,516 |
| Chevron Corp. | 3.191% | 6/24/23 | 14,496 | 14,480 |
| Chevron Corp. | 3.326% | 11/17/25 | 7,250 | 7,231 |
| Cimarex Energy Co. | 5.875% | 5/1/22 | 2,100 | 2,032 |
| Cimarex Energy Co. | 4.375% | 6/1/24 | 5,750 | 5,333 |
| 1 Columbia Pipeline Group Inc. | 4.500% | 6/1/25 | 5,250 | 4,774 |
| ConocoPhillips Co. | 2.875% | 11/15/21 | 5,275 | 4,782 |
| ConocoPhillips Co. | 2.400% | 12/15/22 | 4,785 | 4,148 |
| ConocoPhillips Co. | 3.350% | 11/15/24 | 8,889 | 7,853 |
| Copano Energy LLC / Copano Energy Finance Corp. | 7.125% | 4/1/21 | 1,673 | 1,627 |
| Devon Energy Corp. | 4.000% | 7/15/21 | 2,995 | 2,433 |
| Devon Energy Corp. | 3.250% | 5/15/22 | 4,687 | 3,609 |
| Devon Energy Corp. | 5.850% | 12/15/25 | 4,450 | 3,866 |
| Diamond Offshore Drilling Inc. | 3.450% | 11/1/23 | 975 | 687 |
| Dominion Gas Holdings LLC | 3.550% | 11/1/23 | 1,725 | 1,747 |
| Dominion Gas Holdings LLC | 3.600% | 12/15/24 | 5,725 | 5,773 |
| El Paso Natural Gas Co. LLC | 8.625% | 1/15/22 | 800 | 853 |
| Enable Midstream Partners LP | 3.900% | 5/15/24 | 3,000 | 1,920 |
| Enbridge Energy Partners LP | 4.200% | 9/15/21 | 3,469 | 3,070 |
| Enbridge Energy Partners LP | 5.875% | 10/15/25 | 4,200 | 3,887 |
| Enbridge Inc. | 4.000% | 10/1/23 | 2,594 | 2,365 |
| Enbridge Inc. | 3.500% | 6/10/24 | 4,056 | 3,489 |
| Energy Transfer Partners LP | 4.650% | 6/1/21 | 5,226 | 4,523 |
| Energy Transfer Partners LP | 5.200% | 2/1/22 | 8,647 | 7,390 |
| Energy Transfer Partners LP | 3.600% | 2/1/23 | 5,400 | 4,356 |
| Energy Transfer Partners LP | 7.600% | 2/1/24 | 1,430 | 1,396 |
| Energy Transfer Partners LP | 4.050% | 3/15/25 | 8,250 | 6,831 |
| Energy Transfer Partners LP | 4.750% | 1/15/26 | 4,110 | 3,528 |
| EnLink Midstream Partners LP | 4.400% | 4/1/24 | 5,425 | 3,825 |
| Ensco plc | 4.700% | 3/15/21 | 7,200 | 3,852 |
| Ensco plc | 4.500% | 10/1/24 | 4,233 | 2,116 |
| Ensco plc | 5.200% | 3/15/25 | 3,750 | 1,931 |
| Enterprise Products Operating LLC | 4.050% | 2/15/22 | 4,793 | 4,789 |
| Enterprise Products Operating LLC | 3.350% | 3/15/23 | 10,780 | 10,109 |
| Enterprise Products Operating LLC | 3.900% | 2/15/24 | 4,754 | 4,505 |
| Enterprise Products Operating LLC | 3.750% | 2/15/25 | 9,500 | 9,001 |
| Enterprise Products Operating LLC | 3.700% | 2/15/26 | 2,250 | 2,100 |
| EOG Resources Inc. | 2.625% | 3/15/23 | 11,092 | 10,007 |
| EOG Resources Inc. | 3.150% | 4/1/25 | 3,646 | 3,342 |
| EOG Resources Inc. | 4.150% | 1/15/26 | 4,000 | 3,943 |
| EQT Corp. | 4.875% | 11/15/21 | 3,925 | 3,507 |
53
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| EQT Midstream Partners LP | 4.000% | 8/1/24 | 2,650 | 2,009 |
| Exxon Mobil Corp. | 2.397% | 3/6/22 | 10,450 | 10,474 |
| Exxon Mobil Corp. | 2.726% | 3/1/23 | 9,000 | 9,000 |
| Exxon Mobil Corp. | 3.176% | 3/15/24 | 1,968 | 2,015 |
| Exxon Mobil Corp. | 2.709% | 3/6/25 | 9,495 | 9,412 |
| Exxon Mobil Corp. | 3.043% | 3/1/26 | 14,500 | 14,500 |
| FMC Technologies Inc. | 3.450% | 10/1/22 | 2,575 | 2,233 |
| Gulf South Pipeline Co. LP | 4.000% | 6/15/22 | 750 | 658 |
| Halliburton Co. | 3.250% | 11/15/21 | 4,855 | 4,789 |
| Halliburton Co. | 3.375% | 11/15/22 | 3,250 | 3,204 |
| Halliburton Co. | 3.500% | 8/1/23 | 7,294 | 6,818 |
| Halliburton Co. | 3.800% | 11/15/25 | 12,900 | 12,188 |
| Helmerich & Payne International Drilling Co. | 4.650% | 3/15/25 | 2,000 | 1,927 |
| Hess Corp. | 3.500% | 7/15/24 | 2,000 | 1,607 |
| Husky Energy Inc. | 3.950% | 4/15/22 | 2,779 | 2,398 |
| Husky Energy Inc. | 4.000% | 4/15/24 | 4,668 | 3,874 |
| Kerr-McGee Corp. | 6.950% | 7/1/24 | 4,323 | 4,091 |
| Kinder Morgan Energy Partners LP | 3.500% | 3/1/21 | 6,000 | 5,436 |
| Kinder Morgan Energy Partners LP | 5.800% | 3/1/21 | 2,650 | 2,630 |
| Kinder Morgan Energy Partners LP | 5.000% | 10/1/21 | 4,650 | 4,348 |
| Kinder Morgan Energy Partners LP | 4.150% | 3/1/22 | 2,350 | 2,121 |
| Kinder Morgan Energy Partners LP | 3.950% | 9/1/22 | 5,095 | 4,601 |
| Kinder Morgan Energy Partners LP | 3.450% | 2/15/23 | 4,971 | 4,224 |
| Kinder Morgan Energy Partners LP | 3.500% | 9/1/23 | 2,650 | 2,248 |
| Kinder Morgan Energy Partners LP | 4.150% | 2/1/24 | 6,133 | 5,399 |
| Kinder Morgan Energy Partners LP | 4.300% | 5/1/24 | 4,218 | 3,728 |
| Kinder Morgan Energy Partners LP | 4.250% | 9/1/24 | 3,543 | 3,105 |
| Kinder Morgan Inc. | 4.300% | 6/1/25 | 3,900 | 3,528 |
| Magellan Midstream Partners LP | 3.200% | 3/15/25 | 2,275 | 2,025 |
| Marathon Oil Corp. | 2.800% | 11/1/22 | 3,639 | 2,374 |
| Marathon Oil Corp. | 3.850% | 6/1/25 | 7,300 | 5,000 |
| Marathon Petroleum Corp. | 5.125% | 3/1/21 | 5,150 | 5,119 |
| Marathon Petroleum Corp. | 3.625% | 9/15/24 | 5,599 | 4,567 |
| 1 MPLX LP | 4.500% | 7/15/23 | 3,666 | 3,061 |
| 1 MPLX LP | 4.875% | 12/1/24 | 9,000 | 7,425 |
| MPLX LP | 4.000% | 2/15/25 | 2,000 | 1,540 |
| 1 MPLX LP | 4.875% | 6/1/25 | 10,133 | 8,334 |
| Nabors Industries Inc. | 4.625% | 9/15/21 | 3,775 | 2,501 |
| Nabors Industries Inc. | 5.100% | 9/15/23 | 2,225 | 1,407 |
| National Fuel Gas Co. | 4.900% | 12/1/21 | 1,475 | 1,415 |
| National Fuel Gas Co. | 3.750% | 3/1/23 | 4,075 | 3,497 |
| National Fuel Gas Co. | 5.200% | 7/15/25 | 2,000 | 1,778 |
| National Oilwell Varco Inc. | 2.600% | 12/1/22 | 7,811 | 6,445 |
| Noble Energy Inc. | 4.150% | 12/15/21 | 8,836 | 7,706 |
| Noble Energy Inc. | 3.900% | 11/15/24 | 4,677 | 3,923 |
| Noble Holding International Ltd. | 4.625% | 3/1/21 | 2,275 | 1,228 |
| Noble Holding International Ltd. | 3.950% | 3/15/22 | 2,700 | 1,383 |
| Noble Holding International Ltd. | 5.950% | 4/1/25 | 1,775 | 888 |
| Occidental Petroleum Corp. | 4.100% | 2/1/21 | 1,565 | 1,649 |
| Occidental Petroleum Corp. | 3.125% | 2/15/22 | 3,600 | 3,563 |
| Occidental Petroleum Corp. | 2.700% | 2/15/23 | 4,916 | 4,606 |
| Occidental Petroleum Corp. | 3.500% | 6/15/25 | 6,790 | 6,612 |
| Oceaneering International Inc. | 4.650% | 11/15/24 | 2,750 | 2,234 |
| ONEOK Partners LP | 3.375% | 10/1/22 | 5,455 | 4,303 |
| ONEOK Partners LP | 5.000% | 9/15/23 | 1,450 | 1,238 |
| ONEOK Partners LP | 4.900% | 3/15/25 | 3,150 | 2,584 |
| Petro-Canada | 9.250% | 10/15/21 | 2,575 | 3,174 |
| Phillips 66 | 4.300% | 4/1/22 | 14,750 | 15,054 |
| Phillips 66 Partners LP | 3.605% | 2/15/25 | 2,743 | 2,334 |
| Pioneer Natural Resources Co. | 3.950% | 7/15/22 | 5,365 | 5,099 |
| Pioneer Natural Resources Co. | 4.450% | 1/15/26 | 3,600 | 3,472 |
| Plains All American Pipeline LP / PAA Finance Corp. | 5.000% | 2/1/21 | 3,389 | 3,162 |
| Plains All American Pipeline LP / PAA Finance Corp. | 3.650% | 6/1/22 | 1,650 | 1,360 |
| Plains All American Pipeline LP / PAA Finance Corp. | 2.850% | 1/31/23 | 3,700 | 2,858 |
54
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Plains All American Pipeline LP / PAA Finance Corp. | 3.850% | 10/15/23 | 6,848 | 5,613 |
| Plains All American Pipeline LP / PAA Finance Corp. | 3.600% | 11/1/24 | 3,774 | 2,908 |
| Plains All American Pipeline LP / PAA Finance Corp. | 4.650% | 10/15/25 | 3,550 | 2,986 |
| Regency Energy Partners LP / Regency Energy Finance | ||||
| Corp. | 6.500% | 7/15/21 | 1,080 | 1,007 |
| Regency Energy Partners LP / Regency Energy Finance | ||||
| Corp. | 5.875% | 3/1/22 | 4,350 | 3,823 |
| Regency Energy Partners LP / Regency Energy Finance | ||||
| Corp. | 5.000% | 10/1/22 | 4,650 | 3,859 |
| Regency Energy Partners LP / Regency Energy Finance | ||||
| Corp. | 5.500% | 4/15/23 | 3,800 | 3,192 |
| Regency Energy Partners LP / Regency Energy Finance | ||||
| Corp. | 4.500% | 11/1/23 | 5,110 | 4,318 |
| Rowan Cos. Inc. | 4.875% | 6/1/22 | 4,364 | 2,520 |
| Rowan Cos. Inc. | 4.750% | 1/15/24 | 1,400 | 770 |
| Sasol Financing International plc | 4.500% | 11/14/22 | 3,300 | 3,075 |
| Schlumberger Investment SA | 3.650% | 12/1/23 | 11,002 | 11,121 |
| SESI LLC | 7.125% | 12/15/21 | 4,213 | 2,591 |
| Shell International Finance BV | 2.375% | 8/21/22 | 3,439 | 3,310 |
| Shell International Finance BV | 2.250% | 1/6/23 | 6,856 | 6,355 |
| Shell International Finance BV | 3.400% | 8/12/23 | 6,437 | 6,400 |
| Shell International Finance BV | 3.250% | 5/11/25 | 15,170 | 14,771 |
| Southern Natural Gas Co. LLC / Southern Natural | ||||
| Issuing Corp. | 4.400% | 6/15/21 | 1,300 | 1,254 |
| Spectra Energy Capital LLC | 3.300% | 3/15/23 | 3,425 | 2,847 |
| Spectra Energy Partners LP | 4.600% | 6/15/21 | 1,150 | 1,177 |
| Spectra Energy Partners LP | 4.750% | 3/15/24 | 6,150 | 6,134 |
| Spectra Energy Partners LP | 3.500% | 3/15/25 | 6,150 | 5,617 |
| Suncor Energy Inc. | 3.600% | 12/1/24 | 3,244 | 2,939 |
| Sunoco Logistics Partners Operations LP | 4.400% | 4/1/21 | 4,200 | 3,870 |
| Sunoco Logistics Partners Operations LP | 4.650% | 2/15/22 | 1,650 | 1,466 |
| Sunoco Logistics Partners Operations LP | 3.450% | 1/15/23 | 520 | 422 |
| Sunoco Logistics Partners Operations LP | 4.250% | 4/1/24 | 6,200 | 5,158 |
| Sunoco Logistics Partners Operations LP | 5.950% | 12/1/25 | 2,850 | 2,630 |
| TC Pipelines LP | 4.650% | 6/15/21 | 1,978 | 1,895 |
| TC PipeLines LP | 4.375% | 3/13/25 | 100 | 89 |
| Total Capital Canada Ltd. | 2.750% | 7/15/23 | 4,237 | 4,059 |
| Total Capital International SA | 2.750% | 6/19/21 | 8,250 | 8,203 |
| Total Capital International SA | 2.875% | 2/17/22 | 5,581 | 5,537 |
| Total Capital International SA | 2.700% | 1/25/23 | 6,284 | 6,020 |
| Total Capital International SA | 3.700% | 1/15/24 | 6,202 | 6,291 |
| Total Capital International SA | 3.750% | 4/10/24 | 6,429 | 6,547 |
| Total Capital SA | 4.250% | 12/15/21 | 3,250 | 3,447 |
| TransCanada PipeLines Ltd. | 2.500% | 8/1/22 | 4,884 | 4,532 |
| TransCanada PipeLines Ltd. | 3.750% | 10/16/23 | 5,198 | 5,071 |
| TransCanada PipeLines Ltd. | 4.875% | 1/15/26 | 3,000 | 3,104 |
| Valero Energy Corp. | 3.650% | 3/15/25 | 2,575 | 2,329 |
| Western Gas Partners LP | 5.375% | 6/1/21 | 2,982 | 2,546 |
| Western Gas Partners LP | 4.000% | 7/1/22 | 2,856 | 2,249 |
| Western Gas Partners LP | 3.950% | 6/1/25 | 3,200 | 2,368 |
| Williams Partners LP | 4.000% | 11/15/21 | 2,986 | 2,434 |
| Williams Partners LP | 3.600% | 3/15/22 | 6,600 | 5,181 |
| Williams Partners LP | 3.350% | 8/15/22 | 4,125 | 3,052 |
| Williams Partners LP | 4.500% | 11/15/23 | 2,900 | 2,280 |
| Williams Partners LP | 4.300% | 3/4/24 | 5,300 | 4,134 |
| Williams Partners LP | 3.900% | 1/15/25 | 4,390 | 3,282 |
| Williams Partners LP | 4.000% | 9/15/25 | 4,575 | 3,477 |
| Williams Partners LP / ACMP Finance Corp. | 4.875% | 5/15/23 | 7,625 | 6,214 |
| Williams Partners LP / ACMP Finance Corp. | 4.875% | 3/15/24 | 7,315 | 5,889 |
| Other Industrial (0.3%) | ||||
| CBRE Services Inc. | 5.000% | 3/15/23 | 3,500 | 3,517 |
| CBRE Services Inc. | 5.250% | 3/15/25 | 3,200 | 3,308 |
| Cintas Corp. No 2 | 4.300% | 6/1/21 | 700 | 762 |
55
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Cintas Corp. No 2 | 3.250% | 6/1/22 | 1,300 | 1,355 |
| Fluor Corp. | 3.375% | 9/15/21 | 3,680 | 3,812 |
| Fluor Corp. | 3.500% | 12/15/24 | 2,475 | 2,537 |
| Howard Hughes Medical Institute Revenue | 3.500% | 9/1/23 | 5,742 | 6,186 |
| Technology (8.4%) | ||||
| Adobe Systems Inc. | 3.250% | 2/1/25 | 7,365 | 7,423 |
| Altera Corp. | 4.100% | 11/15/23 | 2,600 | 2,869 |
| Amphenol Corp. | 3.125% | 9/15/21 | 1,500 | 1,512 |
| Amphenol Corp. | 4.000% | 2/1/22 | 2,400 | 2,516 |
| Analog Devices Inc. | 2.875% | 6/1/23 | 2,050 | 2,031 |
| Analog Devices Inc. | 3.900% | 12/15/25 | 6,000 | 6,294 |
| Apple Inc. | 2.850% | 5/6/21 | 14,941 | 15,513 |
| Apple Inc. | 2.150% | 2/9/22 | 9,387 | 9,348 |
| Apple Inc. | 2.700% | 5/13/22 | 7,346 | 7,487 |
| Apple Inc. | 2.850% | 2/23/23 | 8,300 | 8,470 |
| Apple Inc. | 2.400% | 5/3/23 | 32,762 | 32,467 |
| Apple Inc. | 3.450% | 5/6/24 | 17,045 | 18,005 |
| Apple Inc. | 2.500% | 2/9/25 | 11,247 | 10,992 |
| Apple Inc. | 3.200% | 5/13/25 | 8,969 | 9,230 |
| Apple Inc. | 3.250% | 2/23/26 | 15,000 | 15,494 |
| Applied Materials Inc. | 4.300% | 6/15/21 | 4,773 | 5,199 |
| Applied Materials Inc. | 3.900% | 10/1/25 | 4,250 | 4,427 |
| Arrow Electronics Inc. | 5.125% | 3/1/21 | 300 | 323 |
| Arrow Electronics Inc. | 3.500% | 4/1/22 | 1,600 | 1,586 |
| Arrow Electronics Inc. | 4.500% | 3/1/23 | 2,170 | 2,223 |
| Arrow Electronics Inc. | 4.000% | 4/1/25 | 2,400 | 2,336 |
| Autodesk Inc. | 3.600% | 12/15/22 | 2,243 | 2,210 |
| Autodesk Inc. | 4.375% | 6/15/25 | 1,300 | 1,310 |
| Avnet Inc. | 4.875% | 12/1/22 | 1,825 | 1,897 |
| Baidu Inc. | 3.500% | 11/28/22 | 4,548 | 4,573 |
| Baidu Inc. | 4.125% | 6/30/25 | 2,450 | 2,493 |
| Broadcom Corp. | 2.500% | 8/15/22 | 500 | 426 |
| CA Inc. | 4.500% | 8/15/23 | 900 | 927 |
| Cadence Design Systems Inc. | 4.375% | 10/15/24 | 1,575 | 1,612 |
| CDK Global Inc. | 4.500% | 10/15/24 | 2,300 | 2,263 |
| Cisco Systems Inc. | 2.900% | 3/4/21 | 4,650 | 4,793 |
| Cisco Systems Inc. | 3.625% | 3/4/24 | 5,135 | 5,525 |
| Cisco Systems Inc. | 3.500% | 6/15/25 | 2,875 | 3,036 |
| Cisco Systems Inc. | 2.950% | 2/28/26 | 7,500 | 7,605 |
| Computer Sciences Corp. | 4.450% | 9/15/22 | 1,500 | 1,495 |
| Corning Inc. | 2.900% | 5/15/22 | 2,000 | 1,970 |
| Corning Inc. | 3.700% | 11/15/23 | 1,300 | 1,311 |
| Dun & Bradstreet Corp. | 4.375% | 12/1/22 | 1,650 | 1,645 |
| EMC Corp. | 3.375% | 6/1/23 | 5,160 | 4,230 |
| Equifax Inc. | 3.300% | 12/15/22 | 1,750 | 1,794 |
| Fidelity National Information Services Inc. | 5.000% | 3/15/22 | 4,269 | 4,418 |
| Fidelity National Information Services Inc. | 4.500% | 10/15/22 | 2,000 | 2,069 |
| Fidelity National Information Services Inc. | 3.500% | 4/15/23 | 5,900 | 5,607 |
| Fidelity National Information Services Inc. | 3.875% | 6/5/24 | 4,233 | 4,089 |
| Fidelity National Information Services Inc. | 5.000% | 10/15/25 | 12,150 | 12,640 |
| Fiserv Inc. | 3.500% | 10/1/22 | 6,116 | 6,240 |
| Fiserv Inc. | 3.850% | 6/1/25 | 7,150 | 7,375 |
| Flextronics International Ltd. | 4.750% | 6/15/25 | 5,875 | 5,581 |
| Google Inc. | 3.625% | 5/19/21 | 5,156 | 5,602 |
| Google Inc. | 3.375% | 2/25/24 | 5,798 | 6,273 |
| 1 Hewlett Packard Enterprise Co. | 4.400% | 10/15/22 | 10,450 | 10,223 |
| 1 Hewlett Packard Enterprise Co. | 4.900% | 10/15/25 | 12,000 | 11,503 |
| HP Inc. | 4.300% | 6/1/21 | 6,470 | 6,516 |
| HP Inc. | 4.375% | 9/15/21 | 8,825 | 8,855 |
| HP Inc. | 4.650% | 12/9/21 | 5,699 | 5,815 |
| HP Inc. | 4.050% | 9/15/22 | 2,900 | 2,857 |
| Ingram Micro Inc. | 5.000% | 8/10/22 | 150 | 144 |
| Ingram Micro Inc. | 4.950% | 12/15/24 | 4,308 | 4,209 |
56
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Intel Corp. | 3.300% | 10/1/21 | 13,295 | 14,083 |
| Intel Corp. | 3.100% | 7/29/22 | 5,407 | 5,661 |
| Intel Corp. | 2.700% | 12/15/22 | 5,890 | 5,983 |
| Intel Corp. | 3.700% | 7/29/25 | 14,816 | 16,003 |
| International Business Machines Corp. | 2.900% | 11/1/21 | 4,725 | 4,858 |
| International Business Machines Corp. | 1.875% | 8/1/22 | 3,450 | 3,320 |
| International Business Machines Corp. | 2.875% | 11/9/22 | 6,000 | 6,069 |
| International Business Machines Corp. | 3.375% | 8/1/23 | 7,150 | 7,419 |
| International Business Machines Corp. | 3.625% | 2/12/24 | 11,046 | 11,604 |
| International Business Machines Corp. | 7.000% | 10/30/25 | 3,900 | 5,052 |
| International Business Machines Corp. | 3.450% | 2/19/26 | 5,000 | 5,090 |
| Jabil Circuit Inc. | 4.700% | 9/15/22 | 2,825 | 2,740 |
| Juniper Networks Inc. | 4.600% | 3/15/21 | 1,934 | 2,012 |
| Juniper Networks Inc. | 4.500% | 3/15/24 | 2,075 | 2,048 |
| Juniper Networks Inc. | 4.350% | 6/15/25 | 1,450 | 1,401 |
| Keysight Technologies Inc. | 4.550% | 10/30/24 | 3,100 | 2,982 |
| KLA-Tencor Corp. | 4.125% | 11/1/21 | 500 | 509 |
| KLA-Tencor Corp. | 4.650% | 11/1/24 | 8,756 | 8,610 |
| Lam Research Corp. | 3.800% | 3/15/25 | 3,025 | 2,933 |
| Lender Processing Services Inc / Black Knight Lending | ||||
| Solutions Inc | 5.750% | 4/15/23 | 1,540 | 1,586 |
| Maxim Integrated Products Inc. | 3.375% | 3/15/23 | 2,650 | 2,674 |
| Microsoft Corp. | 2.375% | 2/12/22 | 10,914 | 11,102 |
| Microsoft Corp. | 2.650% | 11/3/22 | 6,550 | 6,754 |
| Microsoft Corp. | 2.125% | 11/15/22 | 3,125 | 3,100 |
| Microsoft Corp. | 2.375% | 5/1/23 | 3,321 | 3,336 |
| Microsoft Corp. | 3.625% | 12/15/23 | 6,744 | 7,353 |
| Microsoft Corp. | 2.700% | 2/12/25 | 15,525 | 15,799 |
| Microsoft Corp. | 3.125% | 11/3/25 | 20,200 | 21,175 |
| Motorola Solutions Inc. | 3.500% | 9/1/21 | 475 | 455 |
| Motorola Solutions Inc. | 3.750% | 5/15/22 | 4,903 | 4,548 |
| Motorola Solutions Inc. | 3.500% | 3/1/23 | 3,765 | 3,240 |
| Motorola Solutions Inc. | 4.000% | 9/1/24 | 4,941 | 4,229 |
| Motorola Solutions Inc. | 7.500% | 5/15/25 | 1,371 | 1,514 |
| NetApp Inc. | 3.375% | 6/15/21 | 3,900 | 3,874 |
| Oracle Corp. | 2.800% | 7/8/21 | 7,596 | 7,799 |
| Oracle Corp. | 2.500% | 5/15/22 | 13,250 | 13,238 |
| Oracle Corp. | 2.500% | 10/15/22 | 19,855 | 19,921 |
| Oracle Corp. | 3.625% | 7/15/23 | 6,871 | 7,266 |
| Oracle Corp. | 3.400% | 7/8/24 | 10,869 | 11,353 |
| Oracle Corp. | 2.950% | 5/15/25 | 12,900 | 13,026 |
| Pitney Bowes Inc. | 4.625% | 3/15/24 | 2,625 | 2,564 |
| QUALCOMM Inc. | 3.000% | 5/20/22 | 10,145 | 10,286 |
| QUALCOMM Inc. | 3.450% | 5/20/25 | 11,670 | 11,717 |
| Seagate HDD Cayman | 4.750% | 6/1/23 | 4,782 | 3,861 |
| Seagate HDD Cayman | 4.750% | 1/1/25 | 6,225 | 4,747 |
| Symantec Corp. | 3.950% | 6/15/22 | 1,925 | 1,893 |
| Telefonaktiebolaget LM Ericsson | 4.125% | 5/15/22 | 5,375 | 5,547 |
| Texas Instruments Inc. | 2.750% | 3/12/21 | 250 | 258 |
| Texas Instruments Inc. | 2.250% | 5/1/23 | 2,685 | 2,635 |
| Total System Services Inc. | 3.750% | 6/1/23 | 2,200 | 2,142 |
| Trimble Navigation Ltd. | 4.750% | 12/1/24 | 1,975 | 2,034 |
| Tyco Electronics Group SA | 3.500% | 2/3/22 | 3,468 | 3,602 |
| Tyco Electronics Group SA | 3.450% | 8/1/24 | 1,200 | 1,208 |
| Tyco Electronics Group SA | 3.700% | 2/15/26 | 4,900 | 4,999 |
| Verisk Analytics Inc. | 5.800% | 5/1/21 | 3,075 | 3,470 |
| Verisk Analytics Inc. | 4.125% | 9/12/22 | 2,200 | 2,252 |
| Verisk Analytics Inc. | 4.000% | 6/15/25 | 8,650 | 8,525 |
| Xerox Corp. | 4.500% | 5/15/21 | 5,250 | 5,037 |
| Xilinx Inc. | 3.000% | 3/15/21 | 2,541 | 2,609 |
| Transportation (2.2%) | ||||
| 3 American Airlines 2011-1 Class A Pass Through Trust | 5.250% | 7/31/22 | 1,367 | 1,449 |
| 3 American Airlines 2013-1 Class A Pass Through Trust | 4.000% | 1/15/27 | 2,933 | 2,944 |
57
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| 3 American Airlines 2013-2 Class A Pass Through Trust | 4.950% | 7/15/24 | 7,624 | 8,015 |
| 3 American Airlines 2015-1 Class B Pass Through Trust | 3.700% | 11/1/24 | 1,774 | 1,686 |
| 3 BNSF Funding Trust I | 6.613% | 12/15/55 | 1,890 | 2,055 |
| Burlington Northern Santa Fe LLC | 4.100% | 6/1/21 | 840 | 903 |
| Burlington Northern Santa Fe LLC | 3.450% | 9/15/21 | 4,269 | 4,501 |
| Burlington Northern Santa Fe LLC | 3.050% | 3/15/22 | 2,895 | 2,973 |
| Burlington Northern Santa Fe LLC | 3.050% | 9/1/22 | 3,800 | 3,909 |
| Burlington Northern Santa Fe LLC | 3.000% | 3/15/23 | 4,333 | 4,397 |
| Burlington Northern Santa Fe LLC | 3.850% | 9/1/23 | 3,185 | 3,410 |
| Burlington Northern Santa Fe LLC | 3.750% | 4/1/24 | 3,425 | 3,601 |
| Burlington Northern Santa Fe LLC | 3.400% | 9/1/24 | 6,406 | 6,646 |
| Burlington Northern Santa Fe LLC | 3.000% | 4/1/25 | 2,875 | 2,871 |
| Burlington Northern Santa Fe LLC | 3.650% | 9/1/25 | 2,100 | 2,198 |
| Burlington Northern Santa Fe LLC | 7.000% | 12/15/25 | 1,465 | 1,897 |
| Canadian National Railway Co. | 2.850% | 12/15/21 | 2,210 | 2,269 |
| Canadian National Railway Co. | 2.250% | 11/15/22 | 1,525 | 1,509 |
| Canadian National Railway Co. | 2.950% | 11/21/24 | 1,925 | 1,977 |
| Canadian National Railway Co. | 2.750% | 3/1/26 | 850 | 863 |
| Canadian Pacific Railway Co. | 9.450% | 8/1/21 | 900 | 1,174 |
| Canadian Pacific Railway Co. | 4.450% | 3/15/23 | 2,711 | 2,907 |
| Canadian Pacific Railway Co. | 2.900% | 2/1/25 | 3,600 | 3,439 |
| Canadian Pacific Railway Ltd. | 4.500% | 1/15/22 | 1,350 | 1,442 |
| 3 Continental Airlines 2007-1 Class A Pass Through Trust | 5.983% | 10/19/23 | 3,142 | 3,464 |
| 3 Continental Airlines 2012-1 Class A Pass Through Trust | 4.150% | 10/11/25 | 4,244 | 4,351 |
| 3 Continental Airlines 2012-2 Class A Pass Through Trust | 4.000% | 4/29/26 | 3,745 | 3,820 |
| CSX Corp. | 4.250% | 6/1/21 | 2,325 | 2,514 |
| CSX Corp. | 3.700% | 11/1/23 | 4,425 | 4,624 |
| CSX Corp. | 3.400% | 8/1/24 | 2,833 | 2,875 |
| CSX Corp. | 3.350% | 11/1/25 | 4,025 | 4,009 |
| 3 Delta Air Lines 2007-1 Class A Pass Through Trust | 6.821% | 2/10/24 | 2,833 | 3,244 |
| FedEx Corp. | 2.625% | 8/1/22 | 3,385 | 3,326 |
| FedEx Corp. | 2.700% | 4/15/23 | 300 | 296 |
| FedEx Corp. | 4.000% | 1/15/24 | 3,825 | 4,020 |
| FedEx Corp. | 3.200% | 2/1/25 | 3,741 | 3,704 |
| 3 Hawaiian Airlines 2013-1 Class A Pass Through | ||||
| Certificates | 3.900% | 1/15/26 | 1,605 | 1,551 |
| JB Hunt Transport Services Inc. | 3.300% | 8/15/22 | 2,100 | 2,135 |
| JB Hunt Transport Services Inc. | 3.850% | 3/15/24 | 2,325 | 2,448 |
| 1 Kansas City Southern | 3.000% | 5/15/23 | 4,925 | 4,785 |
| Norfolk Southern Corp. | 3.250% | 12/1/21 | 3,271 | 3,346 |
| Norfolk Southern Corp. | 3.000% | 4/1/22 | 3,992 | 3,978 |
| Norfolk Southern Corp. | 2.903% | 2/15/23 | 3,264 | 3,206 |
| Norfolk Southern Corp. | 3.850% | 1/15/24 | 2,135 | 2,222 |
| Norfolk Southern Corp. | 5.590% | 5/17/25 | 1,081 | 1,266 |
| 3 Southwest Airlines Co. 2007-1 Pass Through Trust | 6.150% | 2/1/24 | 1,244 | 1,396 |
| Trinity Industries Inc. | 4.550% | 10/1/24 | 2,190 | 1,879 |
| Union Pacific Corp. | 4.163% | 7/15/22 | 5,173 | 5,688 |
| Union Pacific Corp. | 2.950% | 1/15/23 | 1,275 | 1,302 |
| Union Pacific Corp. | 2.750% | 4/15/23 | 1,550 | 1,565 |
| Union Pacific Corp. | 3.646% | 2/15/24 | 3,300 | 3,515 |
| Union Pacific Corp. | 3.750% | 3/15/24 | 2,675 | 2,857 |
| Union Pacific Corp. | 3.250% | 1/15/25 | 1,950 | 2,013 |
| Union Pacific Corp. | 3.250% | 8/15/25 | 3,459 | 3,611 |
| Union Pacific Corp. | 2.750% | 3/1/26 | 1,500 | 1,496 |
| 3 United Airlines 2013-1 Class A Pass Through Trust | 4.300% | 2/15/27 | 3,337 | 3,404 |
| United Parcel Service Inc. | 3.125% | 1/15/21 | 32 | 33 |
| United Parcel Service Inc. | 2.450% | 10/1/22 | 5,489 | 5,605 |
| 3 US Airways 2012-1 Class A Pass Through Trust | 5.900% | 4/1/26 | 976 | 1,065 |
| 3 US Airways 2013-1 Class A Pass Through Trust | 3.950% | 5/15/27 | 2,148 | 2,170 |
| 3 US Airways Inc. 2012-2 Class A Pass Through Trust | 4.625% | 12/3/26 | 1,969 | 2,033 |
| 5,044,461 | ||||
58
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Utilities (5.3%) | ||||
| Electric (4.9%) | ||||
| Alabama Power Co. | 3.550% | 12/1/23 | 2,100 | 2,236 |
| Alabama Power Co. | 2.800% | 4/1/25 | 1,700 | 1,702 |
| Ameren Illinois Co. | 2.700% | 9/1/22 | 2,670 | 2,711 |
| Ameren Illinois Co. | 3.250% | 3/1/25 | 2,000 | 2,080 |
| American Electric Power Co. Inc. | 2.950% | 12/15/22 | 2,379 | 2,389 |
| Appalachian Power Co. | 4.600% | 3/30/21 | 4,092 | 4,446 |
| Appalachian Power Co. | 3.400% | 6/1/25 | 1,200 | 1,223 |
| Arizona Public Service Co. | 3.350% | 6/15/24 | 900 | 943 |
| Arizona Public Service Co. | 3.150% | 5/15/25 | 2,000 | 2,037 |
| Baltimore Gas & Electric Co. | 3.500% | 11/15/21 | 3,922 | 4,163 |
| Baltimore Gas & Electric Co. | 3.350% | 7/1/23 | 1,125 | 1,169 |
| Berkshire Hathaway Energy Co. | 3.750% | 11/15/23 | 3,025 | 3,221 |
| Berkshire Hathaway Energy Co. | 3.500% | 2/1/25 | 4,275 | 4,401 |
| Black Hills Corp. | 4.250% | 11/30/23 | 1,000 | 1,070 |
| Black Hills Corp. | 3.950% | 1/15/26 | 1,820 | 1,908 |
| CenterPoint Energy Houston Electric LLC | 2.250% | 8/1/22 | 1,825 | 1,809 |
| Cleveland Electric Illuminating Co. | 5.500% | 8/15/24 | 1,100 | 1,282 |
| CMS Energy Corp. | 5.050% | 3/15/22 | 1,575 | 1,749 |
| CMS Energy Corp. | 3.875% | 3/1/24 | 1,850 | 1,932 |
| CMS Energy Corp. | 3.600% | 11/15/25 | 1,750 | 1,791 |
| Commonwealth Edison Co. | 3.400% | 9/1/21 | 1,600 | 1,687 |
| Commonwealth Edison Co. | 3.100% | 11/1/24 | 1,450 | 1,480 |
| Connecticut Light & Power Co. | 2.500% | 1/15/23 | 3,975 | 3,951 |
| Consolidated Edison Co. of New York Inc. | 3.300% | 12/1/24 | 1,075 | 1,114 |
| Consumers Energy Co. | 2.850% | 5/15/22 | 2,684 | 2,750 |
| Consumers Energy Co. | 3.375% | 8/15/23 | 2,060 | 2,165 |
| Consumers Energy Co. | 3.125% | 8/31/24 | 1,000 | 1,036 |
| Delmarva Power & Light Co. | 3.500% | 11/15/23 | 4,248 | 4,492 |
| Dominion Resources Inc. | 4.450% | 3/15/21 | 3,158 | 3,419 |
| Dominion Resources Inc. | 2.750% | 9/15/22 | 1,500 | 1,467 |
| Dominion Resources Inc. | 3.900% | 10/1/25 | 2,925 | 2,972 |
| 3 Dominion Resources Inc. | 5.750% | 10/1/54 | 3,725 | 3,541 |
| Dominion Resources Inc./VA | 3.625% | 12/1/24 | 3,150 | 3,151 |
| DTE Electric Co. | 3.900% | 6/1/21 | 2,475 | 2,684 |
| DTE Electric Co. | 2.650% | 6/15/22 | 2,550 | 2,603 |
| DTE Electric Co. | 3.650% | 3/15/24 | 3,350 | 3,586 |
| DTE Electric Co. | 3.375% | 3/1/25 | 1,875 | 1,973 |
| 1 DTE Energy Co. | 3.300% | 6/15/22 | 350 | 356 |
| DTE Energy Co. | 3.500% | 6/1/24 | 2,000 | 2,055 |
| Duke Energy Carolinas LLC | 3.900% | 6/15/21 | 3,125 | 3,395 |
| Duke Energy Corp. | 3.550% | 9/15/21 | 2,550 | 2,654 |
| Duke Energy Corp. | 3.050% | 8/15/22 | 3,588 | 3,596 |
| Duke Energy Corp. | 3.950% | 10/15/23 | 3,700 | 3,871 |
| Duke Energy Corp. | 3.750% | 4/15/24 | 3,975 | 4,105 |
| Duke Energy Florida LLC | 3.100% | 8/15/21 | 1,725 | 1,800 |
| Duke Energy Ohio Inc. | 3.800% | 9/1/23 | 2,128 | 2,282 |
| Duke Energy Progress LLC | 3.000% | 9/15/21 | 4,606 | 4,813 |
| Duke Energy Progress LLC | 2.800% | 5/15/22 | 2,421 | 2,481 |
| Duke Energy Progress LLC | 3.250% | 8/15/25 | 4,750 | 4,915 |
| Empresa Nacional de Electricidad SA | 4.250% | 4/15/24 | 450 | 450 |
| Entergy Arkansas Inc. | 3.750% | 2/15/21 | 3,680 | 3,914 |
| Entergy Arkansas Inc. | 3.050% | 6/1/23 | 200 | 203 |
| Entergy Arkansas Inc. | 3.700% | 6/1/24 | 1,100 | 1,172 |
| Entergy Corp. | 4.000% | 7/15/22 | 2,000 | 2,100 |
| Entergy Gulf States Louisiana LLC | 5.590% | 10/1/24 | 2,785 | 3,270 |
| Entergy Louisiana LLC | 4.050% | 9/1/23 | 4,050 | 4,340 |
| Entergy Louisiana LLC | 5.400% | 11/1/24 | 2,890 | 3,414 |
| Entergy Louisiana LLC | 4.440% | 1/15/26 | 210 | 231 |
| Entergy Mississippi Inc. | 3.100% | 7/1/23 | 2,225 | 2,225 |
| Eversource Energy | 2.800% | 5/1/23 | 1,735 | 1,700 |
| Eversource Energy | 3.150% | 1/15/25 | 2,600 | 2,582 |
| 1 Exelon Corp. | 3.950% | 6/15/25 | 7,300 | 7,403 |
59
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Exelon Generation Co. LLC | 4.250% | 6/15/22 | 4,511 | 4,580 |
| FirstEnergy Solutions Corp. | 6.050% | 8/15/21 | 3,225 | 3,427 |
| Florida Power & Light Co. | 2.750% | 6/1/23 | 2,150 | 2,188 |
| Florida Power & Light Co. | 3.250% | 6/1/24 | 1,675 | 1,758 |
| Florida Power & Light Co. | 3.125% | 12/1/25 | 4,800 | 4,962 |
| Georgia Power Co. | 2.850% | 5/15/22 | 1,900 | 1,920 |
| Great Plains Energy Inc. | 4.850% | 6/1/21 | 3,350 | 3,625 |
| Indiana Michigan Power Co. | 3.200% | 3/15/23 | 2,125 | 2,144 |
| Interstate Power & Light Co. | 3.250% | 12/1/24 | 1,125 | 1,163 |
| Interstate Power & Light Co. | 3.400% | 8/15/25 | 1,125 | 1,178 |
| ITC Holdings Corp. | 4.050% | 7/1/23 | 1,925 | 2,004 |
| ITC Holdings Corp. | 3.650% | 6/15/24 | 2,575 | 2,550 |
| Kansas City Power & Light Co. | 3.150% | 3/15/23 | 3,025 | 3,052 |
| Kansas City Power & Light Co. | 3.650% | 8/15/25 | 100 | 104 |
| Kentucky Utilities Co. | 3.300% | 10/1/25 | 3,200 | 3,353 |
| LG&E & KU Energy LLC | 4.375% | 10/1/21 | 1,500 | 1,613 |
| Louisville Gas & Electric Co. | 3.300% | 10/1/25 | 1,200 | 1,257 |
| MidAmerican Energy Co. | 3.500% | 10/15/24 | 4,698 | 5,016 |
| National Rural Utilities Cooperative Finance Corp. | 3.050% | 2/15/22 | 3,098 | 3,190 |
| National Rural Utilities Cooperative Finance Corp. | 2.700% | 2/15/23 | 2,200 | 2,216 |
| National Rural Utilities Cooperative Finance Corp. | 3.400% | 11/15/23 | 875 | 915 |
| National Rural Utilities Cooperative Finance Corp. | 2.850% | 1/27/25 | 3,162 | 3,165 |
| National Rural Utilities Cooperative Finance Corp. | 3.250% | 11/1/25 | 2,700 | 2,770 |
| 3 National Rural Utilities Cooperative Finance Corp. | 4.750% | 4/30/43 | 1,850 | 1,771 |
| NextEra Energy Capital Holdings Inc. | 4.500% | 6/1/21 | 2,575 | 2,787 |
| NextEra Energy Capital Holdings Inc. | 3.625% | 6/15/23 | 1,425 | 1,458 |
| Northern States Power Co. | 2.150% | 8/15/22 | 475 | 469 |
| Northern States Power Co. | 2.600% | 5/15/23 | 2,685 | 2,731 |
| NSTAR Electric Co. | 2.375% | 10/15/22 | 1,700 | 1,691 |
| NSTAR Electric Co. | 3.250% | 11/15/25 | 775 | 807 |
| Ohio Power Co. | 5.375% | 10/1/21 | 1,575 | 1,785 |
| Oncor Electric Delivery Co. LLC | 4.100% | 6/1/22 | 1,750 | 1,874 |
| Oncor Electric Delivery Co. LLC | 7.000% | 9/1/22 | 5,994 | 7,296 |
| Oncor Electric Delivery Co. LLC | 2.950% | 4/1/25 | 1,000 | 977 |
| Pacific Gas & Electric Co. | 4.250% | 5/15/21 | 3,216 | 3,495 |
| Pacific Gas & Electric Co. | 3.250% | 9/15/21 | 1,000 | 1,040 |
| Pacific Gas & Electric Co. | 2.450% | 8/15/22 | 3,600 | 3,566 |
| Pacific Gas & Electric Co. | 3.250% | 6/15/23 | 1,700 | 1,756 |
| Pacific Gas & Electric Co. | 3.850% | 11/15/23 | 2,400 | 2,577 |
| Pacific Gas & Electric Co. | 3.750% | 2/15/24 | 3,156 | 3,355 |
| Pacific Gas & Electric Co. | 3.400% | 8/15/24 | 2,075 | 2,160 |
| Pacific Gas & Electric Co. | 3.500% | 6/15/25 | 1,925 | 2,023 |
| Pacific Gas & Electric Co. | 2.950% | 3/1/26 | 1,750 | 1,762 |
| PacifiCorp | 3.850% | 6/15/21 | 4,900 | 5,271 |
| PacifiCorp | 2.950% | 2/1/22 | 3,723 | 3,833 |
| PacifiCorp | 3.600% | 4/1/24 | 1,650 | 1,757 |
| PacifiCorp | 3.350% | 7/1/25 | 200 | 209 |
| PECO Energy Co. | 2.375% | 9/15/22 | 1,829 | 1,833 |
| PECO Energy Co. | 3.150% | 10/15/25 | 1,100 | 1,145 |
| Potomac Electric Power Co. | 3.600% | 3/15/24 | 1,700 | 1,805 |
| PPL Capital Funding Inc. | 4.200% | 6/15/22 | 2,210 | 2,374 |
| PPL Capital Funding Inc. | 3.500% | 12/1/22 | 2,180 | 2,246 |
| PPL Capital Funding Inc. | 3.400% | 6/1/23 | 3,119 | 3,180 |
| PPL Capital Funding Inc. | 3.950% | 3/15/24 | 1,988 | 2,095 |
| PPL Electric Utilities Corp. | 3.000% | 9/15/21 | 4,150 | 4,311 |
| Progress Energy Inc. | 3.150% | 4/1/22 | 975 | 985 |
| PSEG Power LLC | 4.150% | 9/15/21 | 1,161 | 1,207 |
| PSEG Power LLC | 4.300% | 11/15/23 | 1,325 | 1,345 |
| Public Service Co. of Colorado | 2.250% | 9/15/22 | 2,085 | 2,081 |
| Public Service Co. of Colorado | 2.500% | 3/15/23 | 800 | 800 |
| Public Service Co. of Colorado | 2.900% | 5/15/25 | 2,200 | 2,245 |
| Public Service Co. of New Hampshire | 3.500% | 11/1/23 | 2,550 | 2,701 |
| Public Service Co. of New Mexico | 3.850% | 8/1/25 | 1,100 | 1,142 |
| Public Service Co. of Oklahoma | 4.400% | 2/1/21 | 500 | 539 |
60
| Vanguard® Intermediate-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Public Service Electric & Gas Co. | 2.375% | 5/15/23 | 3,426 | 3,410 |
| Public Service Electric & Gas Co. | 3.150% | 8/15/24 | 1,250 | 1,299 |
| Public Service Electric & Gas Co. | 3.050% | 11/15/24 | 4,150 | 4,285 |
| Public Service Electric & Gas Co. | 3.000% | 5/15/25 | 1,500 | 1,539 |
| Puget Energy Inc. | 6.000% | 9/1/21 | 3,526 | 4,041 |
| Puget Energy Inc. | 5.625% | 7/15/22 | 3,100 | 3,482 |
| Puget Energy Inc. | 3.650% | 5/15/25 | 4,350 | 4,384 |
| San Diego Gas & Electric Co. | 3.000% | 8/15/21 | 2,577 | 2,686 |
| San Diego Gas & Electric Co. | 3.600% | 9/1/23 | 2,250 | 2,409 |
| SCANA Corp. | 4.750% | 5/15/21 | 2,700 | 2,852 |
| SCANA Corp. | 4.125% | 2/1/22 | 3,825 | 3,878 |
| Scottish Power Ltd. | 5.810% | 3/15/25 | 1,760 | 1,993 |
| Sierra Pacific Power Co. | 3.375% | 8/15/23 | 750 | 783 |
| Southern California Edison Co. | 3.875% | 6/1/21 | 4,800 | 5,176 |
| 3 Southern California Edison Co. | 1.845% | 2/1/22 | 2,379 | 2,337 |
| Southern California Edison Co. | 2.400% | 2/1/22 | 750 | 755 |
| Southern California Edison Co. | 3.500% | 10/1/23 | 3,305 | 3,506 |
| Southern Power Co. | 4.150% | 12/1/25 | 2,625 | 2,638 |
| Southwestern Electric Power Co. | 3.550% | 2/15/22 | 1,575 | 1,651 |
| Southwestern Public Service Co. | 3.300% | 6/15/24 | 1,850 | 1,925 |
| System Energy Resources Inc. | 4.100% | 4/1/23 | 1,500 | 1,565 |
| Tampa Electric Co. | 5.400% | 5/15/21 | 1,000 | 1,143 |
| Tampa Electric Co. | 2.600% | 9/15/22 | 1,818 | 1,822 |
| TransAlta Corp. | 4.500% | 11/15/22 | 2,169 | 1,523 |
| Tri-State Generation & Transmission Association Inc. | 3.700% | 11/1/24 | 1,100 | 1,136 |
| Tucson Electric Power Co. | 5.150% | 11/15/21 | 675 | 758 |
| Tucson Electric Power Co. | 3.050% | 3/15/25 | 1,650 | 1,627 |
| Union Electric Co. | 3.500% | 4/15/24 | 3,200 | 3,379 |
| Virginia Electric & Power Co. | 2.950% | 1/15/22 | 2,000 | 2,060 |
| Virginia Electric & Power Co. | 3.450% | 9/1/22 | 1,865 | 1,974 |
| Virginia Electric & Power Co. | 2.750% | 3/15/23 | 2,850 | 2,869 |
| Virginia Electric & Power Co. | 3.450% | 2/15/24 | 765 | 803 |
| Virginia Electric & Power Co. | 3.100% | 5/15/25 | 1,950 | 1,993 |
| Virginia Electric & Power Co. | 3.150% | 1/15/26 | 5,250 | 5,372 |
| WEC Energy Group Inc. | 3.550% | 6/15/25 | 3,250 | 3,354 |
| Westar Energy Inc. | 3.250% | 12/1/25 | 1,450 | 1,511 |
| Wisconsin Electric Power Co. | 2.950% | 9/15/21 | 1,595 | 1,648 |
| Wisconsin Electric Power Co. | 3.100% | 6/1/25 | 700 | 719 |
| Wisconsin Power & Light Co. | 2.250% | 11/15/22 | 875 | 861 |
| Xcel Energy Inc. | 3.300% | 6/1/25 | 1,700 | 1,725 |
| Natural Gas (0.3%) | ||||
| AGL Capital Corp. | 3.500% | 9/15/21 | 3,200 | 3,276 |
| AGL Capital Corp. | 3.875% | 11/15/25 | 975 | 1,013 |
| NiSource Finance Corp. | 6.125% | 3/1/22 | 4,485 | 5,207 |
| ONE Gas Inc. | 3.610% | 2/1/24 | 1,500 | 1,567 |
| Sempra Energy | 2.875% | 10/1/22 | 5,100 | 4,976 |
| Sempra Energy | 4.050% | 12/1/23 | 3,400 | 3,554 |
| Sempra Energy | 3.550% | 6/15/24 | 2,449 | 2,460 |
| Sempra Energy | 3.750% | 11/15/25 | 3,825 | 3,891 |
| Southern California Gas Co. | 3.200% | 6/15/25 | 500 | 521 |
| Other Utility (0.1%) | ||||
| American Water Capital Corp. | 3.850% | 3/1/24 | 75 | 81 |
| American Water Capital Corp. | 3.400% | 3/1/25 | 4,146 | 4,350 |
| 428,061 | ||||
| Total Corporate Bonds (Cost $7,943,684) | 7,927,939 | |||
| Taxable Municipal Bonds (0.0%) | ||||
| Cornell University New York GO | 5.450% | 2/1/19 | 750 | 831 |
| George Washington University District of Columbia GO | 3.485% | 9/15/22 | 1,450 | 1,533 |
| Total Taxable Municipal Bonds (Cost $2,317) | 2,364 | |||
61
| Vanguard® Intermediate-Term Corporate Bond Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Coupon | Shares | ($000) | |
| Temporary Cash Investment (0.2%) | |||
| Money Market Fund (0.2%) | |||
| 4 Vanguard Market Liquidity Fund (Cost | |||
| $18,709) | 0.475% | 18,709,377 | 18,709 |
| Total Investments (98.8%) (Cost $7,995,208) | 7,979,515 | ||
| Other Assets and Liabilities—Net (1.2%) | 96,539 | ||
| Net Assets (100%) | 8,076,054 | ||
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 February 29, 2016, the aggregate value of these securities was $165,830,000, representing 2.1% of net assets.
2 Securities with a value of $1,359,000 have been segregated as initial margin for open futures contracts.
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 Affiliated money market fund available only to Vanguard funds and certain trusts and accounts managed by Vanguard. Rate shown is the 7-day yield.
GO—General Obligation Bond.
REIT—Real Estate Investment Trust.
62
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| U.S. Government and Agency Obligations (0.6%) | ||||
| U.S. Government Securities (0.6%) | ||||
| United States Treasury Note/Bond | 1.625% | 2/15/26 | 5,490 | 5,433 |
| United States Treasury Note/Bond | 3.000% | 11/15/45 | 2,614 | 2,825 |
| Total U.S. Government and Agency Obligations (Cost $8,248) | 8,258 | |||
| Corporate Bonds (97.7%) | ||||
| Finance (17.9%) | ||||
| Banking (9.9%) | ||||
| American Express Co. | 4.050% | 12/3/42 | 627 | 597 |
| Bank of America Corp. | 6.220% | 9/15/26 | 400 | 452 |
| Bank of America Corp. | 4.250% | 10/22/26 | 2,035 | 2,003 |
| Bank of America Corp. | 6.750% | 6/1/28 | 540 | 663 |
| Bank of America Corp. | 6.110% | 1/29/37 | 2,035 | 2,215 |
| Bank of America Corp. | 7.750% | 5/14/38 | 1,753 | 2,255 |
| Bank of America Corp. | 5.875% | 2/7/42 | 1,150 | 1,325 |
| Bank of America Corp. | 5.000% | 1/21/44 | 1,930 | 2,048 |
| Bank of America Corp. | 4.875% | 4/1/44 | 1,950 | 2,016 |
| Bank of America Corp. | 4.750% | 4/21/45 | 600 | 547 |
| Bank of America NA | 6.000% | 10/15/36 | 975 | 1,153 |
| Bank One Capital III | 8.750% | 9/1/30 | 220 | 322 |
| Bank One Corp. | 7.625% | 10/15/26 | 545 | 696 |
| Bank One Corp. | 8.000% | 4/29/27 | 500 | 642 |
| Barclays plc | 5.250% | 8/17/45 | 960 | 918 |
| Branch Banking & Trust Co. | 3.800% | 10/30/26 | 700 | 733 |
| Citigroup Inc. | 4.400% | 6/10/25 | 1,000 | 995 |
| Citigroup Inc. | 4.300% | 11/20/26 | 925 | 914 |
| Citigroup Inc. | 4.450% | 9/29/27 | 1,350 | 1,324 |
| Citigroup Inc. | 6.625% | 1/15/28 | 200 | 242 |
| Citigroup Inc. | 6.625% | 6/15/32 | 1,320 | 1,505 |
| Citigroup Inc. | 6.000% | 10/31/33 | 1,395 | 1,472 |
| Citigroup Inc. | 6.125% | 8/25/36 | 798 | 858 |
| Citigroup Inc. | 8.125% | 7/15/39 | 2,197 | 3,130 |
| Citigroup Inc. | 5.875% | 1/30/42 | 1,475 | 1,683 |
| Citigroup Inc. | 6.675% | 9/13/43 | 1,160 | 1,354 |
| Citigroup Inc. | 4.950% | 11/7/43 | 811 | 837 |
| Citigroup Inc. | 5.300% | 5/6/44 | 1,600 | 1,603 |
| Citigroup Inc. | 4.650% | 7/30/45 | 200 | 199 |
| Comerica Inc. | 3.800% | 7/22/26 | 250 | 242 |
| Cooperatieve Rabobank UA | 5.250% | 5/24/41 | 1,860 | 2,144 |
| Cooperatieve Rabobank UA | 5.750% | 12/1/43 | 1,450 | 1,597 |
| Cooperatieve Rabobank UA | 5.250% | 8/4/45 | 370 | 376 |
| Credit Suisse Group Funding Guernsey Ltd. | 4.875% | 5/15/45 | 1,870 | 1,709 |
| Credit Suisse USA Inc. | 7.125% | 7/15/32 | 775 | 985 |
| Discover Bank | 4.250% | 3/13/26 | 485 | 480 |
| Fifth Third Bancorp | 8.250% | 3/1/38 | 882 | 1,253 |
| FirstMerit Bank NA | 4.270% | 11/25/26 | 275 | 274 |
| Goldman Sachs Capital I | 6.345% | 2/15/34 | 1,930 | 2,172 |
| Goldman Sachs Group Inc. | 5.950% | 1/15/27 | 1,015 | 1,124 |
| Goldman Sachs Group Inc. | 6.125% | 2/15/33 | 2,924 | 3,419 |
| Goldman Sachs Group Inc. | 6.450% | 5/1/36 | 1,695 | 1,853 |
| Goldman Sachs Group Inc. | 6.750% | 10/1/37 | 4,692 | 5,325 |
| Goldman Sachs Group Inc. | 6.250% | 2/1/41 | 3,080 | 3,680 |
| Goldman Sachs Group Inc. | 4.800% | 7/8/44 | 1,600 | 1,608 |
| Goldman Sachs Group Inc. | 5.150% | 5/22/45 | 2,040 | 1,948 |
| Goldman Sachs Group Inc. | 4.750% | 10/21/45 | 1,100 | 1,112 |
| HSBC Bank USA NA | 5.875% | 11/1/34 | 950 | 1,044 |
| HSBC Bank USA NA | 5.625% | 8/15/35 | 60 | 64 |
| HSBC Bank USA NA | 7.000% | 1/15/39 | 925 | 1,063 |
| HSBC Holdings plc | 7.625% | 5/17/32 | 595 | 718 |
| HSBC Holdings plc | 6.500% | 5/2/36 | 2,300 | 2,534 |
| HSBC Holdings plc | 6.500% | 9/15/37 | 2,760 | 3,051 |
| HSBC Holdings plc | 6.800% | 6/1/38 | 780 | 893 |
63
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| HSBC Holdings plc | 6.100% | 1/14/42 | 990 | 1,214 |
| HSBC Holdings plc | 5.250% | 3/14/44 | 1,710 | 1,634 |
| JPMorgan Chase & Co. | 4.125% | 12/15/26 | 502 | 509 |
| JPMorgan Chase & Co. | 4.250% | 10/1/27 | 1,375 | 1,399 |
| JPMorgan Chase & Co. | 6.400% | 5/15/38 | 2,870 | 3,589 |
| JPMorgan Chase & Co. | 5.500% | 10/15/40 | 1,565 | 1,810 |
| JPMorgan Chase & Co. | 5.600% | 7/15/41 | 1,265 | 1,483 |
| JPMorgan Chase & Co. | 5.400% | 1/6/42 | 1,455 | 1,669 |
| JPMorgan Chase & Co. | 5.625% | 8/16/43 | 1,475 | 1,598 |
| JPMorgan Chase & Co. | 4.850% | 2/1/44 | 1,600 | 1,782 |
| JPMorgan Chase & Co. | 4.950% | 6/1/45 | 1,700 | 1,719 |
| KeyBank NA | 6.950% | 2/1/28 | 111 | 140 |
| 1 Lloyds Banking Group plc | 5.300% | 12/1/45 | 900 | 875 |
| Mitsubishi UFJ Financial Group Inc. | 3.850% | 3/1/26 | 2,000 | 2,018 |
| Morgan Stanley | 6.250% | 8/9/26 | 360 | 425 |
| Morgan Stanley | 4.350% | 9/8/26 | 1,915 | 1,901 |
| Morgan Stanley | 3.950% | 4/23/27 | 1,720 | 1,656 |
| Morgan Stanley | 7.250% | 4/1/32 | 815 | 1,069 |
| Morgan Stanley | 6.375% | 7/24/42 | 2,461 | 3,055 |
| Morgan Stanley | 4.300% | 1/27/45 | 3,025 | 2,868 |
| Regions Bank | 6.450% | 6/26/37 | 397 | 468 |
| Regions Financial Corp. | 7.375% | 12/10/37 | 450 | 563 |
| Wachovia Bank NA | 5.850% | 2/1/37 | 1,350 | 1,627 |
| Wachovia Corp. | 7.574% | 8/1/26 | 650 | 844 |
| Wachovia Corp. | 7.500% | 4/15/35 | 445 | 590 |
| Wachovia Corp. | 5.500% | 8/1/35 | 589 | 645 |
| Wachovia Corp. | 6.550% | 10/15/35 | 25 | 30 |
| Wells Fargo & Co. | 4.100% | 6/3/26 | 2,405 | 2,480 |
| Wells Fargo & Co. | 4.300% | 7/22/27 | 2,400 | 2,481 |
| Wells Fargo & Co. | 5.375% | 2/7/35 | 360 | 413 |
| Wells Fargo & Co. | 5.375% | 11/2/43 | 879 | 946 |
| Wells Fargo & Co. | 5.606% | 1/15/44 | 2,440 | 2,658 |
| Wells Fargo & Co. | 4.650% | 11/4/44 | 1,800 | 1,756 |
| Wells Fargo & Co. | 3.900% | 5/1/45 | 2,300 | 2,211 |
| Wells Fargo & Co. | 4.900% | 11/17/45 | 2,100 | 2,130 |
| Wells Fargo Bank NA | 5.950% | 8/26/36 | 925 | 1,139 |
| Wells Fargo Bank NA | 6.600% | 1/15/38 | 1,525 | 1,991 |
| 2 Wells Fargo Capital X | 5.950% | 12/1/86 | 920 | 917 |
| Brokerage (0.3%) | ||||
| Brookfield Asset Management Inc. | 7.375% | 3/1/33 | 235 | 279 |
| CME Group Inc. | 5.300% | 9/15/43 | 745 | 863 |
| Invesco Finance plc | 5.375% | 11/30/43 | 490 | 541 |
| Jefferies Group LLC | 6.450% | 6/8/27 | 400 | 396 |
| Jefferies Group LLC | 6.250% | 1/15/36 | 385 | 347 |
| Jefferies Group LLC | 6.500% | 1/20/43 | 425 | 365 |
| Legg Mason Inc. | 5.625% | 1/15/44 | 495 | 453 |
| Leucadia National Corp. | 6.625% | 10/23/43 | 285 | 217 |
| Finance Companies (0.9%) | ||||
| GATX Corp. | 5.200% | 3/15/44 | 115 | 115 |
| GATX Corp. | 4.500% | 3/30/45 | 345 | 315 |
| 1 GE Capital International Funding Co. | 4.418% | 11/15/35 | 11,161 | 11,624 |
| Insurance (6.2%) | ||||
| ACE Capital Trust II | 9.700% | 4/1/30 | 340 | 483 |
| ACE INA Holdings Inc. | 3.350% | 5/3/26 | 1,405 | 1,438 |
| ACE INA Holdings Inc. | 6.700% | 5/15/36 | 300 | 396 |
| ACE INA Holdings Inc. | 4.150% | 3/13/43 | 472 | 464 |
| ACE INA Holdings Inc. | 4.350% | 11/3/45 | 1,475 | 1,541 |
| Aetna Inc. | 6.625% | 6/15/36 | 505 | 616 |
| Aetna Inc. | 6.750% | 12/15/37 | 690 | 853 |
| Aetna Inc. | 4.500% | 5/15/42 | 505 | 493 |
| Aetna Inc. | 4.125% | 11/15/42 | 550 | 517 |
| Aetna Inc. | 4.750% | 3/15/44 | 425 | 436 |
| Aflac Inc. | 6.900% | 12/17/39 | 495 | 637 |
64
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Aflac Inc. | 6.450% | 8/15/40 | 350 | 433 |
| Alleghany Corp. | 4.900% | 9/15/44 | 300 | 284 |
| Allstate Corp. | 5.350% | 6/1/33 | 390 | 449 |
| Allstate Corp. | 5.550% | 5/9/35 | 590 | 695 |
| Allstate Corp. | 5.950% | 4/1/36 | 420 | 519 |
| Allstate Corp. | 4.500% | 6/15/43 | 355 | 379 |
| 2 Allstate Corp. | 6.500% | 5/15/67 | 525 | 564 |
| American International Group Inc. | 3.875% | 1/15/35 | 1,180 | 989 |
| American International Group Inc. | 4.700% | 7/10/35 | 575 | 543 |
| American International Group Inc. | 6.250% | 5/1/36 | 985 | 1,067 |
| American International Group Inc. | 4.500% | 7/16/44 | 2,239 | 1,984 |
| American International Group Inc. | 4.800% | 7/10/45 | 750 | 694 |
| American International Group Inc. | 4.375% | 1/15/55 | 775 | 619 |
| 2 American International Group Inc. | 8.175% | 5/15/68 | 650 | 803 |
| 2 American International Group Inc. | 6.250% | 3/15/87 | 279 | 287 |
| Anthem Inc. | 5.950% | 12/15/34 | 466 | 534 |
| Anthem Inc. | 5.850% | 1/15/36 | 895 | 1,013 |
| Anthem Inc. | 6.375% | 6/15/37 | 740 | 859 |
| Anthem Inc. | 4.625% | 5/15/42 | 885 | 836 |
| Anthem Inc. | 4.650% | 1/15/43 | 1,000 | 942 |
| Anthem Inc. | 5.100% | 1/15/44 | 375 | 372 |
| Anthem Inc. | 4.650% | 8/15/44 | 800 | 754 |
| Anthem Inc. | 4.850% | 8/15/54 | 250 | 237 |
| Aon Corp. | 8.205% | 1/1/27 | 475 | 580 |
| Aon Corp. | 6.250% | 9/30/40 | 285 | 319 |
| Aon plc | 4.450% | 5/24/43 | 250 | 230 |
| Aon plc | 4.600% | 6/14/44 | 650 | 614 |
| Aon plc | 4.750% | 5/15/45 | 850 | 840 |
| Arch Capital Group Ltd. | 7.350% | 5/1/34 | 275 | 343 |
| Arch Capital Group US Inc. | 5.144% | 11/1/43 | 400 | 411 |
| Assurant Inc. | 6.750% | 2/15/34 | 500 | 587 |
| AXA SA | 8.600% | 12/15/30 | 1,410 | 1,843 |
| AXIS Specialty Finance plc | 5.150% | 4/1/45 | 275 | 272 |
| Berkshire Hathaway Finance Corp. | 5.750% | 1/15/40 | 755 | 889 |
| Berkshire Hathaway Finance Corp. | 4.400% | 5/15/42 | 770 | 757 |
| Berkshire Hathaway Finance Corp. | 4.300% | 5/15/43 | 545 | 536 |
| Berkshire Hathaway Inc. | 4.500% | 2/11/43 | 855 | 855 |
| Chubb Corp. | 6.000% | 5/11/37 | 775 | 956 |
| Chubb Corp. | 6.500% | 5/15/38 | 600 | 787 |
| Cigna Corp. | 7.875% | 5/15/27 | 415 | 564 |
| Cigna Corp. | 6.150% | 11/15/36 | 530 | 626 |
| Cigna Corp. | 5.875% | 3/15/41 | 300 | 344 |
| Cigna Corp. | 5.375% | 2/15/42 | 575 | 628 |
| Cincinnati Financial Corp. | 6.920% | 5/15/28 | 300 | 385 |
| Cincinnati Financial Corp. | 6.125% | 11/1/34 | 394 | 466 |
| CNA Financial Corp. | 4.500% | 3/1/26 | 325 | 326 |
| Endurance Specialty Holdings Ltd. | 7.000% | 7/15/34 | 320 | 374 |
| Everest Reinsurance Holdings Inc. | 4.868% | 6/1/44 | 415 | 406 |
| Hartford Financial Services Group Inc. | 5.950% | 10/15/36 | 463 | 532 |
| Hartford Financial Services Group Inc. | 6.625% | 3/30/40 | 291 | 359 |
| Hartford Financial Services Group Inc. | 6.100% | 10/1/41 | 505 | 584 |
| Humana Inc. | 8.150% | 6/15/38 | 260 | 354 |
| Humana Inc. | 4.625% | 12/1/42 | 405 | 382 |
| Humana Inc. | 4.950% | 10/1/44 | 730 | 713 |
| Lincoln National Corp. | 6.150% | 4/7/36 | 575 | 631 |
| Lincoln National Corp. | 7.000% | 6/15/40 | 760 | 897 |
| Loews Corp. | 6.000% | 2/1/35 | 315 | 361 |
| Loews Corp. | 4.125% | 5/15/43 | 485 | 442 |
| Markel Corp. | 5.000% | 3/30/43 | 250 | 258 |
| Marsh & McLennan Cos. Inc. | 3.750% | 3/14/26 | 850 | 865 |
| Marsh & McLennan Cos. Inc. | 5.875% | 8/1/33 | 290 | 351 |
| MetLife Inc. | 6.500% | 12/15/32 | 600 | 720 |
| MetLife Inc. | 6.375% | 6/15/34 | 740 | 880 |
| MetLife Inc. | 5.700% | 6/15/35 | 995 | 1,106 |
65
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| MetLife Inc. | 5.875% | 2/6/41 | 695 | 781 |
| MetLife Inc. | 4.125% | 8/13/42 | 740 | 660 |
| MetLife Inc. | 4.875% | 11/13/43 | 980 | 997 |
| MetLife Inc. | 4.721% | 12/15/44 | 480 | 477 |
| MetLife Inc. | 4.050% | 3/1/45 | 995 | 873 |
| MetLife Inc. | 4.600% | 5/13/46 | 745 | 736 |
| 2 MetLife Inc. | 6.400% | 12/15/66 | 1,265 | 1,248 |
| 2 MetLife Inc. | 10.750% | 8/1/69 | 510 | 752 |
| Munich Re America Corp. | 7.450% | 12/15/26 | 350 | 459 |
| 2 Nationwide Financial Services Inc. | 6.750% | 5/15/87 | 415 | 418 |
| Principal Financial Group Inc. | 6.050% | 10/15/36 | 590 | 677 |
| Principal Financial Group Inc. | 4.625% | 9/15/42 | 300 | 285 |
| Principal Financial Group Inc. | 4.350% | 5/15/43 | 320 | 291 |
| Progressive Corp. | 6.625% | 3/1/29 | 338 | 444 |
| Progressive Corp. | 6.250% | 12/1/32 | 390 | 494 |
| Progressive Corp. | 4.350% | 4/25/44 | 700 | 722 |
| Protective Life Corp. | 8.450% | 10/15/39 | 310 | 412 |
| Prudential Financial Inc. | 5.750% | 7/15/33 | 525 | 573 |
| Prudential Financial Inc. | 5.400% | 6/13/35 | 320 | 335 |
| Prudential Financial Inc. | 5.900% | 3/17/36 | 370 | 409 |
| Prudential Financial Inc. | 5.700% | 12/14/36 | 750 | 811 |
| Prudential Financial Inc. | 6.625% | 12/1/37 | 735 | 864 |
| Prudential Financial Inc. | 6.625% | 6/21/40 | 375 | 445 |
| Prudential Financial Inc. | 6.200% | 11/15/40 | 575 | 650 |
| Prudential Financial Inc. | 5.625% | 5/12/41 | 268 | 284 |
| Prudential Financial Inc. | 5.100% | 8/15/43 | 380 | 378 |
| Prudential Financial Inc. | 4.600% | 5/15/44 | 800 | 763 |
| Transatlantic Holdings Inc. | 8.000% | 11/30/39 | 355 | 463 |
| Travelers Cos. Inc. | 6.750% | 6/20/36 | 555 | 746 |
| Travelers Cos. Inc. | 6.250% | 6/15/37 | 860 | 1,105 |
| Travelers Cos. Inc. | 5.350% | 11/1/40 | 516 | 606 |
| Travelers Cos. Inc. | 4.600% | 8/1/43 | 555 | 590 |
| Travelers Cos. Inc. | 4.300% | 8/25/45 | 225 | 234 |
| Travelers Property Casualty Corp. | 6.375% | 3/15/33 | 500 | 641 |
| Trinity Acquisition plc | 6.125% | 8/15/43 | 285 | 312 |
| UnitedHealth Group Inc. | 3.100% | 3/15/26 | 1,000 | 1,004 |
| UnitedHealth Group Inc. | 4.625% | 7/15/35 | 1,100 | 1,183 |
| UnitedHealth Group Inc. | 5.800% | 3/15/36 | 685 | 826 |
| UnitedHealth Group Inc. | 6.500% | 6/15/37 | 515 | 667 |
| UnitedHealth Group Inc. | 6.625% | 11/15/37 | 675 | 885 |
| UnitedHealth Group Inc. | 6.875% | 2/15/38 | 1,260 | 1,694 |
| UnitedHealth Group Inc. | 5.700% | 10/15/40 | 10 | 12 |
| UnitedHealth Group Inc. | 5.950% | 2/15/41 | 585 | 721 |
| UnitedHealth Group Inc. | 4.625% | 11/15/41 | 663 | 698 |
| UnitedHealth Group Inc. | 4.375% | 3/15/42 | 505 | 514 |
| UnitedHealth Group Inc. | 3.950% | 10/15/42 | 625 | 604 |
| UnitedHealth Group Inc. | 4.250% | 3/15/43 | 550 | 545 |
| UnitedHealth Group Inc. | 4.750% | 7/15/45 | 1,975 | 2,154 |
| Unum Group | 5.750% | 8/15/42 | 250 | 264 |
| Validus Holdings Ltd. | 8.875% | 1/26/40 | 235 | 303 |
| Voya Financial Inc. | 5.700% | 7/15/43 | 400 | 444 |
| WR Berkley Corp. | 4.750% | 8/1/44 | 450 | 438 |
| XLIT Ltd. | 6.250% | 5/15/27 | 205 | 241 |
| XLIT Ltd. | 5.250% | 12/15/43 | 400 | 413 |
| XLIT Ltd. | 5.500% | 3/31/45 | 475 | 451 |
| Real Estate Investment Trusts (0.6%) | ||||
| Alexandria Real Estate Equities Inc. | 4.500% | 7/30/29 | 290 | 292 |
| Brandywine Operating Partnership LP | 4.550% | 10/1/29 | 525 | 527 |
| ERP Operating LP | 4.500% | 7/1/44 | 500 | 517 |
| ERP Operating LP | 4.500% | 6/1/45 | 425 | 435 |
| Federal Realty Investment Trust | 4.500% | 12/1/44 | 575 | 587 |
| HCP Inc. | 6.750% | 2/1/41 | 319 | 347 |
| Kilroy Realty LP | 4.250% | 8/15/29 | 375 | 379 |
66
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Kimco Realty Corp. | 4.250% | 4/1/45 | 450 | 422 |
| Omega Healthcare Investors Inc. | 4.500% | 4/1/27 | 755 | 725 |
| Realty Income Corp. | 4.125% | 10/15/26 | 275 | 281 |
| Realty Income Corp. | 5.875% | 3/15/35 | 285 | 327 |
| Simon Property Group LP | 6.750% | 2/1/40 | 295 | 391 |
| Simon Property Group LP | 4.750% | 3/15/42 | 415 | 444 |
| Simon Property Group LP | 4.250% | 10/1/44 | 400 | 399 |
| Ventas Realty LP | 5.700% | 9/30/43 | 325 | 353 |
| Ventas Realty LP | 4.375% | 2/1/45 | 375 | 336 |
| Welltower Inc. | 4.250% | 4/1/26 | 500 | 498 |
| Welltower Inc. | 6.500% | 3/15/41 | 450 | 529 |
| Welltower Inc. | 5.125% | 3/15/43 | 275 | 269 |
| 238,343 | ||||
| Industrial (67.0%) | ||||
| Basic Industry (4.3%) | ||||
| Agrium Inc. | 4.125% | 3/15/35 | 500 | 398 |
| Agrium Inc. | 7.125% | 5/23/36 | 380 | 429 |
| Agrium Inc. | 6.125% | 1/15/41 | 500 | 492 |
| Agrium Inc. | 4.900% | 6/1/43 | 500 | 433 |
| Agrium Inc. | 5.250% | 1/15/45 | 600 | 545 |
| Albemarle Corp. | 5.450% | 12/1/44 | 400 | 383 |
| Barrick Gold Corp. | 5.250% | 4/1/42 | 310 | 237 |
| Barrick North America Finance LLC | 7.500% | 9/15/38 | 565 | 495 |
| Barrick North America Finance LLC | 5.700% | 5/30/41 | 630 | 495 |
| Barrick North America Finance LLC | 5.750% | 5/1/43 | 950 | 796 |
| Barrick PD Australia Finance Pty Ltd. | 5.950% | 10/15/39 | 795 | 632 |
| BHP Billiton Finance USA Ltd. | 6.420% | 3/1/26 | 300 | 329 |
| BHP Billiton Finance USA Ltd. | 4.125% | 2/24/42 | 130 | 113 |
| BHP Billiton Finance USA Ltd. | 5.000% | 9/30/43 | 2,450 | 2,401 |
| CF Industries Inc. | 5.150% | 3/15/34 | 925 | 788 |
| CF Industries Inc. | 4.950% | 6/1/43 | 825 | 654 |
| CF Industries Inc. | 5.375% | 3/15/44 | 725 | 616 |
| Domtar Corp. | 6.250% | 9/1/42 | 425 | 406 |
| Domtar Corp. | 6.750% | 2/15/44 | 175 | 171 |
| Dow Chemical Co. | 7.375% | 11/1/29 | 1,435 | 1,826 |
| Dow Chemical Co. | 4.250% | 10/1/34 | 221 | 201 |
| Dow Chemical Co. | 9.400% | 5/15/39 | 870 | 1,254 |
| Dow Chemical Co. | 5.250% | 11/15/41 | 755 | 739 |
| Dow Chemical Co. | 4.375% | 11/15/42 | 1,150 | 1,034 |
| Eastman Chemical Co. | 4.800% | 9/1/42 | 280 | 242 |
| Eastman Chemical Co. | 4.650% | 10/15/44 | 615 | 524 |
| Ecolab Inc. | 5.500% | 12/8/41 | 808 | 905 |
| EI du Pont de Nemours & Co. | 6.500% | 1/15/28 | 150 | 180 |
| EI du Pont de Nemours & Co. | 4.900% | 1/15/41 | 1,060 | 1,039 |
| EI du Pont de Nemours & Co. | 4.150% | 2/15/43 | 200 | 173 |
| Georgia-Pacific LLC | 7.250% | 6/1/28 | 305 | 388 |
| Georgia-Pacific LLC | 7.750% | 11/15/29 | 300 | 385 |
| Georgia-Pacific LLC | 8.875% | 5/15/31 | 665 | 955 |
| Glencore Canada Corp. | 6.200% | 6/15/35 | 175 | 134 |
| Goldcorp Inc. | 5.450% | 6/9/44 | 650 | 572 |
| International Paper Co. | 5.000% | 9/15/35 | 775 | 750 |
| International Paper Co. | 8.700% | 6/15/38 | 150 | 195 |
| International Paper Co. | 7.300% | 11/15/39 | 885 | 965 |
| International Paper Co. | 6.000% | 11/15/41 | 425 | 413 |
| International Paper Co. | 4.800% | 6/15/44 | 485 | 408 |
| International Paper Co. | 5.150% | 5/15/46 | 600 | 544 |
| Lubrizol Corp. | 6.500% | 10/1/34 | 315 | 408 |
| LYB International Finance BV | 5.250% | 7/15/43 | 875 | 812 |
| LYB International Finance BV | 4.875% | 3/15/44 | 1,300 | 1,163 |
| LyondellBasell Industries NV | 4.625% | 2/26/55 | 750 | 615 |
| Meadwestvaco Corp. | 8.200% | 1/15/30 | 500 | 635 |
| Meadwestvaco Corp. | 7.950% | 2/15/31 | 300 | 371 |
| Methanex Corp. | 5.650% | 12/1/44 | 300 | 237 |
67
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Monsanto Co. | 4.200% | 7/15/34 | 830 | 742 |
| Monsanto Co. | 5.875% | 4/15/38 | 530 | 544 |
| Monsanto Co. | 3.600% | 7/15/42 | 665 | 498 |
| Monsanto Co. | 4.400% | 7/15/44 | 920 | 808 |
| Monsanto Co. | 3.950% | 4/15/45 | 425 | 342 |
| Monsanto Co. | 4.700% | 7/15/64 | 1,120 | 865 |
| Mosaic Co. | 5.450% | 11/15/33 | 600 | 576 |
| Mosaic Co. | 4.875% | 11/15/41 | 320 | 267 |
| Mosaic Co. | 5.625% | 11/15/43 | 725 | 674 |
| Newmont Mining Corp. | 5.875% | 4/1/35 | 505 | 450 |
| Newmont Mining Corp. | 6.250% | 10/1/39 | 890 | 791 |
| Newmont Mining Corp. | 4.875% | 3/15/42 | 1,307 | 1,027 |
| Nucor Corp. | 6.400% | 12/1/37 | 680 | 717 |
| Nucor Corp. | 5.200% | 8/1/43 | 295 | 274 |
| Placer Dome Inc. | 6.450% | 10/15/35 | 125 | 102 |
| Potash Corp. of Saskatchewan Inc. | 5.875% | 12/1/36 | 560 | 605 |
| Potash Corp. of Saskatchewan Inc. | 5.625% | 12/1/40 | 235 | 243 |
| PPG Industries Inc. | 5.500% | 11/15/40 | 585 | 665 |
| Praxair Inc. | 3.550% | 11/7/42 | 425 | 390 |
| Reliance Steel & Aluminum Co. | 6.850% | 11/15/36 | 285 | 284 |
| Rio Tinto Alcan Inc. | 7.250% | 3/15/31 | 480 | 524 |
| Rio Tinto Alcan Inc. | 6.125% | 12/15/33 | 794 | 808 |
| Rio Tinto Alcan Inc. | 5.750% | 6/1/35 | 535 | 519 |
| Rio Tinto Finance USA Ltd. | 7.125% | 7/15/28 | 665 | 755 |
| Rio Tinto Finance USA Ltd. | 5.200% | 11/2/40 | 1,145 | 1,111 |
| Rio Tinto Finance USA plc | 4.750% | 3/22/42 | 490 | 441 |
| Rio Tinto Finance USA plc | 4.125% | 8/21/42 | 475 | 386 |
| Rohm & Haas Co. | 7.850% | 7/15/29 | 760 | 980 |
| RPM International Inc. | 5.250% | 6/1/45 | 200 | 197 |
| Sherwin-Williams Co. | 4.000% | 12/15/42 | 216 | 215 |
| Sherwin-Williams Co. | 4.550% | 8/1/45 | 300 | 327 |
| Southern Copper Corp. | 7.500% | 7/27/35 | 1,695 | 1,606 |
| Southern Copper Corp. | 6.750% | 4/16/40 | 990 | 866 |
| Southern Copper Corp. | 5.250% | 11/8/42 | 350 | 259 |
| Southern Copper Corp. | 5.875% | 4/23/45 | 1,925 | 1,521 |
| Syngenta Finance NV | 4.375% | 3/28/42 | 225 | 193 |
| The Dow Chemical Company | 4.625% | 10/1/44 | 925 | 865 |
| Vale Canada Ltd. | 7.200% | 9/15/32 | 660 | 383 |
| Vale Overseas Ltd. | 8.250% | 1/17/34 | 295 | 226 |
| Vale Overseas Ltd. | 6.875% | 11/21/36 | 2,085 | 1,436 |
| Vale Overseas Ltd. | 6.875% | 11/10/39 | 1,395 | 947 |
| Vale SA | 5.625% | 9/11/42 | 1,860 | 1,135 |
| Weyerhaeuser Co. | 6.950% | 10/1/27 | 341 | 400 |
| Weyerhaeuser Co. | 7.375% | 3/15/32 | 805 | 949 |
| Weyerhaeuser Co. | 6.875% | 12/15/33 | 25 | 28 |
| Worthington Industries Inc. | 4.550% | 4/15/26 | 200 | 206 |
| Capital Goods (5.5%) | ||||
| 3M Co. | 6.375% | 2/15/28 | 470 | 626 |
| 3M Co. | 5.700% | 3/15/37 | 755 | 963 |
| 3M Co. | 3.875% | 6/15/44 | 30 | 31 |
| ABB Finance USA Inc. | 4.375% | 5/8/42 | 650 | 684 |
| Boeing Co. | 6.125% | 2/15/33 | 680 | 873 |
| Boeing Co. | 3.300% | 3/1/35 | 475 | 454 |
| Boeing Co. | 6.875% | 3/15/39 | 395 | 555 |
| Boeing Co. | 5.875% | 2/15/40 | 500 | 636 |
| Boeing Co. | 3.500% | 3/1/45 | 250 | 239 |
| Caterpillar Inc. | 5.300% | 9/15/35 | 350 | 383 |
| Caterpillar Inc. | 6.050% | 8/15/36 | 990 | 1,211 |
| Caterpillar Inc. | 3.803% | 8/15/42 | 1,205 | 1,101 |
| Caterpillar Inc. | 4.300% | 5/15/44 | 500 | 486 |
| Caterpillar Inc. | 4.750% | 5/15/64 | 850 | 825 |
| Danaher Corp. | 4.375% | 9/15/45 | 650 | 697 |
| Deere & Co. | 5.375% | 10/16/29 | 745 | 878 |
68
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Deere & Co. | 8.100% | 5/15/30 | 604 | 866 |
| Deere & Co. | 7.125% | 3/3/31 | 300 | 411 |
| Deere & Co. | 3.900% | 6/9/42 | 885 | 855 |
| Dover Corp. | 6.600% | 3/15/38 | 400 | 532 |
| Dover Corp. | 5.375% | 3/1/41 | 300 | 355 |
| Eaton Corp. | 4.000% | 11/2/32 | 800 | 782 |
| Eaton Corp. | 4.150% | 11/2/42 | 700 | 668 |
| Emerson Electric Co. | 6.000% | 8/15/32 | 160 | 197 |
| Emerson Electric Co. | 6.125% | 4/15/39 | 270 | 344 |
| Emerson Electric Co. | 5.250% | 11/15/39 | 345 | 403 |
| General Dynamics Corp. | 3.600% | 11/15/42 | 411 | 406 |
| General Electric Capital Corp. | 6.750% | 3/15/32 | 2,868 | 3,824 |
| General Electric Capital Corp. | 6.150% | 8/7/37 | 1,085 | 1,402 |
| General Electric Capital Corp. | 5.875% | 1/14/38 | 2,907 | 3,643 |
| General Electric Capital Corp. | 6.875% | 1/10/39 | 1,799 | 2,515 |
| General Electric Co. | 4.125% | 10/9/42 | 2,275 | 2,296 |
| General Electric Co. | 4.500% | 3/11/44 | 2,430 | 2,592 |
| Harris Corp. | 4.854% | 4/27/35 | 500 | 508 |
| Harris Corp. | 6.150% | 12/15/40 | 400 | 457 |
| Harris Corp. | 5.054% | 4/27/45 | 525 | 538 |
| Honeywell International Inc. | 5.700% | 3/15/36 | 700 | 857 |
| Honeywell International Inc. | 5.700% | 3/15/37 | 740 | 922 |
| Honeywell International Inc. | 5.375% | 3/1/41 | 630 | 766 |
| Hubbell Inc. | 3.350% | 3/1/26 | 250 | 249 |
| Illinois Tool Works Inc. | 4.875% | 9/15/41 | 639 | 706 |
| Illinois Tool Works Inc. | 3.900% | 9/1/42 | 1,281 | 1,258 |
| Ingersoll-Rand Global Holding Co. Ltd. | 5.750% | 6/15/43 | 220 | 251 |
| Ingersoll-Rand Luxembourg Finance SA | 4.650% | 11/1/44 | 525 | 515 |
| Lafarge SA | 7.125% | 7/15/36 | 550 | 645 |
| Lockheed Martin Corp. | 3.600% | 3/1/35 | 500 | 469 |
| Lockheed Martin Corp. | 4.500% | 5/15/36 | 400 | 418 |
| Lockheed Martin Corp. | 6.150% | 9/1/36 | 565 | 697 |
| Lockheed Martin Corp. | 5.500% | 11/15/39 | 175 | 203 |
| Lockheed Martin Corp. | 5.720% | 6/1/40 | 579 | 688 |
| Lockheed Martin Corp. | 4.850% | 9/15/41 | 955 | 1,019 |
| Lockheed Martin Corp. | 4.070% | 12/15/42 | 1,090 | 1,057 |
| Lockheed Martin Corp. | 3.800% | 3/1/45 | 1,130 | 1,060 |
| Lockheed Martin Corp. | 4.700% | 5/15/46 | 1,950 | 2,089 |
| Northrop Grumman Corp. | 5.050% | 11/15/40 | 690 | 765 |
| Northrop Grumman Corp. | 4.750% | 6/1/43 | 605 | 650 |
| Northrop Grumman Corp. | 3.850% | 4/15/45 | 800 | 764 |
| Northrop Grumman Systems Corp. | 7.750% | 2/15/31 | 510 | 699 |
| Owens Corning | 7.000% | 12/1/36 | 615 | 648 |
| Parker Hannifin Corp. | 6.250% | 5/15/38 | 490 | 645 |
| Parker-Hannifin Corp. | 4.200% | 11/21/34 | 435 | 453 |
| Parker-Hannifin Corp. | 4.450% | 11/21/44 | 485 | 515 |
| Precision Castparts Corp. | 4.200% | 6/15/35 | 500 | 522 |
| Precision Castparts Corp. | 3.900% | 1/15/43 | 225 | 224 |
| Precision Castparts Corp. | 4.375% | 6/15/45 | 400 | 426 |
| Raytheon Co. | 7.200% | 8/15/27 | 455 | 623 |
| Raytheon Co. | 4.875% | 10/15/40 | 400 | 463 |
| Raytheon Co. | 4.700% | 12/15/41 | 710 | 811 |
| Raytheon Co. | 4.200% | 12/15/44 | 100 | 107 |
| Republic Services Inc. | 6.200% | 3/1/40 | 900 | 1,076 |
| Republic Services Inc. | 5.700% | 5/15/41 | 845 | 966 |
| Rockwell Automation Inc. | 6.700% | 1/15/28 | 285 | 379 |
| Rockwell Automation Inc. | 6.250% | 12/1/37 | 330 | 430 |
| Rockwell Collins Inc. | 4.800% | 12/15/43 | 350 | 387 |
| Sonoco Products Co. | 5.750% | 11/1/40 | 245 | 280 |
| Stanley Black & Decker Inc. | 5.200% | 9/1/40 | 315 | 358 |
| Tyco International Finance SA | 5.125% | 9/14/45 | 600 | 623 |
| United Technologies Corp. | 6.700% | 8/1/28 | 400 | 522 |
| United Technologies Corp. | 7.500% | 9/15/29 | 705 | 976 |
| United Technologies Corp. | 5.400% | 5/1/35 | 600 | 697 |
69
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| United Technologies Corp. | 6.050% | 6/1/36 | 600 | 731 |
| United Technologies Corp. | 6.125% | 7/15/38 | 940 | 1,166 |
| United Technologies Corp. | 5.700% | 4/15/40 | 1,205 | 1,437 |
| United Technologies Corp. | 4.500% | 6/1/42 | 3,430 | 3,538 |
| United Technologies Corp. | 4.150% | 5/15/45 | 69 | 68 |
| Valmont Industries Inc. | 5.000% | 10/1/44 | 180 | 164 |
| Valmont Industries Inc. | 5.250% | 10/1/54 | 365 | 320 |
| Waste Management Inc. | 3.900% | 3/1/35 | 825 | 802 |
| Waste Management Inc. | 6.125% | 11/30/39 | 400 | 507 |
| Waste Management Inc. | 4.100% | 3/1/45 | 675 | 659 |
| WW Grainger Inc. | 4.600% | 6/15/45 | 990 | 1,072 |
| Communication (15.0%) | ||||
| 21st Century Fox America Inc. | 6.550% | 3/15/33 | 485 | 552 |
| 21st Century Fox America Inc. | 6.200% | 12/15/34 | 715 | 791 |
| 21st Century Fox America Inc. | 6.400% | 12/15/35 | 1,840 | 2,082 |
| 21st Century Fox America Inc. | 8.150% | 10/17/36 | 350 | 450 |
| 21st Century Fox America Inc. | 6.150% | 3/1/37 | 425 | 449 |
| 21st Century Fox America Inc. | 6.650% | 11/15/37 | 1,645 | 1,847 |
| 21st Century Fox America Inc. | 7.850% | 3/1/39 | 250 | 321 |
| 21st Century Fox America Inc. | 6.900% | 8/15/39 | 810 | 910 |
| 21st Century Fox America Inc. | 6.150% | 2/15/41 | 1,150 | 1,236 |
| 21st Century Fox America Inc. | 5.400% | 10/1/43 | 760 | 742 |
| 21st Century Fox America Inc. | 4.750% | 9/15/44 | 575 | 542 |
| 21st Century Fox America Inc. | 7.750% | 12/1/45 | 905 | 1,149 |
| Alltel Corp. | 7.875% | 7/1/32 | 600 | 746 |
| America Movil SAB de CV | 6.375% | 3/1/35 | 740 | 838 |
| America Movil SAB de CV | 6.125% | 11/15/37 | 650 | 717 |
| America Movil SAB de CV | 6.125% | 3/30/40 | 2,050 | 2,265 |
| America Movil SAB de CV | 4.375% | 7/16/42 | 800 | 730 |
| Ameritech Capital Funding Corp. | 6.550% | 1/15/28 | 385 | 452 |
| AT&T Corp. | 8.250% | 11/15/31 | 880 | 1,218 |
| AT&T Inc. | 6.150% | 9/15/34 | 1,342 | 1,440 |
| AT&T Inc. | 4.500% | 5/15/35 | 2,950 | 2,715 |
| AT&T Inc. | 6.500% | 9/1/37 | 837 | 930 |
| AT&T Inc. | 6.300% | 1/15/38 | 1,585 | 1,714 |
| AT&T Inc. | 6.400% | 5/15/38 | 660 | 719 |
| AT&T Inc. | 6.550% | 2/15/39 | 1,735 | 1,902 |
| AT&T Inc. | 5.350% | 9/1/40 | 1,005 | 988 |
| AT&T Inc. | 5.550% | 8/15/41 | 2,206 | 2,189 |
| AT&T Inc. | 4.300% | 12/15/42 | 2,263 | 1,930 |
| AT&T Inc. | 4.800% | 6/15/44 | 1,915 | 1,747 |
| AT&T Inc. | 4.350% | 6/15/45 | 3,349 | 2,853 |
| AT&T Inc. | 4.750% | 5/15/46 | 3,555 | 3,243 |
| AT&T Inc. | 5.650% | 2/15/47 | 1,200 | 1,240 |
| AT&T Mobility LLC | 7.125% | 12/15/31 | 422 | 527 |
| Bellsouth Capital Funding Corp. | 7.875% | 2/15/30 | 598 | 709 |
| Bellsouth Capital Funding Corp. | 7.120% | 7/15/97 | 200 | 215 |
| BellSouth LLC | 6.875% | 10/15/31 | 223 | 259 |
| BellSouth LLC | 6.550% | 6/15/34 | 520 | 557 |
| BellSouth LLC | 6.000% | 11/15/34 | 375 | 381 |
| BellSouth Telecommunications LLC | 6.375% | 6/1/28 | 372 | 422 |
| British Telecommunications plc | 9.625% | 12/15/30 | 2,627 | 3,752 |
| CBS Corp. | 7.875% | 7/30/30 | 746 | 935 |
| CBS Corp. | 5.500% | 5/15/33 | 695 | 690 |
| CBS Corp. | 5.900% | 10/15/40 | 425 | 421 |
| CBS Corp. | 4.850% | 7/1/42 | 495 | 437 |
| CBS Corp. | 4.900% | 8/15/44 | 500 | 448 |
| CBS Corp. | 4.600% | 1/15/45 | 200 | 174 |
| 1 CCO Safari II LLC | 6.384% | 10/23/35 | 1,850 | 1,925 |
| 1 CCO Safari II LLC | 6.484% | 10/23/45 | 3,430 | 3,605 |
| 1 CCO Safari II LLC | 6.834% | 10/23/55 | 500 | 507 |
| Comcast Corp. | 3.150% | 3/1/26 | 1,500 | 1,536 |
| Comcast Corp. | 4.250% | 1/15/33 | 1,655 | 1,689 |
70
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Comcast Corp. | 7.050% | 3/15/33 | 985 | 1,283 |
| Comcast Corp. | 4.200% | 8/15/34 | 1,550 | 1,574 |
| Comcast Corp. | 5.650% | 6/15/35 | 1,085 | 1,253 |
| Comcast Corp. | 4.400% | 8/15/35 | 715 | 742 |
| Comcast Corp. | 6.500% | 11/15/35 | 560 | 703 |
| Comcast Corp. | 6.450% | 3/15/37 | 1,785 | 2,214 |
| Comcast Corp. | 6.950% | 8/15/37 | 1,650 | 2,184 |
| Comcast Corp. | 6.400% | 5/15/38 | 955 | 1,204 |
| Comcast Corp. | 6.400% | 3/1/40 | 950 | 1,200 |
| Comcast Corp. | 4.650% | 7/15/42 | 1,715 | 1,818 |
| Comcast Corp. | 4.500% | 1/15/43 | 600 | 610 |
| Comcast Corp. | 4.750% | 3/1/44 | 1,000 | 1,051 |
| Comcast Corp. | 4.600% | 8/15/45 | 1,700 | 1,788 |
| Deutsche Telekom International Finance BV | 8.750% | 6/15/30 | 3,664 | 5,140 |
| Deutsche Telekom International Finance BV | 9.250% | 6/1/32 | 523 | 786 |
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 6.350% | 3/15/40 | 350 | 371 |
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 6.000% | 8/15/40 | 1,470 | 1,520 |
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 6.375% | 3/1/41 | 1,150 | 1,232 |
| DIRECTV Holdings LLC / DIRECTV Financing Co. Inc. | 5.150% | 3/15/42 | 1,635 | 1,518 |
| Discovery Communications LLC | 6.350% | 6/1/40 | 610 | 585 |
| Discovery Communications LLC | 4.950% | 5/15/42 | 525 | 416 |
| Discovery Communications LLC | 4.875% | 4/1/43 | 625 | 500 |
| Embarq Corp. | 7.995% | 6/1/36 | 1,480 | 1,399 |
| Grupo Televisa SAB | 8.500% | 3/11/32 | 390 | 455 |
| Grupo Televisa SAB | 6.625% | 1/15/40 | 375 | 384 |
| Grupo Televisa SAB | 5.000% | 5/13/45 | 1,275 | 1,066 |
| Grupo Televisa SAB | 6.125% | 1/31/46 | 1,050 | 1,026 |
| GTE Corp. | 6.940% | 4/15/28 | 810 | 958 |
| Historic TW Inc. | 6.625% | 5/15/29 | 110 | 126 |
| Koninklijke KPN NV | 8.375% | 10/1/30 | 885 | 1,151 |
| McGraw Hill Financial Inc. | 6.550% | 11/15/37 | 625 | 725 |
| Moody's Corp. | 5.250% | 7/15/44 | 450 | 485 |
| NBCUniversal Media LLC | 6.400% | 4/30/40 | 1,140 | 1,430 |
| NBCUniversal Media LLC | 5.950% | 4/1/41 | 1,445 | 1,715 |
| NBCUniversal Media LLC | 4.450% | 1/15/43 | 700 | 700 |
| New Cingular Wireless Services Inc. | 8.750% | 3/1/31 | 970 | 1,384 |
| Orange SA | 9.000% | 3/1/31 | 2,445 | 3,428 |
| Orange SA | 5.375% | 1/13/42 | 885 | 958 |
| Orange SA | 5.500% | 2/6/44 | 660 | 709 |
| Pacific Bell Telephone Co. | 7.125% | 3/15/26 | 605 | 735 |
| Qwest Corp. | 6.875% | 9/15/33 | 1,165 | 1,095 |
| Rogers Communications Inc. | 7.500% | 8/15/38 | 455 | 586 |
| Rogers Communications Inc. | 4.500% | 3/15/43 | 775 | 730 |
| Rogers Communications Inc. | 5.450% | 10/1/43 | 475 | 515 |
| Rogers Communications Inc. | 5.000% | 3/15/44 | 375 | 384 |
| TCI Communications Inc. | 7.125% | 2/15/28 | 395 | 521 |
| Telefonica Emisiones SAU | 7.045% | 6/20/36 | 1,765 | 2,097 |
| Telefonica Europe BV | 8.250% | 9/15/30 | 1,412 | 1,824 |
| Thomson Reuters Corp. | 5.500% | 8/15/35 | 300 | 316 |
| Thomson Reuters Corp. | 5.850% | 4/15/40 | 505 | 524 |
| Thomson Reuters Corp. | 5.650% | 11/23/43 | 650 | 670 |
| Time Warner Cable Inc. | 6.550% | 5/1/37 | 1,550 | 1,559 |
| Time Warner Cable Inc. | 7.300% | 7/1/38 | 1,385 | 1,476 |
| Time Warner Cable Inc. | 6.750% | 6/15/39 | 1,770 | 1,799 |
| Time Warner Cable Inc. | 5.875% | 11/15/40 | 810 | 745 |
| Time Warner Cable Inc. | 5.500% | 9/1/41 | 1,181 | 1,050 |
| Time Warner Cable Inc. | 4.500% | 9/15/42 | 1,350 | 1,103 |
| Time Warner Cos. Inc. | 6.950% | 1/15/28 | 638 | 760 |
| Time Warner Entertainment Co. LP | 8.375% | 7/15/33 | 1,150 | 1,371 |
| Time Warner Inc. | 7.625% | 4/15/31 | 1,660 | 2,011 |
| Time Warner Inc. | 7.700% | 5/1/32 | 1,905 | 2,293 |
| Time Warner Inc. | 6.500% | 11/15/36 | 1,015 | 1,090 |
| Time Warner Inc. | 6.200% | 3/15/40 | 550 | 582 |
| Time Warner Inc. | 6.100% | 7/15/40 | 1,060 | 1,116 |
71
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Time Warner Inc. | 6.250% | 3/29/41 | 640 | 687 |
| Time Warner Inc. | 5.375% | 10/15/41 | 220 | 205 |
| Time Warner Inc. | 4.900% | 6/15/42 | 855 | 749 |
| Time Warner Inc. | 5.350% | 12/15/43 | 550 | 530 |
| Time Warner Inc. | 4.650% | 6/1/44 | 1,185 | 1,029 |
| Time Warner Inc. | 4.850% | 7/15/45 | 900 | 839 |
| Verizon Communications Inc. | 7.750% | 12/1/30 | 1,300 | 1,720 |
| Verizon Communications Inc. | 6.400% | 9/15/33 | 1,982 | 2,269 |
| Verizon Communications Inc. | 5.050% | 3/15/34 | 1,345 | 1,341 |
| Verizon Communications Inc. | 4.400% | 11/1/34 | 2,545 | 2,391 |
| Verizon Communications Inc. | 5.850% | 9/15/35 | 1,175 | 1,280 |
| Verizon Communications Inc. | 4.272% | 1/15/36 | 2,990 | 2,761 |
| Verizon Communications Inc. | 6.250% | 4/1/37 | 945 | 1,060 |
| Verizon Communications Inc. | 6.400% | 2/15/38 | 1,270 | 1,440 |
| Verizon Communications Inc. | 6.900% | 4/15/38 | 590 | 689 |
| Verizon Communications Inc. | 7.350% | 4/1/39 | 750 | 929 |
| Verizon Communications Inc. | 6.000% | 4/1/41 | 810 | 884 |
| Verizon Communications Inc. | 4.750% | 11/1/41 | 995 | 948 |
| Verizon Communications Inc. | 3.850% | 11/1/42 | 1,320 | 1,101 |
| Verizon Communications Inc. | 6.550% | 9/15/43 | 4,800 | 5,821 |
| Verizon Communications Inc. | 4.862% | 8/21/46 | 4,703 | 4,596 |
| Verizon Communications Inc. | 4.522% | 9/15/48 | 5,228 | 4,791 |
| Verizon Communications Inc. | 5.012% | 8/21/54 | 5,869 | 5,458 |
| Verizon Communications Inc. | 4.672% | 3/15/55 | 6,100 | 5,337 |
| Verizon Florida LLC | 6.860% | 2/1/28 | 45 | 42 |
| Verizon Maryland LLC | 5.125% | 6/15/33 | 240 | 235 |
| Verizon New England Inc. | 7.875% | 11/15/29 | 800 | 995 |
| Verizon New York Inc. | 7.375% | 4/1/32 | 687 | 771 |
| Viacom Inc. | 4.850% | 12/15/34 | 650 | 502 |
| Viacom Inc. | 6.875% | 4/30/36 | 1,135 | 1,069 |
| Viacom Inc. | 4.500% | 2/27/42 | 250 | 180 |
| Viacom Inc. | 4.375% | 3/15/43 | 1,450 | 990 |
| Viacom Inc. | 4.875% | 6/15/43 | 450 | 326 |
| Viacom Inc. | 5.850% | 9/1/43 | 1,235 | 1,047 |
| Viacom Inc. | 5.250% | 4/1/44 | 600 | 477 |
| Vodafone Group plc | 7.875% | 2/15/30 | 735 | 867 |
| Vodafone Group plc | 6.250% | 11/30/32 | 465 | 484 |
| Vodafone Group plc | 6.150% | 2/27/37 | 1,735 | 1,783 |
| Vodafone Group plc | 4.375% | 2/19/43 | 1,525 | 1,261 |
| Walt Disney Co. | 7.000% | 3/1/32 | 595 | 841 |
| Walt Disney Co. | 4.375% | 8/16/41 | 725 | 772 |
| Walt Disney Co. | 4.125% | 12/1/41 | 685 | 702 |
| Walt Disney Co. | 3.700% | 12/1/42 | 500 | 478 |
| Walt Disney Co. | 4.125% | 6/1/44 | 175 | 181 |
| WPP Finance 2010 | 5.125% | 9/7/42 | 875 | 841 |
| Consumer Cyclical (7.4%) | ||||
| Alibaba Group Holding Ltd. | 4.500% | 11/28/34 | 825 | 817 |
| Amazon.com Inc. | 4.800% | 12/5/34 | 1,400 | 1,512 |
| Amazon.com Inc. | 4.950% | 12/5/44 | 1,001 | 1,106 |
| Bed Bath & Beyond Inc. | 4.915% | 8/1/34 | 425 | 361 |
| Bed Bath & Beyond Inc. | 5.165% | 8/1/44 | 625 | 494 |
| BorgWarner Inc. | 4.375% | 3/15/45 | 500 | 438 |
| Cummins Inc. | 7.125% | 3/1/28 | 275 | 357 |
| Cummins Inc. | 4.875% | 10/1/43 | 525 | 564 |
| CVS Health Corp. | 4.875% | 7/20/35 | 3,325 | 3,566 |
| CVS Health Corp. | 6.125% | 9/15/39 | 150 | 183 |
| CVS Health Corp. | 5.750% | 5/15/41 | 1,214 | 1,419 |
| CVS Health Corp. | 5.300% | 12/5/43 | 825 | 928 |
| CVS Health Corp. | 5.125% | 7/20/45 | 3,300 | 3,693 |
| Daimler Finance North America LLC | 8.500% | 1/18/31 | 1,595 | 2,387 |
| Darden Restaurants Inc. | 7.050% | 10/15/37 | 100 | 109 |
| eBay Inc. | 4.000% | 7/15/42 | 825 | 629 |
| Ford Holdings LLC | 9.300% | 3/1/30 | 400 | 530 |
72
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Ford Motor Co. | 6.625% | 10/1/28 | 575 | 654 |
| Ford Motor Co. | 6.375% | 2/1/29 | 325 | 362 |
| Ford Motor Co. | 7.450% | 7/16/31 | 1,560 | 1,902 |
| Ford Motor Co. | 4.750% | 1/15/43 | 2,100 | 1,925 |
| Ford Motor Co. | 7.400% | 11/1/46 | 500 | 597 |
| General Motors Co. | 5.000% | 4/1/35 | 310 | 271 |
| General Motors Co. | 6.600% | 4/1/36 | 750 | 775 |
| General Motors Co. | 6.250% | 10/2/43 | 2,185 | 2,150 |
| General Motors Co. | 5.200% | 4/1/45 | 1,100 | 946 |
| General Motors Co. | 6.750% | 4/1/46 | 920 | 961 |
| General Motors Financial Co. Inc. | 5.250% | 3/1/26 | 1,100 | 1,104 |
| Harley-Davidson Inc. | 4.625% | 7/28/45 | 325 | 324 |
| Home Depot Inc. | 3.000% | 4/1/26 | 2,225 | 2,296 |
| Home Depot Inc. | 5.875% | 12/16/36 | 2,280 | 2,850 |
| Home Depot Inc. | 5.400% | 9/15/40 | 655 | 777 |
| Home Depot Inc. | 5.950% | 4/1/41 | 915 | 1,155 |
| Home Depot Inc. | 4.200% | 4/1/43 | 1,100 | 1,138 |
| Home Depot Inc. | 4.875% | 2/15/44 | 1,125 | 1,278 |
| Home Depot Inc. | 4.400% | 3/15/45 | 1,430 | 1,523 |
| Home Depot Inc. | 4.250% | 4/1/46 | 660 | 690 |
| Johnson Controls Inc. | 6.000% | 1/15/36 | 420 | 460 |
| Johnson Controls Inc. | 5.700% | 3/1/41 | 320 | 332 |
| Johnson Controls Inc. | 5.250% | 12/1/41 | 280 | 276 |
| Johnson Controls Inc. | 4.625% | 7/2/44 | 400 | 367 |
| Johnson Controls Inc. | 4.950% | 7/2/64 | 80 | 70 |
| Kohl's Corp. | 5.550% | 7/17/45 | 500 | 441 |
| Lowe's Cos. Inc. | 6.875% | 2/15/28 | 410 | 543 |
| Lowe's Cos. Inc. | 6.500% | 3/15/29 | 40 | 52 |
| Lowe's Cos. Inc. | 5.500% | 10/15/35 | 670 | 788 |
| Lowe's Cos. Inc. | 5.800% | 10/15/36 | 625 | 754 |
| Lowe's Cos. Inc. | 6.650% | 9/15/37 | 130 | 171 |
| Lowe's Cos. Inc. | 5.800% | 4/15/40 | 455 | 553 |
| Lowe's Cos. Inc. | 5.125% | 11/15/41 | 455 | 515 |
| Lowe's Cos. Inc. | 4.650% | 4/15/42 | 260 | 278 |
| Lowe's Cos. Inc. | 5.000% | 9/15/43 | 760 | 855 |
| Lowe's Cos. Inc. | 4.250% | 9/15/44 | 375 | 379 |
| Lowe's Cos. Inc. | 4.375% | 9/15/45 | 1,050 | 1,103 |
| Macy's Retail Holdings Inc. | 7.000% | 2/15/28 | 200 | 215 |
| Macy's Retail Holdings Inc. | 6.900% | 4/1/29 | 365 | 384 |
| Macy's Retail Holdings Inc. | 6.900% | 1/15/32 | 225 | 245 |
| Macy's Retail Holdings Inc. | 6.700% | 7/15/34 | 190 | 186 |
| Macy's Retail Holdings Inc. | 4.500% | 12/15/34 | 500 | 396 |
| Macy's Retail Holdings Inc. | 6.375% | 3/15/37 | 510 | 481 |
| Macy's Retail Holdings Inc. | 5.125% | 1/15/42 | 615 | 491 |
| Macy's Retail Holdings Inc. | 4.300% | 2/15/43 | 225 | 162 |
| McDonald's Corp. | 4.700% | 12/9/35 | 775 | 802 |
| McDonald's Corp. | 6.300% | 10/15/37 | 910 | 1,083 |
| McDonald's Corp. | 6.300% | 3/1/38 | 773 | 923 |
| McDonald's Corp. | 5.700% | 2/1/39 | 350 | 404 |
| McDonald's Corp. | 3.700% | 2/15/42 | 235 | 203 |
| McDonald's Corp. | 3.625% | 5/1/43 | 550 | 471 |
| McDonald's Corp. | 4.600% | 5/26/45 | 595 | 591 |
| McDonald's Corp. | 4.875% | 12/9/45 | 2,050 | 2,155 |
| Metropolitan Museum of Art New York Revenue | 3.400% | 7/1/45 | 300 | 287 |
| NIKE Inc. | 3.625% | 5/1/43 | 525 | 511 |
| NIKE Inc. | 3.875% | 11/1/45 | 750 | 764 |
| Nordstrom Inc. | 6.950% | 3/15/28 | 305 | 366 |
| Nordstrom Inc. | 5.000% | 1/15/44 | 604 | 575 |
| QVC Inc. | 5.450% | 8/15/34 | 250 | 209 |
| QVC Inc. | 5.950% | 3/15/43 | 350 | 296 |
| Starbucks Corp. | 4.300% | 6/15/45 | 355 | 382 |
| Starwood Hotels & Resorts Worldwide Inc. | 4.500% | 10/1/34 | 350 | 320 |
| Target Corp. | 6.350% | 11/1/32 | 680 | 880 |
| Target Corp. | 6.500% | 10/15/37 | 1,187 | 1,573 |
73
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Target Corp. | 7.000% | 1/15/38 | 930 | 1,300 |
| Target Corp. | 4.000% | 7/1/42 | 1,232 | 1,248 |
| Tiffany & Co. | 4.900% | 10/1/44 | 325 | 304 |
| VF Corp. | 6.450% | 11/1/37 | 685 | 893 |
| Visa Inc. | 4.150% | 12/14/35 | 1,400 | 1,484 |
| Visa Inc. | 4.300% | 12/14/45 | 3,325 | 3,553 |
| Wal-Mart Stores Inc. | 5.875% | 4/5/27 | 255 | 322 |
| Wal-Mart Stores Inc. | 7.550% | 2/15/30 | 695 | 996 |
| Wal-Mart Stores Inc. | 5.250% | 9/1/35 | 2,540 | 2,998 |
| Wal-Mart Stores Inc. | 6.500% | 8/15/37 | 3,025 | 3,967 |
| Wal-Mart Stores Inc. | 6.200% | 4/15/38 | 1,735 | 2,220 |
| Wal-Mart Stores Inc. | 5.625% | 4/1/40 | 1,297 | 1,560 |
| Wal-Mart Stores Inc. | 4.875% | 7/8/40 | 800 | 885 |
| Wal-Mart Stores Inc. | 5.000% | 10/25/40 | 1,730 | 1,945 |
| Wal-Mart Stores Inc. | 5.625% | 4/15/41 | 2,175 | 2,673 |
| Wal-Mart Stores Inc. | 4.000% | 4/11/43 | 1,325 | 1,325 |
| Wal-Mart Stores Inc. | 4.750% | 10/2/43 | 1,025 | 1,137 |
| Wal-Mart Stores Inc. | 4.300% | 4/22/44 | 950 | 998 |
| Walgreen Co. | 4.400% | 9/15/42 | 575 | 493 |
| Walgreens Boots Alliance Inc. | 4.500% | 11/18/34 | 500 | 449 |
| Walgreens Boots Alliance Inc. | 4.800% | 11/18/44 | 525 | 478 |
| Western Union Co. | 6.200% | 11/17/36 | 500 | 492 |
| Western Union Co. | 6.200% | 6/21/40 | 270 | 263 |
| Consumer Noncyclical (16.6%) | ||||
| Abbott Laboratories | 6.150% | 11/30/37 | 700 | 908 |
| Abbott Laboratories | 6.000% | 4/1/39 | 445 | 562 |
| Abbott Laboratories | 5.300% | 5/27/40 | 115 | 133 |
| AbbVie Inc. | 4.500% | 5/14/35 | 3,100 | 3,089 |
| AbbVie Inc. | 4.400% | 11/6/42 | 2,815 | 2,705 |
| AbbVie Inc. | 4.700% | 5/14/45 | 2,842 | 2,838 |
| Actavis Funding SCS | 4.550% | 3/15/35 | 3,087 | 3,100 |
| Actavis Funding SCS | 4.850% | 6/15/44 | 1,785 | 1,830 |
| Actavis Funding SCS | 4.750% | 3/15/45 | 2,825 | 2,885 |
| Actavis Inc. | 4.625% | 10/1/42 | 1,240 | 1,224 |
| Ahold Finance USA LLC | 6.875% | 5/1/29 | 515 | 633 |
| 2 Allina Health System | 4.805% | 11/15/45 | 225 | 247 |
| Altria Group Inc. | 9.950% | 11/10/38 | 893 | 1,458 |
| Altria Group Inc. | 10.200% | 2/6/39 | 741 | 1,247 |
| Altria Group Inc. | 4.250% | 8/9/42 | 1,200 | 1,142 |
| Altria Group Inc. | 4.500% | 5/2/43 | 705 | 698 |
| Altria Group Inc. | 5.375% | 1/31/44 | 1,100 | 1,237 |
| AmerisourceBergen Corp. | 4.250% | 3/1/45 | 850 | 795 |
| Amgen Inc. | 6.375% | 6/1/37 | 745 | 895 |
| Amgen Inc. | 6.900% | 6/1/38 | 350 | 434 |
| Amgen Inc. | 6.400% | 2/1/39 | 1,035 | 1,222 |
| Amgen Inc. | 5.750% | 3/15/40 | 484 | 533 |
| Amgen Inc. | 4.950% | 10/1/41 | 660 | 660 |
| Amgen Inc. | 5.150% | 11/15/41 | 1,952 | 2,015 |
| Amgen Inc. | 5.650% | 6/15/42 | 1,488 | 1,638 |
| Amgen Inc. | 5.375% | 5/15/43 | 1,125 | 1,195 |
| Amgen Inc. | 4.400% | 5/1/45 | 1,215 | 1,161 |
| Anheuser-Busch Cos. LLC | 6.800% | 8/20/32 | 365 | 468 |
| Anheuser-Busch Cos. LLC | 5.950% | 1/15/33 | 20 | 23 |
| Anheuser-Busch Cos. LLC | 5.750% | 4/1/36 | 325 | 374 |
| Anheuser-Busch Cos. LLC | 6.450% | 9/1/37 | 830 | 1,015 |
| Anheuser-Busch Cos. LLC | 6.500% | 5/1/42 | 275 | 348 |
| Anheuser-Busch InBev Finance Inc. | 4.700% | 2/1/36 | 5,780 | 6,025 |
| Anheuser-Busch InBev Finance Inc. | 4.000% | 1/17/43 | 810 | 759 |
| Anheuser-Busch InBev Finance Inc. | 4.625% | 2/1/44 | 805 | 828 |
| Anheuser-Busch InBev Finance Inc. | 4.900% | 2/1/46 | 11,505 | 12,360 |
| Anheuser-Busch InBev Worldwide Inc. | 8.200% | 1/15/39 | 1,140 | 1,671 |
| Anheuser-Busch InBev Worldwide Inc. | 8.000% | 11/15/39 | 715 | 1,033 |
| Anheuser-Busch InBev Worldwide Inc. | 6.375% | 1/15/40 | 860 | 1,060 |
74
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Anheuser-Busch InBev Worldwide Inc. | 3.750% | 7/15/42 | 140 | 127 |
| Archer-Daniels-Midland Co. | 5.935% | 10/1/32 | 405 | 502 |
| Archer-Daniels-Midland Co. | 5.375% | 9/15/35 | 810 | 960 |
| Archer-Daniels-Midland Co. | 4.535% | 3/26/42 | 958 | 1,009 |
| Archer-Daniels-Midland Co. | 4.016% | 4/16/43 | 125 | 122 |
| 2 Ascension Health | 4.847% | 11/15/53 | 475 | 536 |
| AstraZeneca plc | 6.450% | 9/15/37 | 1,551 | 1,971 |
| AstraZeneca plc | 4.000% | 9/18/42 | 1,125 | 1,081 |
| AstraZeneca plc | 4.375% | 11/16/45 | 1,025 | 1,033 |
| 1 Baxalta Inc. | 5.250% | 6/23/45 | 1,000 | 953 |
| Baylor Scott & White Holdings Texas Revenue | 4.185% | 11/15/45 | 40 | 40 |
| Becton Dickinson & Co. | 6.000% | 5/15/39 | 330 | 389 |
| Becton Dickinson & Co. | 5.000% | 11/12/40 | 590 | 626 |
| Becton Dickinson & Co. | 4.875% | 5/15/44 | 190 | 200 |
| Becton Dickinson & Co. | 4.685% | 12/15/44 | 608 | 627 |
| Biogen Inc. | 5.200% | 9/15/45 | 1,850 | 1,896 |
| Boston Scientific Corp. | 7.000% | 11/15/35 | 550 | 667 |
| Boston Scientific Corp. | 7.375% | 1/15/40 | 465 | 590 |
| Bristol-Myers Squibb Co. | 5.875% | 11/15/36 | 905 | 1,144 |
| Bristol-Myers Squibb Co. | 6.125% | 5/1/38 | 270 | 357 |
| Bristol-Myers Squibb Co. | 3.250% | 8/1/42 | 395 | 358 |
| Bristol-Myers Squibb Co. | 4.500% | 3/1/44 | 460 | 514 |
| Brown-Forman Corp. | 3.750% | 1/15/43 | 375 | 354 |
| Brown-Forman Corp. | 4.500% | 7/15/45 | 525 | 558 |
| Campbell Soup Co. | 3.800% | 8/2/42 | 200 | 181 |
| Cardinal Health Inc. | 4.600% | 3/15/43 | 425 | 422 |
| Cardinal Health Inc. | 4.900% | 9/15/45 | 550 | 575 |
| 2 Catholic Health Initiatives Colorado GO | 4.350% | 11/1/42 | 780 | 764 |
| Celgene Corp. | 5.700% | 10/15/40 | 260 | 281 |
| Celgene Corp. | 5.250% | 8/15/43 | 1,650 | 1,687 |
| Celgene Corp. | 4.625% | 5/15/44 | 175 | 167 |
| Celgene Corp. | 5.000% | 8/15/45 | 1,100 | 1,121 |
| Children's Hospital Medical Center Ohio GO | 4.268% | 5/15/44 | 325 | 334 |
| Cleveland Clinic Foundation Ohio Revenue | 4.858% | 1/1/14 | 450 | 477 |
| Coca-Cola Femsa SAB de CV | 5.250% | 11/26/43 | 650 | 688 |
| Colgate-Palmolive Co. | 4.000% | 8/15/45 | 650 | 700 |
| ConAgra Foods Inc. | 7.125% | 10/1/26 | 221 | 275 |
| ConAgra Foods Inc. | 7.000% | 10/1/28 | 475 | 582 |
| ConAgra Foods Inc. | 8.250% | 9/15/30 | 545 | 756 |
| Covidien International Finance SA | 6.550% | 10/15/37 | 910 | 1,165 |
| Delhaize America LLC | 9.000% | 4/15/31 | 295 | 397 |
| Delhaize Group SA | 5.700% | 10/1/40 | 367 | 387 |
| Diageo Capital plc | 5.875% | 9/30/36 | 205 | 251 |
| Diageo Capital plc | 3.875% | 4/29/43 | 525 | 506 |
| Diageo Investment Corp. | 7.450% | 4/15/35 | 485 | 672 |
| Diageo Investment Corp. | 4.250% | 5/11/42 | 734 | 748 |
| Dignity Health California GO | 4.500% | 11/1/42 | 375 | 372 |
| Dignity Health California GO | 5.267% | 11/1/64 | 400 | 434 |
| Dr Pepper Snapple Group Inc. | 7.450% | 5/1/38 | 310 | 438 |
| Dr Pepper Snapple Group Inc. | 4.500% | 11/15/45 | 200 | 206 |
| Eli Lilly & Co. | 5.500% | 3/15/27 | 158 | 195 |
| Eli Lilly & Co. | 5.550% | 3/15/37 | 505 | 616 |
| Eli Lilly & Co. | 3.700% | 3/1/45 | 1,449 | 1,427 |
| Estee Lauder Cos. Inc. | 6.000% | 5/15/37 | 405 | 511 |
| Estee Lauder Cos. Inc. | 3.700% | 8/15/42 | 450 | 430 |
| Estee Lauder Cos. Inc. | 4.375% | 6/15/45 | 300 | 317 |
| Express Scripts Holding Co. | 6.125% | 11/15/41 | 795 | 835 |
| Fomento Economico Mexicano SAB de CV | 4.375% | 5/10/43 | 735 | 655 |
| General Mills Inc. | 5.400% | 6/15/40 | 678 | 787 |
| General Mills Inc. | 4.150% | 2/15/43 | 425 | 418 |
| Gilead Sciences Inc. | 3.650% | 3/1/26 | 3,950 | 4,122 |
| Gilead Sciences Inc. | 4.600% | 9/1/35 | 275 | 285 |
| Gilead Sciences Inc. | 5.650% | 12/1/41 | 1,325 | 1,530 |
| Gilead Sciences Inc. | 4.800% | 4/1/44 | 2,275 | 2,376 |
75
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Gilead Sciences Inc. | 4.500% | 2/1/45 | 1,970 | 1,999 |
| Gilead Sciences Inc. | 4.750% | 3/1/46 | 2,375 | 2,489 |
| GlaxoSmithKline Capital Inc. | 5.375% | 4/15/34 | 805 | 961 |
| GlaxoSmithKline Capital Inc. | 6.375% | 5/15/38 | 2,760 | 3,547 |
| GlaxoSmithKline Capital Inc. | 4.200% | 3/18/43 | 100 | 102 |
| Hasbro Inc. | 6.350% | 3/15/40 | 535 | 589 |
| Hasbro Inc. | 5.100% | 5/15/44 | 305 | 291 |
| Hershey Co. | 7.200% | 8/15/27 | 42 | 58 |
| Ingredion Inc. | 6.625% | 4/15/37 | 275 | 338 |
| JM Smucker Co. | 4.250% | 3/15/35 | 325 | 326 |
| JM Smucker Co. | 4.375% | 3/15/45 | 1,075 | 1,074 |
| Johnson & Johnson | 2.450% | 3/1/26 | 825 | 825 |
| Johnson & Johnson | 6.950% | 9/1/29 | 460 | 668 |
| Johnson & Johnson | 4.950% | 5/15/33 | 800 | 968 |
| Johnson & Johnson | 4.375% | 12/5/33 | 880 | 979 |
| Johnson & Johnson | 3.550% | 3/1/36 | 300 | 300 |
| Johnson & Johnson | 5.950% | 8/15/37 | 1,065 | 1,420 |
| Johnson & Johnson | 5.850% | 7/15/38 | 640 | 848 |
| Johnson & Johnson | 4.500% | 9/1/40 | 484 | 540 |
| Johnson & Johnson | 4.850% | 5/15/41 | 295 | 349 |
| Johnson & Johnson | 4.500% | 12/5/43 | 350 | 403 |
| Johnson & Johnson | 3.700% | 3/1/46 | 1,975 | 1,979 |
| Kaiser Foundation Hospitals | 4.875% | 4/1/42 | 870 | 966 |
| Kellogg Co. | 3.250% | 4/1/26 | 1,000 | 1,007 |
| Kellogg Co. | 7.450% | 4/1/31 | 365 | 468 |
| Kellogg Co. | 4.500% | 4/1/46 | 1,000 | 1,007 |
| Kimberly-Clark Corp. | 6.625% | 8/1/37 | 860 | 1,165 |
| Kimberly-Clark Corp. | 5.300% | 3/1/41 | 235 | 281 |
| Kimberly-Clark Corp. | 3.700% | 6/1/43 | 425 | 413 |
| Koninklijke Philips NV | 6.875% | 3/11/38 | 240 | 280 |
| Koninklijke Philips NV | 5.000% | 3/15/42 | 1,100 | 1,066 |
| Kraft Foods Group Inc. | 6.875% | 1/26/39 | 895 | 1,103 |
| Kraft Foods Group Inc. | 6.500% | 2/9/40 | 825 | 985 |
| Kraft Foods Group Inc. | 5.000% | 6/4/42 | 1,280 | 1,334 |
| 1 Kraft Heinz Foods Co. | 5.000% | 7/15/35 | 1,410 | 1,467 |
| 1 Kraft Heinz Foods Co. | 5.200% | 7/15/45 | 1,620 | 1,743 |
| Kroger Co. | 7.700% | 6/1/29 | 480 | 660 |
| Kroger Co. | 8.000% | 9/15/29 | 200 | 269 |
| Kroger Co. | 7.500% | 4/1/31 | 230 | 308 |
| Kroger Co. | 6.900% | 4/15/38 | 830 | 1,078 |
| Kroger Co. | 5.400% | 7/15/40 | 205 | 230 |
| Kroger Co. | 5.000% | 4/15/42 | 400 | 427 |
| Kroger Co. | 5.150% | 8/1/43 | 310 | 340 |
| Laboratory Corp. of America Holdings | 4.700% | 2/1/45 | 950 | 896 |
| Mattel Inc. | 5.450% | 11/1/41 | 595 | 592 |
| 2 Mayo Clinic | 3.774% | 11/15/43 | 450 | 450 |
| 2 Mayo Clinic | 4.000% | 11/15/47 | 225 | 228 |
| McKesson Corp. | 6.000% | 3/1/41 | 880 | 991 |
| McKesson Corp. | 4.883% | 3/15/44 | 400 | 400 |
| Mead Johnson Nutrition Co. | 5.900% | 11/1/39 | 300 | 341 |
| Mead Johnson Nutrition Co. | 4.600% | 6/1/44 | 500 | 483 |
| Medtronic Inc. | 4.375% | 3/15/35 | 1,650 | 1,703 |
| Medtronic Inc. | 6.500% | 3/15/39 | 155 | 205 |
| Medtronic Inc. | 5.550% | 3/15/40 | 480 | 566 |
| Medtronic Inc. | 4.500% | 3/15/42 | 685 | 703 |
| Medtronic Inc. | 4.000% | 4/1/43 | 1,300 | 1,248 |
| Medtronic Inc. | 4.625% | 3/15/44 | 786 | 832 |
| Medtronic Inc. | 4.625% | 3/15/45 | 4,280 | 4,555 |
| Memorial Sloan-Kettering Cancer Center | 4.200% | 7/1/55 | 325 | 329 |
| Memorial Sloan-Kettering Cancer Center New York GO | 5.000% | 7/1/42 | 400 | 458 |
| Memorial Sloan-Kettering Cancer Center New York GO | 4.125% | 7/1/52 | 600 | 592 |
| Merck & Co. Inc. | 6.500% | 12/1/33 | 1,115 | 1,467 |
| Merck & Co. Inc. | 6.550% | 9/15/37 | 925 | 1,262 |
| Merck & Co. Inc. | 3.600% | 9/15/42 | 590 | 554 |
76
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Merck & Co. Inc. | 4.150% | 5/18/43 | 1,470 | 1,512 |
| Merck & Co. Inc. | 3.700% | 2/10/45 | 1,905 | 1,821 |
| Merck Sharp & Dohme Corp. | 5.950% | 12/1/28 | 185 | 239 |
| Molson Coors Brewing Co. | 5.000% | 5/1/42 | 1,175 | 1,168 |
| Mondelez International Inc. | 6.500% | 11/1/31 | 565 | 709 |
| Mondelez International Inc. | 6.500% | 2/9/40 | 684 | 866 |
| Mylan Inc. | 5.400% | 11/29/43 | 510 | 463 |
| New York & Presbyterian Hospital | 4.024% | 8/1/45 | 900 | 895 |
| Novant Health Inc. | 4.371% | 11/1/43 | 300 | 304 |
| Novartis Capital Corp. | 3.700% | 9/21/42 | 525 | 510 |
| Novartis Capital Corp. | 4.400% | 5/6/44 | 1,570 | 1,693 |
| Novartis Capital Corp. | 4.000% | 11/20/45 | 1,325 | 1,353 |
| NYU Hospitals Center | 4.784% | 7/1/44 | 425 | 454 |
| Partners Healthcare System Inc. | 4.117% | 7/1/55 | 275 | 270 |
| PepsiCo Inc. | 5.500% | 1/15/40 | 84 | 100 |
| PepsiCo Inc. | 4.875% | 11/1/40 | 1,070 | 1,191 |
| PepsiCo Inc. | 4.000% | 3/5/42 | 850 | 841 |
| PepsiCo Inc. | 4.250% | 10/22/44 | 1,528 | 1,580 |
| PepsiCo Inc. | 4.600% | 7/17/45 | 635 | 691 |
| PepsiCo Inc. | 4.450% | 4/14/46 | 1,675 | 1,788 |
| Perrigo Co. plc | 5.300% | 11/15/43 | 375 | 363 |
| Perrigo Finance plc | 4.900% | 12/15/44 | 450 | 431 |
| Pfizer Inc. | 7.200% | 3/15/39 | 2,580 | 3,583 |
| Pfizer Inc. | 4.300% | 6/15/43 | 405 | 419 |
| Pfizer Inc. | 4.400% | 5/15/44 | 320 | 338 |
| Pharmacia Corp. | 6.600% | 12/1/28 | 805 | 1,065 |
| Philip Morris International Inc. | 6.375% | 5/16/38 | 1,415 | 1,795 |
| Philip Morris International Inc. | 4.375% | 11/15/41 | 695 | 714 |
| Philip Morris International Inc. | 4.500% | 3/20/42 | 810 | 850 |
| Philip Morris International Inc. | 3.875% | 8/21/42 | 985 | 933 |
| Philip Morris International Inc. | 4.125% | 3/4/43 | 915 | 904 |
| Philip Morris International Inc. | 4.875% | 11/15/43 | 1,185 | 1,318 |
| Procter & Gamble Co. | 5.800% | 8/15/34 | 635 | 804 |
| 3 Procter & Gamble Co. | 5.550% | 3/5/37 | 1,733 | 2,187 |
| Quest Diagnostics Inc. | 5.750% | 1/30/40 | 50 | 54 |
| Quest Diagnostics Inc. | 4.700% | 3/30/45 | 225 | 213 |
| Reynolds American Inc. | 5.700% | 8/15/35 | 1,025 | 1,156 |
| Reynolds American Inc. | 7.250% | 6/15/37 | 425 | 527 |
| Reynolds American Inc. | 6.150% | 9/15/43 | 375 | 449 |
| Reynolds American Inc. | 5.850% | 8/15/45 | 2,794 | 3,275 |
| Southern Baptist Hospital of Florida Inc. | 4.857% | 7/15/45 | 175 | 193 |
| St. Jude Medical Inc. | 4.750% | 4/15/43 | 750 | 749 |
| Stryker Corp. | 4.100% | 4/1/43 | 345 | 324 |
| Stryker Corp. | 4.375% | 5/15/44 | 400 | 390 |
| Sysco Corp. | 5.375% | 9/21/35 | 780 | 898 |
| Sysco Corp. | 4.850% | 10/1/45 | 350 | 359 |
| Teva Pharmaceutical Finance Co. LLC | 6.150% | 2/1/36 | 139 | 152 |
| 2 Texas Health Resources | 4.330% | 11/15/55 | 300 | 308 |
| The Pepsi Bottling Group Inc. | 7.000% | 3/1/29 | 1,185 | 1,630 |
| Thermo Fisher Scientific Inc. | 5.300% | 2/1/44 | 425 | 458 |
| Trinity Health Corp. | 4.125% | 12/1/45 | 400 | 402 |
| Tyson Foods Inc. | 4.875% | 8/15/34 | 910 | 935 |
| Tyson Foods Inc. | 5.150% | 8/15/44 | 775 | 828 |
| Unilever Capital Corp. | 5.900% | 11/15/32 | 1,120 | 1,463 |
| Whirlpool Corp. | 5.150% | 3/1/43 | 334 | 340 |
| Wyeth LLC | 6.500% | 2/1/34 | 1,180 | 1,509 |
| Wyeth LLC | 6.000% | 2/15/36 | 430 | 528 |
| Wyeth LLC | 5.950% | 4/1/37 | 1,344 | 1,658 |
| Zimmer Biomet Holdings Inc. | 4.250% | 8/15/35 | 100 | 92 |
| Zimmer Biomet Holdings Inc. | 5.750% | 11/30/39 | 575 | 642 |
| Zimmer Biomet Holdings Inc. | 4.450% | 8/15/45 | 1,505 | 1,385 |
| Zoetis Inc. | 4.700% | 2/1/43 | 1,135 | 997 |
77
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Energy (9.0%) | ||||
| Anadarko Finance Co. | 7.500% | 5/1/31 | 1,042 | 933 |
| Anadarko Petroleum Corp. | 6.450% | 9/15/36 | 1,455 | 1,213 |
| Anadarko Petroleum Corp. | 7.950% | 6/15/39 | 155 | 135 |
| Anadarko Petroleum Corp. | 6.200% | 3/15/40 | 515 | 409 |
| Anadarko Petroleum Corp. | 4.500% | 7/15/44 | 825 | 561 |
| Apache Corp. | 6.000% | 1/15/37 | 1,186 | 980 |
| Apache Corp. | 5.100% | 9/1/40 | 1,635 | 1,204 |
| Apache Corp. | 5.250% | 2/1/42 | 505 | 389 |
| Apache Corp. | 4.750% | 4/15/43 | 1,995 | 1,526 |
| Apache Finance Canada Corp. | 7.750% | 12/15/29 | 300 | 340 |
| Baker Hughes Inc. | 6.875% | 1/15/29 | 350 | 398 |
| Baker Hughes Inc. | 5.125% | 9/15/40 | 1,355 | 1,195 |
| Buckeye Partners LP | 5.850% | 11/15/43 | 400 | 304 |
| Buckeye Partners LP | 5.600% | 10/15/44 | 300 | 226 |
| Burlington Resources Finance Co. | 7.200% | 8/15/31 | 644 | 688 |
| Burlington Resources Finance Co. | 7.400% | 12/1/31 | 1,082 | 1,173 |
| Cameron International Corp. | 7.000% | 7/15/38 | 275 | 311 |
| Cameron International Corp. | 5.950% | 6/1/41 | 380 | 391 |
| Cameron International Corp. | 5.125% | 12/15/43 | 175 | 164 |
| Canadian Natural Resources Ltd. | 7.200% | 1/15/32 | 428 | 357 |
| Canadian Natural Resources Ltd. | 6.450% | 6/30/33 | 350 | 265 |
| Canadian Natural Resources Ltd. | 5.850% | 2/1/35 | 100 | 71 |
| Canadian Natural Resources Ltd. | 6.500% | 2/15/37 | 605 | 437 |
| Canadian Natural Resources Ltd. | 6.250% | 3/15/38 | 1,130 | 829 |
| Canadian Natural Resources Ltd. | 6.750% | 2/1/39 | 225 | 170 |
| 1 Columbia Pipeline Group Inc. | 5.800% | 6/1/45 | 550 | 465 |
| Conoco Funding Co. | 7.250% | 10/15/31 | 515 | 542 |
| ConocoPhillips | 5.900% | 10/15/32 | 665 | 623 |
| ConocoPhillips | 5.900% | 5/15/38 | 1,085 | 1,031 |
| ConocoPhillips | 6.500% | 2/1/39 | 1,755 | 1,729 |
| ConocoPhillips Canada Funding Co. I | 5.950% | 10/15/36 | 775 | 722 |
| ConocoPhillips Co. | 4.150% | 11/15/34 | 575 | 463 |
| ConocoPhillips Co. | 4.300% | 11/15/44 | 403 | 323 |
| ConocoPhillips Holding Co. | 6.950% | 4/15/29 | 735 | 788 |
| Devon Energy Corp. | 7.950% | 4/15/32 | 945 | 754 |
| Devon Energy Corp. | 5.600% | 7/15/41 | 1,160 | 790 |
| Devon Energy Corp. | 4.750% | 5/15/42 | 415 | 266 |
| Devon Energy Corp. | 5.000% | 6/15/45 | 700 | 457 |
| Devon Financing Co. LLC | 7.875% | 9/30/31 | 1,695 | 1,342 |
| Diamond Offshore Drilling Inc. | 5.700% | 10/15/39 | 500 | 319 |
| Diamond Offshore Drilling Inc. | 4.875% | 11/1/43 | 625 | 369 |
| Dominion Gas Holdings LLC | 4.800% | 11/1/43 | 300 | 300 |
| Dominion Gas Holdings LLC | 4.600% | 12/15/44 | 520 | 497 |
| El Paso Natural Gas Co. LLC | 8.375% | 6/15/32 | 297 | 299 |
| Enable Midstream Partners LP | 5.000% | 5/15/44 | 525 | 270 |
| Enbridge Energy Partners LP | 7.500% | 4/15/38 | 760 | 652 |
| Enbridge Energy Partners LP | 5.500% | 9/15/40 | 975 | 739 |
| Enbridge Inc. | 4.500% | 6/10/44 | 600 | 433 |
| Encana Corp. | 6.625% | 8/15/37 | 63 | 39 |
| Energy Transfer Partners LP | 8.250% | 11/15/29 | 414 | 422 |
| Energy Transfer Partners LP | 4.900% | 3/15/35 | 600 | 428 |
| Energy Transfer Partners LP | 6.625% | 10/15/36 | 635 | 540 |
| Energy Transfer Partners LP | 7.500% | 7/1/38 | 712 | 643 |
| Energy Transfer Partners LP | 6.050% | 6/1/41 | 431 | 334 |
| Energy Transfer Partners LP | 6.500% | 2/1/42 | 780 | 640 |
| Energy Transfer Partners LP | 5.150% | 2/1/43 | 375 | 273 |
| Energy Transfer Partners LP | 5.950% | 10/1/43 | 674 | 532 |
| Energy Transfer Partners LP | 5.150% | 3/15/45 | 1,100 | 795 |
| Energy Transfer Partners LP | 6.125% | 12/15/45 | 1,050 | 862 |
| Eni USA Inc. | 7.300% | 11/15/27 | 395 | 475 |
| EnLink Midstream Partners LP | 5.600% | 4/1/44 | 300 | 183 |
| Ensco plc | 5.750% | 10/1/44 | 725 | 343 |
78
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Enterprise Products Operating LLC | 6.875% | 3/1/33 | 540 | 561 |
| Enterprise Products Operating LLC | 6.650% | 10/15/34 | 360 | 369 |
| Enterprise Products Operating LLC | 5.750% | 3/1/35 | 300 | 279 |
| Enterprise Products Operating LLC | 7.550% | 4/15/38 | 390 | 424 |
| Enterprise Products Operating LLC | 6.125% | 10/15/39 | 905 | 855 |
| Enterprise Products Operating LLC | 6.450% | 9/1/40 | 710 | 699 |
| Enterprise Products Operating LLC | 5.950% | 2/1/41 | 875 | 828 |
| Enterprise Products Operating LLC | 5.700% | 2/15/42 | 670 | 632 |
| Enterprise Products Operating LLC | 4.850% | 8/15/42 | 590 | 501 |
| Enterprise Products Operating LLC | 4.450% | 2/15/43 | 1,000 | 794 |
| Enterprise Products Operating LLC | 4.850% | 3/15/44 | 925 | 782 |
| Enterprise Products Operating LLC | 5.100% | 2/15/45 | 850 | 750 |
| Enterprise Products Operating LLC | 4.900% | 5/15/46 | 850 | 749 |
| Enterprise Products Operating LLC | 4.950% | 10/15/54 | 650 | 499 |
| EOG Resources Inc. | 3.900% | 4/1/35 | 560 | 471 |
| EOG Resources Inc. | 5.100% | 1/15/36 | 275 | 260 |
| Exxon Mobil Corp. | 3.567% | 3/6/45 | 1,050 | 971 |
| Exxon Mobil Corp. | 4.114% | 3/1/46 | 1,600 | 1,600 |
| Halliburton Co. | 4.850% | 11/15/35 | 1,465 | 1,306 |
| Halliburton Co. | 6.700% | 9/15/38 | 916 | 962 |
| Halliburton Co. | 7.450% | 9/15/39 | 870 | 997 |
| Halliburton Co. | 4.500% | 11/15/41 | 650 | 507 |
| Halliburton Co. | 4.750% | 8/1/43 | 745 | 620 |
| Halliburton Co. | 5.000% | 11/15/45 | 1,595 | 1,416 |
| Hess Corp. | 7.875% | 10/1/29 | 645 | 593 |
| Hess Corp. | 7.300% | 8/15/31 | 270 | 234 |
| Hess Corp. | 7.125% | 3/15/33 | 725 | 616 |
| Hess Corp. | 6.000% | 1/15/40 | 1,050 | 796 |
| Hess Corp. | 5.600% | 2/15/41 | 1,400 | 1,015 |
| Husky Energy Inc. | 6.800% | 9/15/37 | 400 | 322 |
| Kerr-McGee Corp. | 7.875% | 9/15/31 | 540 | 489 |
| Kinder Morgan Energy Partners LP | 7.400% | 3/15/31 | 238 | 220 |
| Kinder Morgan Energy Partners LP | 7.750% | 3/15/32 | 442 | 420 |
| Kinder Morgan Energy Partners LP | 7.300% | 8/15/33 | 575 | 533 |
| Kinder Morgan Energy Partners LP | 5.800% | 3/15/35 | 375 | 304 |
| Kinder Morgan Energy Partners LP | 6.500% | 2/1/37 | 585 | 495 |
| Kinder Morgan Energy Partners LP | 6.950% | 1/15/38 | 895 | 808 |
| Kinder Morgan Energy Partners LP | 6.500% | 9/1/39 | 655 | 556 |
| Kinder Morgan Energy Partners LP | 6.550% | 9/15/40 | 625 | 526 |
| Kinder Morgan Energy Partners LP | 7.500% | 11/15/40 | 400 | 358 |
| Kinder Morgan Energy Partners LP | 6.375% | 3/1/41 | 525 | 454 |
| Kinder Morgan Energy Partners LP | 5.625% | 9/1/41 | 540 | 420 |
| Kinder Morgan Energy Partners LP | 5.000% | 8/15/42 | 612 | 469 |
| Kinder Morgan Energy Partners LP | 4.700% | 11/1/42 | 1,129 | 823 |
| Kinder Morgan Energy Partners LP | 5.000% | 3/1/43 | 600 | 458 |
| Kinder Morgan Energy Partners LP | 5.500% | 3/1/44 | 650 | 530 |
| Kinder Morgan Energy Partners LP | 5.400% | 9/1/44 | 450 | 352 |
| Kinder Morgan Inc. | 7.750% | 1/15/32 | 750 | 718 |
| Kinder Morgan Inc. | 5.300% | 12/1/34 | 990 | 787 |
| Kinder Morgan Inc. | 5.550% | 6/1/45 | 1,500 | 1,244 |
| Magellan Midstream Partners LP | 5.000% | 3/1/26 | 800 | 816 |
| Magellan Midstream Partners LP | 6.400% | 5/1/37 | 265 | 266 |
| Magellan Midstream Partners LP | 4.200% | 12/1/42 | 250 | 191 |
| Magellan Midstream Partners LP | 5.150% | 10/15/43 | 350 | 296 |
| Magellan Midstream Partners LP | 4.200% | 3/15/45 | 300 | 231 |
| Marathon Oil Corp. | 6.800% | 3/15/32 | 561 | 396 |
| Marathon Oil Corp. | 6.600% | 10/1/37 | 355 | 240 |
| Marathon Oil Corp. | 5.200% | 6/1/45 | 550 | 325 |
| Marathon Petroleum Corp. | 6.500% | 3/1/41 | 1,045 | 811 |
| Marathon Petroleum Corp. | 4.750% | 9/15/44 | 680 | 440 |
| Marathon Petroleum Corp. | 5.850% | 12/15/45 | 325 | 236 |
| Marathon Petroleum Corp. | 5.000% | 9/15/54 | 650 | 399 |
| Murphy Oil Corp. | 7.050% | 5/1/29 | 230 | 147 |
| Murphy Oil Corp. | 5.125% | 12/1/42 | 200 | 88 |
79
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| National Oilwell Varco Inc. | 3.950% | 12/1/42 | 1,110 | 727 |
| Noble Energy Inc. | 8.000% | 4/1/27 | 245 | 268 |
| Noble Energy Inc. | 6.000% | 3/1/41 | 440 | 332 |
| Noble Energy Inc. | 5.250% | 11/15/43 | 1,000 | 732 |
| Noble Energy Inc. | 5.050% | 11/15/44 | 1,300 | 952 |
| Noble Holding International Ltd. | 6.200% | 8/1/40 | 460 | 193 |
| Noble Holding International Ltd. | 6.050% | 3/1/41 | 300 | 126 |
| Noble Holding International Ltd. | 5.250% | 3/15/42 | 100 | 40 |
| Noble Holding International Ltd. | 6.950% | 4/1/45 | 500 | 230 |
| Occidental Petroleum Corp. | 4.625% | 6/15/45 | 800 | 765 |
| ONEOK Partners LP | 6.650% | 10/1/36 | 575 | 443 |
| ONEOK Partners LP | 6.850% | 10/15/37 | 560 | 437 |
| ONEOK Partners LP | 6.125% | 2/1/41 | 345 | 252 |
| ONEOK Partners LP | 6.200% | 9/15/43 | 688 | 501 |
| Petro-Canada | 7.875% | 6/15/26 | 270 | 309 |
| Petro-Canada | 7.000% | 11/15/28 | 145 | 157 |
| Petro-Canada | 5.350% | 7/15/33 | 195 | 159 |
| Petro-Canada | 5.950% | 5/15/35 | 720 | 619 |
| Petro-Canada | 6.800% | 5/15/38 | 860 | 796 |
| Phillips 66 | 4.650% | 11/15/34 | 1,350 | 1,233 |
| Phillips 66 | 5.875% | 5/1/42 | 1,351 | 1,291 |
| Phillips 66 | 4.875% | 11/15/44 | 1,705 | 1,562 |
| Phillips 66 Partners LP | 4.680% | 2/15/45 | 275 | 198 |
| Pioneer Natural Resources Co. | 7.200% | 1/15/28 | 275 | 280 |
| Plains All American Pipeline LP / PAA Finance Corp. | 6.700% | 5/15/36 | 415 | 336 |
| Plains All American Pipeline LP / PAA Finance Corp. | 6.650% | 1/15/37 | 485 | 388 |
| Plains All American Pipeline LP / PAA Finance Corp. | 5.150% | 6/1/42 | 745 | 518 |
| Plains All American Pipeline LP / PAA Finance Corp. | 4.300% | 1/31/43 | 425 | 263 |
| Plains All American Pipeline LP / PAA Finance Corp. | 4.700% | 6/15/44 | 655 | 432 |
| Plains All American Pipeline LP / PAA Finance Corp. | 4.900% | 2/15/45 | 225 | 151 |
| Pride International Inc. | 7.875% | 8/15/40 | 285 | 143 |
| Rowan Cos. Inc. | 5.400% | 12/1/42 | 330 | 164 |
| Rowan Cos. Inc. | 5.850% | 1/15/44 | 250 | 126 |
| Shell International Finance BV | 4.125% | 5/11/35 | 430 | 401 |
| Shell International Finance BV | 6.375% | 12/15/38 | 2,720 | 3,137 |
| Shell International Finance BV | 5.500% | 3/25/40 | 1,095 | 1,162 |
| Shell International Finance BV | 3.625% | 8/21/42 | 235 | 193 |
| Shell International Finance BV | 4.550% | 8/12/43 | 2,025 | 1,934 |
| Shell International Finance BV | 4.375% | 5/11/45 | 2,987 | 2,773 |
| Southern Natural Gas Co. LLC | 8.000% | 3/1/32 | 320 | 315 |
| Spectra Energy Capital LLC | 7.500% | 9/15/38 | 240 | 243 |
| Spectra Energy Partners LP | 5.950% | 9/25/43 | 350 | 336 |
| Spectra Energy Partners LP | 4.500% | 3/15/45 | 275 | 222 |
| Suncor Energy Inc. | 7.150% | 2/1/32 | 715 | 707 |
| Suncor Energy Inc. | 5.950% | 12/1/34 | 825 | 718 |
| Suncor Energy Inc. | 6.500% | 6/15/38 | 1,015 | 925 |
| Suncor Energy Inc. | 6.850% | 6/1/39 | 550 | 513 |
| Sunoco Logistics Partners Operations LP | 6.100% | 2/15/42 | 75 | 57 |
| Sunoco Logistics Partners Operations LP | 4.950% | 1/15/43 | 650 | 452 |
| Sunoco Logistics Partners Operations LP | 5.300% | 4/1/44 | 350 | 254 |
| Sunoco Logistics Partners Operations LP | 5.350% | 5/15/45 | 1,450 | 1,065 |
| Tennessee Gas Pipeline Co. LLC | 7.000% | 3/15/27 | 560 | 558 |
| Tennessee Gas Pipeline Co. LLC | 7.000% | 10/15/28 | 565 | 583 |
| Tennessee Gas Pipeline Co. LLC | 7.625% | 4/1/37 | 485 | 490 |
| Texas Eastern Transmission LP | 7.000% | 7/15/32 | 605 | 663 |
| Tosco Corp. | 7.800% | 1/1/27 | 585 | 651 |
| Tosco Corp. | 8.125% | 2/15/30 | 520 | 584 |
| TransCanada PipeLines Ltd. | 4.625% | 3/1/34 | 325 | 296 |
| TransCanada PipeLines Ltd. | 5.600% | 3/31/34 | 460 | 463 |
| TransCanada PipeLines Ltd. | 5.850% | 3/15/36 | 560 | 550 |
| TransCanada PipeLines Ltd. | 6.200% | 10/15/37 | 1,140 | 1,153 |
| TransCanada PipeLines Ltd. | 7.250% | 8/15/38 | 605 | 680 |
| TransCanada PipeLines Ltd. | 7.625% | 1/15/39 | 1,367 | 1,567 |
| TransCanada PipeLines Ltd. | 6.100% | 6/1/40 | 795 | 811 |
80
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| TransCanada PipeLines Ltd. | 5.000% | 10/16/43 | 850 | 795 |
| Transcontinental Gas Pipe Line Co. LLC | 5.400% | 8/15/41 | 300 | 242 |
| Transcontinental Gas Pipe Line Co. LLC | 4.450% | 8/1/42 | 985 | 721 |
| Valero Energy Corp. | 7.500% | 4/15/32 | 1,059 | 1,101 |
| Valero Energy Corp. | 6.625% | 6/15/37 | 365 | 362 |
| Valero Energy Corp. | 10.500% | 3/15/39 | 515 | 667 |
| Valero Energy Corp. | 4.900% | 3/15/45 | 550 | 441 |
| Western Gas Partners LP | 5.450% | 4/1/44 | 425 | 281 |
| Williams Partners LP | 6.300% | 4/15/40 | 1,010 | 769 |
| Williams Partners LP | 5.800% | 11/15/43 | 825 | 588 |
| Williams Partners LP | 5.400% | 3/4/44 | 450 | 309 |
| Williams Partners LP | 4.900% | 1/15/45 | 525 | 345 |
| Williams Partners LP | 5.100% | 9/15/45 | 1,040 | 707 |
| XTO Energy Inc. | 6.750% | 8/1/37 | 105 | 144 |
| Other Industrial (0.5%) | ||||
| California Institute of Technology GO | 4.700% | 11/1/11 | 510 | 528 |
| CBRE Services Inc. | 4.875% | 3/1/26 | 655 | 661 |
| Cintas Corp. No 2 | 6.150% | 8/15/36 | 25 | 31 |
| 2 Johns Hopkins University Maryland GO | 4.083% | 7/1/53 | 425 | 447 |
| 2 Massachusetts Institute of Technology GO | 3.959% | 7/1/38 | 650 | 695 |
| Massachusetts Institute of Technology GO | 5.600% | 7/1/11 | 705 | 919 |
| Massachusetts Institute of Technology GO | 4.678% | 7/1/14 | 650 | 713 |
| 2 Northwestern University Illinois GO | 3.688% | 12/1/38 | 600 | 639 |
| 2 Northwestern University Illinois GO | 4.643% | 12/1/44 | 600 | 708 |
| President & Fellows of Harvard College Massachusetts | ||||
| GO | 3.619% | 10/1/37 | 700 | 716 |
| 2 University of Notre Dame DU LAC Indiana GO | 3.438% | 2/15/45 | 575 | 567 |
| University of Pennsylvania GO | 4.674% | 9/1/12 | 375 | 403 |
| Technology (5.0%) | ||||
| Analog Devices Inc. | 5.300% | 12/15/45 | 400 | 423 |
| Apple Inc. | 3.850% | 5/4/43 | 3,500 | 3,271 |
| Apple Inc. | 4.450% | 5/6/44 | 700 | 715 |
| Apple Inc. | 3.450% | 2/9/45 | 2,175 | 1,894 |
| Apple Inc. | 4.375% | 5/13/45 | 1,500 | 1,514 |
| Apple Inc. | 4.650% | 2/23/46 | 4,500 | 4,726 |
| Applied Materials Inc. | 5.100% | 10/1/35 | 200 | 209 |
| Applied Materials Inc. | 5.850% | 6/15/41 | 715 | 804 |
| Cisco Systems Inc. | 5.900% | 2/15/39 | 1,540 | 1,908 |
| Cisco Systems Inc. | 5.500% | 1/15/40 | 2,000 | 2,387 |
| Corning Inc. | 7.250% | 8/15/36 | 260 | 299 |
| Corning Inc. | 4.700% | 3/15/37 | 250 | 235 |
| Corning Inc. | 5.750% | 8/15/40 | 470 | 503 |
| Corning Inc. | 4.750% | 3/15/42 | 425 | 402 |
| Equifax Inc. | 7.000% | 7/1/37 | 200 | 233 |
| 1 Hewlett Packard Enterprise Co. | 6.200% | 10/15/35 | 825 | 715 |
| 1 Hewlett Packard Enterprise Co. | 6.350% | 10/15/45 | 1,675 | 1,421 |
| HP Enterprise Services LLC | 7.450% | 10/15/29 | 260 | 294 |
| HP Inc. | 6.000% | 9/15/41 | 1,110 | 920 |
| Intel Corp. | 4.000% | 12/15/32 | 398 | 395 |
| Intel Corp. | 4.800% | 10/1/41 | 780 | 830 |
| Intel Corp. | 4.250% | 12/15/42 | 925 | 918 |
| Intel Corp. | 4.900% | 7/29/45 | 2,550 | 2,760 |
| International Business Machines Corp. | 6.220% | 8/1/27 | 160 | 200 |
| International Business Machines Corp. | 6.500% | 1/15/28 | 200 | 252 |
| International Business Machines Corp. | 5.875% | 11/29/32 | 730 | 890 |
| International Business Machines Corp. | 5.600% | 11/30/39 | 840 | 944 |
| International Business Machines Corp. | 4.000% | 6/20/42 | 2,434 | 2,324 |
| Juniper Networks Inc. | 5.950% | 3/15/41 | 270 | 240 |
| KLA-Tencor Corp. | 5.650% | 11/1/34 | 255 | 246 |
| Microsoft Corp. | 3.500% | 2/12/35 | 1,125 | 1,064 |
| Microsoft Corp. | 4.200% | 11/3/35 | 1,325 | 1,387 |
| Microsoft Corp. | 5.200% | 6/1/39 | 955 | 1,104 |
| Microsoft Corp. | 4.500% | 10/1/40 | 1,050 | 1,108 |
81
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Microsoft Corp. | 5.300% | 2/8/41 | 900 | 1,063 |
| Microsoft Corp. | 3.500% | 11/15/42 | 1,405 | 1,269 |
| Microsoft Corp. | 3.750% | 5/1/43 | 825 | 795 |
| Microsoft Corp. | 4.875% | 12/15/43 | 850 | 945 |
| Microsoft Corp. | 3.750% | 2/12/45 | 1,725 | 1,666 |
| Microsoft Corp. | 4.450% | 11/3/45 | 1,680 | 1,793 |
| Microsoft Corp. | 4.000% | 2/12/55 | 1,920 | 1,775 |
| Microsoft Corp. | 4.750% | 11/3/55 | 1,300 | 1,338 |
| Motorola Solutions Inc. | 5.500% | 9/1/44 | 390 | 294 |
| Oracle Corp. | 3.250% | 5/15/30 | 770 | 762 |
| Oracle Corp. | 4.300% | 7/8/34 | 875 | 894 |
| Oracle Corp. | 3.900% | 5/15/35 | 1,400 | 1,333 |
| Oracle Corp. | 6.500% | 4/15/38 | 1,295 | 1,654 |
| Oracle Corp. | 6.125% | 7/8/39 | 1,340 | 1,666 |
| Oracle Corp. | 5.375% | 7/15/40 | 1,751 | 1,955 |
| Oracle Corp. | 4.500% | 7/8/44 | 1,145 | 1,183 |
| Oracle Corp. | 4.125% | 5/15/45 | 1,733 | 1,709 |
| Oracle Corp. | 4.375% | 5/15/55 | 1,600 | 1,535 |
| QUALCOMM Inc. | 4.650% | 5/20/35 | 975 | 922 |
| QUALCOMM Inc. | 4.800% | 5/20/45 | 1,475 | 1,360 |
| 1 Seagate HDD Cayman | 4.875% | 6/1/27 | 725 | 510 |
| Seagate HDD Cayman | 5.750% | 12/1/34 | 525 | 315 |
| Tyco Electronics Group SA | 7.125% | 10/1/37 | 870 | 1,129 |
| Verisk Analytics Inc. | 5.500% | 6/15/45 | 325 | 298 |
| Xerox Corp. | 6.750% | 12/15/39 | 210 | 176 |
| Transportation (3.7%) | ||||
| 2 American Airlines 2014-1 Class A Pass Through Trust | 3.700% | 4/1/28 | 753 | 740 |
| 2 American Airlines 2015-1 Class A Pass Through Trust | 3.375% | 11/1/28 | 1,014 | 977 |
| 2 American Airlines 2015-2 Class AA Pass Through Trust | 3.600% | 9/22/27 | 400 | 404 |
| 2 American Airlines 2016-1 Class A Pass Through Trust | 4.100% | 1/15/28 | 250 | 252 |
| 2 American Airlines 2016-1 Class AA Pass Through Trust | 3.575% | 1/15/28 | 675 | 683 |
| Burlington Northern Santa Fe LLC | 7.950% | 8/15/30 | 295 | 410 |
| Burlington Northern Santa Fe LLC | 6.200% | 8/15/36 | 435 | 531 |
| Burlington Northern Santa Fe LLC | 5.750% | 5/1/40 | 780 | 919 |
| Burlington Northern Santa Fe LLC | 5.050% | 3/1/41 | 505 | 550 |
| Burlington Northern Santa Fe LLC | 5.400% | 6/1/41 | 1,125 | 1,277 |
| Burlington Northern Santa Fe LLC | 4.950% | 9/15/41 | 300 | 321 |
| Burlington Northern Santa Fe LLC | 4.400% | 3/15/42 | 650 | 654 |
| Burlington Northern Santa Fe LLC | 4.375% | 9/1/42 | 670 | 670 |
| Burlington Northern Santa Fe LLC | 4.450% | 3/15/43 | 865 | 878 |
| Burlington Northern Santa Fe LLC | 5.150% | 9/1/43 | 725 | 804 |
| Burlington Northern Santa Fe LLC | 4.900% | 4/1/44 | 1,015 | 1,090 |
| Burlington Northern Santa Fe LLC | 4.550% | 9/1/44 | 815 | 838 |
| Burlington Northern Santa Fe LLC | 4.150% | 4/1/45 | 325 | 313 |
| Burlington Northern Santa Fe LLC | 4.700% | 9/1/45 | 550 | 581 |
| Canadian National Railway Co. | 2.750% | 3/1/26 | 500 | 508 |
| Canadian National Railway Co. | 6.900% | 7/15/28 | 435 | 601 |
| Canadian National Railway Co. | 6.250% | 8/1/34 | 625 | 822 |
| Canadian National Railway Co. | 6.200% | 6/1/36 | 460 | 594 |
| Canadian National Railway Co. | 6.375% | 11/15/37 | 240 | 320 |
| Canadian National Railway Co. | 3.500% | 11/15/42 | 535 | 503 |
| Canadian Pacific Railway Co. | 3.700% | 2/1/26 | 450 | 456 |
| Canadian Pacific Railway Co. | 7.125% | 10/15/31 | 385 | 498 |
| Canadian Pacific Railway Co. | 5.750% | 3/15/33 | 170 | 189 |
| Canadian Pacific Railway Co. | 4.800% | 9/15/35 | 50 | 51 |
| Canadian Pacific Railway Co. | 5.950% | 5/15/37 | 720 | 828 |
| Canadian Pacific Railway Co. | 4.800% | 8/1/45 | 280 | 281 |
| Canadian Pacific Railway Co. | 6.125% | 9/15/15 | 780 | 813 |
| Canadian Pacific Railway Ltd. | 5.750% | 1/15/42 | 450 | 505 |
| CSX Corp. | 6.000% | 10/1/36 | 266 | 305 |
| CSX Corp. | 6.150% | 5/1/37 | 460 | 537 |
| CSX Corp. | 6.220% | 4/30/40 | 535 | 636 |
| CSX Corp. | 5.500% | 4/15/41 | 596 | 653 |
82
| Vanguard® Long-Term Corporate Bond Index Fund | |||||
| Schedule of Investments | |||||
| February 29, 2016 | |||||
| Face | Market | ||||
| Maturity | Amount | Value | |||
| Coupon | Date | ($000) | ($000) | ||
| CSX Corp. | 4.750% | 5/30/42 | 815 | 815 | |
| CSX Corp. | 4.400% | 3/1/43 | 350 | 334 | |
| CSX Corp. | 4.100% | 3/15/44 | 825 | 757 | |
| CSX Corp. | 3.950% | 5/1/50 | 650 | 555 | |
| CSX Corp. | 4.500% | 8/1/54 | 485 | 443 | |
| 2 | Delta Air Lines 2015-1 Class AA Pass Through Trust | 3.625% | 7/30/27 | 319 | 319 |
| FedEx Corp. | 4.900% | 1/15/34 | 630 | 648 | |
| FedEx Corp. | 3.900% | 2/1/35 | 720 | 656 | |
| FedEx Corp. | 3.875% | 8/1/42 | 581 | 508 | |
| FedEx Corp. | 4.100% | 4/15/43 | 535 | 493 | |
| FedEx Corp. | 5.100% | 1/15/44 | 560 | 571 | |
| FedEx Corp. | 4.100% | 2/1/45 | 530 | 472 | |
| FedEx Corp. | 4.750% | 11/15/45 | 855 | 851 | |
| FedEx Corp. | 4.500% | 2/1/65 | 265 | 240 | |
| 1 | Kansas City Southern | 4.300% | 5/15/43 | 475 | 429 |
| 1 | Kansas City Southern | 4.950% | 8/15/45 | 650 | 649 |
| 1,2 | Latam Airlines 2015-1 Pass Through Trust A | 4.200% | 11/15/27 | 875 | 755 |
| Norfolk Southern Corp. | 7.800% | 5/15/27 | 450 | 617 | |
| Norfolk Southern Corp. | 7.250% | 2/15/31 | 280 | 374 | |
| Norfolk Southern Corp. | 7.050% | 5/1/37 | 255 | 329 | |
| Norfolk Southern Corp. | 4.837% | 10/1/41 | 528 | 531 | |
| Norfolk Southern Corp. | 3.950% | 10/1/42 | 585 | 516 | |
| Norfolk Southern Corp. | 4.800% | 8/15/43 | 475 | 478 | |
| Norfolk Southern Corp. | 4.450% | 6/15/45 | 529 | 507 | |
| Norfolk Southern Corp. | 4.650% | 1/15/46 | 600 | 592 | |
| Norfolk Southern Corp. | 7.900% | 5/15/97 | 200 | 280 | |
| Norfolk Southern Corp. | 6.000% | 3/15/05 | 597 | 642 | |
| Norfolk Southern Corp. | 6.000% | 5/23/11 | 520 | 559 | |
| 2 | Spirit Airlines Class A Pass Through Certificates Series | ||||
| 2015-1 | 4.100% | 10/1/29 | 485 | 483 | |
| Union Pacific Corp. | 2.750% | 3/1/26 | 300 | 299 | |
| Union Pacific Corp. | 6.625% | 2/1/29 | 330 | 436 | |
| Union Pacific Corp. | 3.375% | 2/1/35 | 385 | 354 | |
| Union Pacific Corp. | 4.750% | 9/15/41 | 330 | 356 | |
| Union Pacific Corp. | 4.300% | 6/15/42 | 175 | 178 | |
| Union Pacific Corp. | 4.250% | 4/15/43 | 350 | 355 | |
| Union Pacific Corp. | 4.750% | 12/15/43 | 805 | 876 | |
| Union Pacific Corp. | 4.821% | 2/1/44 | 777 | 848 | |
| Union Pacific Corp. | 4.850% | 6/15/44 | 260 | 288 | |
| Union Pacific Corp. | 4.150% | 1/15/45 | 325 | 326 | |
| Union Pacific Corp. | 4.050% | 11/15/45 | 550 | 544 | |
| Union Pacific Corp. | 4.050% | 3/1/46 | 900 | 893 | |
| Union Pacific Corp. | 3.875% | 2/1/55 | 440 | 396 | |
| Union Pacific Corp. | 4.375% | 11/15/65 | 330 | 311 | |
| 2 | United Airlines 2014-1 Class A Pass Through Trust | 4.000% | 10/11/27 | 849 | 870 |
| 2 | United Airlines 2014-2 Class A Pass Through Trust | 3.750% | 3/3/28 | 865 | 876 |
| 2 | United Airlines 2015-1 Class AA Pass Through Trust | 3.450% | 12/1/27 | 450 | 452 |
| United Parcel Service Inc. | 6.200% | 1/15/38 | 1,270 | 1,682 | |
| United Parcel Service Inc. | 4.875% | 11/15/40 | 675 | 787 | |
| United Parcel Service Inc. | 3.625% | 10/1/42 | 265 | 261 | |
| United Parcel Service of America Inc. | 8.375% | 4/1/30 | 225 | 322 | |
| 890,314 | |||||
| Utilities (12.8%) | |||||
| Electric (11.8%) | |||||
| AEP Texas Central Co. | 6.650% | 2/15/33 | 450 | 559 | |
| Alabama Power Co. | 6.125% | 5/15/38 | 490 | 620 | |
| Alabama Power Co. | 6.000% | 3/1/39 | 905 | 1,135 | |
| Alabama Power Co. | 5.500% | 3/15/41 | 320 | 385 | |
| Alabama Power Co. | 5.200% | 6/1/41 | 365 | 424 | |
| Alabama Power Co. | 4.100% | 1/15/42 | 260 | 263 | |
| Alabama Power Co. | 3.850% | 12/1/42 | 25 | 24 | |
| Alabama Power Co. | 4.150% | 8/15/44 | 400 | 408 | |
| Alabama Power Co. | 3.750% | 3/1/45 | 430 | 413 | |
83
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Alabama Power Co. | 4.300% | 1/2/46 | 200 | 211 |
| Ameren Corp. | 3.650% | 2/15/26 | 182 | 188 |
| Ameren Illinois Co. | 4.800% | 12/15/43 | 390 | 444 |
| Ameren Illinois Co. | 4.300% | 7/1/44 | 220 | 235 |
| Ameren Illinois Co. | 4.150% | 3/15/46 | 125 | 132 |
| Appalachian Power Co | 4.400% | 5/15/44 | 285 | 280 |
| Appalachian Power Co. | 5.800% | 10/1/35 | 320 | 366 |
| Appalachian Power Co. | 6.375% | 4/1/36 | 355 | 413 |
| Appalachian Power Co. | 6.700% | 8/15/37 | 260 | 304 |
| Appalachian Power Co. | 7.000% | 4/1/38 | 440 | 563 |
| Appalachian Power Co. | 4.450% | 6/1/45 | 375 | 375 |
| Arizona Public Service Co. | 5.500% | 9/1/35 | 215 | 257 |
| Arizona Public Service Co. | 5.050% | 9/1/41 | 330 | 383 |
| Arizona Public Service Co. | 4.500% | 4/1/42 | 498 | 541 |
| Arizona Public Service Co. | 4.700% | 1/15/44 | 395 | 443 |
| Arizona Public Service Co. | 4.350% | 11/15/45 | 150 | 162 |
| Baltimore Gas & Electric Co. | 6.350% | 10/1/36 | 448 | 578 |
| Berkshire Hathaway Energy Co. | 8.480% | 9/15/28 | 328 | 470 |
| Berkshire Hathaway Energy Co. | 6.125% | 4/1/36 | 1,315 | 1,571 |
| Berkshire Hathaway Energy Co. | 5.950% | 5/15/37 | 546 | 640 |
| Berkshire Hathaway Energy Co. | 6.500% | 9/15/37 | 835 | 1,048 |
| Berkshire Hathaway Energy Co. | 5.150% | 11/15/43 | 650 | 709 |
| Berkshire Hathaway Energy Co. | 4.500% | 2/1/45 | 625 | 637 |
| CenterPoint Energy Houston Electric LLC | 6.950% | 3/15/33 | 450 | 616 |
| CenterPoint Energy Houston Electric LLC | 3.550% | 8/1/42 | 425 | 400 |
| CenterPoint Energy Houston Electric LLC | 4.500% | 4/1/44 | 540 | 581 |
| Cleco Power LLC | 6.500% | 12/1/35 | 255 | 288 |
| Cleco Power LLC | 6.000% | 12/1/40 | 320 | 383 |
| Cleveland Electric Illuminating Co. | 5.950% | 12/15/36 | 280 | 302 |
| CMS Energy Corp. | 4.700% | 3/31/43 | 290 | 296 |
| CMS Energy Corp. | 4.875% | 3/1/44 | 320 | 334 |
| Commonwealth Edison Co. | 5.875% | 2/1/33 | 185 | 227 |
| Commonwealth Edison Co. | 5.900% | 3/15/36 | 945 | 1,185 |
| Commonwealth Edison Co. | 6.450% | 1/15/38 | 446 | 600 |
| Commonwealth Edison Co. | 3.800% | 10/1/42 | 370 | 358 |
| Commonwealth Edison Co. | 4.600% | 8/15/43 | 310 | 335 |
| Commonwealth Edison Co. | 4.700% | 1/15/44 | 325 | 357 |
| Commonwealth Edison Co. | 3.700% | 3/1/45 | 415 | 395 |
| Commonwealth Edison Co. | 4.350% | 11/15/45 | 425 | 451 |
| Connecticut Light & Power Co. | 6.350% | 6/1/36 | 351 | 461 |
| Connecticut Light & Power Co. | 4.300% | 4/15/44 | 260 | 278 |
| Consolidated Edison Co. of New York Inc. | 5.300% | 3/1/35 | 245 | 283 |
| Consolidated Edison Co. of New York Inc. | 5.850% | 3/15/36 | 550 | 676 |
| Consolidated Edison Co. of New York Inc. | 6.200% | 6/15/36 | 276 | 344 |
| Consolidated Edison Co. of New York Inc. | 5.700% | 12/1/36 | 395 | 478 |
| Consolidated Edison Co. of New York Inc. | 6.300% | 8/15/37 | 430 | 548 |
| Consolidated Edison Co. of New York Inc. | 6.750% | 4/1/38 | 525 | 707 |
| Consolidated Edison Co. of New York Inc. | 5.500% | 12/1/39 | 425 | 503 |
| Consolidated Edison Co. of New York Inc. | 5.700% | 6/15/40 | 515 | 640 |
| Consolidated Edison Co. of New York Inc. | 4.200% | 3/15/42 | 325 | 328 |
| Consolidated Edison Co. of New York Inc. | 3.950% | 3/1/43 | 1,000 | 983 |
| Consolidated Edison Co. of New York Inc. | 4.450% | 3/15/44 | 875 | 926 |
| Consolidated Edison Co. of New York Inc. | 4.500% | 12/1/45 | 750 | 796 |
| Consolidated Edison Co. of New York Inc. | 4.625% | 12/1/54 | 335 | 348 |
| Consumers Energy Co. | 3.950% | 5/15/43 | 420 | 430 |
| Consumers Energy Co. | 4.100% | 11/15/45 | 90 | 95 |
| Consumers Energy Co. | 4.350% | 8/31/64 | 180 | 183 |
| Delmarva Power & Light Co. | 4.000% | 6/1/42 | 415 | 416 |
| Dominion Resources Inc. | 6.300% | 3/15/33 | 320 | 375 |
| Dominion Resources Inc. | 5.250% | 8/1/33 | 548 | 588 |
| Dominion Resources Inc. | 5.950% | 6/15/35 | 520 | 593 |
| Dominion Resources Inc. | 7.000% | 6/15/38 | 130 | 160 |
| Dominion Resources Inc. | 4.900% | 8/1/41 | 475 | 464 |
| Dominion Resources Inc. | 4.050% | 9/15/42 | 155 | 138 |
84
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Dominion Resources Inc. | 4.700% | 12/1/44 | 580 | 561 |
| DTE Electric Co. | 6.625% | 6/1/36 | 220 | 300 |
| DTE Electric Co. | 5.700% | 10/1/37 | 200 | 249 |
| DTE Electric Co. | 3.950% | 6/15/42 | 280 | 289 |
| DTE Electric Co. | 4.000% | 4/1/43 | 375 | 387 |
| DTE Electric Co. | 4.300% | 7/1/44 | 355 | 381 |
| DTE Electric Co. | 3.700% | 3/15/45 | 475 | 461 |
| DTE Energy Co. | 6.375% | 4/15/33 | 240 | 295 |
| Duke Energy Carolinas LLC | 6.000% | 12/1/28 | 335 | 417 |
| Duke Energy Carolinas LLC | 6.450% | 10/15/32 | 375 | 481 |
| Duke Energy Carolinas LLC | 6.100% | 6/1/37 | 820 | 1,018 |
| Duke Energy Carolinas LLC | 6.000% | 1/15/38 | 610 | 774 |
| Duke Energy Carolinas LLC | 6.050% | 4/15/38 | 670 | 859 |
| Duke Energy Carolinas LLC | 5.300% | 2/15/40 | 320 | 383 |
| Duke Energy Carolinas LLC | 4.250% | 12/15/41 | 670 | 698 |
| Duke Energy Carolinas LLC | 4.000% | 9/30/42 | 635 | 641 |
| Duke Energy Carolinas LLC | 3.750% | 6/1/45 | 305 | 299 |
| Duke Energy Corp. | 4.800% | 12/15/45 | 650 | 676 |
| Duke Energy Florida LLC | 6.350% | 9/15/37 | 500 | 657 |
| Duke Energy Florida LLC | 6.400% | 6/15/38 | 915 | 1,214 |
| Duke Energy Florida LLC | 5.650% | 4/1/40 | 25 | 31 |
| Duke Energy Florida LLC | 3.850% | 11/15/42 | 415 | 408 |
| Duke Energy Indiana LLC | 6.120% | 10/15/35 | 723 | 882 |
| Duke Energy Indiana LLC | 6.350% | 8/15/38 | 390 | 514 |
| Duke Energy Indiana LLC | 6.450% | 4/1/39 | 300 | 396 |
| Duke Energy Indiana LLC | 4.200% | 3/15/42 | 280 | 288 |
| Duke Energy Indiana LLC | 4.900% | 7/15/43 | 115 | 130 |
| Duke Energy Progress LLC | 6.300% | 4/1/38 | 340 | 449 |
| Duke Energy Progress LLC | 4.100% | 5/15/42 | 695 | 711 |
| Duke Energy Progress LLC | 4.100% | 3/15/43 | 460 | 465 |
| Duke Energy Progress LLC | 4.375% | 3/30/44 | 470 | 496 |
| Duke Energy Progress LLC | 4.150% | 12/1/44 | 705 | 718 |
| Duke Energy Progress LLC | 4.200% | 8/15/45 | 750 | 785 |
| El Paso Electric Co. | 6.000% | 5/15/35 | 355 | 440 |
| Entergy Arkansas Inc. | 3.500% | 4/1/26 | 195 | 206 |
| Entergy Louisiana LLC | 4.950% | 1/15/45 | 575 | 593 |
| Entergy Texas Inc. | 5.150% | 6/1/45 | 280 | 291 |
| 1 Exelon Corp. | 4.950% | 6/15/35 | 450 | 460 |
| Exelon Corp. | 5.625% | 6/15/35 | 450 | 490 |
| 1 Exelon Corp. | 5.100% | 6/15/45 | 835 | 873 |
| Exelon Generation Co. LLC | 6.250% | 10/1/39 | 845 | 839 |
| Exelon Generation Co. LLC | 5.750% | 10/1/41 | 410 | 376 |
| Exelon Generation Co. LLC | 5.600% | 6/15/42 | 953 | 862 |
| FirstEnergy Solutions Corp. | 6.800% | 8/15/39 | 305 | 267 |
| Florida Power & Light Co. | 5.625% | 4/1/34 | 275 | 342 |
| Florida Power & Light Co. | 4.950% | 6/1/35 | 285 | 330 |
| Florida Power & Light Co. | 5.650% | 2/1/37 | 406 | 498 |
| Florida Power & Light Co. | 5.950% | 2/1/38 | 460 | 598 |
| Florida Power & Light Co. | 5.960% | 4/1/39 | 600 | 784 |
| Florida Power & Light Co. | 5.690% | 3/1/40 | 415 | 526 |
| Florida Power & Light Co. | 5.250% | 2/1/41 | 410 | 498 |
| Florida Power & Light Co. | 5.125% | 6/1/41 | 275 | 331 |
| Florida Power & Light Co. | 4.125% | 2/1/42 | 780 | 817 |
| Florida Power & Light Co. | 4.050% | 6/1/42 | 305 | 320 |
| Florida Power & Light Co. | 3.800% | 12/15/42 | 435 | 442 |
| Florida Power & Light Co. | 4.050% | 10/1/44 | 780 | 815 |
| Georgia Power Co. | 5.650% | 3/1/37 | 585 | 663 |
| Georgia Power Co. | 5.950% | 2/1/39 | 460 | 555 |
| Georgia Power Co. | 5.400% | 6/1/40 | 700 | 790 |
| Georgia Power Co. | 4.750% | 9/1/40 | 20 | 21 |
| Georgia Power Co. | 4.300% | 3/15/42 | 1,070 | 1,055 |
| Georgia Power Co. | 4.300% | 3/15/43 | 330 | 325 |
| Iberdrola International BV | 6.750% | 7/15/36 | 570 | 700 |
| Indiana Michigan Power Co. | 6.050% | 3/15/37 | 365 | 425 |
85
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Indiana Michigan Power Co. | 4.550% | 3/15/46 | 100 | 100 |
| Interstate Power & Light Co. | 6.250% | 7/15/39 | 290 | 380 |
| ITC Holdings Corp. | 5.300% | 7/1/43 | 310 | 323 |
| Jersey Central Power & Light Co. | 6.150% | 6/1/37 | 245 | 274 |
| 2 John Sevier Combined Cycle Generation LLC | 4.626% | 1/15/42 | 888 | 990 |
| Kansas City Power & Light Co. | 6.050% | 11/15/35 | 250 | 306 |
| Kansas City Power & Light Co. | 5.300% | 10/1/41 | 470 | 531 |
| Kentucky Utilities Co. | 5.125% | 11/1/40 | 545 | 640 |
| Kentucky Utilities Co. | 4.650% | 11/15/43 | 410 | 460 |
| Kentucky Utilities Co. | 4.375% | 10/1/45 | 100 | 108 |
| Louisville Gas & Electric Co. | 5.125% | 11/15/40 | 320 | 376 |
| Louisville Gas & Electric Co. | 4.650% | 11/15/43 | 225 | 252 |
| Louisville Gas & Electric Co. | 4.375% | 10/1/45 | 525 | 566 |
| MidAmerican Energy Co. | 6.750% | 12/30/31 | 690 | 928 |
| MidAmerican Energy Co. | 5.750% | 11/1/35 | 380 | 469 |
| MidAmerican Energy Co. | 5.800% | 10/15/36 | 210 | 262 |
| MidAmerican Energy Co. | 4.800% | 9/15/43 | 35 | 39 |
| MidAmerican Energy Co. | 4.400% | 10/15/44 | 350 | 376 |
| MidAmerican Energy Co. | 4.250% | 5/1/46 | 500 | 526 |
| MidAmerican Funding LLC | 6.927% | 3/1/29 | 200 | 261 |
| Mississippi Power Co. | 4.250% | 3/15/42 | 405 | 310 |
| National Rural Utilities Cooperative Finance Corp. | 8.000% | 3/1/32 | 200 | 287 |
| National Rural Utilities Cooperative Finance Corp. | 4.023% | 11/1/32 | 171 | 176 |
| Nevada Power Co. | 6.650% | 4/1/36 | 850 | 1,105 |
| Nevada Power Co. | 6.750% | 7/1/37 | 470 | 630 |
| Nevada Power Co. | 5.375% | 9/15/40 | 235 | 274 |
| Nevada Power Co. | 5.450% | 5/15/41 | 241 | 284 |
| Northern States Power Co. | 5.250% | 7/15/35 | 240 | 287 |
| Northern States Power Co. | 6.250% | 6/1/36 | 340 | 447 |
| Northern States Power Co. | 6.200% | 7/1/37 | 486 | 649 |
| Northern States Power Co. | 5.350% | 11/1/39 | 275 | 335 |
| Northern States Power Co. | 4.850% | 8/15/40 | 425 | 488 |
| Northern States Power Co. | 3.400% | 8/15/42 | 405 | 378 |
| Northern States Power Co. | 4.125% | 5/15/44 | 400 | 422 |
| Northern States Power Co. | 4.000% | 8/15/45 | 300 | 310 |
| NorthWestern Corp. | 4.176% | 11/15/44 | 470 | 496 |
| NSTAR Electric Co. | 5.500% | 3/15/40 | 410 | 506 |
| NSTAR Electric Co. | 4.400% | 3/1/44 | 265 | 285 |
| Oglethorpe Power Corp. | 5.950% | 11/1/39 | 365 | 433 |
| Oglethorpe Power Corp. | 5.375% | 11/1/40 | 295 | 329 |
| Oglethorpe Power Corp. | 4.200% | 12/1/42 | 215 | 205 |
| Oglethorpe Power Corp. | 4.550% | 6/1/44 | 430 | 428 |
| Oglethorpe Power Corp. | 5.250% | 9/1/50 | 235 | 252 |
| Ohio Edison Co. | 6.875% | 7/15/36 | 295 | 355 |
| Ohio Edison Co. | 8.250% | 10/15/38 | 425 | 618 |
| Ohio Power Co. | 6.600% | 2/15/33 | 250 | 308 |
| Ohio Power Co. | 5.850% | 10/1/35 | 321 | 370 |
| Oklahoma Gas & Electric Co. | 5.850% | 6/1/40 | 210 | 266 |
| Oklahoma Gas & Electric Co. | 5.250% | 5/15/41 | 225 | 267 |
| Oklahoma Gas & Electric Co. | 3.900% | 5/1/43 | 350 | 344 |
| Oklahoma Gas & Electric Co. | 4.550% | 3/15/44 | 245 | 267 |
| Oklahoma Gas & Electric Co. | 4.000% | 12/15/44 | 400 | 402 |
| Oncor Electric Delivery Co. LLC | 7.000% | 5/1/32 | 480 | 616 |
| Oncor Electric Delivery Co. LLC | 7.250% | 1/15/33 | 380 | 496 |
| Oncor Electric Delivery Co. LLC | 7.500% | 9/1/38 | 155 | 212 |
| Oncor Electric Delivery Co. LLC | 5.250% | 9/30/40 | 455 | 501 |
| Oncor Electric Delivery Co. LLC | 4.550% | 12/1/41 | 405 | 413 |
| Oncor Electric Delivery Co. LLC | 5.300% | 6/1/42 | 420 | 468 |
| Oncor Electric Delivery Co. LLC | 3.750% | 4/1/45 | 455 | 413 |
| Pacific Gas & Electric Co. | 6.050% | 3/1/34 | 2,945 | 3,637 |
| Pacific Gas & Electric Co. | 5.800% | 3/1/37 | 1,000 | 1,208 |
| Pacific Gas & Electric Co. | 6.350% | 2/15/38 | 555 | 709 |
| Pacific Gas & Electric Co. | 6.250% | 3/1/39 | 620 | 779 |
| Pacific Gas & Electric Co. | 5.400% | 1/15/40 | 735 | 855 |
86
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Pacific Gas & Electric Co. | 4.500% | 12/15/41 | 225 | 237 |
| Pacific Gas & Electric Co. | 4.450% | 4/15/42 | 650 | 677 |
| Pacific Gas & Electric Co. | 4.600% | 6/15/43 | 505 | 540 |
| Pacific Gas & Electric Co. | 5.125% | 11/15/43 | 595 | 678 |
| Pacific Gas & Electric Co. | 4.750% | 2/15/44 | 540 | 591 |
| Pacific Gas & Electric Co. | 4.300% | 3/15/45 | 610 | 630 |
| Pacific Gas & Electric Co. | 4.250% | 3/15/46 | 550 | 566 |
| PacifiCorp | 7.700% | 11/15/31 | 550 | 808 |
| PacifiCorp | 5.250% | 6/15/35 | 310 | 362 |
| PacifiCorp | 6.100% | 8/1/36 | 365 | 467 |
| PacifiCorp | 5.750% | 4/1/37 | 680 | 826 |
| PacifiCorp | 6.250% | 10/15/37 | 715 | 926 |
| PacifiCorp | 6.350% | 7/15/38 | 360 | 472 |
| PacifiCorp | 6.000% | 1/15/39 | 490 | 621 |
| PacifiCorp | 4.100% | 2/1/42 | 100 | 101 |
| Peco Energy Co. | 5.950% | 10/1/36 | 170 | 216 |
| Peco Energy Co. | 4.150% | 10/1/44 | 240 | 246 |
| Pennsylvania Electric Co. | 6.150% | 10/1/38 | 185 | 206 |
| Potomac Electric Power Co. | 6.500% | 11/15/37 | 275 | 368 |
| Potomac Electric Power Co. | 7.900% | 12/15/38 | 270 | 411 |
| Potomac Electric Power Co. | 4.150% | 3/15/43 | 415 | 426 |
| PPL Capital Funding Inc. | 4.700% | 6/1/43 | 715 | 730 |
| PPL Capital Funding Inc. | 5.000% | 3/15/44 | 455 | 479 |
| PPL Electric Utilities Corp. | 6.250% | 5/15/39 | 355 | 470 |
| PPL Electric Utilities Corp. | 5.200% | 7/15/41 | 265 | 317 |
| PPL Electric Utilities Corp. | 4.750% | 7/15/43 | 200 | 228 |
| PPL Electric Utilities Corp. | 4.125% | 6/15/44 | 330 | 342 |
| Progress Energy Inc. | 7.750% | 3/1/31 | 380 | 514 |
| Progress Energy Inc. | 7.000% | 10/30/31 | 420 | 535 |
| Progress Energy Inc. | 6.000% | 12/1/39 | 90 | 103 |
| PSEG Power LLC | 8.625% | 4/15/31 | 690 | 849 |
| Public Service Co. of Colorado | 6.500% | 8/1/38 | 230 | 318 |
| Public Service Co. of Colorado | 4.750% | 8/15/41 | 345 | 394 |
| Public Service Co. of Colorado | 3.600% | 9/15/42 | 360 | 348 |
| Public Service Co. of Colorado | 3.950% | 3/15/43 | 170 | 173 |
| Public Service Co. of Colorado | 4.300% | 3/15/44 | 125 | 134 |
| Public Service Co. of Oklahoma | 6.625% | 11/15/37 | 225 | 281 |
| Public Service Electric & Gas Co. | 5.700% | 12/1/36 | 125 | 158 |
| Public Service Electric & Gas Co. | 5.800% | 5/1/37 | 440 | 558 |
| Public Service Electric & Gas Co. | 5.375% | 11/1/39 | 170 | 208 |
| Public Service Electric & Gas Co. | 3.950% | 5/1/42 | 505 | 519 |
| Public Service Electric & Gas Co. | 3.650% | 9/1/42 | 730 | 707 |
| Public Service Electric & Gas Co. | 4.000% | 6/1/44 | 306 | 315 |
| Public Service Electric & Gas Co. | 4.050% | 5/1/45 | 330 | 344 |
| Public Service Electric & Gas Co. | 4.150% | 11/1/45 | 475 | 502 |
| Public Service Electric & Gas Co. | 3.800% | 3/1/46 | 725 | 722 |
| Puget Sound Energy Inc. | 7.020% | 12/1/27 | 375 | 508 |
| Puget Sound Energy Inc. | 5.483% | 6/1/35 | 290 | 341 |
| Puget Sound Energy Inc. | 6.724% | 6/15/36 | 228 | 312 |
| Puget Sound Energy Inc. | 6.274% | 3/15/37 | 355 | 458 |
| Puget Sound Energy Inc. | 5.757% | 10/1/39 | 420 | 525 |
| Puget Sound Energy Inc. | 5.795% | 3/15/40 | 295 | 375 |
| Puget Sound Energy Inc. | 5.764% | 7/15/40 | 295 | 378 |
| Puget Sound Energy Inc. | 5.638% | 4/15/41 | 400 | 503 |
| Puget Sound Energy Inc. | 4.434% | 11/15/41 | 345 | 376 |
| Puget Sound Energy Inc. | 4.300% | 5/20/45 | 365 | 387 |
| San Diego Gas & Electric Co. | 6.000% | 6/1/26 | 245 | 311 |
| San Diego Gas & Electric Co. | 5.350% | 5/15/35 | 265 | 318 |
| San Diego Gas & Electric Co. | 6.125% | 9/15/37 | 310 | 407 |
| San Diego Gas & Electric Co. | 6.000% | 6/1/39 | 245 | 316 |
| San Diego Gas & Electric Co. | 5.350% | 5/15/40 | 410 | 500 |
| San Diego Gas & Electric Co. | 4.500% | 8/15/40 | 236 | 258 |
| San Diego Gas & Electric Co. | 3.950% | 11/15/41 | 300 | 304 |
| San Diego Gas & Electric Co. | 4.300% | 4/1/42 | 310 | 331 |
87
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Sierra Pacific Power Co. | 6.750% | 7/1/37 | 285 | 380 |
| South Carolina Electric & Gas Co. | 6.625% | 2/1/32 | 490 | 617 |
| South Carolina Electric & Gas Co. | 5.300% | 5/15/33 | 405 | 462 |
| South Carolina Electric & Gas Co. | 6.050% | 1/15/38 | 490 | 595 |
| South Carolina Electric & Gas Co. | 5.450% | 2/1/41 | 495 | 572 |
| South Carolina Electric & Gas Co. | 4.350% | 2/1/42 | 565 | 554 |
| South Carolina Electric & Gas Co. | 4.600% | 6/15/43 | 405 | 424 |
| South Carolina Electric & Gas Co. | 4.500% | 6/1/64 | 400 | 400 |
| South Carolina Electric & Gas Co. | 5.100% | 6/1/65 | 490 | 537 |
| Southern California Edison Co. | 6.650% | 4/1/29 | 450 | 583 |
| Southern California Edison Co. | 6.000% | 1/15/34 | 480 | 605 |
| Southern California Edison Co. | 5.750% | 4/1/35 | 401 | 497 |
| Southern California Edison Co. | 5.350% | 7/15/35 | 280 | 333 |
| Southern California Edison Co. | 5.550% | 1/15/36 | 220 | 262 |
| Southern California Edison Co. | 5.625% | 2/1/36 | 640 | 777 |
| Southern California Edison Co. | 5.550% | 1/15/37 | 330 | 395 |
| Southern California Edison Co. | 5.950% | 2/1/38 | 165 | 209 |
| Southern California Edison Co. | 6.050% | 3/15/39 | 350 | 447 |
| Southern California Edison Co. | 5.500% | 3/15/40 | 320 | 392 |
| Southern California Edison Co. | 4.500% | 9/1/40 | 1,015 | 1,097 |
| Southern California Edison Co. | 3.900% | 12/1/41 | 335 | 334 |
| Southern California Edison Co. | 4.050% | 3/15/42 | 620 | 630 |
| Southern California Edison Co. | 3.900% | 3/15/43 | 275 | 274 |
| Southern California Edison Co. | 4.650% | 10/1/43 | 831 | 915 |
| Southern California Edison Co. | 3.600% | 2/1/45 | 285 | 271 |
| Southern Power Co. | 5.150% | 9/15/41 | 520 | 483 |
| Southern Power Co. | 5.250% | 7/15/43 | 395 | 375 |
| Southwestern Electric Power Co. | 6.200% | 3/15/40 | 375 | 451 |
| Southwestern Electric Power Co. | 3.900% | 4/1/45 | 470 | 427 |
| Southwestern Public Service Co. | 4.500% | 8/15/41 | 520 | 562 |
| Tampa Electric Co. | 6.550% | 5/15/36 | 350 | 460 |
| Tampa Electric Co. | 6.150% | 5/15/37 | 265 | 336 |
| Tampa Electric Co. | 4.100% | 6/15/42 | 355 | 355 |
| Tampa Electric Co. | 4.350% | 5/15/44 | 190 | 198 |
| Tampa Electric Co. | 4.200% | 5/15/45 | 120 | 123 |
| Toledo Edison Co. | 6.150% | 5/15/37 | 310 | 359 |
| TransAlta Corp. | 6.500% | 3/15/40 | 240 | 125 |
| Tri-State Generation & Transmission Association Inc. | 4.700% | 11/1/44 | 270 | 265 |
| Union Electric Co. | 5.300% | 8/1/37 | 585 | 686 |
| Union Electric Co. | 8.450% | 3/15/39 | 260 | 420 |
| Union Electric Co. | 3.900% | 9/15/42 | 430 | 434 |
| Union Electric Co. | 3.650% | 4/15/45 | 215 | 208 |
| Virginia Electric & Power Co. | 6.000% | 1/15/36 | 510 | 637 |
| Virginia Electric & Power Co. | 6.000% | 5/15/37 | 480 | 599 |
| Virginia Electric & Power Co. | 6.350% | 11/30/37 | 527 | 687 |
| Virginia Electric & Power Co. | 8.875% | 11/15/38 | 655 | 1,029 |
| Virginia Electric & Power Co. | 4.000% | 1/15/43 | 435 | 428 |
| Virginia Electric & Power Co. | 4.650% | 8/15/43 | 565 | 615 |
| Virginia Electric & Power Co. | 4.450% | 2/15/44 | 630 | 672 |
| Virginia Electric & Power Co. | 4.200% | 5/15/45 | 690 | 708 |
| Westar Energy Inc. | 4.125% | 3/1/42 | 520 | 542 |
| Westar Energy Inc. | 4.100% | 4/1/43 | 125 | 130 |
| Westar Energy Inc. | 4.625% | 9/1/43 | 480 | 537 |
| Westar Energy Inc. | 4.250% | 12/1/45 | 125 | 134 |
| Wisconsin Electric Power Co. | 5.625% | 5/15/33 | 285 | 345 |
| Wisconsin Electric Power Co. | 5.700% | 12/1/36 | 290 | 363 |
| Wisconsin Electric Power Co. | 3.650% | 12/15/42 | 200 | 193 |
| Wisconsin Electric Power Co. | 4.250% | 6/1/44 | 270 | 287 |
| Wisconsin Electric Power Co. | 4.300% | 12/15/45 | 25 | 27 |
| Wisconsin Power & Light Co. | 6.375% | 8/15/37 | 484 | 644 |
| Wisconsin Power & Light Co. | 4.100% | 10/15/44 | 500 | 521 |
| Wisconsin Public Service Corp. | 3.671% | 12/1/42 | 295 | 285 |
| Wisconsin Public Service Corp. | 4.752% | 11/1/44 | 470 | 544 |
| Xcel Energy Inc. | 6.500% | 7/1/36 | 480 | 610 |
88
| Vanguard® Long-Term Corporate Bond Index Fund | ||||
| Schedule of Investments | ||||
| February 29, 2016 | ||||
| Face | Market | |||
| Maturity | Amount | Value | ||
| Coupon | Date | ($000) | ($000) | |
| Xcel Energy Inc. | 4.800% | 9/15/41 | 265 | 280 |
| Natural Gas (0.8%) | ||||
| AGL Capital Corp. | 6.000% | 10/1/34 | 215 | 245 |
| AGL Capital Corp. | 5.875% | 3/15/41 | 634 | 722 |
| AGL Capital Corp. | 4.400% | 6/1/43 | 685 | 638 |
| Atmos Energy Corp. | 5.500% | 6/15/41 | 550 | 654 |
| Atmos Energy Corp. | 4.150% | 1/15/43 | 5 | 5 |
| Atmos Energy Corp. | 4.125% | 10/15/44 | 375 | 382 |
| CenterPoint Energy Resources Corp. | 6.625% | 11/1/37 | 355 | 412 |
| CenterPoint Energy Resources Corp. | 5.850% | 1/15/41 | 289 | 314 |
| KeySpan Corp. | 8.000% | 11/15/30 | 230 | 317 |
| KeySpan Corp. | 5.803% | 4/1/35 | 265 | 300 |
| Laclede Group Inc. | 4.700% | 8/15/44 | 275 | 289 |
| NiSource Finance Corp. | 6.250% | 12/15/40 | 405 | 481 |
| NiSource Finance Corp. | 5.950% | 6/15/41 | 530 | 617 |
| NiSource Finance Corp. | 5.800% | 2/1/42 | 415 | 486 |
| Nisource Finance Corp. | 5.250% | 2/15/43 | 620 | 677 |
| NiSource Finance Corp. | 4.800% | 2/15/44 | 570 | 592 |
| ONE Gas Inc. | 4.658% | 2/1/44 | 400 | 437 |
| Piedmont Natural Gas Co. Inc. | 4.100% | 9/18/34 | 370 | 374 |
| Piedmont Natural Gas Co. Inc. | 4.650% | 8/1/43 | 325 | 350 |
| Sempra Energy | 6.000% | 10/15/39 | 550 | 604 |
| Southern California Gas Co. | 5.750% | 11/15/35 | 400 | 503 |
| Southern California Gas Co. | 5.125% | 11/15/40 | 625 | 750 |
| Southern California Gas Co. | 3.750% | 9/15/42 | 325 | 321 |
| Southern California Gas Co. | 4.450% | 3/15/44 | 185 | 204 |
| Southwest Gas Corp. | 4.875% | 10/1/43 | 300 | 324 |
| Other Utility (0.2%) | ||||
| American Water Capital Corp. | 6.593% | 10/15/37 | 755 | 1,029 |
| American Water Capital Corp. | 4.300% | 12/1/42 | 475 | 502 |
| American Water Capital Corp. | 4.300% | 9/1/45 | 200 | 211 |
| United Utilities plc | 6.875% | 8/15/28 | 645 | 736 |
| Veolia Environnement SA | 6.750% | 6/1/38 | 400 | 522 |
| 170,037 | ||||
| Total Corporate Bonds (Cost $1,361,618) | 1,298,694 | |||
| Taxable Municipal Bonds (0.3%) | ||||
| George Washington University District of Columbia GO | 4.300% | 9/15/44 | 425 | 442 |
| George Washington University District of Columbia GO | 4.868% | 9/15/45 | 40 | 45 |
| New York University Hospitals Center GO | 4.428% | 7/1/42 | 350 | 354 |
| New York University Hospitals Center Revenue | 5.750% | 7/1/43 | 350 | 425 |
| President & Fellows of Harvard College Massachusetts | ||||
| GO | 6.300% | 10/1/37 | 65 | 65 |
| President & Fellows of Harvard College Massachusetts | ||||
| GO | 4.875% | 10/15/40 | 275 | 337 |
| Princeton University New Jersey GO | 5.700% | 3/1/39 | 610 | 814 |
| Stanford University California GO | 3.460% | 5/1/47 | 40 | 40 |
| Tufts University Massachusetts GO | 5.017% | 4/15/12 | 325 | 367 |
| University of Southern California GO | 5.250% | 10/1/11 | 415 | 499 |
| Total Taxable Municipal Bonds (Cost $3,258) | 3,388 | |||
89
| Vanguard® Long-Term Corporate Bond Index Fund | |||
| Schedule of Investments | |||
| February 29, 2016 | |||
| Market | |||
| Value | |||
| Coupon | Shares | ($000) | |
| Temporary Cash Investment (0.6%) | |||
| Money Market Fund (0.6%) | |||
| 4 Vanguard Market Liquidity Fund (Cost | |||
| $7,411) | 0.475% | 7,410,611 | 7,411 |
| Total Investments (99.2%) (Cost $1,380,535) | 1,317,751 | ||
| Other Assets and Liabilities—Net (0.8%) | 11,413 | ||
| Net Assets (100%) | 1,329,164 | ||
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 February 29, 2016, the aggregate value of these securities was $28,976,000, representing 2.2% of net assets.
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 Securities with a value of $252,000 have been segregated as initial margin for open futures contracts.
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.
GO—General Obligation Bond.
90
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© 2016 The Vanguard Group, Inc.
All rights reserved.
Vanguard Marketing Corporation, Distributor.
SNA16422 042016
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: Exhibits.
(a) 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 SCOTTSDALE FUNDS | |
| BY: | /s/ F. WILLIAM MCNABB III* |
| F. WILLIAM MCNABB III | |
| CHIEF EXECUTIVE OFFICER | |
| Date: April 15, 2016 | |
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 SCOTTSDALE FUNDS | |
| BY: | /s/ F. WILLIAM MCNABB III* |
| F. WILLIAM MCNABB III | |
| CHIEF EXECUTIVE OFFICER | |
| Date: April 15, 2016 | |
| VANGUARD SCOTTSDALE FUNDS | |
| BY: | /s/ THOMAS J. HIGGINS* |
| THOMAS J. HIGGINS | |
| CHIEF FINANCIAL OFFICER | |
| Date: April 15, 2016 | |
* By: /s/ Heidi Stam
Heidi Stam, pursuant to a Power of Attorney filed on April 22, 2014 see file Number
2-17620, Incorporated by Reference.